Bitcoin Volumes

It’s been an exciting time in crypto-currencies since my last couple Bitcoin articles last year.  As a quick recap: Bitcoin Meets OTC Derivatives – Oct 24, 2017 (Bitcoin price was $5,500) – We discussed how the infrastructure for institutional investment in this space was ready. And we took a look at implied volatility of BTC […]

MIFID II Data – Bonds on Bloomberg

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. […]

CCP Disclosures 3Q 2017 – What the Data Shows

Central Counterparties recently published their latest quarterly CPMI-IOSCO Quantitative Disclosures and in this article I will highlight what the data shows, similar to my article on 2Q 2017 trends. Background Under the voluntary CPMI-IOSCO Public Quantitative Disclosures by CCPs, over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk and […]

MIFID II Data – $4trn in Compression

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 […]

Bloomberg MTF Data – Week One

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 […]

MIFID II Data Day Two

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 Live Blog – The Data

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 […]

2017 SEF Market Share Statistics

In this article I look at 2017 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2016 SEF Market Share Statistics. Clarus SEFView has daily volume data published by each SEF, which is filtered, normalised and aggregated to allow meaningful comparison of market share […]