17.II.3 Obligation to separate equity pre- and post-trade data

MiFID II obliges RMs and MTFs to make the MiFID II equity pre- and post-trade data available to the public separately.1 A directly applicable MiFIR Delegated Regulation specifies the offering of pre- and post-trade transparency data, including the level of disaggregation of the data to be made available to the public.2 The MiFIR Delegated Regulation obliges RMs and MTFs to disaggregate data by:

Point 1 (disaggregation by asset class) indicates that MiFID II does not require separation of data at the level of an individual financial instrument. Instead, MiFID II requires disaggregation at the level of asset classes. Although disaggregation at the level of individual instruments would enable data users to pay for just the data they needed about any individual instrument, MiFID II balances this benefit against the compliance costs of RMs and MTFs in providing such information. The result of this balance is that MiFID II requires disaggregation of (equity) pre- and post-trade data at the level of asset class.4MiFID II distinguishes between the following asset classes: (a) shares; (b) depositary receipts, ETFs, certificates and other similar financial instruments; (c) non-equity instruments, such as derivatives. The foregoing means that in in the context of equity instruments, MiFID II requires RMs and MTFs to separate the pre- and post-trade data on the level of shares (point a), as well as on the level of depositary receipts, ETFs, certificates and other similar financial instruments (point b).

The MiFID II-rules do not stop by requiring pre- and post-trade data to be separated at the level of the asset class. MiFID II goes a few steps further by providing certain criteria for the disaggregation. In respect of shares, RMs and MTFs need to offer the pre- and post-trade data separately for the country of issue (see point 2 above).5 In addition, for all equity instruments, being shares, depositary receipts, ETFs, certificates and other similar financial instruments, MiFID II requires pre- and post-trade disaggregation of (i) the currency in which the equity instrument is traded; and (ii) scheduled daily auctions as opposed to continuous trading (see points 3-4 above).6

To ensure that the pre- and post-trade data offered appropriately matches the demand of market participants, RMs and MTFs need to apply the criteria in any combination upon request (e.g. combining currency and country of issue for shares).7 Any combination needs to be offered on a reasonable commercial basis (see paragraph below).8 Moreover, in addition to offering the pre- and post-trade data disaggregated based on the MiFID II-criteria, RMs and MTFs may offer bundles of data.9 This means that bundled data is still permitted under MiFID II, as long as the pre- and post-trade data is also available on a separate basis in accordance with MiFID II.