Conference Dailys TRADETech FX Daily 2018 Wrap-up | Page 7

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REGULATION
Goldman Sachs, Liquidnet and Bloomberg called out in
first MiFID II data indicators from ESMA
FIRST DATA COMPLETENESS INDICATORS FOR DOUBLE VOLUME CAPS FROM ESMA REVEAL GOLDMAN SACHS, LIQUIDNET
AND BLOOMBERG HAD HIGHEST AMOUNT OF INCOMPLETE DATA SUBMISSIONS.
T
he EU markets watchdog has published its
first MiFID II data performance indicators,
with Goldman Sachs, Liquidnet and Bloomberg
among those firms called out for a high number
of incomplete data submissions.
For data submitted for the double volume
caps (DVCs) under MiFID II, Goldman Sachs’ Sig-
ma X multilateral trading facility (MTF) auction
book had 11 incomplete ISINs for liquid shares,
the highest number of all trading venues scru-
tinised, followed by ICAP’s MTF for cash equity,
which had eight incomplete ISINs.
The completeness indicators report for DVCs
from the European Securities and Market
Authority (ESMA) also revealed that Euronext
Block MTF and London Stock Exchange MTF
both had the third-highest, with six incomplete
ISINs for liquid shares.
For DVC data for other equity instruments,
including non-liquid shares and non-shares,
ESMA’s report showed that Liquidnet had the
most incomplete ISINs with 823 and the high-
est completeness shortfall of 35%. Bloomberg
Trading Facility Limited’s MTF had the sec-
ond-highest number of incomplete ISINs with
659 and a completeness shortfall of 27%.
Tradeweb followed in third place for other
equity instruments, with a significantly lower
number of incomplete ISINs compared to Liq-
uidnet and Bloomberg Trading Facility Limited
of 160 and a completeness shortfall of 6%.
The data indicators on DVCs was published on
8 October, observing submissions from April last
year to August this year. A similar performance
report for data submitted for bond liquidity as-
sessments under MiFID II is due to be published
on 1 November.
ESMA announced plans to increase its scrutiny
of data submitted by European trading venues
last month in a bid to force venues to improve
their provision of timely and complete data to
the regulator.
“ESMA is committed to ensuring data com-
pleteness to facilitate the consistent application
of the DVC and bond market liquidity rules across
the EU. Moreover, we need to ensure a level
playing field between trading venues,” said Steven
Maijoor, chair of ESMA, upon announcing the data
performance indicators. “These goals can only be
accomplished if the relevant data from trading
venues is consistently complete and correct.”
The data performance reports will be pub-
lished monthly for DVCs and quarterly for bond
liquidity, ESMA added.
EUROPE
Block trading in Europe sees €8.1billion value traded record
VALUE TRADED OF BLOCK TRADING IN EUROPE SAW RECORD HIGHS LAST WEEK, LED BY LIQUIDNET, ITG POSIT, CBOE LIS AND
TURQUOISE PLATO.
E
urope saw a record amount of block trading
activity last week as restrictions on dark pool
trading under MiFID II continue to drive large-in-
scale (LIS) trading.
Statistics from Fidessa show that for the week
ending 12 October a new record was set for value
traded in blocks on all venues in Europe of €8.1
billion, beating the previous record set in May of
€7.3 billion.
A record number of 7,063 block trades were
also executed across all venues last week, with
Liquidnet seeing the highest amount of block
trades, closely followed by the ITG POSIT and
Turquoise Plato platforms.
Liquidnet currently holds the highest block
venue market share of 30.4%, again followed
by ITG POST which has 26.8% market share and
then Cboe LIS with 19.5%, the statistics also
showed.
Following the introduction of MiFID II’s double
volume caps (DVCs), which limits transactions
that can be executed under waivers at 4% at a
trading venue level and 8% for all EU trading
venues, the number of orders executed above
the LIS threshold has grown significantly.
LIS trading under MiFID II also benefits from
waivers enabling participants to negotiate
trades without pre-trade transparency. Ahead of
the implementation of MiFID II, major Euro-
pean exchange operators such as Cboe Global
Markets, the London Stock Exchange Group and
Euronext, launched block trading platforms to
meet the demand for LIS services.
Commenting on the new record, Rob Board-
man, European CEO of ITG, said: “Last week’s
global equity sell-off simply represents the
latest in a long line of major geopolitical events
to drive block trading volumes. The truth is
that the electronic block market in equities has
been growing for a while. This record simply
represents a peak on a growing trend.
“From trade tariff disputes to rising interest
rates, the drivers of these high volumes are
wide ranging. With no shortage of opportunities
in electronic block pools, it is key that asset
managers continue to trade quickly, in size,
without price impact.”
Periodic auctions have also emerged out of
the regulation as a popular venue for traders
looking to avoid the DVCs, with volumes surging
across auction systems in Europe following the
introduction of MiFID II.
Despite the share of trading on periodic auc-
tions being relatively low, the European financial
regulator is expected to announce plans to
tighten rules amid concerns the venue is being
used to circumvent certain requirements.
The official newspaper of TradeTech FX Europe 2018
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