5.VI.2.2.8.2 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. First of all, ESMA observed that the content of the data requests from NCAs to RMs, MTFs, APAs, and CTPs would depend to a large extent on the methodologies for calculations and estimations, which received no specific comments from the ESMA consultees.5 In a nutshell, the content of the requested data would mainly include post-trade data, since such data would primarily be required for the MiFID II calculations and estimates.6

ESMA then addressed the data request frequency, as well as the response times. Periodic and ad-hoc requests were proposed. Ad hoc requests were proposed in light of changes after the periodic calculations had been made, such as potential market changes (e.g. a merger). With regard to the response times, ESMA aimed to alleviate the operational burden for reporting parties in sending and NCAs in collecting the data. Given the very large amount of data, ESMA emphasized robust and automatized data procedures.7 Daily submission (periodic reports) by RMs, MTFs, APAs, and CTPs was considered as more easy for the reporting parties (i.e. one timeframe, instead of multiple). Daily submission would also enable NCAs to process smaller files and ensure an efficient and timely management of data submission, data quality check and data processing.8 ESMA considered four weeks to be an appropriate timeframe to response to ad hoc data requests, given the lack of standardisation for such data requests.9

ESMA also gave advice on the format of the data requests. ESMA aimed, where possible, to rely on templates already developed in the context of other regulations (in particular the European Market Infrastructure Regulation: EMIR), as well as existing industry standards. The objective of ESMA here was to avoid unneccesary implementing costs for the industry.10 Some respondents to the ESMA consultation suggested the data format to be as ‘raw’ as possible (i.e. no modifications). In their view, the raw data objective could be achieved through the so-called CSV or XML formats.11 Another respondent recommended investigating whether the so-called FIX protocol could be a viable option.12 In the end, ESMA proposed to use the XML format. ESMA noted that the use of an XML format would allow NCAs to implement a common set of so-called syntax validation rules and to perform and publish the required calculations centrally. ESMA acknowledged that not all industry participants used the common XML-format (i.e. new use of the XML format would be required for these industry participants), but considered the XML format as beneficial to compare data from multiple NCAs with limited data quality issues.13

ESMA also advised the Commission on the type of data to be stored, including the minimum period for storage. ESMA advised the data to be stored to be similar to the content that needed to be reported by RMs, MTFs, APAs, and CTPs (see paragraphs above). ESMA observed that accordingly the data to be stored would mainly be post-trade data, although some data would also include other information, such as orders benefitting from the pre-trade transparency large in scale-waiver (pre-trade data).14 Initially, ESMA proposed data storage for two years. ESMA later decided to extend the period to three years. The intention here was to manage all MiFID II transparency calculations and, where necessary, to perform ad hoc requests/calculations.15 Although the proposed timeframe was lengthened, ESMA deliberately did not go so far as harmonising the storage timeframe with another set of MiFID II rules, being the record keeping rules. The MiFID II record keeping rules require storage for a period of five years.16 The ESMA recommendations reflect the aim of only requiring RMs, MTFs, APAs, and CTPs to store the data as long as deemed necessary for the MiFID II equity transparency calculations and estimates (in this case three years).17

The Commission has adopted the ESMA recommendations. This is apparent in the final MiFID II text. MiFID II requires RMs, MTFs, APAs, and CTPs to store all the data necessary for the MiFID II equity (pre-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 (mainly being post-trade data) for a minimum of three years (storage).