OFR: more securities lending and repo data required
16 December 2014 Washington DC
Image: Shutterstock
The US securities lending and repo markets are becoming more transparent, but data continues to be collected in an inconsistent manner and much is not publicly available, according to the US Treasury’s Office of Financial Research.
In its 2014 report issued to Congress, the office noted that a substantial amount of data that is available about securities lending markets belongs to private vendors.
The two largest data vendors own databases covering more than $13 trillion of global securities and millions of single-day transactions conducted by more than 45,000 lenders.
But, the office added in its report, “data collections are voluntary and do not include essential data elements about counterparties or collateral management”.
“No systematic, targeted data collection is conducted for the benefit of regulators or the investing public. For that reason, these data are not necessarily complete or comparable for analysis.”
Similarly, there is limited market data available about repo trades settled bilaterally outside of triparty clearing banks, which is business that suffered distress during the financial crisis, according to the report.
Primary dealers that act as official counterparties to the Federal Reserve Bank of New York report their activities confidentially on Form FR 2004, which covers information on positions, transactions, financing, and fails data in government securities and other selected fixed-income securities.
But broker-dealers that are not US primary dealers do not report through the form, and it does not differentiate triparty from bilateral trades.
The form does not require information such as haircuts, rates and the identity of the counterparty, and data is highly aggregated. “We can only produce rough estimates of the size of the bilateral repo market,” said the report.
The Office of Financial Research would like to see transaction-level data on bilateral repo business and the introduction of identifiers to consolidate data with other sources.
For securities lending data, the office is awaiting a Dodd-Frank Act-mandated proposal from the US Securities and Exchange Commission to increase the transparency of information available to brokers, dealers, and investors about securities lending.
In its 2014 report issued to Congress, the office noted that a substantial amount of data that is available about securities lending markets belongs to private vendors.
The two largest data vendors own databases covering more than $13 trillion of global securities and millions of single-day transactions conducted by more than 45,000 lenders.
But, the office added in its report, “data collections are voluntary and do not include essential data elements about counterparties or collateral management”.
“No systematic, targeted data collection is conducted for the benefit of regulators or the investing public. For that reason, these data are not necessarily complete or comparable for analysis.”
Similarly, there is limited market data available about repo trades settled bilaterally outside of triparty clearing banks, which is business that suffered distress during the financial crisis, according to the report.
Primary dealers that act as official counterparties to the Federal Reserve Bank of New York report their activities confidentially on Form FR 2004, which covers information on positions, transactions, financing, and fails data in government securities and other selected fixed-income securities.
But broker-dealers that are not US primary dealers do not report through the form, and it does not differentiate triparty from bilateral trades.
The form does not require information such as haircuts, rates and the identity of the counterparty, and data is highly aggregated. “We can only produce rough estimates of the size of the bilateral repo market,” said the report.
The Office of Financial Research would like to see transaction-level data on bilateral repo business and the introduction of identifiers to consolidate data with other sources.
For securities lending data, the office is awaiting a Dodd-Frank Act-mandated proposal from the US Securities and Exchange Commission to increase the transparency of information available to brokers, dealers, and investors about securities lending.
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