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8.3.8.4.8.5.Rules to establish the Relevant Competent Authority for a given instrument. ___________ 493Annex 8.2.1. Summary Table of Instrument reference data _______________________ 494Obligation to maintain records of orders ____________________________________ 496Scope of ESMA’s mandate _____________________________________________ 497Relevant data constituting the characteristics of the order, including those that link an orderwith the executed transactions __________________________________________ 501The characteristics of the order specified in Article 25(3) ________________________ 506Elements relating to the functioning of the order book __________________________ 515Requirement to maintain records of orders for firms engaging in high-frequency algorithmictrading techniques (Art. 17(7) of MIFID II) __________________________________ 516The content and format of records of placed orders to be stored ____________________ 517Length of time for which records must be kept _______________________________ 519Synchronisation of business clocks ________________________________________ 5209.9.1.9.2.Post-trading issues _____________________________________________________ 524Obligation to clear derivatives traded on regulated markets and timing of acceptance for clearing(STP) ___________________________________________________________ 524Indirect Clearing Arrangements __________________________________________ 5326
Acronyms and definitions usedABCPABSADTAsset-backed commercial paperAsset-backed securityAverage daily turnoverAIFMD Directive 2011/61/EU of the European Parliament and of the Council of 8June 2011 on Alternative Investment Fund Managers (AIFMs)A-IOIAMPAORAPAAVTBICBISCBOCDOCDSCEBSCEIOPSCESRCCPCFDCFICFTCClass+CLOCMBSCOFIACoreperCommissionCPActionable indications of interestAccepted market practiceAutomated order routingApproved publication arrangementAverage value of transactionsBusiness Identifier Code. An 11-character alpha-numerical code thatuniquely identifies a financial or non-financial institution. It is defined byISO code 9362Bank for International SettlementsCollateralised bond obligationCollateralised debt obligationCredit default swapCommittee of European Banking SupervisorsCommittee of European Insurance and Occupational Pensions SupervisorsCommittee of European Securities RegulatorsCentral counterpartyContract for differenceClassification of Financial InstrumentsU.S. Commodities Futures Trading CommissionClass of OTC derivatives subject to the clearing obligationCollateralised loan obligationCommercial mortgage backed securityClasses of financial instrument approachThe Permanent Representatives Committee or Coreper (Article 240 of theTreaty on the Functioning of the European Union – TFEU)European CommissionConsultation Paper7
Page 2 and 3: Date: 22 May 2014ESMA/2014/548Respo
Page 4 and 5: 4.3.4.4.4.5.4.6.4.7.4.8.Security of
Page 8 and 9: CRD IVCRRCSDCSFCTCTPDADEADPEBAECECB
Page 10 and 11: NCANDFNTWNFCOISOJOTCOTFPRIIPsQ&ARDS
Page 12 and 13: 1.OverviewReasons for publication1.
Page 14 and 15: nical advice to the Commission. Res
Page 16 and 17: Forum of European Securities Commis
Page 18 and 19: (EU) No 575/2013 (Capital Requireme
Page 20: ii.Forecast information at an indiv
Page 23 and 24: 2.2. Freedom to provide investment
Page 25 and 26: 2.3. Best execution - publication o
Page 27 and 28: Q8: Do you agree data should be pro
Page 29 and 30: effective and realised spread: The
Page 31 and 32: There are alternative available app
Page 33 and 34: 29. ESMA’s objective in setting s
Page 35 and 36: Section B: United States SEC Rule 6
Page 37 and 38: 2.4.Best execution - publication of
Page 39 and 40: quality data and the venues that in
Page 41 and 42: minimum standard to constitute taki
Page 43 and 44: 32. Other European legislation prov
Page 45 and 46: Annex 2.4.1. Detail of proposals re
Page 47 and 48: 3.Transparency3.1.Pre-trade transpa
Page 49 and 50: 7. Under the current MiFID framewor
Page 51 and 52: 13. The large in scale waiver is de
Page 53 and 54: 24. ESMA is mindful, however, that
Page 55 and 56: Chart 2: Pre/post-trade transparenc
Page 57 and 58:
an additional argument in favour of
Page 59 and 60:
43. The analysis required two steps
Page 61 and 62:
ADTNumber ofcertificates% of certif
Page 63 and 64:
Q58: Do you agree with ESMA’s vie
Page 65 and 66:
[…]2. The reference price referre
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[…](b) systems that formalise neg
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transactions between members or par
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carried out under the reference pri
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88. In addition, collecting data fr
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to the order book. Therefore these
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3.2.Post-trade transparency - Equit
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7. The existing Implementing Regula
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‘R’‘NTV’‘NTI’‘NTC’R
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Q82: Do you agree with the definiti
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i.ii.iii.to shorten the maximum del
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(which is the minimum pre-trade tra
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would be reduced by aligning pre-tr
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ETFsQ85: Which of the two options d
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Cla ss in ter m s of A DT A DT< 2 0
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during normal trading hours. Transp
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15. As part of the MiFID II review,
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MA believes the liquidity threshold
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Power is delegated to the Commissio
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prices according to a specified ben
Page 105 and 106:
3.5. Introduction to the non-equity
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SharesMiFID II 4(44)(1)(a)ETFMiFID
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20. Structured Finance Products are
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guishing factor singled out in Sect
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47. More generally ESMA considers t
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Corporate bonds would be defined by
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mation for non-equity instruments f
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i.ii.Option 1: The ‘average size
Page 121 and 122:
24. The requirements relating to tr
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Q110: Do you agree with the propose
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Periodic assessment of the liquidit
Page 127 and 128:
Scenario Scenario Scenario Scenario
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on whether in its view the suspensi
Page 131 and 132:
notification to ESMA, the relevant
Page 133 and 134:
1. BondsFinancialinstrumentProduct
Page 135 and 136:
Financialinstrum entProduct ty pesS
Page 137 and 138:
Annex 3.6.2. Preliminary analysis f
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74. In general, when applying semi-
Page 141 and 142:
Table 2.2 - Analysis results - scen
Page 143 and 144:
Page 145 and 146:
Page 147 and 148:
Annex 3.6.3. COFIA versus IBIA147
Page 149 and 150:
5. The definition of the scope in t
Page 151 and 152:
Quote-driven trading systemPeriodic
Page 153 and 154:
the pre-trade information being mad
Page 155 and 156:
3.8. Post-trade transparency requir
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13. In summary, ESMA suggests publi
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Identifier Name of trade flag Venue
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Proposal29. Under the current trans
Page 163 and 164:
secondly, it has to decide whether
Page 165 and 166:
ten too long to ensure adequate tra
Page 167 and 168:
Page 169 and 170:
Size of transactionDeferral period,
Page 171 and 172:
views on which criteria and/or cond
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ESMA shall develop draft regulatory
Page 175 and 176:
. Disadvantages: the drawback to th
Page 177 and 178:
Page 179 and 180:
23. In this preliminary phase, ESMA
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3.10.Size specific to the instrumen
Page 183 and 184:
MiFIR, any transaction that is abov
Page 185 and 186:
3.11.The Trading Obligation for Der
Page 187 and 188:
8. The requirement under Article 28
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in Article 28(1), but for which no
Page 191 and 192:
ceived authorisation’ (in the tab
Page 193 and 194:
iii.iv.Whether the ‘average size
Page 195 and 196:
9. The Commission shall be empowere
Page 197 and 198:
3.13. Article 22, MiFIR: Providing
Page 199 and 200:
in advance of the date on which the
Page 201 and 202:
4.Microstructural issues4.1.Microst
Page 203 and 204:
Q186: Do you agree with the definit
Page 205 and 206:
23. In ESMA’s preliminary view,
Page 207 and 208:
37. In undertaking this self-assess
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40. In that regard, an important co
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k. the firm’s ownership and gover
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4.2. Organisational requirements fo
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12. For algorithms and trading stra
Page 217 and 218:
iv.the nature of the change.Q199: D
Page 219 and 220:
vided by the trading venue to which
Page 221 and 222:
44. ESMA does not envisage a specif
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and risk controls to ensure the tra
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compliance staff are aware when con
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Organisational requirements for inv
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84. Firms should maintain accurate,
Page 231 and 232:
ProposalGeneral91. Investment firms
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101. In this context, ESMA would li
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112. To comply with these obligatio
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ii.iii.iv.v.vi.vii.viii.internal ri
Page 239 and 240:
Q221: Are there any criteria other
Page 241 and 242:
trading venues should have standard
Page 243 and 244:
a. number of messages received per
Page 245 and 246:
Trading venues’ capacityAnalysis1
Page 247 and 248:
Q234: Do you agree with the above a
Page 249 and 250:
iv.v.suspension of access;intervent
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ii.functional tests should include
Page 253 and 254:
cess the market having those system
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ESMA shall develop draft regulatory
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i.ii.regardless of the system used
Page 259 and 260:
4.4. Market making strategies, mark
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8. Firstly, Recital 60 of MiFID II
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Q264: Do you agree with the above a
Page 265 and 266:
liquidity to the market on a regula
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. impede compliance with the obliga
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trade finance provider. Significant
Page 271 and 272:
45. When establishing market making
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For example, one possible solution
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5. On the basis of this analysis an
Page 277 and 278:
Q298: What is your view regarding a
Page 279 and 280:
4.6.Co-location (Article 48(8) of M
Page 281 and 282:
Fair, non-discriminatory and transp
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chargeable activity (an activity th
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undertake for the same purposes, fi
Page 287 and 288:
although not prohibited, ESMA does
Page 289 and 290:
4.8.Tick sizes (Article 48(6) and A
Page 291 and 292:
Q330: Do you agree with the general
Page 293 and 294:
ii.despite the extra granularity, t
Page 295 and 296:
Financial instruments traded on a t
Page 297 and 298:
ently traded with a tick of 0.01 ha
Page 299 and 300:
is proposed not to implement any su
Page 301 and 302:
55. In taking into account the liqu
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tick falls below two, apply SAF.Ann
Page 305 and 306:
How the tick size regime would be k
Page 307 and 308:
Annex 4.8.1. Technical Annex for Op
Page 309 and 310:
83. Finally, the NCA made a statist
Page 311 and 312:
90. Note that 90% of the turnover i
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per trading day. This indicator has
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done manually or by adding a new co
Page 317 and 318:
Liquidityrange:200 - 499Liquidityra
Page 319 and 320:
Annex 4.8.2. Technical Annex for Op
Page 321 and 322:
110. The proposed regime will requi
Page 323 and 324:
Step 2: Placing the instrument base
Page 325 and 326:
of ISIN equitiesunchangedNumber ofe
Page 327 and 328:
7. The material requirements that A
Page 329 and 330:
329
Page 331 and 332:
5.2. Additional requirements for pa
Page 333 and 334:
cases where their name varies with
Page 335 and 336:
4. The empowerments under Articles
Page 337 and 338:
5.5.Data disaggregationBackground/M
Page 339 and 340:
Q371: Do you agree that venues shou
Page 341 and 342:
parties publish the trade, unsure o
Page 343 and 344:
Article 36(6)(a), MiFIRESMA shall d
Page 345 and 346:
come a clearing member of the CCP (
Page 347 and 348:
Q386: Given there will be costs to
Page 349 and 350:
Analysis and proposal34. Under Arti
Page 351 and 352:
39. ESMA’s preliminary view is th
Page 353 and 354:
Q403: The approach above relies on
Page 355 and 356:
ferent trading venues as to whether
Page 357 and 358:
5.8. Non- discriminatory access to
Page 359 and 360:
Figure 3: this diagram illustrates
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order to ensure their users underst
Page 363 and 364:
Methodology25. ESMA notes that the
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Q427: Do you agree that trading ven
Page 367 and 368:
iii.Termination: These are standard
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(ii) Termination should not be trig
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meaningfully different from any exi
Page 373 and 374:
6.Requirements applying on and to t
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3. When assessing whether units in
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transferable securities, units in c
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arrangements and ask for experience
Page 381 and 382:
vi.The notified CAs communicate the
Page 383 and 384:
the communication of the lifting of
Page 385 and 386:
27. Regarding the timing, ESMA cons
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group level. When specifying the cr
Page 389 and 390:
anking activities should not be con
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MiFID scope: exemptnot exemptPhysic
Page 393 and 394:
16. Article 2(4) of MiFID II furthe
Page 395 and 396:
Q464: Do you see any difficulties i
Page 397 and 398:
30. The term ‘capital’ may be i
Page 399 and 400:
37. The size of the trading activit
Page 401 and 402:
43. In accordance with EMIR impleme
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50. Recital 21 of MiFID II stipulat
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qualify for an exemption from MiFID
Page 407 and 408:
7. There is no text with equivalent
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that the definition is “a natural
Page 411 and 412:
delivery (e.g. quantity per lot, gr
Page 413 and 414:
38. In ensuring that the position l
Page 415 and 416:
Q501: Do you agree with ESMA’s ap
Page 417 and 418:
61. Article 57(3) MiFID II sets out
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ipants may lead to a participant ha
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90. “All months” forward positi
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Q522: Do you agree with this approa
Page 425 and 426:
Q525: What trading venues or jurisd
Page 427 and 428:
7.3.Position ReportingBackground/Ma
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lowances that are held by certain c
Page 431 and 432:
21. Both Article 58(2) and Article
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Q537: What are your views on these
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tion limit regime will also need to
Page 437 and 438:
Numberof positionholdersin eachcate
Page 439 and 440:
What constitutes a transaction and
Page 441 and 442:
12. For the avoidance of doubt, ESM
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Transmission of an order17. Investm
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a designation to identify the perso
Page 447 and 448:
if the client has a place of reside
Page 449 and 450:
count (beneficiary) is not necessar
Page 451 and 452:
discretionary mandate to makeinvest
Page 453 and 454:
An order worked manuallyi.e. where
Page 455 and 456:
ii.Article 9(1) of MiFIR - Granting
Page 457 and 458:
93. ESMA proposes that this informa
Page 459 and 460:
client as principal and the client
Page 461 and 462:
sets out below a number of consider
Page 463 and 464:
The application of transaction repo
Page 465 and 466:
142. The reports of transactions in
Page 467 and 468:
Annex 8.1.1. Table of fieldsFIELDDE
Page 469 and 470:
171819ConsiderationVenue of executi
Page 471 and 472:
different fromcounterparty) -identi
Page 473 and 474:
identification code typeLegal entit
Page 475 and 476:
welcome feedback on this issue.62In
Page 477 and 478:
Where the reporting firm acted in a
Page 479 and 480:
Annex 8.1.2. Diagram on client ID47
Page 481 and 482:
a. When the instrument ceases to be
Page 483 and 484:
instruments being rejected, the nex
Page 485 and 486:
der the ISO 10962 standard 219 , se
Page 487 and 488:
LEI, which is provided in the ‘Is
Page 489 and 490:
lying index where applicableCountry
Page 491 and 492:
Field nameInstrument classification
Page 493 and 494:
Rules to establish the Relevant Com
Page 495 and 496:
495Termination (delisting)date of t
Page 497 and 498:
5. Regarding the requirement to kee
Page 499 and 500:
Disadvantages of option 216. This w
Page 501 and 502:
Q578: In your view, which option (a
Page 503 and 504:
firm responsible for the investment
Page 505 and 506:
Q584: Do you believe that this appr
Page 507 and 508:
i.ii.1: Limit Order 224 ; and2: Sto
Page 509 and 510:
Good-Til-SpecifiedDate and TimeVali
Page 511 and 512:
Identification code of theinstrumen
Page 513 and 514:
NewRejectedReceipt of a new order b
Page 515 and 516:
Q598: Do you foresee any difficulti
Page 517 and 518:
5. This Discussion Paper deals with
Page 519 and 520:
ii.iii.each placed order’s sequen
Page 521 and 522:
7. IOSCO’s report on Technologica
Page 523 and 524:
Q602: Would you prefer a synchronis
Page 525 and 526:
5. When specifying the relevant fra
Page 527 and 528:
CM to the CCP. In fact, the CCP wou
Page 529 and 530:
24. When the CCP has received the i
Page 531 and 532:
Q613: What are your views on the tr
Page 533:
2), whereas MIFIR provides that bec
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