Clarus Daily Briefing

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Tradeweb and Bloomberg MTF Market Share

Thanks to Tradeweb and Bloomberg for providing transparent data for January trading across their MTFs. Our analysis shows a 50/50 market share for D2C IRS trading. We have so far only looked at Interest Rate Swaps. Our analysis shows that 37% of customer EUR IRS trading is happening on-venue. MIFID Data…but first… We currently have […]

Tradeweb APA Data and the Trading Obligation

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 […]

Tradeweb MIFID Data – Interest Rate Swaps

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 […]

MiFID II Data – Interest Rate Swaps on D2D Venues

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 […]

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. […]

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 […]