4.V.1.3.5 CESR guidance of 2010: improving data collection

CESR identified two main areas of improvement concerning data collection for the calculations. First, and as noted above, technical problems were encountered with the transaction reporting data that was supposed to be used for the calculations. CESR noted that the reconciliation and correct use of the buy and sell side of a transaction reported and exchanged under the MiFID I transaction reporting obligations proved to be very complex. Given the technical limitations, CESR amended the initial CESR guidance of 2007 in order to improve as much as possible to the calculations to be made available to the market.1

Second, CESR wanted to change approach of NCAs collecting data mainly from the RM with the most relevant market in terms of liquidity. CESR initially proposed to use, in addition to that, the data from the three most relevant MTFs in terms of overall market share. CESR at a later point extended its view from three to the seven most relevant MTFs (in terms of overall market share).2 The CESR view of expanding the data used for the calculations to several MTF reflected the aim to ensure the representative calculations (i.e. accurate) in light of the fragmented MiFID I market (i.e. trading under the ISD was mainly concentrated on RMs). Whilst CESR – and almost all market participants – supported also to use data of transactions outside RMs and MTFs,3 CESR decided to wait until it would be technically feasible to data from investment firms trading outside RMs and MTFs. This view was also visible in the CESR guidance of 2010. CESR proposed the calculations to be based on transactions concluded on the RM most relevant market in terms of liquidity and on the seven most relevant MTFs in terms of overall market share.4