Well done Tradeweb for making APA and MTF data available to Clarus for analysis. Our APA analysis casts transparency over the off-venue market for the first time. 7,000 IRS trades, over €800bn in notional and €400m in DV01 to look at. We take this data to estimate the uptake of the European Trading Obligation in […]

Many thanks to Tradeweb for responding to our requests for access to weekly aggregated data. EUR IRS were by far the most traded Interest Rate Derivative across the Tradeweb MTF. Over €16bn in EUR IRS was transacted in the week 9th-16th January. Tradeweb volumes are equal to those reported by Bloomberg’s MTF for the same […]

We have written quite a few blogs this month on the challenges of getting meaningful public transparency data on Swaps and other Derivatives. Today, three weeks after the MiFiD II implementation date, I thought I would write up what I can find for EUR Interest Rate Swaps from the public sites of the major D2D […]

Or: What I learnt about Bunds today ISINs have made a mockery of OTC derivative transparency under MIFID II. So it makes sense to look at an asset class that ISINs work for – Bonds! Bloomberg is a venue that makes their data usable to the public. €6bn of Bunds traded on Bloomberg last week. […]

Compression providers are now required to make data publicly available. $3.5trn of IRS notional was compressed last week according to European data. 38% of transactions submitted for compression were successfully modified. This data complements existing data from both Clarus CCPView and SDRView. A total of $4trn was compressed last week across both European and US […]

Some MTFs provide weekly aggregated volume data under MIFID II. We examine Bloomberg’s EUR IRS data after the first week. Clarus data shows that out of a global market of €450bn, useable public MIFID II transparency data provides insight into €8bn of the total market. This is beyond disappointing. Dodd Frank data provides more transparency […]

One of the goals of MiFiD II is to improve transparency of price and volume in financial markets and the implementation date of January 3, 2018 finally gave me an opportunity to look at the post-trade data made publicly available by Trading Venues and Approved Publication Arrangements (APAs). This data relies on ISINs for OTC […]

MIFID II Data Day Two Yesterday’s blog was very well received, so we’ve decided to do it again today. We’ll take a look at; Yesterday’s data sources again. Will they work today? Will we get any historical end of day files? Will I finally be able to use some data in Excel? New sources of […]

MIFID II Data is Here! Happy MIFID II day everyone. And happy New Year. We thought it would be a great way to welcome in the dawn of added transparency in European markets with a live blog this morning to see what transparent trade reporting in Europe will deliver to us. Remember to refresh throughout […]

ESMA have published the final report for the Trading Obligation. Interest Rate Swaps in EUR, GBP and USD will have to be traded on venue from 2018. There has been convergence with the swaps that are currently MAT in the US, potentially simplifying the global regulatory regime. 8y and 9y EUR swaps versus EURIBOR 6m […]