MiFID Customer Briefing Deutsche Börse. Frankfurt, 5 July 2007

Transcription

1 MiFID Customer Briefing Deutsche Börse Frankfurt, 5 July 2007

2 MiFID-OTC-Trades New Information Product to be released in CEF 3.5

3 MiFID OTC Post-Trade Transparency New OTC Equity Trade Data available via CEF With the introduction of MiFID additional, respectively completely new (OTC) equity price and volume trade data will have to be made public Currently there is neither price nor volume data availabe for equity trades executed offexchange within Germany this will change with MiFID Deutsche Börse has developped a Service for its Members as well as Third Parties to comply with MiFID Post-Trade Transparency Requirements All OTC data will be pooled into one separate Information Product MiFID OTC Trades and be made available via CEF NEW! Besides this new information product, there will be an enriched ISE Information Product containing additional OTC data from ISE Members within the existing ISE Information Product Both Information Products will contain new data fields and potentially require new processing logics for Data Vendors CEF is a registered trademark of Deutsche Börse AG. NEW! 2

4 MiFID OTC Post-Trade Transparency Service Data Generation Investment Firm Deutsche Börse [07.30 a.m. - 20:00 p.m. CET] Data Vendors / Financial Market Xetra GUI Trade Entry Values API Xetra CEF 5 Market Data Applications Trade Entry Order-/Trade Management System 1) Data Contribution 2) Validation 3) Block Trade Delay 4) Identification 5) Publication Data contribution via existing lines Trades can be contributed via Xetra Values API or Xetra GUI Scope validation ensures dissemination of trade data in MiFID instruments only Plausibility checks for completeness, price and volume avoid misleading market information DBAG can automatically delay eligible block trades according to MiFID delay periods if client decides to use block-trade delay Trade by trade decision possible Flexible handling of execution venueid (BIC code, OTC or SI ) Trade by trade dec. possible Data available via DBAG s ultra-low latency data feed Equal access to OTC Data for all Vendors CEF and Xetra are registered trademarks of Deutsche Börse AG. 3

5 Translation of the Service into Information Products (1) Member Service 1 Data Contribution Translation into Information Product DBAG will act as Primary Publication Channel (Source OTCETR ) Service available from 7:30 a.m. 8:00 p.m. CET Service available on Xetra trading days extension to / and 1.5. currently planned Trades can generally be reported in various currencies 2 Validation Instrument scope will cover all MiFID relevant shares within the EEA, only data of trades in relevant shares will be disseminated Two new alert flags will be introduced for price and volume validation (Potential values: A alert, N not validated, or blank) Conspicious trades will be disseminated by CEF including the relevant flag(s), clients will be requested to either confirm trade, or cancel and submit new corrected trade details which will be disseminated as well 4

6 Translation of the Service into Information Products (2) Member Service Translation into Information Product 3 Block-Trade- Delay Some trade data will be delayed according to MiFID Block-Trade delay in case the Delay_Indicator contains a Y As trade reports might be delayed for up to 3 trading days next after trade date, Vendors might have to adjust cumulated volumes per instrument backwards 4 Execution Venue ID Execution_Venue_ID can be filled either with acronyms OTC or SI or with client relevant BIC code 5 Publication Data from all contributors will be pooled within one Information Product MiFID OTC Trades Pooled data will only be available via CEF classic Pooled data will not be available via Xetra MISS Each Trade Report will contain Trading_Day, Last_Trade_Time in local time of contributor plus UTC_Trade_Time_Deviation 5

7 CESR Database now available for MiFID Pre- and Post-Trade Transparency relevant shares CESR has just published initial list of EU shares relevant for MiFID pre- and post-trade transparency, including MiFID key data (e.g. ADT) CESR Database Contains 7206 shares of which 894 are liquid Accessiblevia Database will be updated in mid-october 2007 After 1st November updates will happen on a regular basis CESR Web Service A web service which will allow automatic access to the data in XML format will be made available by mid October 2007 at latest In order for users to prepare their systems CESR has published already a document to support implementation of the web service (Ref.CESR/07-370) on 6

8 Reference Data Packages: A,B,C Currently DBAG makes available 3 Reference Data Products from WM (Wertpapier- Mitteilungen) via CEF A: ID Data B: Static Data C: Non-Static Data With the introduction of MiFIDWM will offer additional data fields for instruments, e.g.: Most Liquid Market MiFID relevance for post-trade transparency Average Daily Turnover DBAG currently in talks withwm regarding extended reference data scope via CEF Vendors will be promptly informedregarding results 7

9 MiFID-OTC-Trades - Administrative Issues Contract MiFID-OTC-Trades integrated into MDDA Will be incorporated into DBAG s price list and order form Free of charge at least for three months Pricing No Vendor Fee planned Data Fees planned to be moderate Only r/t data available Reference Data Adaption of contract with WM for reference data might be necessary 8

10 MiFID OTC Post Trade Transparency Service Phases and Milestones 2007 Jan Feb Status: Mar Apr May Jun Jul Aug Sep Oct Nov Dec phase Implementation Test Production product May Customer Contract start MiFID technical milestones Values-API Modification Announcement Xetra 8.1 Develop. Guide and Program. Version / Final Version start Production Client start Simulation 9

11 National Transposition of MiFID Timetable 10

12 CEF Release July 2007 Deutsche Börse AG, Market Data & Analytics

13 Agenda CEF Release 3.5 MiFID Services Product Changes and New Fields Improvement of Data Quality CEF Outlook: Forecast Message Rates CEF is a registered trademark of Deutsche Börse AG. 12

14 CEF Release 3.5 MiFID Services Product Changes and New Fields 13

15 CEF Products providing MiFID Services Product ID 5350 Product Name MiFID_OTC_Trades (new Product) Product Content OTC Trade Reports entered by DBAG Members Source Name of Trade Reports: OTCETR 3009 DUB_Level_1 unchanged: Exchange Trades of Source DUB (changed Product) changed: Trades of LAST_TRADE_TYPE O will no longer be included added: Trade Reports of source OTCDUB, additional Instruments in Scope of MiFID Dissemination of Trade Reports will be between 7.30 a.m. and 8 p.m. CET 14

16 CEF MiFID Services: Trade Report Characteristics Each Trade Report will be marked as one of the following types: Publication Trade Report submitted, no attributes referenceing former Trade Report Trade Report may be flagged by the Issuer as: Negotiated, Other than current Market Price, Delayed publication Additional Flags may be provided by ISE Members Trade Report may be flagged as Price or Volume Alert Confirmation Issuer has got Alert feed back, confirmed the Trade Report Cancellation Trade Report is marked with Cancellation Flag, refers to a former Trade Report Reference to original Trade Report: same MiFID Tick ID Amendment In case the issuer has cancelled a trade, he may submit a new Trade Report, indicating that this is an amendment of a formerly issued one The new Trade Report does not provide reference to the original one, it has a separate MiFID Tick ID 15

17 CEF MiFID Services: Delayed Trade Reports A Trade Report maybe subject to be delayed: Initiation by the Issuer Delay Indicator set to Y Decision about actual Delay and Delay Time decided about by CEF Criteria defined via Delay Rules within Block Trade Delay Matrix, cf. next slide Delay between 60 Minutes and 3 Days Day and time of Publication are defined taking into account Trading and Holiday schedule of Most Liquid Market for the Instrument in question 16

18 CEF MiFID Services: Block Trade Delay Matrix Permitted delay for publication ADT < minutes Greater of 5% of ADT and minutes Greater of 15% of ADT and Until end of trading day (or roll-over to noon of next trading day if trade undertaken in final 2 hours of trading day) Until end of trading day next after trade Until end of second trading day next after trade Until end of third trading day next after trade Class of shares in terms of average daily turnover (ADT) ? ADT <? ADT < Minimum qualifying size of transaction for permitted delay Lower of 10% of ADT and Greater of 25% of ADT and Greater of 50% of ADT and Lower of 15% of ADT and Lower of 25% of ADT and Greater of 50% of ADT and ADT? Lower of 10% of ADT and Lower of 20% of ADT and Lower of 30% of ADT and % of ADT % of ADT 100% of ADT 250% of ADT 250% of ADT 250% of ADT 17

19 MiFID Trade Report: Fields 1 / 3 The following fields will be available for all MiFID OTC trade information source OTCETR --> CEF Product MiFID-OTC-Trades (5350) source OTCDUB --> CEF Product DUB_LEV1 (3009) FIELD DESCRIPTION FID Type 16 bit FID new with MiFID Amendment Value "A" Any amendments to previously disclosed information, where applicable (otherwise: SPACE) CHAR 40B9 x Confirmation_Flag Value "Y" CHAR 40BB x In case of price or volume alert a client may cancel the OTC Trade report or set the confirmation flag to Confirm the original price or volume; confirmation always refers to both fields (in case there were both alerts) (otherwise: SPACE). Source_Name Source ID of the Listing of the Trade Report (length:6) 874E either "OTCETR" or "OTCDUB" Symbol ISIN STRING 845B (length: 12) Currency Currency in which the instrument is traded. STRING 840A (length: 3) Delay_Indicator Value: "Y" Customer sets this indicator in order to indicate that this trade might be eligible to be delayed (qualifying for delay). Otherwise SPACE. Whether a Trade Report is actually delayed or not and the delay itself depends on volume of the trade; delay is determined by CEF. CHAR 40BC x Execution_Venue_ID Indicator_Negotiated_Trade Indicator_other_than_current_ Market_Price BIC code or "OTC" or "SI" Identification of the venue where the transaction was executed. It is also possible that the clients handle this field flexible and reveal their identity with their market code like BIC. Value "N" An indication that the trade was a negotiated trade, where applicable (otherwise: SPACE). Value "D" An indication that the price is determined by factors other than the current market valuation of the share, where applicable (otherwise: SPACE). STRING (length: max. 11) 84AB CHAR 40BE x CHAR 40BF x x 18

20 MiFID Trade Report: Fields 2 / 3 The following fields will be available for all MiFID OTC trade information source OTCETR --> CEF Product MiFID-OTC-Trades (5350) source OTCDUB --> CEF Product DUB_LEV1 (3009) FIELD DESCRIPTION FID Type 16 bit FID new with MiFID MiFID_Tick_ID CEF ID for OTC Trades, Identifier for each trade, structure: YYMMDD-nn-xxxxxxx STRING (length: 17) 84A1 x Portfolio_Indicator This flag indicates whether an OTC Trade is part of a portfolio trade (Y) or not (SPACE). CHAR 40C0 x Price_Alert Flag in case of Price validation result not o.k. or no price validation possible. values: SPACE (o.k.), 'A' (Alert), 'N' (No validation possible) CHAR 40C3 x Last_Qty The number of units of the financial instruments. DNUM Quotation_Type Indicator whether the quantity notation is unit or percentage INT Cancellation_Flag Value "C" CHAR 40BD x If a client wants to cancel a trade report he sends the original trade (complete message) with Cancellation flag (otherwise: SPACE). Trading_Day The trading day on which the transaction was executed. BCD DATE 5604 x Last_Trade_Time Time at which the transaction was executed, usually local time (responsibility of the issuer who enters the time), to bee seen in combination with "UTC Trade Time deviation" BCD TIME 5813 Last_Trade The price per security of the execution excluding commission. DNUM UTC_Trade_Time_deviation Time Offset of Trade to UTC; Offset refers to Last_Trade_Time, Time difference to UTC (+/-STRING 84B1 hhmm) (length: 5) x Volume_Alert Flag in case volume validation result not o.k. or no volume validation possible. Values: SPACE (o.k.), 'A' (Alert), 'N' (No validation possible) CHAR 40C4 x 19

21 MiFID Trade Report: Fields 3 / 3 The following fields will be available only for MiFID OTC trade information of source OTCDUB CEF Product DUB_LEV1 (3009) FIELD DESCRIPTION FID Type 16 bit FID new with MiFID Trade_Flag_1 OTC Trade flag used by Irish Stock Exchange only. For each OTC trade a maximum STRING 854F x number of three trade flags (Trade Flag 1, Trade Flag 2, Trade Flag 3) are possible. (length: 2) Trade_Flag_2 OTC Trade flag used by Irish Stock Exchange only. For each OTC trade a maximum STRING 8550 x number of three trade flags (Trade Flag 1, Trade Flag 2, Trade Flag 3) are possible. (length: 2) Trade_Flag_3 OTC Trade flag used by Irish Stock Exchange only. For each OTC trade a maximum STRING 8551 x number of three trade flags (Trade Flag 1, Trade Flag 2, Trade Flag 3) are possible. (length: 2) Local_Time Local Irish time, as Last_Trade_Time may be Frankfurt time BCD TIME 58F5 x 20

22 Additional Changes with respect to MiFID: Field LOCAL TIME for Source DUB A new fields will be introduced for Source DUB and disseminated together with each trade: LOCAL TIME Reflects the time of the trade reported in Time Zone of Ireland This field will be included in the MiFID Trade Reports and in the regular Trade messages for Source DUB. 21

23 CEF Products: Changes due to MiFID Legal Compliance New fields will be introduced and disseminated together with each trade: TRADING_DAY Day when the trade was generated UTC_TRADE_TIME_DEVIATION Difference of the time reported in LAST_TADE_TIME to UTC Currently all Sources within CEF Frankfurt work with Frankfurt time zone. For Frankfurt time zone the content of UTC_TRADE_TIME_DEVIATION will be in Winter in Summer These fields will be provided for the following sources: ETR, EUB, BER, DUB, FRA, HAM, HAN, MUN and VIE. List of Products affected: cf. Next Slide 22

24 CEF Products: Time Handling: Trade Reports and Exchange Trades Source ETR Source OTCETR Source DUB Source OTCDUB LastTradeTime generated by Xetra always CET entered by Issuer may be CET or GMT generated by Xetra always CET entered by Issuer may be CET or GMT UTC Deviation calculated by CEF, refers to LastTradeTime entered by Issuer, refers to LastTradeTime calculated by CEF, refers to LastTradeTime entered by Issuer, refers to LastTradeTime LocalTime calculated by CEF: LastTradeTime - 1 hour calculated by CEF, based on LastTradeTime and UTC Deviation: UTC in Winter, UTC + 1 hour in Summer Handling of time fields in all Sources mentioned on previous slide will be the same as for Source ETR (not always generated by Xetra, but by the Source). 23

25 CEF Products changed due to MiFID Compliance ProductName ProductDescription ProductId Source CASH_LEV1 Cash Market Germany 5148 ETR, FRA DBAG_INDEX Deutsche Boerse AG Indices incl. Xetra ETF 3001 ETR, EUR, EUB, FRA DUB_LEV1 Irish Stock Exchange Level ETR, DUB EEX_LEV1 Energy Exchange Market 3010 EEE ETF_DERIV_UNDERL Mix product (Futures, Options and Indices) for direct brokers 5262 ETR EUREX_BONDS_LEV1 EUREX Bonds Level EUB FRA_FONDSBOERSE Fonds Boerse Frankfurt 5316 FRA FRA_W_AND_C Frankfurt Warrants and Certificates (formerly known as SMART) 5252 FRA FRA_W_AND_C_SMG Warrants & Certificates FRA Quotes only 5352 FRA MIFID OTC TRADES MiFID-OTC trades 5350 ETR NEWEX_LEV1 Newex on Xetra and Floor Frankfurt 5154 ETR, FRA PRIME_SEL_BONDS Prime & Select Bonds Frankfurt 5323 FRA REGIO Floor Exchanges Germany (excl. Frankfurt Stuttgart) 5152 BER, ETR, HAM HAN, MUN, DUS XETRA_EUSTARS_LEV1 Xetra Euro Stars Level ETR XETRA_USSTARS_LEV1 Xetra US Stars Level ETR 24

26 CEF Release 3.5 Improvement of Data Quality 25

27 Improvement of CEF Data Quality Solution of Year 2038 limit Within Unix time and date fields are internally stored as integer data type, a number that counts the number of seconds since 1 January 1970, 12 a.m. GMT. This data format covers entries until 2038, which is not sufficient, as there are Bond Instruments with expiries later than this already today. This limit will no longer exist with CEF Rel. 3.5, as a new internal data type will be introduced. Effects: Date fields representing dates after 2038 will be provided correctly. Dates representing No Value, e.g. End of Lifetime is empty, will no longer be interpreted No Value will be distributed to customers. 26

28 Improvement of CEF Data Quality Integration of WSS field Warrant Segmentation The new CEF field Warrant Segmentation helps to categorize the large and rising number of Warrants on vendor side. New field will be delivered with WM Package B see WM CEF profile Data package B Static Data WM Field identifier GD189A Field name Warrant Segmentation 16bit / 10bit FID 443E / 62 27

29 Improvement of Reference Data Quality Integration of WSS field Warrant Segmentation Content of Field Warrant Segmentation: Value Description None Warrants (classical) Knock out products without stop loss feature Knock out products with stop loss feature Exotic leverage products Reverse convertible bonds Basket certificates Bonus certificates Discount certificates Guarantee certificates Index certificates Outperformance certificates Other certificates 28

30 Reference Data Quality Changed CEF Instrument Type Derivation Currently the instrument type within CEF is derived from the content of the field Security_Class_1. (BUMS) With launch CEF Rel 3.5 the deduction of the instrument type will be changed to the new WSS field: Product Group GD198B Impact: New Instrument Types for Certificates and Energy Instrument Type Funds will be used (existed already, not mapped so far) CEF Products will be adjusted in order to make sure that Instruments are assigned to the same Product, if appropriate (in individual cases, Product assignment maybe corrected). 29

31 Reference Data Quality Changes CEF Instrument Type Derivation Table of new Instrument Type Derivation: Security type WSS GD198B mapped to CEF INSTRUMENT_TYPE Bond 2000 'B' (66) Investment Fund 5000 'D' (68) Stock / Equity 1000 'E' (69) Future 7000 'G' (71) Index 8700 'I' (73) Interest 8400 'J' (74) Energy 9100 'V (86) Right 6000 'R' (82) Certificate 4000 'C' (67) Profit Distribution Right 6100 S' (83) Currency 9700 S (83) Miscellaneous else 'S' (83) Traded Option 7500 U' (85) Warrant 3000 'W' (87) Cross Rates 9800 X' (88) Bond Basis Trade 7600 'Y' (89) Units 6500 'E' (69) Swap 8500 'S' (83) Calculation Component 8600 'S' (83) Indicative continual fund unit values 8900 'I' (73) Rationed Rights (pollutant rights) 9200 'C' (67) Limited Partnership Shares 9400 'S' (83) 30

32 CEF Outlook Forecast Message Rates 31

33 CEF Message Rates: Development since June 2006 Total Number of Messages per Day Message Peaks Millions CEF Total: Increase of + 179% since June 06 msgs / day CEF Express: Increase of + 236% since June 06 CEF Core: Increase of + 80% since June Eurex : Increase of + 80% since June 06 0 Jun 06 Jul 06 Aug 06 Sep 06 Okt 06 Nov 06 Dez 06 Jan 07 Feb 07 Mrz 07 Apr 07 Mai 07 Jun 07 CEF Total CEF Express CEF Core Eurex 32

34 CEF Message Rates: Development since June 2006 Messages per Second: 10 sec Peaks 10 sec Peaks CEF Total: Increase of + 132% since June msgs CEF Express: Increase of % since June 06 CEF Core: Increase of + 76% since June 06 Eurex: Increase of % since J une Jun 06 Jul 06 Aug 06 Sep 06 Okt 06 Nov 06 Dez 06 Jan 07 Feb 07 Mrz 07 Apr 07 Mai 07 Jun 07 Eurex CEF Core CEF Express CEF Total 33

35 CEF Message Rates: Development since June 2006 Messages per Second: 1 min Peaks 1 min Peaks CEF Total: Increase of + 148% since June 06 msgs CEF Express: Increase of + 226% since June 06 CEF Core: Increase of + 79% since June Eurex : Increase of + 75% since June 06 0 Jun 06 Jul 06 Aug 06 Sep 06 Okt 06 Nov 06 Dez 06 Jan 07 Feb 07 Mrz 07 Apr 07 Mai 07 Jun 07 Eurex CEF Core CEF Express CEF Total 34

36 CEF Message Rates: Forecast Messages per Day Messages per day Messages per day Messages per day June 2007 End of 2008 End of 2009 Eurex 55,000, ,000, ,000,000 Xetra 11,500,000 32,500,000 65,000,000 CEF Core 90,000, ,000, ,000,000 CEF Express 180,000, ,000, ,000,000 CEF total 270,000, ,000, ,000,000 35

37 CEF Message Rates: Forecast 10 sec Peaks 10 seconds peak 10 seconds peak 10 seconds peak June 2007 End of 2008 End of 2009 Eurex 6,000 14,200 25,000 Xetra 1,250 4,200 9,000 CEF Core 6,900 17,000 34,000 CEF Express 11,500 27,500 49,000 CEF total 18,400 44,500 83,000 36

38 CEF Message Rates: Forecast 1 min Peaks 1 minute peak 1 minute peak 1 minute peak June 2007 End of 2008 End of 2009 Eurex 4,100 9,600 17,000 CEF Core 5,800 15,500 30,000 CEF Express 8,400 20,000 35,000 CEF total 13,000 35,500 65,000 37