Dealers

This community area contains the relevant reports and documentation to ensure dealers get the most from MTS’ market-leading services.

Regulatory Update

"Paving the way for European regulatory reform: an evolution in electronic fixed income" by Roger Barton, Financial Reform Consultancy (Jan 2013)

 Click here to read the article.

Private reports

  Participant statistics

The following papers have been published using MTS Historical Data. Please check this page for regular updates.  

BOOK CHAPTERS

M.Darbha and Dufour, A., 2013, "Microstructure of the Euro area government bond market". Chapter-3, Market Microstructure in Emerging and Developed markets: Market Microstructure in Emerging and Developed Markets. Robert W.Kolb series in Finance, edited by H.K.Baker and H.Kiymaz, John Wiley & Sons,Inc. (forthcoming)

PUBLISHED PAPERS

L. Pelizzon, D. Tomio and J. Uno, " The Microstructure of the European Sovereign Bond Market: A Study of the Euro-zone Crisis," http://people.stern.nyu.edu/msubrahm/papers/MTS.pdf

Menkveld,A.J.,Y.C.Cheung and Frank de Jong, “ Euro area sovereign yield dynamics: The role of order imbalance”, European Central Bank Working paper series, August 2004, No.385. 

Cheung, Y.C., B. Rindi, and F. De Jong. "Trading European Sovereign Bonds: The Microstructure of the Mts Trading Platforms." ,European Central Bank Working paper series, January 2005, No.432.

Beber, A., M.W. Brandt, and K.A. Kavajecz. “Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market” Review of Financial Studies, 2009, Vol.22, Issue 3, pages 925-957. 

Favero C.A., M. Pagano and E.L. Von Thadden (2010) "How Does Liquidity affect Bond Yields?", Journal of Financial and Quantitative Analysis, Vol. 45, No. 1, Feb. 2010, pp. 107–134

Dufour, A. and M. Nguyen. "Permanent Trading Impacts and Bond Yields", European Journal of Finance, 2012, Volume 18, Issue 9, pages 841-864. 

Dunne, Peter G., Michael J. Moore and Richard Portes, 2007. "Benchmark Status in Fixed-Income Asset Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9-10), pages 1615-1634.

 Caporale, Guglielmo Maria and Girardi, Alessandro, 2013. "Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 227-240.

Caporale, Guglielmo Maria & Girardi, Alessandro & Paesani, Paolo, 2012. "Quoted spreads and trade imbalance dynamics in the European Treasury bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 173-182. 

Dunne, P., M. Moore, and R. Portes. "European Government Bond Markets: Transparency, Liquidity, Efficiency”, CEPR, London, UK  (2006).

Albanesi, Stefania, and Barbara Rindi. 2000. “The Quality of the Italian Treasury Bond Market, Asymmetric Information and Transaction Costs.” Annales d’Economie et de Statistique 60, 1–19. 

Biais, Bruno, Antoine Renucci, and Gilles Saint-Paul. 2004. “Liquidity and the Cost of Funds in the European Treasury Market.” Working Paper 285, Institut d'Économie Industrielle (IDEI), Toulouse. 

Coluzzi, Chiara, Sergio Ginebri, and Manuel Turco. 2008. “Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market.” Working Paper, University of Molise.

Dunne, Peter & Hau, Harald & Moore, Michael, 2008. "A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market," CEPR Discussion Papers 6969, C.E.P.R. Discussion Papers.

EU Newsletter May 2013

EU Public Debt and Deficit

• Ireland and Portugal prepare for programme exit   
   
• Eurogroup appreciates substantial progress made in Greece
   
• Cyprus to receive further bailout loans   
   
• Council endorses "two-pack" proposal  
   
• European Parliament adopts Resolution on future legislative proposals on EMU
   
• Parliament agrees on bank resolution proposal - Council still stalling
   
• European Parliament stalls conclusion on SSM negotiations with Member States hoping for guarantees from the ECB
     

EU Financial Markets Regulations

• Conclusion of FTT negotiations highly uncertain
   
• MiFID/R negotiations not moving as fast as planned 
   
• Banking structure consultation launched   
      

Technical Documentation 

  MTS Technology Portal