Mifid transparency, FRTB and alternative data

The week on Risk.net, April 30–May 4, 2018

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Mifid data: hard to access, hard to use

Risk.net research shows four of 12 APAs and trading venues only provide information via other vendors

US will implement FRTB, insists Fed official

Isda AGM: “I don’t know why people doubt” US adoption, says Lynch

Goldman building team to sell its own alternative data

New group tasked with finding data within the securities division that could be sold to clients


COMMENTARY: Dark dealings

Saying Mifid data lacks transparency is rapidly becoming a truism – a statement lacking in surprise.

The second Markets in Financial Instruments Directive (Mifid II) aims to improve transparency in financial markets through a requirement to report certain trades within 15 minutes of execution if they are equivalent to one admitted to trade on a trading venue (TOTV).

The new rules took effect on January 3, but barely five months into operation Mifid’s data standards have come under a barrage of criticism from the industry.

Most recently, Risk.net has discovered Mifid data is not always available to the public for free as the law requires – but rather via paid-for vendor packages. And much of the free data is hard to use – a frustration to traders.

Markus Ferber, the member of the European Parliament who played a key role in drafting Mifid II, doubts the practice is in the spirit of Mifid II. The European Securities and Markets Authority and the UK’s Financial Conduct Authority are scrutinising the arrangements.

Market participants also complain they are unable to reach a consistent interpretation of which instruments are TOTV, in part because different International Securities Identification Numbers, used to identify derivatives trades, are being created for economically identical instruments.

Trading platforms warn that as a result, they will struggle to fulfill their objective of improving financial market transparency without a total overhaul of the use of Isins.

That regulators are now scrutinising data publishers, with tighter requirements expected to follow – and that the industry could step up to the plate by pushing for Isins to be superseded by a new form of global derivatives identifier – are both clearly welcome developments to tackle the multitude of problems currently plaguing Mifid II’s transparency regime.



The dealer community would suffer estimated losses of $100 million if all books containing yen swaptions were re-marked using a basis that has emerged between LCH and the Japan Securities Clearing Corporation on the products – even though neither clears them.



“Internationally, when I talk to people, probably the second most frequent question I get is, ‘is the US going to implement FRTB?’, and I want to make sure people know we are… There is a serious doubt in some people’s minds. So: we are” – David Lynch, deputy associate director at the Federal Reserve

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