ESMA releases updated equity and equity-like instrument calculations

The European Securities and Markets Authority (ESMA) has released the annual transparency calculations for equity and equity-like instruments.

Its updated calculations are used to help with compliance for regulations like MiFID II/MiFIR, which have transparency requirements for these equity instruments.

The new calculations can be found on the through ESMA’s Financial Instruments Transparency System (FITRS). It includes the liquidity assessment, determination of the most relevant market terms of liquidity, and the determination of the average daily turnover relevant for resolve of pre-trade and post-trade large in scale.

Additionally, it covers the average value of the transactions and related standard market size, and the average daily number of transactions on the most relevant market in terms of liquidity.

These new results reflect late corrections to the underlying data used to perform the calculation by reporting entities.

In a release announcing the update, it said, “ESMA had identified mis-reporting by trading venues, in particular TP ICAP UK MTF – CASH EQUITY (MIC: IMCE), related to the determination of the applicable tick-size regime. ESMA considers that this misreporting should have been identified by the relevant venues earlier. ESMA wishes to emphasise again that correct and timely reporting is essential for the calculation of correct results by ESMA. Incorrect results do have an impact on the entire market and not just the misreporting venues.”


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