Using unique data at transaction and counterparty identity level, we study the microstructure of the Swiss franc FX over‑the‑counter (OTC) derivatives market during a time of stress that was triggered by the decision of the Swiss National Bank (SNB) to remove the Swiss franc‑euro exchange...

The Bank of England (“the Bank”) has access to some of the granular transaction level data resulting from EMIR trade reports. The velocity, granularity and richness of this dataset puts it in the realm of Big Data in the derivatives market, which brings with it its own set of challenges....