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Six banks to publish daily dark pool data

24 May 2010  |  9868 views  |  0 Financial numbers

Six leading investment banks are to report cash equity trade volumes crossed in their internal dark pools via a post-trade market data service provided by Markit.

At the end of each trading day Markit will collate the data from each participating bank - Citi, Credit Suisse, Deutsche Bank, J.P. Morgan Cazenove, Morgan Stanley and UBS - conduct validation checks on the information, and publish the aggregated trading volumes on its Web site the following afternoon.

Reporting begins today, following live testing over the past two weeks. During testing the daily percentage of trades reported in this way has ranged from a bare 0.62% to 1.02% of total European trading, representing a tiny fraction of daily volumes.

The data covers automated crosses only, including trades matched on systems such as Citi Match, CS Crossfinder, DBA, JPM-X, MSPool and UBS PIN. In line with the MiFID rules on reportable trades, it includes trading between clients of the executing broker and trading between brokers and their clients. Volumes are published on an aggregated basis and broken down by country.

John Serocold of the Association for Financial Markets in Europe says the initiative should shed further light on darker parts of the market "by providing verified data where previously there has been only speculation, and by giving a clear indication of the actual levels of trading in crossing engines".

The move to greater transparency comes as European regulators conduct a review of the MiFID rulebook with a promise to scrutinise the impact of dark pool trading on European market structures.

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