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.  

The 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’ Sigma X multilateral trading facility (MTF) auction book had 11 incomplete ISINs for liquid shares, the highest number of all trading venues scrutinised, 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 highest completeness shortfall of 35%. Bloomberg Trading Facility Limited’s MTF had the second-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 Liquidnet 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 assessments 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 completeness 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 published monthly for DVCs and quarterly for bond liquidity, ESMA added.