EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/17.V.2:17.V.2 Providing data on a disaggregated basis

EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/17.V.2

17.V.2 Providing data on a disaggregated basis

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A part of the MiFID II Review concerns the MiFID II requirement for RMs and MTFs to make MiFID II equity pre- and post-trade data available separately (disaggregated).1 Two main observations of ESMA in the ESMA Review are that (a) there has been only limited demand for the disaggregated data and (b) data disaggregation did not contribute to lowering market data costs.2 ESMA takes into account both the perspectives of the trading venues (disaggregation involves compliance costs, which can be reflected in the disaggregated data prices) and data users (the MiFID II data disaggregation requirements may be used to increase the costs for disaggregated data and/or introduce more complex market data policies).3 Based on this assessment, ESMA recommends the following:

1.

More supervisory guidance on (i) the provision of market data on a reasonable commercial basis (see paragraph 3 below) combined with (ii) more focus on the enforcement of data disaggregation. The reference to enforcement includes compliance with the ESMA Q&A stating that trading venues should reply to requests for disaggregated data as quickly as practicable and not slower than a request for non-disaggregated data.4

2.

A clarification that market data providers should ‘always make available the purchase of market data separately from additional services and inform customers of this possibility’ (i.e. a rule-based approach).5 The aim of ESMA here is to ensure that market data users only pay for data they are interested in instead of being forced to buy additional servies.

3.

ESMA recommends an in-depth assessment of the role of data vendors on the development of prices for equity pre- and post-trade data (data vendors currently fall outside the scope of MiFID II). ESMA believes the assessment could explore imposing similar requirements to data vendors on the provision of market data as for RMs and MTFs (e.g. provisions on data disaggregation).6

The ESMA recommendations for data disaggregation are top-down in nature (i.e. more EU intervention), but relatively mild compared to the view of some respondents to the ESMA consultation. ESMA, for example, does not propose further disaggregation of data. Neither does ESMA refer to a prohibition of selling disaggregated data at a higher price than bundled data (i.e. a package).7 ESMA instead focuses on: (a) the provision of market data on a reasonable commercial basis, (b) enforcement of the reasonable commercial basis-provision, (c) a more rule-based approach and (d) the scope of the current MiFID II regime (i.e. potentially including data vendors).

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