MiFID Transparency Calculations
As required by the Markets in Financial Instruments Directive (MiFID), we have sent the Committee of European Securities Regulators (CESR) an updated list of all the shares admitted to trading on a regulated market (RM) for which the UK is the most relevant market in terms of liquidity and the associated transparency calculations for each share for calendar year 2007. These updated transparency calculations are effective from 1 April 2008 to 31 March 2009.
In turn, CESR maintains a consolidated list of all shares admitted to trading on an EEA RM on the CESR Market Transparency Database. This consolidated list underpins the MiFID transparency regime and enables investment firms to identify:
- shares deemed to be liquid under the criteria laid out in Article 22 of the Commission Regulation (EC) No 1287/2006; and
- the liquidity band into which a share falls for determining:
- whether an order in that share is large in scale compared to normal market size (Table 2 of Annex II of the Commission Regulation) for purposes of the waiver from pre-trade transparency; and
- the minimum qualifying size of transaction for the purposes of deferred post-trade publication (Table 4 of Annex II of the Commission Regulation).
The CESR website contains useful information relating to the CESR MiFID Transparency Database and the MiFID transparency regime. Of particular note, in February 2008 CESR published a 'Protocol on the operation of CESR MiFID Database' (CESR 08-144) and 'Changes to the database of shares admitted to trading on regulated markets' (CESR 08-141).
How do we calculate and maintain the CESR database?
Relevant market: Articles 9 and 10 of the Commission Regulation outline the process for determining the most relevant market for a share.
Liquid shares: Article 22 of the Commission Regulation outlines how to determine whether a share admitted to trading on an RM shall be considered liquid (for the purposes of systematic internaliser quote obligations). The UK has opted to specify that both the liquidity criteria stated in the Commission Regulation need to be met.
Calculations and estimates: Articles 33 and 34 of the Commission Regulation outline the obligations, the calculation method and the publication requirements for the MiFID transparency calculations.
Trading data: Until March 2009 the trading data for each share admitted to trading on a UK RM is being sourced from the operator of each UK RM that is the most relevant market in terms of liquidity for that share – the London Stock Exchange and SWX-Europe. From March 2009 it will be based on all the orders executed in the community in the relevant share between 1 January and 31 December of the year before.
Exchange rate: CESR's consolidated list is published in Euros. To meet this requirement, we have converted our Sterling-denominated MiFID transparency calculations data into Euros using a fixed Euro/Sterling exchange rate of 1.4619 throughout. This exchange rate is the average of the Bank of England's 4pm daily spot rate over the calculation period (1 January 2007 – 31 December 2007). Although the Swiss shares admitted to trading on SWX-Europe's regulated market are typically quoted and traded in Swiss Francs, they give us the trade data in Euros, having been converted from Swiss Francs to Euros every day using the daily Change Fix Value (Swiss Franc:Euro exchange rate).
The current values for Euro/Sterling exchange rate and the average daily Change Fix Value, provided by SWX-Europe (calculation period: 1 January 2007 – 31 December 2007) are shown in the table below along with previous exchange rates used on the CESR database. We have included them for the purpose of past calculations.
Free float information: the free float banding has been based on data sourced from FTSE International Limited.
Maintenance: We have established a process with the RMs that enables us to update the CESR MiFID Transparency database each day for any admissions or cancellations of shares admitted to trading on an RM for which the UK is the most relevant market. We will also review the calculations from time to time for any significant and permanent changes in relation to a share or the issuer that significantly affects the previous calculations and recalculate them as necessary.
Want to know more?
For more information on the MiFID transparency calculations, please contact MiFID_calculation@fsa.gov.uk.