Manuel Alonso
Zurich, 25.10.2016
MiFID II – Transparency and Market Data Working Group
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• Introduction
• Transparency:
Pre-Trade
Post-Trade
• Market Structure
• Market Data Reporting:
Transaction reporting
Best execution
• Data Attributes MiFID II (see excel)
Financial Information Page 25.10.2016
MARKET DRIVER
Regulation Structure
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Transparency Micro-structural
Issues Data Publication
and Access
Requirements
Trading Venues
Commodity
Derivatives
Transaction &
Reference data
reporting
Post-trade Issues
Investor
Protection
UCITS AIFMD PRIIP
/ KIID EMIR MAR FINFRAG
FIDLEG MiFIDII
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MIFID II Enhanced Investor Protection Regulation Impact
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Client Segmentation
• Retail / Professional /
Eligible Counterparty
(companies’ LEI,
domicile, sector codes)
• Financial situation
(income, assets,
liabilities)
• Investment objective
(investment horizon, risk
profile, ability to bear
losses, experience &
knowledge)
Advice / Sale
• Product Suitability,
appropriateness,
execution only (complex
/ non-complex
classification, target
market criteria, risk
indicators, product costs
• Product Intervention
• Product Documentation
(UCITS KIIDs PRIIPs
KID, Prospectus)
Order Execution
• Pre-trade transparency
(ESMA’s liquidity
assessment, trading
suspensions, waivers)
• Post-trade obligations
(Transaction reporting
(MIFID II reportable
instrument flag,
deferrals, instruments’
reference data)
• Best Trading Venue
Client Reporting
• Portfolio reporting
(market value, fair value,
benchmarks, interest
and dividends payments,
corporate actions)
• Leveraged instrument
indication
• Statement of assets
(MIFID II eligible
instruments)
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MiFID II
Market Transparency Market Structure
Data Reporting Investor protection
Market Transparency & Market Structure
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• requirements in respect of shares, depositary receipts, exchange-traded funds, certificates and other similar
financial instruments (RTS 1) “equity-like instruments”
• requirements in respect of bonds, structured finance products, emission allowances and derivatives (RTS 2) “non-
equity-like instruments”
• Draft RTS on the volume cap mechanism and the provision of information for the purposes of transparency and
other calculations (RTS 3)
• Draft RTS on criteria for determining whether derivatives should be subject to the trading obligation (RTS 4)
• Draft RTS on criteria for determining whether derivatives have a direct, substantial and foreseeable effect within the
EU (RTS 5)
• Introduction of algorithmic trading rules and restrictive regime for high frequency trading
• Pre- and Post trading obligations on RMs, MTFs, OTFs, SIs and other investment firms trading in OTC financial
instruments
• Information must be available: 03.01.2017 – 01.01.2020 closer to real time and ≤ 15 minutes
After 01.01.2020 ≤ 5 minutes
Transparency
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Pre-trade transparency
• Requirements for different types of trading systems, including order-book,
quote-driven, hybrid, periodic auction trading system, and for non-equity-like
instruments- voice trading systems.
• Waivers: a reference price waiver and negotiated price waver available.
Subject to a “volume cap mechanism”
• Liquidity:
for non-equity instruments: size-specific-to the-instrument “SSTI”
and Large-In-Scale “LIS”
for bonds: instrument-by-instrument-basis “IBIA”
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Pre-trade Transparency
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Trading Venue Waivers
RM
MTF
OTF
SI
OTC
Liquidity
Flag
No
Pre-trade
Transparency
SSTI - SSTI
threshold floor
- SSTI trade
percentile
LIS - Liquid
threshold floor
- Liquid trade
percentile
SSTI/LIS Illiquid threshold
floor/percentile
Disclosure
of bid/ask
prices and
size
Quotes on
client request
no pre-trade
transparency
trade
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Post-trade transparency
• Requirements for operators of trading venues to make public the price,
volume and time of transaction as close to real-time as is technically
possible.
• Deferral: based on the size or type of the transaction. It may be authorized:
where transactions are large in scale compared with the normal
market for that instrument or class of instrument or
for non-equities illiquid instruments and transaction above a specified
size threshold that would expose liquidity providers to undue risk.
• Suspensions : NCAs may suspend the post-trade transparency obligation
for a non-equity instrument where the liquidity falls below the relevant
threshold.
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Post-trade Transparency
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Trading Venue No permanent waivers but
RM
MTF
OTF
SI
OTC
Liquidity
Flag
• ADNT
• ADNA
No
Post-trade
Transparency
LIS - Liquid
threshold floor
- Liquid trade
percentile
• AVT
• ADT
SSTI/LIS Illiquid threshold
deferral flag, source
Trade
reporting as
close to real
time as
possible
Deferred 48 hours to 3 months
trade
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• Mandatory position limits on commodity derivatives
• Introduction of organized trading facility (OTF) for non-equity instruments (RTS 7)
• Limitation on trading outside regulated markets (e.g., dark pools)
• Introduction of algorithmic trading rules and restrictive regime for high frequency trading (RTS 6, 7)
• Draft RTS on the tick size regime for shares, depositary receipts and exchange traded funds (RTS 11)
Market Structure
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Market Structure
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• Multilateral trading
• Non-equity
• Multilateral trading
• Equity and non- equity trading
• Multilateral trading
• Equity and non- equity trading
• Bilateral trading
• Equity and non-equity trading
Regulated
Markets (RM)
Multilateral
Trading Facility
(MTF)
Organized
Trading Facility
(OTF)
Systematic
Internalizer (SI)
MIC Operating/Segment
Trading interruptions
Trading suspensions
Listing Status
Price – intra day
Price daily
SI Registered Flag
SI Effective Date
new
Over-the-counter
(OTC)
• Bilateral trading
• Equity and non-equity trading
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• on reporting obligations under Article 26 of MiFIR (RTS 22)
Client reporting requirements for all asset classes
• on supply of financial instruments reference data under Article 27 of MiFIR (RTS 23)
• on the maintenance of relevant data relating to orders in financial instruments (RTS 24) [Art 25(3) MiFIR]
• on clock synchronization (RTS 25)
Level of accuracy of business clocks
• Yearly report of Top 5-trading venues
Market Data Reporting
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Transaction Reporting
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Examples:
• MIFID II In-Scope / Eligible
• Reportable instrument Flag
• Instrument Identifiers and
classification
• Instrument Reference Data
• Underlying Instrument
• etc.
• Reporting Entity
• Buyers Details
• Seller Details
• Order Transmission
• Transaction Details
• Instrument Details
• Other relevant
Information
Our expected Offering
Requirements
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Financial Information Page
• Quarterly report by trading
venues (RM; MTF, OTFs and
SIs) related to execution quality
that take into consideration
price, costs, speed and
likelihood of execution for each
instrument)
• Annual reports by investment
firms to their clients with their
top 5 execution venues along
with specific data relating to the
quality of execution
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Best Execution
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Requirements
Examples:
• Average Trade Size
• Average Executable Size
• Average Spread
• Best Trading Venue (BTV)
• Tick size
• etc.
Our expected Offering
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Thank you for your attention!
Financial Information Page
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