8.IV.2.2 Mifid i database for shares admitted to trading on an rm

MiFID I required each NCA, in relation to each share admitted to trading on an RM for which it was the relevant NCA, to publish yearly calculations. The yearly calculations included the average daily turnover (relevant for deferral of post-trade data publication).1 MiFID I also obliged the NCA to publish calculations and estimates as soon as practicable for (i) shares not yet admitted to trading on an RM, (ii) after the first admission to trading on an RM, and (iii) ad hoc calculations (as calculated/estimated in accordance with the MiFID I provisions). MiFID I required the relevant NCA to publish the results, for example, through the NCA website.2 The NCA obligation was waived where CESR already published the results of the NCA (through the MIFID I Database for Shares Admitted to Trading on an RM).3 Publication by CESR, instead of the NCA publishing the data itself, was called the ‘save harbour’ provision for NCAs.4 The safe harbour-provision reflected two opposing ideas, namely: (1) leaving NCAs responsible for publishing the data and (2) the ability of CESR to ensure the data published would be of high (or at least the same) quality.

Besides NCAs, CESR itself was also subject to a MiFID I obligation. MiFID I obliged CESR to consolidate and regularly update the results of the individual NCAs in one place. CESR performed this task through the MiFID I Database for Shares Admitted to Trading on an RM (MiFID I Database).5 CESR provided guidance to ensure CESR was able to provide the consolidated and regularly updated data. CESR stated in its internal guidebook that the NCAs needed to send their data to CESR. CESR requested the NCAs to send the data in a harmonised format6 and well before the MiFID I publication deadlines.7 The consolidated data available in the MiFID I database enabled the market to recognise ‘large in scale transactions’.8

The MiFID I Database was used for both equity pre-trade and post-trade transparency purposes. For this reason, the MiFID I contained more data fields than necessary for the MiFID I equity post-trade transparency regime. Initially, the MiFID I Database contained the following data fields: (a) ISIN (instrument security identification number), (b) name of the share, (c) average daily turnover (ADT), (d) daily transactions, (e) free float, (f) average value of orders executed (AVO), (g) standard market size (based on the AVO), (h) NCA for a liquid share (if designating liquid shares themselves),9 (i) relevant NCA, and (j) country code (points d-h were only relevant for equity pre-trade transparency).10 At a later point, the MiFID I Database also covered: (k) the exchange rate for non-Euro countries, (l) the date of update (when information was last updated), and (m) information indicating when the information became applicable (to facilitate the distinction between current and new data).11 In terms of search functions, the MiFID I Database could display per: (1) ISIN, (2) share name, (3) country, (4) NCA, (5) date and (6) column.12 The aim of the MiFID I Database was to find a balance. A balance was intended between (i) a clear presentation of the data for market participants and (ii) not being too extensive (e.g. a methodology for determining exchange rates was not included) in order to ensure the smooth operation of the database.13