MiFID II: Transparency Calculations and DVC

The European Securities and Markets Authority (ESMA) has published an updated version of the MiFID II/MiFIR transitional transparency calculations (TTC) for equity and bond instruments. This updated version mainly reflect schanges in the classification of the instruments and the related parameters and resubmission of data by some trading venues. This new version is the one to be used by market participants, infrastructures and authorities under the new regulatory framework from 3 January 2018.

MiFID II’s implementing measures on transparency for financial instruments require NCAs to compute and publish transparency calculations on financial instruments, including transitional ones prior to the date of application of MiFIR. NCAs from the European Economic Area (EEA), with the exception of Poland, have delegated to ESMA the compilation of TTC. ESMA has already provided TTC for non-equity instruments in July and September 2017.

ESMA has performed these calculations with due care and to the best of its ability. However, given the scope and complexity of the calculations, including the various underlying data sources, future corrections of the TTC cannot be ruled out. ESMA expects to continuously supplement and update the information provided, where necessary.

Next Steps

The TTC will be applicable starting 3 January 2018 and the equity instruments TTC will apply until 31 March 2019 and for bond instruments (liquidity assessment) until 15 May 2018. Further information is available on ESMA’s website.

The European Securities and Market Authority (ESMA) will provide updated Registers information in line with requirements under MIFIR/MiFID II. The launch, on 3 January 2018, will update existing registers under MiFID I and also provide for new registers under MiFID II/MiFIR. ESMA compiles the registers based on data provided by the National Competent Authorities of the Member States of the European Economic Area (EEA) on and from the 3 January 2018.

ESMA is currently working on a new release of  those registers for Q1 2018. Therefore, until the new register release is fully available as an IT functionality on our website, ESMA will provide an interim solution which involves it publishing, on a fortnightly basis, the latest registers information in an excel format which will be available for download. The list of affected registers is as follows:

·       Regulated markets

·       Multilateral Trading Facilities

·       NEW Organised trading facilities

·       Systematic Internalisers

·       NEW Approved Publication Arrangements  

·       NEW Consolidated Tape Providers  

·       NEW Approved Reporting Mechanisms

·       Suspension and Restorations (SARIS)*

·       Central counterparties will become obsolete and removed from publication

·       Shares admitted to trading on EU regulated markets will be replaced by FIRDS publication: Transparency 3 January 2018

ESMA will continue to monitor the data submitted to the registers and may make the files available, outside of the fortnightly schedule, should the requirement arise. ESMA encourages market participants to review the data provided and contact their National Competent Authority in case of any data discrepancy.

*SARIS file will be made available once a week in a pdf format.

The European Securities and Markets Authority (ESMA) published today the MiFID II/MiFIR transitional transparency calculations (TTC) for equity and bond instruments. Today’s publication means that TTC for all asset classes, applicable from 3 January 2018, are now available to market participants, infrastructures and authorities as required under the new regulatory framework.

The execution of the TTC has been delegated to ESMA by National Competent Authorities (NCAs), who have also approved the final results published today.

Steven Maijoor, Chair, said:

“Today’s publication of the Transitional Transparency Calculations for bonds and equity completes the provision of data needed, by financial market participants and their supervisors, for the implementation of one of the key elements of the MiFID/MiFIR reforms, more transparent securities markets.

“The provision of this data is part of the ambitious programme to provide complete and timely information to facilitate compliance with the requirements of MiFID II/MiFIR and MAR by market participants, and supervisors.

“All market participants in the European Union, and NCAs, now have the final information needed to ensure a smooth transition to meeting their responsibilities under the new regime.”

ESMA, beginning in January 2018, will publish reference data, transparency calculations and double volume cap information on a regular basis. Moreover, the transaction reporting exchange mechanism, that allows information sharing among NCAs, will continue operating with the new regulation.

MiFID II’s implementing measures on transparency for financial instruments require NCAs to compute and publish transparency calculations on financial instruments, including transitional ones prior to the date of application of MiFIR. NCAs from the European Economic Area (EEA), with the exception of Poland, have delegated to ESMA the compilation of TTC. ESMA has already provided TTC for non-equity instruments in July and September 2017.

Transitional Transparency Calculations – Equity & Bond Instruments

The TTC for equity instruments, published today, have been calculated on the basis of the collection, review and compilation of data provided by 133 trading venues located in the EEA. As a result 1,907 equity instruments, out of 28,971, have been found to have a liquid market. ESMA has used the submitted data to provide the trading activity indicators required for the calculation of tick sizes for shares and depository receipts by trading venues and NCAs.

For bonds, except Exchange Traded Commodities and Exchange Traded Notes, ESMA publishes the liquidity assessment for individual instruments. The calculations were performed by ESMA, using data provided by 116 trading venues and the transitional calculations have also incorporated information on OTC markets using information from TRAX. As a result, 566 bond instruments, out of 61,761, have been found to have a liquid market according to the MiFIR criteria.

The TTC includes equity instruments available for trading in September 2017 and bonds available for trading in October 2017. The TTC for instruments listed after these dates will be performed by NCAs and ESMA will publish that information in January 2018.

ESMA has performed these calculations with due care and to the best of its ability. However, given the scope and complexity of the calculations, including the various underlying data sources, future corrections of the TTC cannot be ruled out. ESMA expects to continuously supplement and update the information provided, where necessary.

Next Steps

The TTC will be applicable starting 3 January 2018 and the equity instruments TTC will apply until 31 March 2019 and for bond instruments (liquidity assessment) until 15 May 2018. Further information is available on ESMA’s website.

The European Securities and Markets Authority (ESMA) has today launched the second phase of its Financial Instrument Reference Database (FIRDS). The launch involves providing access to the database containing the currently available reference data that will eventually enable market participants to identify instruments subject to MAR and MiFID II/MiFIR reference data reporting requirements. This will allow market participants to prepare their reporting systems ahead of the go-live date on 3 January 2018.

The advance publication of this data will facilitate markets participants’ preparation of their systems to fulfil future reporting obligations to national competent authorities (NCAs) under MiFIDII/MiFIR. ESMA has also published instructions for market participants on how to access the data and download the relevant machine-readable files.

The requirements of Article 27 of MiFIR and related technical standards oblige trading venues and systematic internalisers to submit reference data, from 3 January, for the relevant financial instruments to national competent authorities (NCAs) who will subsequently transmit it to ESMA for publication. 

The data released today are subject to quality limitations, in particular regarding their completeness. ESMA and the NCAs will continue to monitor and improve the quality and completeness of the published information.

Background

ESMA, in order to allow for a smooth transition to the new MIFID reporting regime, began the first phase of FIRDS in July by collecting financial instrument reference data from reporting entities and today’s release to the market contains the currently available data in advance of MIFIR’s 3 January 2018 go-live date. The availability of this information at this early stage will play an important role in assuring the quality of data that market participants report to NCAs from 3 January 2018 onwards.

In preparation for 3 January 2018, ESMA encourages market participants to begin using the published data following the instructions provided on how to access the data, download the machine-readable files as well as the reporting instructions.

Market participants with database, files or technical instructions related queries should contact support@esma.europa.eu.