Consolidated Tape Providers (CTPs) are entities covered by the broader category of Data Reporting Services Providers

               
                      
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20 February 2024

MiFIR and MiFID II: Council adopts new rules to strengthen market data transparency


29 June 2023 / 18 October 2023

Capital markets union: Council and Parliament agree on proposal to strengthen market data transparency


1 February 2024

ESMA publishes data for the CTP calculations


1 August 2023

ESMA publishes data for quarterly bond liquidity assessment, the systematic internaliser calculations and the CTP calculations


2 March 2023

Report on the proposal for a regulation of the European Parliament and of the Council amending Regulation (EU) No 600/2014 as regards enhancing market data transparency, removing obstacles to the emergence of a consolidated tape, optimising the trading obligations and prohibiting receiving payments for forwarding client orders (COM(2021)0727 – C9‑0440/2021 – 2021/0385(COD))


20 December 2022

Council agrees negotiating mandate on proposal to strengthen market transparency:

- Regulation reviewing the Markets in Financial Instruments Regulation (‘MIFIR’)

- Directive reviewing the Markets in Financial Instruments Directive ('MiFID II')

The text ensures that consolidated tape providers provide reliable consolidated data close-to-real time, noting that the CTP should publish the consolidated tape of executed trades together with best bids and offers available at the time of the particular trade as well as European best bid and offer available at the time of the trade from the most competitive markets.
 

 

Legal definition of the 'Consolidated Tape Provider' is stipulated in Article (4)(1)(53) MiFID II.

 

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MiFID II Article (4)(1)(53)

 

'Consolidated Tape Provider' or 'CTP' means a person authorised under this Directive to provide the service of collecting trade reports for financial instruments listed in Articles 6, 7, 10, 12 and 13, 20 and 21 of Regulation (EU) No 600/2014 from regulated markets, MTFs, OTFs and APAs and consolidating them into a continuous electronic live data stream providing price and volume data per financial instrument.



European Commission Proposal of 25 November 2021 for a Regulation of the European Parliament and of the Council amending Regulation (EU) No 600/2014 as regards enhancing market data transparency, removing obstacles to the emergence of a consolidated tape, optimising the trading obligations and prohibiting receiving payments for forwarding client orders (COM(2021) 727 final) introduces into Article 2, paragraph 1 point (35) of MiFIR the following definition of a ‘consolidated tape provider’ or ‘CTP’:

“a person authorised in accordance with Title IVa, Chapter 1 of this Regulation to provide the service of collecting market data for shares, ETFs, bonds or derivatives, from market data contributors, and of consolidating those data into a continuous electronic live data stream providing core market data per share, ETF, bond or derivatives and of providing them to user of market data”.

The idea behind a CTP is that exchanges and alternative trading venues would send real-time data streams to an accredited CTP. This CTP would make available to the public the exact same information, at so-called reasonable cost, using identical data tags and formats. The current rules on the consolidated tape rely on private actors (competing consolidators) consolidating market data from various execution venues. Based on the MiFIR provisions, there can be multiple competing CTPs, but it is also possible to have one single CTP in case multiple providers do not step up. However, the Explanatory Memorandum to the European Commission Proposal of 25 November 2021 for a Regulation of the European Parliament and of the Council amending Regulation (EU) No 600/2014 as regards enhancing market data transparency, removing obstacles to the emergence of a consolidated tape, optimising the trading obligations and prohibiting receiving payments for forwarding client orders (COM(2021) 727 final) observes that as of the date of the draft, this has not happened “for a variety of reasons”. Hence, the proposed reform of MiFIR addresses the reasons why no CTP has come forward.

Recital 4 of the draft Regulation explains:

"To date, however, no supervised entity has applied for authorisation to act as a CTP. ESMA has identified three main obstacles that have prevented supervised entities to apply for registration as a CTP33. First, a lack of clarity as to how the CTP is to procure market data from the various execution venues or from the data reporting service providers concerned. Second, insufficient quality in terms of harmonisation of the data reported by those execution venues to allow for a cost-efficient consolidation. Third, a lack of commercial incentives to apply for authorisation as a CTP. It is therefore necessary to remove those obstacles. Such removal requires, first, that all trading venues and systematic internalisers (‘SIs’) provide CTPs with market data (provision rule). It secondly requires an improvement of the data quality by harmonising the data reports that trading venues and SIs should submit to the CTP".

Draft Regulation of 25 November 2021 amends the consolidated tape provisions in MiFIR to facilitate the emergence of a CTP for each asset class:

- Article 1(15) introduces a selection procedure for the appointment of a consolidated tape provider for each asset class (shares, ETFs, bonds and derivatives);
- Article 1(16) introduces a provision on the organisational requirements and quality of service standards that apply to all CTPs selected and appointed by ESMA (Article 27h). Requirements for the CTP include: (a) the collection of consolidated core market data; (b) the collection of licensing fees from subscribers; and (c) for shares a revenue participation scheme for regulated markets for their contribution of market data;
- Article 1(17) introduces a new Article 27ha which contains a series of public reporting obligations incumbent on the CTPs. These reporting obligations concern service level requirements quality features, e.g., on speed of delivery, and reports on operational resilience.

On 20 December 2022 the Council agreed negotiating mandate on the above proposal to strengthen market transparency. The Council notes that the draft regulation aims to establish a centralised database or ‘consolidated tape’, which will provide access to market data from trading venues as well as systematic internalisers and approved publication arrangements across the EU in a consolidated manner. The intention is to improve the overall price transparency across trading venues and will provide investors with easier access to trading data.

 

Organisational requirements for CTPs

 

Organisational requirements for CTPs are laid down in Article 65 MiFID II as well as in the MiFID II delegated regulations:

- Commission Delegated Regulation (EU) 2017/565 of 25 April 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council as regards organisational requirements and operating conditions for investment firms and defined terms for the purposes of that Directive (Articles 84 - 89),

- Commission Delegated Regulation (EU) 2017/571 of 2 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards on the authorization, organisational requirements and the publication of transactions for data reporting services providers.

The latter Regulation stipulates: 

- rules on authorisation, including the information on organisation and corporate governance;

- organisational requirements, including conflict-of-interest rules, outsourcing, and business continuity, testing and capacity, security and management of incomplete or potentially erroneous data.

As regards rules on authorisation it is noteworthy, the European Commission proposes to transfer the powers to authorise and supervise the CTPs from the national competent authorities to ESMA by introducing new Articles 27a-27h in MiFIR and deleting Articles 59-66 in MiFID II (Working document on on the proposals to amend the European System of Financial Supervisions, Committee on Economic and Monetary Affairs, 23.01.2018 (COM(2017/0536 - C8- 0319/2017 - 2017/0230(COD), COM(2017/0537 - C8-0318/2017 - 2017/0231(COD), COM(2017/0538 - C8-0317/2017 - 2017/0232(COD)).

According to the said European Commission Proposal of 25 November 2021:
- single real-time post-trade consolidated tape per asset class will be established and the contribution of data by market data providers to the consolidated tape will be mandatory;
- ESMA will be entrusted with appointing the CTPs and may also be considered as a fall-back solution should no CTP emerge in any of the asset classes;
- ESMA will also be in charge of supervising the CTPs.

As regards publication arrangements, the said provisions of 2 June 2016 (Regulation 2017/571) cover rules on machine readability, scope of data, avoidance of data duplication and non-discriminatory publication. On 5 October 2016 ESMA issued, moreover, Guidelines on specific notions under MiFID II related to the management body of market operators and data reporting services providers (ESMA/2016/1437).

According to Article 59(3) of MiFID II ESMA is required to publish and keep up to date a list of all CTPs in the European Union on its website (the register contains also data related to European Economic Area (EEA) / European Free Trade Association (EFTA) States).

 

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MiFID II Article 65

Organisational requirements

 

1. The home Member State shall require a CTP to have adequate policies and arrangements in place to collect the information made public in accordance with Articles 6 and 20 of Regulation (EU) No 600/2014, consolidate it into a continuous electronic data stream and make the information available to the public as close to real time as is technically possible, on a reasonable commercial basis. That information shall include, at least, the following details:

(a) the identifier of the financial instrument;
(b) the price at which the transaction was concluded;
(c) the volume of the transaction;
(d) the time of the transaction;
(e) the time the transaction was reported;
(f) the price notation of the transaction;
(g) the code for the trading venue the transaction was executed on, or where the transaction was executed via a systematic internaliser the code 'SI' or otherwise the code 'OTC';
(h) where applicable, the fact that a computer algorithm within the investment firm was responsible for the investment decision and the execution of the transaction;
(i) if applicable, an indicator that the transaction was subject to specific conditions;

(j) if the obligation to make public the information referred to in Article 3(1) of Regulation (EU) No 600/2014 was waived in accordance with point (a) or (b) of Article 4(1) of that Regulation, a flag to indicate which of those waivers the transaction was subject to.

The information shall be made available free of charge 15 minutes after the CTP has published it. The home Member State shall require the CTP to be able to efficiently and consistently disseminate such information in a way that ensures fast access to the information, on a non-discriminatory basis and in formats that are easily accessible and utilisable for market participants.

2. The home Member State shall require a CTP to have adequate policies and arrangements in place to collect the information made public in accordance with Articles 10 and 21 of Regulation (EU) No 600/2014, consolidate it into a continuous electronic data streamand make following information available to the public as close to real time as is technically possible, on a reasonable commercial basis including, at least, the following details:
(a) the identifier or identifying features of the financial instrument;
(b) the price at which the transaction was concluded;
(c) the volume of the transaction;
(d) the time of the transaction;
(e) the time the transaction was reported;
(f) the price notation of the transaction;
(g) the code for the trading venue the transaction was executed on, or where the transaction was executed via a systematic internaliser the code 'SI' or otherwise the code 'OTC';
(h) if applicable, an indicator that the transaction was subject to specific conditions.

The information shall be made available free of charge 15 minutes after the CTP has published it. The home Member State shall require the CTP to be able to efficiently and consistently disseminate such information in a way that ensures fast access to the information, on a non-discriminatory basis and in generally accepted formats that are interoperable and easily accessible and utilisable for market participants. 

3. The home Member State shall require the CTP to ensure that the data provided is consolidated from all the regulated markets,MTFs, OTFs and APAs and for the financial instruments specified by regulatory technical standards under point (c) of paragraph 8. 

4. The home Member State shall require the CTP to operate and maintain effective administrative arrangements designed to prevent conflicts of interest. In particular, a market operator or an APA, who also operate a consolidated tape, shall treat all information collected in a non-discriminatory fashion and shall operate and maintain appropriate arrangements to separate different business functions. 

5. The home Member State shall require the CTP to have sound security mechanisms in place designed to guarantee the security ofthe means of transfer of information and to minimise the risk of data corruption and unauthorised access. The home Member State shall require the CTP to maintain adequate resources and have back-up facilities in place in order to offer and maintain its services atall times.

6. ESMA shall develop draft regulatory technical standards to determine data standards and formats for the information to be published in accordance with Articles 6, 10, 20 and 21 of Regulation (EU) No 600/2014, including financial instrument identifier, price, quantity, time, price notation, venue identifier and indicators for specific conditions the transactions was subject to as well as technical arrangements promoting an efficient and consistent dissemination of information in a way ensuring for it to be easily accessible and utilisable for market participants as referred to in paragraphs 1 and 2, including identifying additional services the CTP could perform which increase the efficiency of the market.

ESMA shall submit the draft regulatory technical standards referred to in the first subparagraph to the Commission by 3 July 2015 in respect of information published in accordance with Articles 6 and 20 of Regulation (EU) No 600/2014 and by 3 July 2015 in respect of information published in accordance with Articles 10 and 21 of Regulation (EU) No 600/2014.

Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1095/2010.

7. The Commission shall adopt delegated acts in accordance with Article 89 clarifying what constitutes a reasonable commercial basis to provide access to data streams as referred to in paragraphs 1 and 2 of this Article.

8. ESMA shall develop draft regulatory technical standards specifying:

(a) the means by which the CTP may comply with the information obligation referred to in paragraphs 1 and 2;

(b) the content of the information published under paragraphs 1 and 2;

(c) the financial instruments data of which must be provided in the data stream and for non-equity instruments the trading venues and APAs which need to be included;

(d) other means to ensure that the data published by different CTPs is consistent and allows for comprehensive mapping and cross-referencing against similar data from other sources, and is capable of being aggregated at Union level;

(e) the concrete organisational requirements laid down in paragraphs 4 and 5.

ESMA shall submit those draft regulatory technical standards to the Commission by 3 July 2015.

Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1095/2010.

 

MiFID II Recitals 115 - 119

 

(115) The provision of core market data services which are pivotal for users to be able to obtain a desired overview of trading activity across Union financial markets and for competent authorities to receive accurate and compre­hensive information on relevant transactions should be subject to authorisation and regulation to ensure the necessary level of quality. 

(116) The introduction of approved publication arrangements (APAs) should improve the quality of trade transparency information published in the OTC space and contribute significantly to ensuring that such data is published in a way facilitating its consolidation with data published by trading venues. 

(117) Now that a market structure is in place which allows for competition between multiple trading venues it is essential that an effective and comprehensive consolidated tape is in operation as soon as possible. The intro­duction of a commercial solution for a consolidated tape for equities and equity-like financial instruments should contribute to creating a more integrated European market and make it easier for market participants to gain access to a consolidated view of trade transparency information that is available. The envisaged solution is based on an authorisation of providers working along pre-defined and supervised parameters which are in competition with each other in order to achieve technically highly sophisticated and innovative solutions, serving the market to the greatest extent possible and ensuring that consistent and accurate market data is made available. By requiring all consolidated tape providers (CTPs) to consolidate data from all APAs and trading venues it will be assured that competition will take place on the basis of quality of service to clients rather than breadth of data covered. Nevertheless it is appropriate to make provision now for a consolidated tape to be put in place through a public procurement process if the mechanism envisaged does not lead to the timely delivery of an effective and compre­hensive consolidated tape for equities and equity-like financial instruments. 

(118) The establishment of a consolidated tape for non-equity financial instruments is deemed to be more difficult to implement than the consolidated tape for equity financial instruments and potential providers should be able to gain experience with the latter before constructing it. In order to facilitate the proper establishment of the consolidated tape for non-equity financial instruments, it is therefore appropriate to provide for an extended date of application of the national measures transposing the relevant provision. Nevertheless it is appropriate to make provision now for a consolidated tape to be put in place through a public procurement process if the mechanism envisaged does not lead to the timely delivery of an effective and comprehensive consolidated tape for non-equity financial instruments. 

(119) When determining, as regards non-equity financial instruments, the trading venues and APAs which need to be included in the post-trade information to be disseminated by CTPs, ESMA should ensure that the objective of the establishment of an integrated Union market for those financial instruments will be achieved and should ensure non-discriminatory treatment of APAs and trading venues.


 

 

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Articles 84 - 89 of the Commission Delegated Regulation (EU) of 25 April 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council as regards organisational requirements and operating conditions for investment firms and defined terms for the purposes of that Directive

 

Article 84
Obligation to provide market data on a reasonable commercial basis
(Article 64(1) and 65(1) of Directive 2014/65/EU)

1. For the purposes of making market data containing the information set out in Articles 6, 20 and 21 of Regulation (EU) No 600/2014 available to the public on a reasonable commercial basis in accordance with Articles 64(1) and 65(1) of Directive 2014/65/EU, approved publication arrangements (APAs) and consolidated tape providers (CTPs) shall comply with the obligations set out in Articles 85 to 89.

2. Articles 85, 86(2), 87, 88(2) and 89 shall not apply to APAs or CTPs that make market data available to the public free of charge.

 

Article 85
Provision of market data on the basis of cost
(Article 64(1) and 65(1) of Directive 2014/65/EU)

1. The price of market data shall be based on the cost of producing and disseminating such data and may include a reasonable margin.
2. The costs of producing and disseminating market data may include an appropriate share of joint costs for other service provided by APAs and CTPs. 


 

Article 86 


Obligation to provide market data on a non-discriminatory basis


(Article 64(1) and 65(1) of Directive 2014/65/EU)

1. APAs and CTPs shall make market data available at the same price and on the same terms and conditions to all customers falling within the same category in accordance with published objective criteria.
2. Any differentials in prices charged to different categories of customers shall be proportionate to the value which the market data represent to those customers, taking into account:
(a) the scope and scale of the market data including the number of financial instruments covered and trading volume;
(b) the use made by the customer of the market data, including whether it is used for the customer's own trading activities, for resale or for data aggregation.
3. For the purposes of paragraph 1, APAs and CTPs shall have scalable capacities in place to ensure that customers can obtain timely access to market data at all times on a non-discriminatory basis. 



Article 87 


Per user fees


(Article 64(1) and 65(1) of Directive 2014/65/EU)

1. APAs and CTPs shall charge for the use of market data on the basis of the use made by individual end-users of the market data ('per user basis'). APAs and CTPs shall have arrangements in place to ensure that each individual use of market data is charged only once.
2. By way of derogation from paragraph 1, APAs and CTPs may decide not to make market data available on a per user basis where to charge on a per user basis is disproportionate to the cost of making market data available, having regard to the scale and scope of the market data.
3. APAs or CTPs shall provide grounds for the refusal to make market data available on a per user basis and shall publish those grounds on their webpage.


Article 88
Unbundling and disaggregating market data
(Article 64(1) and 65(1) of Directive 2014/65/EU)

1. APAs and CTPs shall make market data available without being bundled with other services.
2. Prices for market data shall be charged on the basis of the level of market data disaggregation provided for in Article 12(1) of Regulation (EU) No 600/2014 as further specified in Articles [Delegated regulation reference to RTS on data disaggregation]. 


 

Article 89 


Transparency obligation


(Article 64(1) and 65(1) of Directive 2014/65/EU)

1. APAs and CTPs shall disclose and make easily available to the public the price and other terms and conditions for the provision of the market data in a manner which is easily accessible.
2. The disclosure shall include the following:
(a) current price lists, including the following information:
(i) fees per display user;
(ii) non-display fees;
(iii) discount policies;
(iv) fees associated with licence conditions;
(v) fees for pre-trade and for post-trade market data;
(vi) fees for other subsets of information, including those required in accordance with the regulatory technical standards pursuant to Article 12(2) of Regulation (EU) No 600/2014;
(vii) other contractual terms and conditions;


(b) advance disclosure with a minimum of 90 days' notice of future price changes;


(c) information on the content of the market data including the following information:
(i) the number of instruments covered;
(ii) the total turnover of instruments covered;
(iii) pre-trade and post-trade market data ratio;
(iv) information on any data provided in addition to market data;
(v) the date of the last licence fee adaption for market data provided;


(d) revenue obtained from making market data available and the proportion of that revenue compared to total revenue of the APA or CTP;


(e) information on how the price was set, including the cost accounting methodologies used and information about the specific principles according to which direct and variable joint costs are allocated and fixed joint costs are apportioned, between the production and dissemination of market data and other services provided by APAs and CTPs.



CTP specialisation

 

To increase the probability of a viable business case for the non-equity consolidated tape, ESMA's Consultation Paper of 3 October 2016 on regulatory technical standards specifying the scope of the consolidated tape for non-equity financial instruments (ESMA/2016/1422) proposed to allow CTPs to specialise in and provide services covering only one or a group of asset classes rather than the entire very heterogeneous universe of non-equity instruments.

The specialisation of the consolidated tape would be possible for the following asset classes:

 clip2

 

See also:

 

Consolidated Tape Providers, ESMA website

 

Data for the non-equity CTP calculations

 

Approved Reporting Mechanisms (ARMs)

 

Financial Instruments Reference Data System (FIRDS)

a) Bonds (except ETCs and ETNs and structured finance products);
b) ETCs and ETNs bond types;
c) Structured finance products;
d) Securitised derivatives;
e) Interest rate derivatives;
f) Foreign Exchange Derivatives;
g) Equity derivatives;
h) Commodity derivatives;
i) Credit derivatives;
j) Contract for differences;
k) C10 derivatives;
l) Emission allowance derivatives; and
m) Emission allowances.

According to this conception a CTP would be free to specialise its data offering, and it could specialise in only one asset class, offer the entire spectrum of asset classes or any combination. The reason for this proposition is an intention to provide for an environment that is likely to lead to the provision of one or more consolidated tapes that will be of real value to users of data.

In the Final Report, Draft RTS specifying the scope of the consolidated tape for non-equity financial instruments, 31 March 2017, ESMA/2017/70-8792942901-40 ESMA maintained the above approach.

 

Details to be published by the CTP

 

CTPs may publish information on equity and non-equity instruments. Details to be published by the CTP with respect to information on equity instruments are specified in Article 20 of the aforementioned Commission Delegated Regulation (EU) 2017/571 of 2 June 2016.

 

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Commission Delegated Regulation (EU) 2017/571 of 2 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards on the authorization, organisational requirements and the publication of transactions for data reporting services providers

 

Recital 26

 

(26) CTPs may publish information on equity and non-equity instruments. Given the different requirements for the operation of those tapes, and in particular the significantly broader scope of financial instruments covered for non-equity instruments and the deferred application of the provisions of Directive 2014/65/EU for the non-equity consolidated tape, this Regulation only specifies the scope of the CTP consolidating information on equity-instruments.



Pursuant to the said provision a CTP shall make public:

(a) for transactions executed in respect of shares, depositary receipts, ETFs, certificates and other similar financial instruments, the details of a transaction specified in Table 2 to Commission Delegated Regulation (EU) 2017/587 of 14.7.2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of shares, depositary receipts, exchange-traded funds, certificates and other similar financial instruments and on transaction execution obligations in respect of certain shares on a trading venue or by a systematic internaliser and use the appropriate flags listed in Table 3 of Annex I to the said Regulation;

(b) for transactions executed in respect of bonds, structured finance products, emission allowances and derivatives the details of a transaction specified in Table 1 of Annex II to Commission Delegated Regulation (EU) 2017/583 of 14.7.2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives and use the appropriate flags listed in Table 2 of Annex II to the said Regulation.

CTPs must ensure that the information, which has to be made public, is sent through all distribution channels at the same time, including when the information is made public as close to real time as technically possible or 15 minutes after the first publication.

 

Other services provided by CTPs

 

Pursuant to Article 13 of the Commission Delegated Regulation (EU) 2017/571 of 2 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards on the authorization, organisational requirements and the publication of transactions for data reporting services providers, a CTP may provide the following additional services:

(a) provision of pre-trade transparency data;

(b) provision of historical data;

(c) provision of reference data;

(d) provision of research;

(e) processing, distribution and marketing of data and statistics on financial instruments, trading venues, and other market-related data;

(f) design, management, maintenance and marketing of software, hardware and networks in relation to the transmission of data and information. 

Beyond this scope a CTP may perform services which increase the efficiency of the market, provided that such services do not create any risk affecting the quality of the consolidated tape or the independence of the CTP that cannot be adequately prevented or mitigated.

 

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Commission Delegated Regulation (EU) 2017/571 of 2 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards on the authorization, organisational requirements and the publication of transactions for data reporting services providers

 

Recital 20

 

(20) This Regulation sets out a number of additional services a CTP could perform which increase the efficiency of the market. In view of possible market developments, it is not appropriate to provide an exhaustive list of additional services which a CTP could perform. A CTP should therefore be able to provide further services going beyond the additional services specifically listed in this Regulation provided however that those other services do not pose any risk to the independence of the CTP or the quality of the consolidated tape.



Exclusion from consolidated tape of trading venues and APAs of insufficient size

 

In the Consultation Paper - RTS specifying the scope of the consolidated tape for non-equity financial instruments (03 October 2016, ESMA/2016/1422, p. 8, 9) ESMA has expressed the view that CTPs should not be required to collect information from all trading venues and Approved Publication Arrangements (APAs) since the costs of including all those sources would be very high while the added value for users of adding sources with only minor activity is limited. Consequently, ESMA has recommended allowing CTPs to exclude trading venues and APAs of insufficient size. In the ESMA's view the entire data stream in a particular asset class of a trading venue or APA should be included in the consolidated tape if the size of the source taking into account all instruments of that specific asset class reported by the source exceeds a certain threshold. ESMA has, moreover, proposed:

- that the threshold should be determined both in terms of the volume and the number of transactions reported,

- to require the inclusion of a trading venue or APA into the consolidated tape if the trading venue or APA meets any of the thresholds based on the volume and number of transactions reported on a per asset class level (i.e. either a volume or a number of transactions condition).

ESMA concluded its Consultation Paper of 3 October 2016 with the suggestion that a CTP should be required to include in its electronic data stream data made public from APAs and trading venues that meet at least one of the following criteria: 

(a) the number of transactions published in each asset class is equal to or larger than 2.5% of the total number of transactions in the relevant asset class published in the  European Union by all APAs and trading venues during the same period;
(b) 
the volume of transactions published in an asset class as specified as above is equal to or larger than 2.5% of the total volume of transactions in the relevant asset class published in the European Union by all APAs and trading venues during the same period.

In the Final Report of 31 March 2017 ESMA, however, acknowledged that the approach proposed in the Consultation Paper might have been overly complex and that a similar outcome may be delivered based on a simpler solution. ESMA therefore revised its approach and suggested the introduction of a coverage ratio that the CTP would have to meet. Under this approach, a CTP would have to ensure that it covers both:

  • 80% of the cumulated volume of transactions as defined in table 4 of Annex II of the Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (ESMA's RTS 2) reported by all APAs and/or trading venues in the Union over the previous 6-month for the relevant non-equity asset class; and
  • 80% of the cumulated number of transactions reported by APAs and/or trading venues in the Union over the previous 6-month period for the relevant non-equity asset class.

In the Final Report of 31 March 2017 ESMA considered that both coverage ratios would have to be met to ensure that also information from APAs and/or trading venues reporting a large number of transactions that represent only a small volume of transactions would be included in the tape. Furthermore, the same coverage ratio should apply across asset classes. According to the ESMA, the reference period for determining the coverage ratio should be based on 6 calendar months, starting on 1 January and on 1 July. In the said Final Report of 31 March 2017 ESMA confirmed that it will publish twice a year - by 1 February and 1 August - the overall number/volume of trades reported by APAs and trading venues in the European Union in the relevant non-equity class. However, ESMA will not publish the respective market shares of APAs and/or trading venues of the total number/volume of transactions reported. ESMA considers that market participants should be able to determine this information based on the information published by ESMA.

 

Inclusion of a new source and removal of a source

 

In the aforementioned Consultation Paper of 3 October 2016 ESMA proposed that the CTPs would be required to include data for equity instruments from new trading venues or new APAs as soon as possible and in any case no later than 6 months after the start of the trading venues or the APA's operations. This approach was reasoned to allow CTPs sufficient time to put in place the necessary arrangements for integrating the new source in its data stream and secure a robust access to information. Also the argument of a similar conception applying for the consolidated tape for non-equity financial instruments was raised - once a source meets the thresholds making its inclusion into the consolidated tape mandatory: the effective inclusion of a source would start no later than 6 months after the first assessment when the thresholds are exceeded.

 

In the aforementioned Final Report of 31 March 2017 ESMA also did not deviate from the approach chosen for the equity consolidated tape. Since the introduction of the coverage ratio to be met by the CTP changes the approach for identifying the APAs and trading venues to be included in the tape, ESMA has slightly adjusted the approach for the inclusion of a new source into the consolidated tape. The revised RTS clarifies that the consolidated tape has up to 7 months for reaching the required coverage ratios after the end of the assessment period. Since ESMA will publish the relevant data one month after the end of the assessment period, this implies that CTPs have de facto up to 6 months for including APAs and trading venues into their data stream, regardless of whether the APA or trading venue is newly established or not.

 

In the draft RTS in the Consultation Paper of 3 October 2016, ESMA proposed that a consolidated tape may remove sources from the tape where the thresholds are not met for at least three consecutive periods. In view of the overall change in approach from a threshold approach to a coverage ratio to be met by the CTP, the provisions on the removal of a source do not appear to ESMA necessary anymore. Furthermore, ESMA agrees that it should be left to the CTP’s discretion as to whether to include or exclude data from additional APAs and/or trading venues once the coverage ratios of 80 percent are reached. The revised draft RTS has been amended accordingly.


Finally, some respondents did not consider it appropriate to require the CTP to reinsert APAs and trading venues that have been included in the tape at an earlier stage within only 3 months as compared to the 6-month grace period for including new sources. ESMA agrees with the views expressed and has revised the draft RTS so that any additional APA and/or trading venue would need to be included in the CT within 6 months.

 

Management of incomplete or potentially erroneous information by CTPs

 

quote

 

Commission Delegated Regulation (EU) 2017/571 of 2 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards on the authorization, organisational requirements and the publication of transactions for data reporting services providers

 

Recital 16

 

(16) APAs and CTPs should be able to delete and amend the information which they receive from an entity providing them with information to deal with situations where in exceptional circumstances the reporting entity is experiencing technical difficulties and cannot delete or amend the information itself. However, APAs and CTPs should not otherwise be responsible for correcting information contained in published reports where the error or omission was attributable to the entity providing the information. This is due to the fact that APAs and CTPs cannot know with certainty whether a perceived error or omission is indeed incorrect since they were not party to the executed trade.

 

Article 10(1)-(3) and (7)

 

1. APAs and CTPs shall set up and maintain appropriate arrangements to ensure that they accurately publish the trade reports received from investment firms and, in the case of CTPs, from trading venues and APAs, without themselves introducing any errors or omitting information and shall correct information where they have themselves caused the error or omission.

 

2. APAs and CTPs shall continuously monitor in real-time the performance of their IT systems ensuring that the trade reports they have received have been successfully published.

 

3. APAs and CTPs shall perform periodic reconciliations between the trade reports they receive and the trade reports that they publish, verifying the correct publication of the information. 



...

7. In exceptional circumstances APAs and CTPs shall delete and amend information in a trade report upon request from the entity providing the information when that entity cannot delete or amend its own information for technical reasons. 


 

 

quote

 

Draft Commission Delegated Regulation amending Commission Delegated Regulation (EU) supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards on the authorisation, organisational requirements and the publication of transactions for data reporting services providers

 

(Annex to the Final Report, Draft RTS specifying the scope of the consolidated tape for non-equity financial instruments, 31 March 2017, ESMA/2017/70-8792942901-40)

 

(1) The following Article 15a is inserted

 

‘Article 15a
Scope of the consolidated tape for bonds, structured finance products, emission allowances and derivatives

 

1. A CTP shall be allowed to include in its electronic data stream data of one or more of the following asset classes as defined in Commission Delegated Regulation (EU) No xxx/2016 [non-equity transparency]:

(a) Bonds, excluding ETCs and ETNs;
(b) ETC and ETNs bond types;
(c) Structured finance products;
(d) Securitised derivatives;
(e) Interest rate derivatives;
(f) Foreign exchange derivatives;
(g) Equityderivatives;
(h) Commodityderivatives;
(i) Credit derivatives;
(j) Contracts for differences;
(k) C10 derivatives;
(l) Emission allowance derivatives; and
(m) Emission allowances.

 

2. A CTP shall include in its electronic data stream data made public according to Articles 10 and 21 of Regulation (EU) No 600/2014 from APAs and trading venues that meet both of the following coverage ratios:

 

(a) The number of transactions published by a CTP in an asset class as specified in paragraph 1 represents at least 80% of the total number of transactions in the relevant asset class published in the Union by all APAs and trading venues during the assessment period;

 

(b) The volume of transactions published by a CTP in an asset class as specified in paragraph 1 shall represent at least 80% of the total volume of transactions in the relevant asset class published in the Union by all APAs and trading venues during the assessment period.

 

3. For the purposes of paragraph 2(b), the volume of transactions as defined in Table 4 of Annex II of Commission Delegated Regulation (EU) No xxx/2016 [non-equity transparency] shall be used.

 

4. The coverage ratios set out in paragraph 2 shall be assessed by the CTP twice per year based on data from the past 6 months. The assessment period shall start on the first day of the months of January and July. The first assessment period shall cover the first 6 months of the year 2019.

 

5. A CTP shall ensure that it reaches the minimum coverage ratios set out in paragraph 2:

 

(a) for the assessment period covering 1 January to 30 June as soon as possible and in any case no later than by 31 January of the following calendar year; and

 

(b) for the assessment period covering 1 July to 31 December as soon as possible and in any case no later than by 31 July of the following calendar year.’

 

(2) In Article 21, the following subparagraph is added after subparagraph 3:

 

‘However, Article 15a shall apply from the date that appears second in the second subparagraph of Article 93(1) of Directive 2014/65/EU, except for the provisions in paragraph 4 of Article 15a which shall apply as from 1 January 2019.’



 

quote

 

Questions and Answers on MiFID II and MiFIR transparency topics, ESMA70-872942901-35

 

General Q&As on transparency topics

 

Question 10 [Last update: 29/05/2018]


How should trading venues, APAs and CTPs make data available free of charge 15 minutes after publication and ensure non-discriminatory access to the information? What practices are not compatible with the requirement to make data available free of charge and ensure non- discriminatory access to the information?

 

Answer 10

 

ESMA expects trading venues, APAs and CTPs to make post-trade data available free of charge 15 minutes after publication in an easily accessible manner for all potential users using a format that can be easily read, used and copied. Furthermore, trading venues, APAs and CTPs are required to ensure the non-discriminatory access to post-trade data, including for data made available free of charge.

Article 14 of RTS 13 requires APAs and CTPs to publish data in a machine readable way. In order to ensure that CTPs can effectively consolidate information published by APAs and trading venues, ESMA expects that trading venues follow similar publication standards and publish data in a machine-readable way.
ESMA considers that any practice designed to circumvent the provisions in Article 13(1) of MiFIR and Articles 64(1) and 65(1) and (2) of MiFID II is not compatible with the requirement to make data available free of charge 15 minutes after publication and ensure non- discriminatory access to the information. This includes, but is not limited to, the following practices:

 

- Imposing restrictions on access to the published post-trade data


In order to ensure that all potential users can access the information made available free of charge 15 minutes after publication, trading venues, APAs and CTPs should make clear instructions to the public on their website on how and where to access the data. The post-trade data should be available to anybody free of charge and in a format which can be understood by the average reader.

ESMA considers that publishing information on a website that is not accessible to everybody imposes restrictions on access to the data and does not meet the requirement for making information available free of charge. Similarly, the publication of post-trade data through third parties that do not charge specific fees for the relevant post-trade data but raise regular, for instance monthly or yearly, fees for subscribing to their services, does not meet the requirement to make information available free of charge. Furthermore, ESMA is of the view that allowing access to post-trade data only from ex ante registered IP addresses does not meet the requirement to make information available to the public free of charge.

 

- Publishing information in a format that prevents users to read, use and copy the information


Trading venues, APAs and CTPs should publish information in an electronic format that can be directly and automatically read by a computer, and that can be accessed, read, used and copied by any potential user through computer software that is free of charge and publicly available.
ESMA does not consider that publishing post-trade data as an image (i.e. in such a way that the user cannot copy the data in a format that can be read by a computer) or requiring the purchase of a specific software for downloading, processing or reading the information meets the requirement of making data available free of charge.

 

- Requiring market participants to submit search queries in order to access data


The data made available free of charge should be published in a similar format as real-time data published on a reasonable commercial basis.
ESMA does not consider that publication arrangements whereby market participants are required to submit search queries in order to access limited portions of the data (e.g. ISIN-by-ISIN searches, limited time periods) meet the requirement of making data available free of charge.

 

- Deleting data shortly after publication


The data made available free of charge should replicate the information published on a reasonable commercial basis but with a 15 minutes delay. ESMA is of the view that the information should be available for a reasonable time and at least for 24 hours.

 

- No publication of post-trade data on transactions benefitting from a deferral


ESMA recalls that the obligation to make available post-trade data free of charge 15 minutes after publication applies also to transactions benefitting from a deferral. ESMA therefore expects that information on those transactions is made available on the same conditions as information on transactions not subject to deferred publication.

 

 

Market impact

 

Steven Maijoor, ESMA Chair, on 21 June 2018 (ESMA70-156-427) mentioned the fact that following the application of MiFID II no commercial consolidated tape emerged. Given that:

- MiFID II introduced the concept of a consolidated tape operated by commercial entities to provide for consolidated information on post-trade data covering all transactions concluded on trading venues as well as OTC;
- MiFID II provides for a dedicated review clause, including the possibility that a single consolidated tape may be appointed by ESMA;

the ESMA’s Chair remarked that ESMA was considering further actions in this regard.

Nevertheless, European Commission’s public consultation published on 17 February 2020 on the review of the MiFID II/MiFIR regulatory framework (p. 13) mentions still “no CT provider has emerged so far, there is a lack of practical experience with the CT framework under MiFID II /MiFIR”.

 

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