What we need to do to fix MIFID II Data

We attempt an analysis of available MIFID II transparency data. Analysis shows that 89% of notional in vanilla EUR IRS is reported with a four-week delay. We show that at least €800bn of transaction data for vanilla, cleared EUR IRS is missing each week. We estimate that as little as 5% of notional of off-venue […]

ISDA SIMM Concentration Thresholds for IR Risk

We last looked at ISDA SIMM Concentration Thresholds in January 2017, when ISDA SIMM version 1.2 introduced the concept. That blog detailed an Excel implementation of the concentration threshold calculation for interest rate delta risk and proved very popular. The methodology in SIMM v2.2 remains the same, just the thresholds themselves are changed. Today I […]