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Markets and Securities Services | Issue 46
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Retention
MiFID II mandates that data be retained for a
minimum of five years in a durable and easily
discoverable format, i.e. it should be easily
provided to a national competent authority
(NCA) on request. Systems must be able to
track the audit trail for relevant modifications
or corrections. To avoid enforcement issues,
operations and compliance departments will
need mechanisms to identify trades based on:
• Security references
• Data ranges
• Transaction types
• Exception types
• Statistical ranges
Distribution
The conduit for publishing firm data to NCAs
under MiFID II is an “Approved Reporting
Mechanism” (ARM) or via the trading venue
where a transaction is executed. New post-
trade data providers will be those providing
Approved Publication Arrangements (APAs),
and Consolidated Tape Providers (CTPs) will
also collate and electronically disseminate
firm and platform data. This wealth of freely
available, timely data means trading venues
and fund managers need to be aware of the
distinct reporting requirements and metrics
that flow from their execution decisions.
Clients’ confidential or private data will be
subject to data protection and privacy laws in
a number of national jurisdictions requiring
some ability to encrypt and decrypt data
at different points in the processing chain.
Initially it will be increasingly important to
manage the dissemination of this information
in line with internal standards and rules, given
the likely variation in enforcement among
NCAs in the early stages of compliance.
Clock synchronisation requirements
MiFID II requirements for clock-
synchronisation are summarised in RTS 25
(see ESMA consultation paper,
3
published
December 2015 for full details on proposals).
They require firms and venues to timestamp
events accurately relative to Coordinated
Universal Time (UTC) and to an appropriate
level of granularity depending on where a
trade is executed and the gateway-to-gateway
latency of the venue.
If viewed in isolation, RTS 25 appears to
apply to trading venues and their members or
participants, with non-venue members (e.g.
the buy side) out of scope. RTS 25, however,
should not be viewed in isolation from
other MiFID requirements, market structure
developments or other NCAs’ decisions.
MiFID II and other reporting regimes require new
technologies and approaches that are used for collecting,
structuring and evaluating new data reporting and
analysis requirements.
The resulting regulatory requirements necessitate
data sets that are too large, that are too complex and
that change too quickly to be evaluated with existing
in-house technologies.
Objectives will be to centralise the data sets from various
subsystems into a data framework that supports validation,
enrichment, analysis and distribution.
Technical implementations requires new information
architecture, software processing, and new calculation
of analytics, and data distribution.
Problem definition
MiFID II requirements for the collection, correlation, analysis and reporting of all financial transactions
Goals
Term
Implementation
Data sets