RBC on TRACE/TSYS: "someone who....>

US TSYS/RESEARCH: RBC on TRACE/TSYS: "someone who can identify trading patterns

that signal hedging of a very large client flows can anticipate" price moves

from "flows" and if they're "fast enough" can then do positns before hedges "to

take advantage of" info. "Currently identifying those patterns is not simple

because price movemnts are visible. But many flows are not, making it more

difficult to separate out random price movemnts from flow-driven price

movements."

- They add if "flow data" were "public even with a significant lag, anyone

trying to identify hedging patterns can zero in" on "price action immediately

after a large trade," and "tweak" algos to adjust "prices and positions well"

before "hedging flows" are done. They said off-run Tsys "are problematic. From a

liquidity perspective, off-the-run and on-the-run Treasuries are different asset

classes" as "time needed to move risk in a deep off-the-run is often measured in

wks" not "microseconds." Trade data publicatn "will make intermediaries even

more wary of taking positions in off-the-runs, exaggerating the

on-the-run/off-the-run liquidity differential."