13.III.4.2.1 CESR advice to the Commission

Under MiFID I RMs and MTFs needed to make public the following post-trade details: (1) the trading day and time; (2) the instrument identifier; (3) the unit price and price notation (currency); (4) the quantity; and (5) the venue identifier (RM/MTF).1 CESR gave guidelines and recommendations for MiFID I in order to ensure comparable post-trade reports.2 Despite CESR’s guidance, differences were apparent in equity post-trade data across the EU. The differences made it hard to compare (consolidate) equity post-trade data across the fragmented market.3

To change the situation, CESR recommended the Commission to increase the amount of harmonization (EU regulation) of equity post-trade details. A main part of the CESR advice included harmonized formats for (1) the instrument identification; (2) price notation (currency); and (3) venue identification in the post-trade reports, in accordance with the so-called ISO-format.4 The intention behind CESR’s recommendations was to ensure that the financial instrument, price notation (currency), and venue would be identified in a consistent way across the market.5 CESR also expressed a preference for the use of a common message protocol for the post-trade data by RMs, MTFs and APAs. The aim of CESR was more harmonization in the area of post-trade data messaging (i.e. not being required to ‘map’ (converge) different protocols).6

Another element of CESR’s recommendations concerned the so-called flags of post-trade reports. Flags are used to identify specific transactions in post-trade reports. MiFID I required to flag negotiated trades, transactions not subject to the current market valuation, and amendments.7 MiFID I did not specify the flags. During the MiFID I-review, CESR noted that there was no requirement to specify these type of transactions in a standardized way, and as a result there was no consistency across the market. This had been identified as adversely impacting the quality of post-trade data.8 In addition, market participants also suggested flags for other types of transactions than prescribed by MiFID I. The market participants argued that, for example, also ‘ex/cum dividend’ transactions were determined by factors other than the current market valuation of the share.9 Some market participants also referred to so-called non- addressable liquidity. An example of non-addressable liquidity includes where a firm providing the service of portfolio management transfers the beneficial ownership from one fund to another and acts on behalf of both the buying and selling funds and where no other investment firm is involved (interfund transfers). Other types of non-addressable liquidity include ‘give up/give in’-transactions.10 Furthermore, some market participants considered it to be necessary for the post-trade data related to a transaction to indicate whether the transaction was subject to pre-trade transparency. The views of the market participants were reflected in CESR’s recommendations. CESR recommended several additional flags, including ex/cum dividend, interfund transfers, give-up/give in trades, and the identification of dark trading. CESR proposed harmonized identifiers for the flags.11

CESR also gave recommendations for cancellations and amendments in equity post-trade data reports. MiFID I required any amendments to previously disclosed information to be made public.12 However, CESR noted that there was no requirement to make public a cancellation of previously disclosed information. In addition, there was no requirement specifying how amendments needed to be made public. CESR provided guidelines in this context,13 but there was still no consistency in post-trade reports in case of cancellations and amendments.14 To remedy the situation, CESR proposed a common approach for cancellations and amendments.15 Furthermore, CESR proposed to introduce a unique transaction identifier (transaction identification code). MiFID I did not require each published transaction to be assigned a unique transaction identifier. Such an identifier could support a link between cancellations/amendments and the originally published information. CESR therefore suggested to introduce a unique transaction identifier under MiFID II.16