As we noted in “Shining a light into the dark: What pre-trade and post-trade data will MiFID II make public?”, MiFID II’s transparency regime appears to apply equity market transparency concepts to the other asset classes.
This takes bond transparency to a new level as firms will not only be required, under certain conditions, to disseminate post-trade details, but also be required to make pre-trade actionable indications of interest and firm quotes available to the public.
Bloomberg plans to aggregate the trade reporting data delivered on a pre- and post-trade basis via APAs and trading venues. This will include connecting to multiple APA’s and trading venues to collect the data, categorize and identify trades, enrich the data and disseminate it on a real-time feed. The feeds will be available on Terminal and off Terminal via our real-time delivery system, BPIPE. Customers will have to purchase real-time data from the APAs and trading venues.
1. What data will be on the Terminal?
For any bond, MiFID II descriptive data will be available on MFID<GO> and through the Bloomberg Inquiry Pill.
2. Where will the data be displayed?
MiFID II transparency data will be available in all parts of the investment workflow. With the time stamps information, we will map the transactional information to an instrument within the Bloomberg complex to enrich the data further with descriptive data, risk characteristics and other analytics included within the Terminal.
3. How do I gain a sense of market conditions?
Enriched bond data will be available on the most active trade bonds monitor (MOSB <GO>). The raw trade data will be enhanced to include spreads to corporate and government bonds, including I-spread, Z-spread, OAS, ASW, and G-spread for corporates, and spread to spline (for countries that currently have spline curves), Z-spread, Yield/Yield ASW and Par ASW for Government bonds. You can access the MiFID demo version for the most actively traded bonds on MOSB MIFID<GO>.
4. Where will prices for specific bonds be available?
Similar to what we have done with TRACE data, when the post-trade price publication is deferred, the data will be appropriately inserted into the time series.
Bond Post Trade History (TDH<GO>) displays the aggregated view of bond activity: High, Low, Last, Volume and the total number of trades reported.
Quote Recap (QR<GO>) will display time and sales data.
To put the quote and trade histories from the different sources into context, the Intraday Market Chart GIQ<GO> function will source trade histories from a number of user-selected sources including the combined MIFQ price and all the different trading venues newly available. Bids and offers are graphed with trades represented as “dots” on the chart.
The Quote/trade Recap Monitor (QRM<GO>) will show pre-trade and post-trade data on the same screen, similarly as for equities.
5. Ready to execute?
The all quotes monitor (ALLQ <Go>) will integrate the latest price (quote and trade) information along-side your dealer’s markets. You can access the MiFID demo version on ALLQ MIFID<GO>.
6. What about derivatives?
Under MiFID II, derivative trades have to be reported to an APA. Derivative data will be supplemented in order to get enough information to recognize the transaction. The ANNA DSB will supply CFI codes and product names which will help us to identify the transaction. Furthermore, we can add the RTS23 reference data to the trade report from the FIRDs database, but it won’t be available until T+1.
The challenge for derivatives is that MiFID II Level II and Level III implementation guidance requires transparency to happen prior (reporting using descriptive data) to identification (ISIN assignment).
While equities are identified prior to trading (tickers), this isn’t necessarily the case in the non-equity markets. “No ISIN, No Trade” was not selected as an operational standard.
This is why, until we turn on the pipes, we won’t know what data will come through. If some data fields in post-trade transparency reports are missing, such as effective date for IRS, and strike price for options, these trades cannot be identified or mapped to a ticker. Bloomberg will still present trade characteristics, but integration into actionable analytics will evolve as we gain experience handling the data.