Our Response to the ESMA Trading Obligation Consultation

ESMA published their latest Consultation on Trading Obligation for Derivatives under MIFIR on 19th June 2017. As we stated back in June, we have concerns about the quality of the data used to determine the Trading Obligation. We have therefore offered to make all of our SDR data available to ESMA as part of our response to the […]

MIFID II: What Should Transparency Look Like?

We replicate the transparency calculations published by ESMA, using SDR data on EUR Swaps. EUR swaps are the second largest IRS market, and yet do not benefit from real-time trade level reporting. Our data shows that most of the EUR IRS curve is “liquid”, with ADV >€50m. SDR data calibrates realistic pre-trade transparency thresholds at €50k […]

MIFID II Transitional Transparency

ESMA have published Transitional Transparency Calculations for a number of asset classes. These calculations define which asset classes and instruments are deemed liquid for the purposes of making trade data public as of 3rd January 2018. Anything deemed “illiquid” will likely have a two-day lag applied to the trade record being made publicly available. The transitional […]

MIFID II: ESMA Trading Obligation

ESMA published their latest Consultation on Trading Obligation for Derivatives under MIFIR on 19th June 2017. EUR, USD and GBP swaps are deemed liquid and will be covered by the Trading Obligation under the current proposal. JPY, NOK, SEK and PLN swaps will continue to be covered by the Clearing Obligation but will not be […]

MIFID II: Transparency Data

Following on from my article on the MiFID II: Instrument Reference Data, I wanted to look at the “Transparency Data” mentioned in the briefing note released by ESMA on 12 Jan 2017, titled “MiFID II technical data reporting requirements“. This starts with the following table: Showing that from September 2017 ESMA will start collecting Transparency data. Transparency Data […]

MIFID II: Instrument Reference Data

Following on from my article on the Trading Obligation For Derivatives under MiFIR, I wanted to look at more recent documents released by ESMA for MiFID II and MiFIR and found a briefing note released on 12 Jan 2017, titled “MiFID II technical data reporting requirements“. It starts with the following table: Interesting. Lets look […]

Trading Obligation for Derivatives under MiFIR

I last looked at this in Oct 2015 in my article MiFID II and the Trading Obligation for Derivatives and now that a year has passed there is a new ESMA Consultation. The accompanying discussion paper is here and in this article I will review the key elements of the consultation. Background Once a class […]

MIFID II and Transparency for Bonds: What You Need to Know

Following on from my article on MiFID II and Transparency for Swaps, I wanted to look at Fixed Income Securities and specifically Bonds. Background The ESMA Final Report deals with Draft Regulatory Technical Standards (RTS) of which there are 28 and describes the consultation feedback received, the rationale behind ESMA’s proposals and details each RTS. While MiFID […]

MiFID II and Best Execution for Derivatives

Following on from my recent article on MiFID II and the Trading Obligation for Derivatives, I wanted to look into another key section in the ESMA Final Report; namely the requirements for Best Execution. There are two specific requirements, one for Trading venues and another for Investment Firms. MiFID II Background The Final Report deals with Draft Regulatory […]

MiFID II and the Trading Obligation for Derivatives

Following on from my recent article on MiFID II and Transparency for Swaps, I wanted to look into another key item in the ESMA Final Report; namely the obligation for derivatives to only be transacted on a Trading Venue. Background The Final Report deals with Draft Regulatory Technical Standards (RTS) of which there are 28 and […]