An approach to cleaning MiFID II corporate bond transaction reports

Simon Jurkatis

No 1071, Bank of England working papers from Bank of England

Abstract: Since 2018, EU and UK financial markets regulators have been in receipt of data on transactions in debt instruments, such as corporate bonds, reported under the Markets in Financial Instrument Regulation. The data gives regulators a more detailed and broader view of trading in these instruments than previously. Reports submitted under this framework, however, come with a number of unique challenges that require careful consideration. Among those challenges are that reports are not submitted in a completely standardised way, that prices and quantities can be reported in different units, and that reports may be submitted by both counterparties of a transaction. This paper describes an approach for handling these issues for transaction reports on corporate bonds, with the aim of helping to enhance the data quality and supporting robust research into this market.

Keywords: Corporate bonds; data cleaning; deduplication; outlier detection. (search for similar items in EconPapers)
JEL-codes: C55 C58 C81 G10 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2024-08-05
New Economics Papers: this item is included in nep-mac
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:1071

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