MiFID II: Transparency Calculations and DVC

The European Securities and Markets Authority (ESMA) has today published a statement in relation to the impact on ESMA’s databases and IT systems of a no-deal Brexit scenario on 29 March 2019.

This statement complements the previous statement on the use of UK data in ESMA’s databases and performance of MiFID II calculations in case of a no-deal Brexit from 5 February 2019 and provides further details related to the operation of ESMA data systems during the period following a no-deal Brexit occurring on 29 March 2019. 

This statement covers the actions related to the following systems:

  • Financial Instruments Reference Data System (FIRDS);
  • Financial Instrument Transparency System (FITRS);
  • Double Volume Cap System (DVCAP);
  • Transaction reporting systems; and
  • ESMA’s registers and data.

This statement also sets out ESMA’s further communication plan to external stakeholders.

The European Securities and Markets Authority (ESMA) has today made available the results of the annual transparency calculations of the large in scale (LIS) and size specific to the instruments (SSTI) thresholds for bonds.

The results are published on a per bond-type basis in excel format in the Annual transparency calculations for non-equity instruments register . The results on a per ISIN basis will be published through the Financial Instruments Transparency System (FITRS) in the XML files (available here ) and through the Register web interface (available here ) starting on 30 April 2019. 

ESMA will publish until 31 May 2019 two records with this type of calculation for each ISIN (the one applicable until that date, and the one applicable starting on 1 June). To avoid any misinterpretation of the results, users of the calculations are kindly invited to review the FIRDS Transparency System downloading instructions document  in particular paragraph 28. 

Background

MiFID II/MiFIR became applicable on 3 January 2018 introducing, amongst others, pre-trade and post-trade transparency requirements for equity and non-equity instruments. 
For transactions whose size is above the relevant large-in-scale thresholds (LIS) and the size specific to the instruments (SSTI), pre-trade transparency requirements may be waived and the publication of post-trade information can be deferred.

Next steps

The transparency requirements based on the results of the annual calculations of the large in scale (LIS) and size specific to the instruments (SSTI) thresholds for bonds shall apply from 1 June 2019 until 31 May 2020. From 1 June 2020, the results of the next annual calculations of the LIS and SSTI thresholds for bonds, to be published by 30 April 2020, will become applicable. 

 

The European Securities and Markets Authority (ESMA) has updated today its public register with the latest set of double volume cap (DVC) data under the Markets in Financial Instruments Directive (MiFID II).

Today’s updates include DVC data and calculations for the period of 1 February 2018 to 31 January 2019 as well as updates to already published DVC periods. 

The number of new breaches is 42: 34 equities for the 8% cap, applicable to all trading venues, and 8 equities for the 4% cap, that applies to individual trading venues. Trading under the waivers for all new instruments in breach of the DVC thresholds should be suspended from 12 March 2019 to 11 September 2019. The instruments for which caps already existed from previous periods will continue to be suspended.

As of 7 March, there is a total of 342 instruments suspended.

Please be aware that ESMA does not update DVC files older than 6 months.

Background

MiFID II introduced the DVC to limit the amount of dark trading in equities allowed under the reference price waiver and the negotiated transaction waiver. The DVC is calculated per instrument (ISIN) based on the rolling average of trading in that instrument over the last 12 months.

The European Securities and Markets Authority (ESMA) has today made available the results of the annual transparency calculations for equity and equity-like instruments.

ESMA has today started to make the annual transparency calculations for equity and equity-like instruments available. Those calculations include:

-       the liquidity assessment as per Articles 1 to 5 of CDR 2017/567;

-       the determination of the most relevant market in terms of liquidity (MRM) as per Article 4 of CDR 2017/587 (RTS 1);

-       the determination of the average daily turnover (ADT) relevant for the determination of the pre-trade and post-trade large in scale (LIS) thresholds;

-       the determination of the average value of the transactions (AVT) and the related the standard market size (SMS);

-       the determination of the average daily number of transactions on the most relevant market in terms of liquidity relevant for the determination of the tick-size regime.

Currently, there are 1,344 liquid shares and 389 liquid equity-like instruments other than shares, subject to MiFID II/MiFIR transparency requirements.

ESMA’s annual transparency calculations are based on the data provided to Financial Instruments Transparency System (FITRS) by trading venues and arranged publication arrangements (APAs) in relation to the calendar year 2018.

These calculations shall be applicable from 1 April 2019, until then the transitional transparency calculations (TTC) continue to apply.

Please be aware that due to late data submissions by some reporting entities and adaptations necessary should the UK leave the Union on 29 March, under a no-deal scenario, ESMA will likely have to update the results after 29 March. ESMA will make the public aware of such updates sufficiently in advance.  As detailed by ESMA in its public statement on the use of UK data in ESMA databases in case of a no-deal Brexit, the current publication might require amendments to the MRM in terms of liquidity. ESMA therefore intends to adjust the MRM for those instruments for which the March calculations determine a UK trading venue as the MRM. ESMA is planning to determine as the MRM the EU trading venue with the highest turnover in the EU as early as possible after Brexit. For newly issued instruments, the MRM will be changed to the EU trading venue where that instrument was first admitted to trading or first traded.

The full list of assessed equity and equity-like instruments will be available through ESMA’s Financial Instruments Transparency System (FITRS) in the XML files with publication date from 1 March 2019 (link available here) and through the Register web interface (link available here).

Background

MiFID II/MiFIR became applicable on 3 January 2018 introducing, amongst others, pre-trade and post-trade transparency requirements for equity and non-equity instruments.

Pre-trade transparency requirements may be waived for transactions, whose size is above large-in-scale thresholds (LIS), and systematic internalisers (SIs) have pre-trade transparency obligations for instruments traded on a traded venue which are liquid and when dealing with orders up to the standard market size (SMS).

The publication of post-trade information can be deferred for transactions whose size is above large-in-scale thresholds (LIS).

MiFID II/MiFIR introduce the tick-size regime to orders in shares, depositary receipts based on the average daily number of transactions in the most relevant market in terms of liquidity and to orders in exchange-traded funds (ETFs) on the basis of their price.

Next steps

The transparency requirements based on the results of the annual transparency calculations published from 1 March for equity and equity-like instruments will apply from 1 April 2019 until 31 March 2020. From 1 April 2020, the next annual transparency calculations for equity and equity-like instruments to be published by 1 March 2020, will become applicable.

The European Securities and Markets Authority (ESMA) has decided today to delay the publication of the annual calculation of the large in scale (LIS) and size specific to the instruments (SSTI) thresholds for bonds. This was due to the IT systems requiring more time than expected to complete the required calculations.

This publication was originally planned for today, March 1, in advance of the deadline of 30 April provided by Article 13(17) of the Commission Delegated Regulation (EU) 2017/583 (RTS 2), and as communicated in the statement on the use of UK data in ESMA databases and the performance of MiFID II calculations under a no-deal Brexit, published on 5 February 2019.

ESMA aims to ensure that this publication will now take place later in March.

Background

MiFID II/MiFIR became applicable on 3 January 2018 introducing, amongst others, pre-trade and post-trade transparency requirements for equity and non-equity instruments. For transactions whose size is above the relevant large-in-scale thresholds (LIS) and the size specific to the instruments (SSTI), pre-trade transparency requirements may be waived and the publication of post-trade information can be deferred.

Next steps

The transparency requirements based on the results of the annual calculations of the large in scale (LIS) and size specific to the instruments (SSTI) thresholds for bonds to be published by 30 April 2019 shall apply from 1 June 2019 until 31 May 2020. From 1 June 2020, the results of the next annual calculations of the LIS and SSTI thresholds for bonds to be published by 30 April 2020, will become applicable.

The European Securities and Markets Authority (ESMA) has updated today its public register with the latest set of double volume cap (DVC) data under the Markets in Financial Instruments Directive (MiFID II).

Today’s updates include DVC data and calculations for the period of 1 January 2018 to 31 December 2018 as well as updates to already published DVC periods.

The number of new breaches is 109: 80 equities for the 8% cap, applicable to all trading venues, and 29 equities for the 4% cap, that applies to individual trading venues. Trading under the waivers for all new instruments in breach of the DVC thresholds should be suspended from 20 February 2019 to 19 August 2019. The instruments for which caps already existed from previous periods will continue to be suspended.

In addition, ESMA highlights that some trading venues in the meantime have submitted corrected data that affects past DVC publications. For 1 instrument, this means that the previously identified breach of the cap proved to be incorrect and the suspension of trading under the waivers should be lifted.

As of 15 February, there is a total of 378 instruments suspended.

Please be aware that ESMA does not update DVC files older than 6 months.

Completeness indicators

ESMA has also updated the DVC completeness indicators file. From now on, the completeness indicators are calculated on the basis of the calendar year relevant for the DVC publication of the month.  In addition, instruments are not present in the DVC system if the relevant trading venue for that instrument has not provided reference data for that instrument. This is due to recent changes to the system. 

Brexit 

As communicated on 5 February 2019, in case of a no-deal Brexit ESMA will not perform the DVC calculations in April and May 2019 due to concerns about disruptions of the ESMA IT-systems after Brexit. The DVC calculations will resume in June 2019. The DVC publications will include UK-related data submitted to the ESMA IT systems up to 29 March 2019.

Background

MiFID II introduced the DVC to limit the amount of dark trading in equities allowed under the reference price waiver and the negotiated transaction waiver. The DVC is calculated per instrument (ISIN) based on the rolling average of trading in that instrument over the last 12 months.

 

 

The European Securities and Markets Authority (ESMA) has updated today its public register with the latest set of double volume cap (DVC) data under the Markets in Financial Instruments Directive (MiFID II).

Today’s updates include DVC data and calculations for the period of 1 December 2017 to 30 November 2018 as well as updates to already published DVC periods. 

The number of new breaches is 53: 40 equities for the 8% cap, applicable to all trading venues, and 13 equities for the 4% cap, that applies to individual trading venues. Trading under the waivers for all new instruments in breach of the DVC thresholds should be suspended from 14 January 2019 to 13 July 2019. The instruments for which caps already existed from previous periods will continue to be suspended.

In addition, ESMA highlights that some trading venues in the meantime have submitted corrected data that affects past DVC publications. For 2 instruments, this means that the previously identified breach of the cap proved to be incorrect and the suspensions of trading under the waivers should be lifted. As of 9 January, there is a total of 625 instruments suspended.

Please be aware that ESMA does not update DVC files older than 6 months. 
ESMA has not updated the DVC completeness indicators file due to a technical issue which has affected the generation of this information. 

Background

MiFID II introduced the DVC to limit the amount of dark trading in equities allowed under the reference price waiver and the negotiated transaction waiver. The DVC is calculated per instrument (ISIN) based on the rolling average of trading in that instrument over the last 12 months. 

 

The European Securities and Markets Authority (ESMA) has updated today its public register with the latest set of double volume cap (DVC) data under the Markets in Financial Instruments Directive (MiFID II). Today’s updates include DVC data and calculations for the period of 1 November 2017 to 31 October 2018 as well as updates to already published DVC periods. 

The number of new breaches is 54: 45 equities for the 8% cap, applicable to all trading venues, and 9 equities for the 4% cap, that applies to individual trading venues. Trading under the waivers for all new instruments in breach of the DVC thresholds should be suspended from 12 December 2018 to 11 June 2019. The instruments for which caps already existed from previous periods will continue to be suspended.

In addition, ESMA highlights that some trading venues in the meantime have submitted corrected data that affects past DVC publications. For 1 instrument, this means that the previously identified breach of the cap proved to be incorrect and the suspensions of trading under the waivers should be lifted.

As of 7 December, there is a total of 637 instruments suspended. Please be aware that ESMA does not update DVC files older than 6 months. 

ESMA has also updated the DVC completeness indicators file. In order to assess the contribution of a trading venue both completeness indicators should be considered. The completeness ratio indicates the percentage of reports provided divided by the number of reports expected irrespectively from the number of instruments available for trading on that trading venue. In other words, missing one or a few periods on a large number of instruments, or missing the same number of periods in one instrument only does not change the value of this indicator. This indicator is independent from the number of instruments available for trading on the venue. On the other hand, the completeness shortfall takes into account the number of incomplete ISINs for the trading venue. In other words, missing one or a few periods on a large number of instruments, increases the value of this indicator. 

Background

MiFID II introduced the DVC to limit the amount of dark trading in equities allowed under the reference price waiver and the negotiated transaction waiver. The DVC is calculated per instrument (ISIN) based on the rolling average of trading in that instrument over the last 12 months.