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Data for the systematic internaliser calculations

Data for the systematic internaliser calculations

According to Article 4(1)(20) of Directive 2014/65/EU (MiFID II) investment firms dealing on own account when executing client orders over the counter (OTC) on an organised, frequent, systematic and substantial basis are subject to the mandatory systematic internaliser (SI) regime.

    ESMA, upon request of market participants, decided to compute, on a voluntary and best effort basis, the total volume and number of transactions executed in the EU in order to help market participants in the performance of the SI test since that data is essential for the operation of the SI regime and is not otherwise easily available.

    On a temporary basis, the results of the data for the SI calculations will be published on the ESMA website in spreadsheet format. Under the section “Current data for the systematic internaliser calculations” the files with the calculations based on the most recent period will be published, while under the section “Historical data for the systematic internaliser calculations” the previously published files based on previous periods will be available.

    Current data for the systematic internaliser calculations

    Asset class File Observation period start Observation period end Date by when the assessment has to be performed and the IF has to comply with the obligations Last update published

    Equity

    [LINK] 01 April 2018 30 September 2018

    15 November 2018

    31 October 2018
    Non-equity [LINK] 01 April 2018 30 September 2018

    15 November 2018

    31 October 2018

    Historical data for the systematic internaliser calculations

    Asset class File Observation period start Observation period end Date by when the assessment has to be performed and the IF has to comply with the obligations Last update published

    Equity

     [LINK 01 January 2018 30 June 2018

    01 September 2018

    01 August 2018
    Non-equity  [LINK]  01 January 2018 30 June 2018

    01 September 2018

    02 August 2018

     

             
               

    Information on the publication and legal background

    Commission Delegated Regulation (EU) No 2017/565 specifies thresholds determining what constitutes frequent, systematic and substantial OTC trading. In particular, investment firms are required to assess whether they are SIs in a specific instrument (for equity and equity-like instruments, bonds, ETCs and ETNs and SFPs) or for a (sub-) class of instruments (for derivatives, securitised derivatives and emission allowances) on a quarterly basis based on data from the previous six months. For each specific instrument/sub-class, an investment firm is required to compare the trading it undertakes on its own account compared to the total volume and number of transactions executed in the European Union (EU). If the investment firm exceeds the relative thresholds it will be deemed an SI and will have to fulfil the SI-specific obligations.

    The source for publishing aggregated EU-wide data is data submitted by trading venues and Approved Publication Arrangements (APAs) to the Financial Instruments Reference Database (FIRDS) and the Financial Instruments Transparency System (FITRS) covering a reference period of six months (e.g. the publication of 1 August 2018 is for the reference period January to June 2018).

    The publication includes only aggregated EU-wide data for equity and equity-like instruments and bonds. For all other asset classes the mandatory SI-assessment will only apply after the first publication of the data for those asset classes on 1 February 2019.

    For equity and equity-like instruments and bonds not included in this publication, investment firms which, based on data from other sources, receive an indication that they pass the relevant threshold for an instrument should register as an SI.

    ESMA is aware that a high level of data quality is crucial to ensure that investment firms can perform the assessment with confidence. Therefore, this publication includes only instruments which passed various data quality measures to ensure a high level of completeness and data quality. In particular, ESMA publishes only data for instruments for which trading venues submitted reports for at least 95% of the trading days in the relevant reference period. Furthermore, ESMA performed additional quality checks when relevant regulatory information was under its disposal.

    Disclaimer

    The publication of the information on this website does not prejudice the results of verifications on the completeness and correctness of the transposition of EU law into national law.

    This database contains also data related to European Economic Area (EEA) / European Free Trade Association (EFTA) States based on the submissions received by ESMA, the publication of which does not affect the status of incorporation of relevant EU law into the EEA Agreement and any related legal consequences.

    ESMA publishes the information with utmost care and to the best of its ability. Given the scope and complexity of this project, and in particular the dependence on complete and accurate submissions by NCAs, trading venues and APAs, ESMA is not able to provide any representation or warranty that the available content is complete, accurate or up to date.

    In addition to the above provisions, attention is also drawn to the Legal Notice on the ESMA website.