EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/4.V.1.2.2:4.V.1.2.2 CESR guidance of 2010

EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/4.V.1.2.2

4.V.1.2.2 CESR guidance of 2010

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In the second stage, CESR improved and complemented the initial CESR guidance. The main changes concerned the data required for the calculations.1 A main challenge identified were technical problems with the use of transaction reporting data for the calculations. The intended use of transaction reporting data turned out to be less straightforward than anticipated. CESR amended the internal guidebook to improve as much as possible to the calculations to be made available to the market, given the technical limitations.2 CESR also made changes as to data collection from RMs. As noted, NCAs originally used mainly the data from the RM that was the most relevant market in terms of liquidity. CESR decided that, in addition to the most relevant RM in terms of liquidity, the data from the seven most relevant MTFs in terms of overall market share also needed to be included in the calculations.3

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