On 17 October 2024, the European Commission (Commission) announced that the Expert Group set up under the Regulation governing rules about markets in financial instruments (DEG) had published reports on the main parameters of EU consolidated tapes.

The DEG was tasked with providing advice to the Commission and the European Securities and Markets Authority (ESMA) on (i) the quality and the substance of market data and the quality of the transmission protocols for the purpose of the operation of the consolidated tapes, and (ii) the calibration of non-equity post-trade publication deferrals.

The DEG’s reports outline certain recommendations with the aim of making the consolidated tapes a success for the EU and these recommendations will feed into the work of ESMA and the Commission on the MiFIR implementing measures.

The DEG’s core findings include that on the calibration of post-trade publication deferral schedules for bonds, the Commission and ESMA should:

  • Reconsider the current grouping proposals using additional factors (such as currency, issuer country, sub-asset classification and duration) to allow sufficient granularity.
  • Use the current amount outstanding (“total issued nominal amount” in the Financial Instruments Reference Data System (FIRDS) records to determine the issuance size thresholds, relevant for assessing the liquidity – rather than the original issuance amount and that field 14 of Commission Delegated Regulation (EU) 2017/585 should be renamed “current notional amount outstanding” to clarify the requirement.
  • Adopt an Average Daily Volume (ADV) / absorption time approach to re-assess appropriateness of the trade size buckets (and potentially exclude transactions of less than €100,000) with regards to price dissemination, while considering that ADV should not be used to allow such generous deferrals that a liquidity-provider or market-maker is able to trade out of a position “risk-free”.
  • Distinguish between investment grade and high yield for corporate bonds.
  • Review the proposed treatment of Structured Finance Products, based on the general lack of liquidity in this market segment.

On the calibration of post-trade publication deferral schedules for over-the-counter derivatives, the DEG recommends that:

  • For each index and tenor combination of fixed versus floating single currency standard interest rate swaps:
  • Where there are greater than X trades per day – reporting should be real-time where the size is below a certain threshold and deferred to end of the day (EOD) where the size is greater than that threshold.
  • Where there are less than X trades per day – reporting should be deferred to EOD where the size is below the threshold and deferred to T+1 where the size is greater than the threshold.
  • X should be set by ESMA at a number between 4 and 15 trades per day depending on the ESMA’s view on sufficient liquidity, while the threshold should be determined with reference to the 67th percentile for standard swaps.
  • There should be a cap applied at the 90th percentile – in that case, the full size should be published only after 3 months.
  • For each Index and tenor combination of fixed versus floating single currency non-standard interest rate swaps:
  • Reporting should be EOD where the size is below a certain threshold, and
  • Reporting should be deferred to T+2 where the size is greater than that threshold;
  • The non-standard threshold should be set at the 50th percentile.