FIMSAC Proposal to Delay Reporting of Block Trades to Increase Liquidity – SEC FI Market Structure Advisory Committee
April 13, 2018 \
1 Comment
Full Article: SEC Fixed Income Market Structure Committee
The Subcommittee developed the concept for a pilot to study an alternative approach that would raise the dissemination caps and modify the dissemination time frames for trades above the caps. The recommended pilot design supported by a majority of the Subcommittee is outlined below
Comments
Higher caps is great, more transparency. The larger delay on blocks is certainly debatable. But the real tragedy is that they didn’t go with alternative 1.a for measurement, i.e. the randomized controlled trial approach (“Rather than apply the new dissemination cap sizes and changes to all corporate bonds, divide bonds into a control group with no change and a test group with the changes applied.”) Comparing volumes year over year is just not a great counterfactual, markets change, volumes are highly correlated with volatility… no bueno.
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