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21 September 2017

AFME(欧州金融市場協会)、MiFID II(第2次金融商品市場指令)・MiFIR(金融商品市場規則)における取引後透明性要件に関するガイダンスを公表


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This document takes the structured approach to understanding the PTT obligations defined in MiFIR. It also highlights the key challenges and practical implementation options for the impacted qualifying investment firms to consider as they progress with plans to be MiFID II compliant.


ToTV (Traded on a Trading venue)

The post-trade transparency regime applies to ToTV instruments. However, open questions remain around the precise definition and boundaries of ToTV.

One source of information of ToTV instruments would be ESMA’s FIRDS database. However, concerns exist that this database will publish the relevant information on T+1 basis which will make timely reporting impossible. It may be relevant to consider utilising other sources of data to satisfy the requirement to report correctly and on time.

The expectation exists that ESMA will provide a ToTV flag, but how ESMA will inform markets of what instrument is ToTV and to which level of granularity remains unclear. The ANNA DSB (Association of National Numbering Agencies Derivatives Service Bureau10) will also attach a ToTV marker at ISIN level for the creation of OTC derivatives11.

ESMA published an opinion12 to clarify the concept of Traded on a Trading Venue (ToTV) and in particular which trades in derivatives concluded outside of trading venues are subject to transparency and reporting requirements.

The outcome of discussions at ESMA may determine how broad or narrow ToTV will be. Regardless, the complexity of mapping ToTV by instrument sub class and by ISIN, coupled with a potential T+1 delay in the daily ESMA ToTV list, will make this exercise a significant challenge.

When considering ToTV in its wider application it is important to consider third-country trading venues:

Where third-country, non-EU, trading venues meet a set of objective criteria, EU market participants concluding trades on these third-country, non-EU, trading venues do not have to make those trade reports public in the EU under MiFIR. ESMA will publish a list of trading venues that meet the criteria stated in paragraph 10 of their “opinion determining third-country trading venues for the purposes of ensuring transparency under MiFID II / MiFIR”13.

This list will be published in an annex to the opinion and will be updated on an ongoing basis. The expectation is that the first iteration of that list will not be published by ESMA before Q4 2017.

It should be noted, for the avoidance of confusion, that the inclusion of a venue on the post-trade transparency list in the ESMA opinion does not affect, and is independent of, venue equivalence assessments by the European Commission.

Information transfer and data availability

Challenges exist with regards to the exchange of information and availability of data between and within counterparties required for timely and accurate trade reporting. These challenges can exist both before the trade is reported and after it has been reported.

Before trade reporting:

The time required to manually input trades may exceed reporting timeline.

Missing data leading to late or erroneous reporting.Contextual factors including counterparty status confirmation (SI/ QIF/third-country venue for the purpose of transparency etc), deferral period, product scope within ToTV, counterparty location and waiver flags amongst others.

After trade reporting:

A transfer of information is also required once the trade has been reported.

Agreeing on a trade identifier could help with end of day reconciliations.

Further data may also need to be extracted from the APA trade report to meet transaction reporting obligations (e.g. OTC post-trade indicator).

Where a client is FIX-enabled the transfer of data may be automated. Voice may be the fallback mechanism for data transfer.

Full document



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