MiFID II / MiFIR Transaction Reporting and Transparency

Transcription

1 MiFID II / MiFIR Transaction Reporting and Transparency Speakers: Simon Sloan, Head of Function, Asset Management Supervision, Central Bank of Ireland Anne Marie Pidgeon, Securities and Markets Supervision, Central Bank of Ireland Lorcan Byrne, Asset Management Supervision, Central Bank of Ireland 19 th October 2017

2 ACOI Seminar on MiFID II - Series 3 - Transaction Reporting - Transparency

3 Simon Sloan Asset Management Supervision

4 Introduction

5 MiFID II/MiFIR - Transaction Reporting

6 Anne Marie Pidgeon Securities and Markets Supervision Division Central Bank of Ireland

7 Introduction Purpose of Transaction Reporting Harmonised European Regime 7

8 Transaction Reporting Legislative Framework Level 1: Regulation 600/2014 MiFIR Title IV Obligations to report transactions (Art 26) Level 2: Regulatory Technical Standards Commission Delegated Regulation 2017/590 ( CDR 590 ) Transaction Reporting Level 3: Guidelines & Supplementary Documents Guidelines on Transaction Reporting, Reference Data, Order Record Keeping & Clock Synchronisation ESMA Questions and Answers on MiFIR Transaction Reporting ( Q&A ) MiFIR Transaction Reporting Instructions including: Validation Rules Transaction Reporting Message Schema CBI Technical and Operational Specifications Online Reporting System (ONR) Machine-to-Machine (M-2-M) Technical Documents 8

9 Reporting Obligation MiFIR Art 1(2) Within Scope? MiFIR Art 26(2) Reportable Instrument? CDR 590, Art 2 Transaction? CDR 590, Art 3 Execution? CDR 590, Art 3(2) Complying? 9

10 Submission and Exchange of Transaction Reports Investment Firms & Credit Institutions Trading Venues Other Competent Authorities ARMS 10

11 Identifiers / Indicators LEIs NCIs ISINs Segment MICs TVTIC Trading Capacities Indicator fields 11

12 Validations - Pending Transaction Report File Validation Content Validation Pending transaction report 12

13 Instrument Reference Data Legislative Framework Level 1: Regulation 600/2014 MiFIR Title IV Obligations to supply reference data (Art 27) Level 2: Regulatory Technical Standards Commission Delegated Regulation 2017/585 ( CDR 585 ) Instrument Reference Data Level 3: Guidelines & Supplementary Documents Guidelines on Transaction Reporting, Reference Data, Order Record Keeping & Clock Synchronisation ESMA Questions and Answers on MiFIR Transaction Reporting ( Q&A ) ESMA Reporting Instructions FIRDS Reference Data System CFI Validations XML Schema Technical Documents 13

14 Data Quality Timely Accurate Complete 14

15 Central Bank Systems ESMA Statistics Submitting Firms TR Files Feedback Files Central Bank s System Data relevant to other CAs Data relevant to CBI ESMA TREM Data relevant to other CAs Data relevant to CBI Other Competent Authorities ESMA FIRDS Reference Data Central Bank s Database & Analytics 15

16 MiFID 1 Data (post 3 January 2018) Applicable to transaction reports with trade dates from 1 December January 2018 incl. Available until 31 January 2018 Submit / amend / cancel using MiFID 1 format / process / system Such transaction reports will be exchanged with other competent authorities until 12 January 2018 MiFID 1 data available on view only basis 16

17 Conclusion Timely, accurate and complete data important Significant changes introduced Legal obligations to submit correct data within stipulated timeframes Be ready on 3 January 2018 and compliance is expected from the outset 17

18 MiFID II/MiFIR - Transparency

19 Lorcan Byrne Market Infrastructure Team Asset Management Supervision

20 Agenda 1. Background to the Transparency Regime 2. Pre-Trade Transparency 3. Post-Trade Transparency 4. Supervisory Questions 5. Q&A

21 Background: Why revise the Framework? Recital (4) of MiFIR: The directive needs to be recast in order to appropriately reflect developments in financial markets and to address weaknesses and close loopholes that were, inter alia, exposed in the financial market crisis. Dark trading: share of dark trading in equities was c.7% of the market in 2011 and this increased to c.10% by 2016; Pure OTC trading: around 45% of trading in the EEA was not subject to pre-trade transparency in 2011; and Average transaction size: sharp decrease of the average size of transactions since 2008.

22 Background: Transparency Objectives Same guiding principles as MiFID I with broader application Bolster investor protection Preserve market liquidity Increase market transparency Mitigate systemic risk Prevent market abuse

23 Pre-Trade Transparency

24 Pre-Trade Transparency Publication of current bid and offer prices Depth of interest at each price to be published Applies to equity and non-equity instruments Waivers available to trading venues with NCA approval

25 Universe of Equity and Equity-Like Instruments Equity and equity-like instruments Shares on a Regulated Market Depositary Receipts ETFs Certificates Other Equity Like Financial Instruments New to MiFID II

26 Universe of Non-Equity Instruments Non-equity instruments Bonds SFPs Emission Allowances Derivatives Sovereign Bonds Corporate Bonds Covered Bonds Interest rate derivatives Commodity derivatives Equity derivatives FX derivatives Credit Derivatives New to MiFID II Transparency Regime 26

27 Pre-trade: equity and equity-like instruments Regulated markets Reference price waiver* Negotiated trade waiver* LIS waiver No pre-trade transparency Equity/Equity Like Instruments MTFs ON-VENUE TRADING Order management facility Pre-trade transparency Systematic Internalisers pure OTC OTC TRADING Traded on a TV? Y N Liquid? Y N Dealing up to SMS? N Y Pre-trade transparency No pre-trade transparency 27

28 Pre-trade: non-equity instruments

29 The Volume Cap Mechanism What is it: Cap on the amount of trading carried out in equity and equity like instruments under: (i) the reference price waiver, and (ii) certain negotiated transaction waivers. Limits: Volumes traded in any one instrument under those two waivers over the last 12 months cannot exceed: 4% of the overall amount of trading in the EU, for any one trading venue 8% of the overall amount of trading across all trading venues in the EU Breach: If a limit is breached the use of the waivers will, within two working days, be suspended for 6 months by the NCA.

30 Post-Trade Transparency

31 Post-Trade Transparency Publication of prescribed information as close to real time as possible Publication by the venue or an Approved Publication Arrangement (APA) Deferred publication regime exists with NCA prior approval OTC and SI transactions in scope (when instrument is traded on venue)

32 Post-trade: equity and equity-like instruments Post-trade transparency Regulated markets Real time transparency Equity and equity-like instruments MTFs Y ADT for the share & size of the transaction Post-trade transparency with a deferral Systematic Internalisers pure OTC Traded on a TV? N No post-trade transparency 32

33 Post-trade: non-equity instruments

34 Buy-Side: Obligation to Trade Report MTF/OTF/RM On-Venue Obligation is with MTF/OTF/RM (regardless if the firm is buying or selling) N Obligation is with the firm via an APA How is the firm Transacting? Obligation is with the firm via an APA Is the firm s counterparty an SI? Y Y Obligation is with the SI N Obligation is with the firm s counterparty OTC/ Off-Venue Is the firm s counterparty regulated in the EU? Y Is the firm the seller? N

35 Firm Questions Market Operators/Trading Venues Sell Side Firms Buy Side Firms Has the venue applied for any pre-trade waivers? Is the firm likely to qualify automatically (or opt up) to be a systematic internaliser? What level of trading is conducted OTC and how will this be impacted by MiFID II? How will the venue implement the double volume cap? Has the firm identified any system/it upgrades required? Does my firm need to establish a relationship with an APA?

36 Questions?

37 Details of Upcoming ACOI Events 10 th November: ACOI 2017 Conference 14 th November: SEMINAR: Regulatory Investigations and Consumer Protection Risk Assessment 14 th November: WEBINAR: (Live Streamed) Regulatory Investigations and Consumer Protection Risk Assessment 23 rd November: GDPR Data Protection Impact Assessments (DPIAs) Workshop