9.IV.2.2.7.2 Level 1 and Level 2 text: details of the data collection and storage rules

A new feature of the MiFID II regime is the introduction of APAs and CTPs. The aim of the introducing APAs and CTPs is to improve the quality of equity post-trade data for transactions outside RMs and MTFs (i.e. APAs) and to ensure a consolidated view of equity post-trade data on RMs, MTFs, and APAs (i.e. CTPs).1 As noted above, already under MiFID I the EU (in particular CESR) wanted to base the calculations and estimates on a broad range of data, including of transactions outside RMs and MTFs.2 Adding that the calculations and estimates are mainly based on post-trade data,3 it is not surprising that APAs and CTPs are – besides RMs and MTFs – required to report data to the responsible NCA, as well as to store the data, for the purposes of the MiFID II calculation and estimation provisions. The reason for using data from a wide variety of sources (i.e. RMs, MTFs, APAs, and CTPs) is to ensure a complete set of data is used for the MiFID II calculations and estimates.4 The latter is apparent in the final MiFID II text on Level 1 (and Level 2 text). MiFIR designates RMs, MTFs, APAs and CTPs as reporting parties for the purposes of MiFID II calculation and estimation.

ESMA assisted the Commission in drafting the details of the data collection rules. The ESMA recommendations were the same for the MiFID II equity pre- and post-trade transparency regime. ESMA advised the Commission on the content, frequency, format, and storage of the data required for the MiFID II equity (pre- and) post-trade transparency calculations and estimates. The final MiFID II text reflects the ESMA recommendations. MiFID II requires RMs, MTFs, APAs, and CTPs to store all the data necessary for the MiFID II equity (pre-trade) and post-trade transparency calculations (content). The data needs to be reported on a daily basis for periodic calculations and within four weeks for ad hoc data requests (frequency and response time). RMs, MTFs, APAs, and CTPs are required to report the data in an XML format (format). MiFID II obliges RMs, MTFs, APAs and CTPs to store all necessary required for the MiFID II transparency calculations (being post-trade data) for a minimum of three years (storage).