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Vista has worked with dealers, ICE, and Bloomberg to provide transparency on intraday MDX swap trading activity and end-of-day (EOD) pricing. Similar to TRACE’s role in fixed-income trade reporting and price dissemination, DTCC’s Global Trade Repository (GTR) receives derivative transaction reports for products such as MDX and publicly disseminates reportable transaction information. This article summarizes where market participants can view MDX swap prices and trading volumes and explains the reporting structure.
Viewing Traded MDX Prices and Volumes
Vista offers an MDX trade activity screen that posts trading activity shortly after it is publicly disseminated by DTCC. The reporting for each transaction includes calculated price, calculated conventional spread, time, notional size (capped at $250mm), and venue (i.e., bilateral or electronic platform). Where a price is not reported, Vista calculates a price using the reported upfront amount and other transaction information. Conventional spreads are calculated by Vista using reported transaction information and a market-standard methodology based on the ICE-Vista MDX Calculator. Additionally, volume data can be toggled to show various metrics and time intervals. Vista’s site goes live on the first day of trading, [ADD DATE], at vistaindex.com/mdx-trade-activity. Vista also allows for the download of trade data from its website and is exploring additional means of distribution based on market demand.
This screenshot is populated with illustrative data and does not show real trade data.
Composite Pricing
For tracking both intraday and EOD pricing, ICE has developed the MDX Composite Price, which is a time-weighted average price. The MDX Composite Price sources pricing information from two channels: indicative pricing information contributed by licensed MDX swap dealers and publicly disseminated transaction data from DTCC GTR. The MDX Composite Price begins updating each day when certain thresholds are met, and its algorithm continually updates as pricing information is received. Through this methodology, the MDX Composite Price is based on actual observable market information throughout the day rather than relying solely on dealer EOD submissions.
ICE, Bloomberg, and Vista all publish the ICE MDX Composite Price feed. For ICE Data Derivatives subscribers, the MDX Composite Price suite is available through the ICE pricing feed. Bloomberg has integrated the MDX Composite Price into its pricing sources for MDX, including auto-populating intraday values in its CDSW function and charting values in its GP functions. Vista displays the EOD MDX Composite Mid-Price on its website at vistaindex.com/mdx-pricing.
The EOD screenshot contains dealer-provided indicative pricing and is subject to the ICE MDX Composite disclaimer.
Bloomberg also shows MDX transaction volume data on its SDR function under its Credit > Index CDS category, including trade time and notional amount. Transaction prices, however, will not be available on this screen. MDX trades can be filtered using “MDX” in the instrument field, and they are identified with the ticker “70091-MDX.GN1 (QZ58NN9J118B)”.
Source: Bloomberg
Transaction Reporting and Dissemination Framework
MDX swaps are subject to CFTC transaction reporting requirements. MDX transactions are reported to a registered swap data repository (SDR), and certain transaction information is publicly disseminated. Whether a trade is executed bilaterally or on a swap execution facility (SEF), such as ICE Swap Trade, MDX transaction reports are sent to the DTCC Data Repository (DDR). Publicly disseminated MDX transaction data is available through DTCC DDR’s CFTC Real-Time Dissemination dashboard under the credit asset class.
Taken together, Vista combines public DTCC GTR transaction data with pricing information from market infrastructure providers to offer market participants greater transparency into MDX pricing and trading volume for analysis, execution, and valuation.