- Transitional transparency of bonds, update calculation of two other asset classes.
- Follows EC March 2017 transparency rules for bonds in official journal.
- Used to waive the obligation to make public pre-trade information for larger size.
- Applied for market operators, and to investment firms operating a trading venue.
- MiFID II requires EU State NCAs, to publish information on liquidity classifications.
- On sizes large in scale (LIS) vs. normal market, size specific to instrument (SSTI).
- Publish six months prior to date of application of MiFIR, schedule on 3 January 2018.
- All EEA NCAs, except for Poland, have delegated to ESMA, the compilation of TTC.
- ESMA compiled transitional calculation using data provided by EEA trading venues.
- Results of calculations by Poland were included in files published on ESMA website.
Revision of July 2017 Data
- On 3 July 2017, ESMA published TTC on all non-equities except bonds.
- September 2017 data is revising ESMA July 2017 transparency calculation for non-equity,
- Publication delay as ESMA detected data quality problem, requested resubmission.
- Final calculations incorporated data on OTC market information provided by TRAX.
- After TTC publication in July 2017, some venues notified ESMA of problems in data.
- The problem affected the calculations for credit derivatives and equity derivatives.
- Thus, ESMA has corrected and recalculated TTC, for both asset classes accordingly.
- ESMA said performed the calculations with great care, and to the best of its ability.
- However, given complexity of calculations, further changes can’t fully be ruled out.
- ESMA expected to continuously supplement and update data provided as necessary.
- Any future update will be published on ESMA site with information in news section.
Data by Asset Class
- Outcomes of TTC for all non-equity instruments that have been classified as liquid.
- Classes cover: bonds; bond ETN types; interest rate derivatives; equity derivatives.
- Commodity derivatives; credit derivatives; CFDs; emission allowances / derivatives.
Legal Entity Identifiers (LEIs)
- ESMA noted LEIs were not provided for some reference entities for single name CDS,
and issuers of underlying bond on rate derivativeS, but will be mandatory January 2018.