MiFID - Secondary Markets

ESMA publishes responses to its Consultation on MiFID II/MiFIR review report on the development in prices for pre- and post-trade data and on the consolidated tape for equity instruments.

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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 1 August 2018 to 31 July 2019 as well as updates to already published DVC periods.

The number of new breaches is 80: 59 equities for the 8% cap, applicable to all trading venues, and 21 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 11 September 2019 to 10 March 2020. 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 thus the previously identified suspensions of trading under the waivers should be lifted. As of 6 September 2019, there is a total of 303 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 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 1 July 2018 to 30 June 2019 as well as updates to already published DVC periods.

The number of new breaches is 84: 56 equities for the 8% cap, applicable to all trading venues, and 28 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 August 2019 to 11 February 2020. The instruments for which caps already existed from previous periods will continue to be suspended.

In addition, ESMA highlights that none of the previously identified breaches of the caps proved to be incorrect thus no previously identified suspensions of trading under the waivers had to be lifted.

As of 7 August 2019, there is a total of 267 instruments suspended.

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

ESMA is also publishing the completeness indicators. From today’s publication onward, the file includes a single list with the indicators for all equity and equity-like instruments, instead of two separate lists, one for liquid shares and one for non-liquid shares and other equity like instruments.

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 started today to make available new data for bonds subject to the pre- and post-trade requirements of the Markets in Financial Instruments Directive (MiFID II) and Regulation (MiFIR) through its data register.

ESMA has started today to make available the latest quarterly liquidity assessment for bonds available for trading on EU trading venues. For this period, there are currently 594 liquid bonds subject to MiFID II transparency requirements.

ESMA’s liquidity assessment for bonds is based on a quarterly assessment of quantitative liquidity criteria, which include the daily average trading activity (trades and notional amount) and percentage of days traded per quarter. ESMA updates the bond market liquidity assessments quarterly. However, additional data and corrections submitted to ESMA may result in further updates within each quarter, published in ESMA’s Financial Instruments Transparency System (FITRS), which shall be applicable the day following publication.  

The full list of assessed bonds will be available through FITRS in the XML files with publication date from 1 August 2019 (link available here) and through the Register web interface.  

As communicated on 27 September 2018, ESMA is also publishing two completeness indicators related to bond liquidity data.

Background

MiFID II became applicable on 3 January 2018 introducing, amongst others, pre- and post-trade transparency requirements for equity and non-equity instruments, including for bonds. Post-trade, MiFID II requires real-time publication of the price and quantity of trades in liquid bonds. It is possible to defer the publication of post-trade reports if the instrument does not have a liquid market, or if the transaction size is above large-in-scale thresholds (LIS), or above a size specific to the instrument (SSTI). In order to assist market participants to know whether a bond should be considered as liquid or not, ESMA publishes these quarterly liquidity assessments for bonds.

Next steps

The transparency requirements for bonds deemed liquid today will apply from 16 August to 15 November 2019. 

 

The European Securities and Markets Authority (ESMA) has published today data for the systematic internaliser calculations for equity, equity-like instruments and bonds under the Markets in Financial Instruments Directive (MiFID II) and Regulation (MiFIR).

More specifically, ESMA has published the total number of trades and total volume over the period January-June 2019 for the purpose of the systematic internaliser (SI) calculations for 22,961 equity and equity-like instruments and for 333,459 bonds. 

The results are published only for instruments for which trading venues submitted data for at least 95% of all trading days over the 6-month observation period. The data publications also incorporate OTC trading to the extent it has been reported to ESMA. The publication includes data also for instruments which are no longer available for trading on EU trading venues at the end of December.

The publication of the data for the SI calculations for derivatives and other instruments has been delayed until 2020 at the latest, as set out in the updated plan announced by ESMA on 30 January 2019. The SI-assessment for those asset classes does not need to be performed until 2020 at the latest.

Background

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 SI regime.

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

 

The European Securities and Markets Authority (ESMA) has today updated its Questions and Answers (Q&As) on data reporting under the Market in Financial Instruments Regulation (MiFIR).

The Q&As provide clarifications in relation to the requirements for submission of reference data under MiFIR. In particular, the Q&As relate to reporting obligations for financial instruments without a defined expiry date (e.g. Perpetual FX Rolling Spot Futures). The Q&A provides a new answer on how operators should populate field 24 of RTS 23. The amendments to the existing Q&A on MiFIR data reporting becomes effective from 29 July 2019.

The purpose of this Q&A is to promote common supervisory approaches and practices in the application of MiFIR. It provides guidance to Investment Firms, Trading Venues, ARMs and Systematic Internalisers on compliance with the reporting provisions of MiFIR. ESMA will periodically review these Q&A and update them where required.

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