EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/13.III.1.2.1:13.III.1.2.1 Content

EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/13.III.1.2.1

13.III.1.2.1 Content

Documentgegevens:

mr. J.E.C. Gulyás, datum 01-02-2021

Datum: 01-02-2021
Auteur: mr. J.E.C. Gulyás
JCDI: JCDI:ADS267251:1
Vakgebied(en): Financieel recht / Bank- en effectenrecht
Financieel recht / Europees financieel recht
Financiële dienstverlening / Financieel toezicht

APAs are obliged to efficiently and consistently publish MiFID II equity post-trade data in a format that facilitates its consolidation with similar data from other sources.1 To ensure the comparability of APA-data with other sources, MiFID II provides a list of information that APAs need to publish. The MiFID II Directive obliges APAs to publish ‘at least’ the following information: (a) the identifier of the financial instrument; (b) the price at which the transaction was concluded; (c) the volume of the transaction; (d) the time of the transaction; (e) the time the transaction was reported to the APA; (f) the price notation of the transaction; (g) the code for the trading venue the transaction was executed on, or where the transaction is executed via a SI the code ‘SI’ or otherwise the code ‘OTC’; and (h) if applicable, an indicator that the transaction was subject to specific conditions.2 Four things are noteworthy here:

1.: The words ‘at least’ indicate minimum harmonisation. This means that Member States are allowed to require APAs to publish more post-trade data than MiFID II prescribes.
2.: The requirement is highly detailed for a level 1 provision. The equity post-trade data details for RMs, MTFs and investment firms operating outside such venues are only covered by regulatory technical standards (see paragraph 2 below).3
3.: Point (g) notes that an APA can also make transactions public as traded on an RM or MTF (i.e. ‘the code for the trading venue the transaction was executed on’). This refers to the situation where an APA supports an RM or MTF in publishing MiFID II equity post-trade data concerning completed trades of an RM or MTF. MiFID II permits (not: requires) an RM or MTF to use an APA in publishing MiFID II equity post-trade data.4
4.: Point (g), being the venue of publication, indicates that an APA does not publish the identity of an SI (i.e. a generic identifier ‘SINT’ is used).5 Under MiFID I, whether the SI was identified in post-trade reports was left to the investment firm’s discretion (provided the SI published quarterly trading statistics). MiFID II is more SI-friendly in this respect, since MiFID II does not require the publication of SI identity in the APA reports. The MiFID II provision in effect puts more emphasis on SI protection than on transparency (i.e. the identity of the SI is not published).6

The general MiFID II obligations are specified in a MiFIR Delegated Regulation. New under MiFID II is the amount of content that needs to be provided in the equity post-trade reports. The MiFIR Delegated Regulation supplements the MiFID I list with a (1) transaction identification code and (2) publication date and time.7 The transaction identification code is introduced to guarantee the uniqueness of a trade report and enables the tracking of trade cancellation with the corresponding original trade.8The publication date and time is in place to allow for more refined analysis of market movements by market participants and NCAs.9

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Art. 64(1) MiFID II.

Art. 64(2) MiFID II.

Art. 12(1) MiFIR Delegated Regulation. Investment firms are under MiFID II required to publish post-trade data, albeit now through an APA (art. 20(1) MiFIR). Because investment firms must publish the data through an APA, the details of the transactions for APAs apply in conjunction with the details that investment firms must publish (recital 13 MiFIR Delegated Regulation 2017/587).

Art. 6(1) MiFIR does not make explicit how an RM or MTF needs to publish equity post-trade data themselves. MiFIR merely notes that an RM or MTF ‘should publish’, the MiFID II equity post-trade data, without making explicit how this needs to be done. The situation is different for investment firms operating outside RMs and MTFs. MiFID II makes explicit that investment firms operating outside an RM or MTF need to publish MiFID II equity post-trade data through an APA (art. 20(1) MiFIR). For example, TRADEcho APA provides so-called MTF reporting services. MTFs can submit trades to TRADEcho APA for publication (see TRADEcho MiFID II PostTrade (APA & On-Exchange/Off-Book) FIX Specification, 3.1.0-Rev A, 11 January 2019. Available through: https://docs.londonstockexchange.com/sites/default/files/documents/tradechoposttrade310.pdf). The limited APA-definition of MiFID II – only limited to MiFID II post-trade data of investment firms operating outside RMs and MTFs (and OTFs) – is confusing in this context (art. 4(1)(54) MiFID II). APAs can do more than the MiFID II-definition suggests. MiFID II/MiFIR makes this explicit in art. 17(3)(a)(ii) MiFIR (APA SI reporting), art. 31(2) MiFIR (APA portfolio compression) andart. 64(2) MiFID II (‘the code for the trading venue the transaction was executed on (…)’ (emphasis writer). Reference is also made to the MiFID I provisions. MiFID I noted that RMs and MTFs needed to ‘make public’ the MiFID I post-trade data (art. 45 and 30 MiFID I Directive). Subsequently, the MiFID I Implementing Regulation made clear that the publication could take place through (a) the publication arrangements of an RM or MTF; (b) third parties; or (c) proprietary arrangements (art. 30 MiFID I Implementing Regulation).

Art. 64(2) MiFID II and Table 3 of Annex I MiFIR Delegated Regulation 2017/587. The MiFID II rules for publishing SI quotes are examined in section IV below.

For an examination – including the background – of the MiFID II provision for SIs, reference is made to chapter 9. For the sake of completeness, SIs (or other permitted MiFID II publication arrangements, such as APAs, publishing SI quotes) are required to publish the SI identity in the MiFID II equity pre-trade reports (ESMA, Q&A on MiFID II and MiFIR transparency topics, 29 May 2020(ESMA70-872942901-35), Answer 5.

Art. 18 MiFIR Delegated Regulation 2017/571. See also ESMA, Cost Benefit Analysis - Annex II: Draft Regulatory and Implementing Technical Standards MiFID II/MiFIR, 28 September 2015(ESMA/2015/1464), p. 43.

ESMA, Cost Benefit Analysis - Annex II: Draft Regulatory and Implementing Technical Standards MiFID II/MiFIR, 28 September 2015(ESMA/2015/1464), p. 45. APAs need to assign the transaction identification code (Table 3 Annex I MiFIR Delegated Regulation 2017/587).

ESMA, Cost Benefit Analysis - Annex II: Draft Regulatory and Implementing Technical Standards MiFID II/MiFIR, 28 September 2015(ESMA/2015/1464), p. 45.