Einde inhoudsopgave
EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/5.VI.2.3.6
5.VI.2.3.6 Completeness Ratio and Completeness Shortfall
mr. J.E.C. Gulyás, datum 01-02-2021
- Datum
01-02-2021
- Auteur
mr. J.E.C. Gulyás
- JCDI
JCDI:ADS266443:1
- Vakgebied(en)
Financieel recht / Bank- en effectenrecht
Financieel recht / Europees financieel recht
Financiële dienstverlening / Financieel toezicht
Voetnoten
Voetnoten
To ensure a proportionate application of the double volume cap on the day of entry into application of MiFID II, MiFID II required RMs and MTFs to base their report on the adjusted volumes of trading executed under equivalent waivers under MiFID I for the preceding calendar year (recital 11 MiFIR Delegated Regulation 2017/577).
ESMA, Press Release: ESMA delays publication of double volume cap data, 9 January 2018(ESMA71-99-925).
ESMA, ESMA to publish data completeness indicators for trading venues, 27 September 2018(ESMA71-99-1038).
ESMA, ESMA to publish data completeness indicators for trading venues, 27 September 2018(ESMA71-99-1038).
ESMA, ESMA to publish data completeness indicators for trading venues, 27 September 2018(ESMA71-99-1038).
The double volume cap mechanism was initially planned to start on 3 January 2018 (start of MiFID II).1 In practice, ESMA delayed the implementation of the double volume cap until 8 March 2018. The reason for the delay was the lack of data quality and completeness.2 To remedy the situation, ESMA publishes two indicators since September 2018. The two indicators are: (1) the completeness ratio and (2) the completeness shortfall.3 The two indicators aim to increase the incentives for RMs/MTFs in delivering quality and timely data for the performance of the double volume cap (CTPs have not been authorised until this point in time).
The completeness ratio (1) is an indicator that provides information on the completeness of a particular RM/MTF that reports data to the NCA (or ESMA in case of delegation), irrespective of other RMs/MTFs. The completeness shortfall (2) is a measure that gives an indication of an RM/MTF’s performance in terms of completeness compared to other RMs/MTFs. The completeness shortfall provides the percentage of missing data for which a particular RM/MTF is responsible.4 An RM/MTF that has submitted all double volume cap data will have a completeness ratio (1) of 100 percent and a completeness shortfall (2) of 0 percent. The completeness shortfalls across all RMs/MTFs adds up to 100 percent. ESMA publishes the completeness indicators on a monthly basis.5