On 11 June 2019, the European Securities and Markets Authority (ESMA) published its final report following its call for evidence on periodic auctions (our blog is here). The report summarises the feedback received to the call for evidence and presents ESMA’s reflections on the feedback provided, including possible follow-ups. Where follow-ups are identified, ESMA intends to issue supervisory guidance in the coming months.
As regards frequent batch auctions (FBAs) (discussed at chapter 4 of the report), it is worth noting that the call for evidence identified four main characteristics of FBA trading systems: limited pre-trade transparency, short auction duration, price determination within the best bid and offer price, and self-matching features. Respondents broadly agreed that ESMA identified the main characteristics of FBAs, whilst stressing differences in how the characteristics are applied by the various FBA systems. Whilst additional characteristics were also proposed, ESMA considers that most of them derive, explicitly or implicitly, from one of the four characteristics.
ESMA will work on further guidance along the lines recommended in the report, covering in particular the areas of price determination and pre-trade transparency.