MiFID II

MiFID II Data – Interest Rate Swaps on D2D Venues

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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 […]

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MIFID II Data – Bonds on Bloomberg

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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. […]

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MIFID II Data – $4trn in Compression

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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 […]

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Bloomberg MTF Data – Week One

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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 […]

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MIFID II – Why ISINs for OTC Derivatives are Bad for Transparency

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Anyone who is a regulator or public observer of the OTC market should read this blog post to see why the current design of an ISIN for a rate swap isn't helping the goal of 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 […]

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MIFID II Data Day Two

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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 […]

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MIFID II Live Blog – The Data

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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 […]

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MiFID II – the last stretch is (also) paved with paper 

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In July 2017 we drew on RegDelta’s database of regulatory documents to estimate that MiFID and MiFID II accounted for 1.4m paragraphs of rules, guidance and policy. That figure drew gasps from the industry press but we were clear it was inevitably going to rise further. We have now calculated that just under 300,000 paragraphs have been added in the second half of 2017 – a slight pickup in pace since

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FFX Margin- the far off sound of a fat lady singing

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The will they-won’t they soap opera of European FFX margin regulation is likely drawing to a close. As promised in their 24 November announcement, the three European Supervisory Authorities (ESMA, EBA and EIOPA) published a draft amendment to the EMIR Margin RTS. The amendment The amendment does clarify matters by excising the announcement’s “most likely”, […]

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EU FFX – fiasco saga

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On 24 November the European Supervisory Authorities (ESAs) released their long (in context) waited forbearance announcement with respect to the margining or not of forward foreign exchange. A short summary follows: Everyone else agreed to this but didn’t follow on Our hands are tied and we will need to change EU law Likely changes will […]


Follow the link for more commentary on the FX margin statement and the definition of firms in or out of scope.

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