In recent months ESMA, and the national competent authorities (NCAs), have been working to improve the timeliness and completeness of the data underpinning the monthly DVC and quarterly bond liquidity assessment publications. While these efforts have produced some positive results, the current situation remains unsatisfactory with significant data completeness issues.
ESMA considers the provision of timely, complete and accurate data as essential for the proper implementation of MiFIR and compliance with its requirements. To ensure data completeness ESMA will start publishing completeness indicators for all venues covered by DVC and bond data reporting.
Steven Maijoor, Chair, said: “ESMA is committed to ensuring data completeness to facilitate the consistent application of the DVC and bond market liquidity rules across the EU. Moreover, we need to ensure a level playing field between trading venues. These goals can only be accomplished if the relevant data from trading venues is consistently complete and correct. The two indicators that ESMA will start publishing from October and November should make trading venues increase their efforts to provide timely and complete data. The DVC and bond liquidity assessments are key building blocks of the MIFID II objective to increase transparency.”
New indicators
In order to increase the incentives for trading venues to deliver data for the performance of the DVC and bond liquidity calculations on a timely basis, ESMA will publish two completeness indicators:
The Completeness Ratio: is an indicator that provides information on the completeness of a particular venue taken in isolation, irrespective of the performance of other venues. The completeness ratio is calculated as the number of records received from a venue divided by the total number of records expected from that venue over the relevant period. One record corresponds to a bi-weekly report in the case of completeness for the DVC and to a one-day report in the case of completeness for bond liquidity.
The Completeness Shortfall: is a measure that gives an indication of a venue’s performance in terms of completeness compared to other trading venues. It reflects the percentage of missing data for which a particular venue is responsible.
ESMA will publish one file containing trading venue identification information – MIC Code, full name, country of the NCA – and quantitative information – Completeness Ratio, Completeness Shortfall, number of ISINs, number of reporting periods and number of incomplete ISINs.
Full press release
© ESMA
Key
Hover over the blue highlighted
text to view the acronym meaning
Hover
over these icons for more information
Comments:
No Comments for this Article