Two industry working groups attempting to harmonise data standards in Europe are seeking support from securities watchdog the European Securities and Markets Authority (ESMA) to ensure their projects are completed ahead of MiFID II implementation.
During a meeting held last week, trade body the Federation of European Securities Exchanges (FESE) and financial messaging standards body FIX Protocol (FPL) recommended that ESMA provide its views – possibly by way of formal guidance – on initiatives aimed at harmonising exchange flags used to tag trades and the identifiers used for different types of OTC transactions.
The groups are aiming to reach an agreement on data standards before the implementation of MiFID II, and the creation of a standardised consolidated tape of post-trade data.
“FESE members and data vendors are ready to implement the exchange flags we have devised ahead of MiFID II adoption,” Rosa Armesto, head of economics, statistics and fixed income markets at FESE, told theTRADEnews.com. “ESMA’s support is not a prerequisite to completing the project, but regulatory endorsement will help to justify the investment that market participants will need to make to implement the new flags.”
As well as FPL, FESE and members of ESMA’s secondary markets standing committee, last week’s meeting was attended by multilateral trading facilities, data vendors, sell-side firms and trade reporting facility Markit BOAT.
FESE leads the exchange flag initiative – dubbed multi-market topology (MMT) – and the initiative emanates from a series of market data commitments made by its members in July 2010.
In addition to exchange flags, the commitments included making data free to the public and end-users after 15 minutes and unbundling pre- and post-trade data to enable easier consolidation.
The push to standardise OTC trading data is now being led by messaging body FIX Protocol, which is continuing the work done by an industry working group created by ESMA’s predecessor the Committee of European Securities Regulators (CESR) towards the end of last year.
The outcome of the CESR working group was the development of standardised flags for seven OTC trade types comprising: benchmark trades; agency crosses; give-up/give-in trades; dark trades; technical trades; ex/cum dividend trades; and negotiated trades.
“As well as refining the work done by the CESR working group, FPL’s involvement will be to provide feedback to FESE’s MMT structure,” commented Jim Kaye, co-chair of FPL’s global steering committee and director, product development, European execution services at Bank of America Merrill Lynch. “This includes looking at time stamps, venue identifiers and symbology. Our overall aim is to compile a document that will describe the specifications for a consolidated tape from a data flow perspective.”
Under MiFID II proposals made by the European Commission in October, market data vendors will be able to establish consolidated tape solutions based on data delivered via new entities called approved publication arrangements, which would be responsible for cleaning and normalising data for consolidation to a set of pre-defined standards.
“We are trying to come up with a free set of specifications that will be used to facilitate a commercial approach to the consolidated tape,” added Kaye.