6 MiFID II issues identified by the regulators

We’ve tracked and analysed six key MiFID II reporting data issues that have recently been highlighted by the FCA as errors that your firm needs to avoid in order to satisfy your statutory obligation to monitor for market abuse.

Scroll down to see how you can improve your reporting and monitor for the most common data issues with alerts included with the new Data Accuracy module in UnaVista Analytics.

1

Short Selling Indicator

2

Price and Price Type

3

Trading Capacity

4

Aggregate Client Accounts

5

Order Parties

6

Commodity Derivatives

1

Short Selling Indicator

Your firm should be aware of mispopulating the short selling indicator FCA Market Watch 62 comments: “Examples include Field 62 (Short Selling Indicator) being universally reported ‘UNDI’ (information not available) ... The indicator fields should be populated in accordance with the requirements in RTS 22.”

Protect against this issue:

Our new Data Accuracy alerts monitor for:

  • Incorrect Short Selling Indicator (ISSI)

    Triggered on transactions where the 'Short Selling Indicator' has been populated where it is not required and not populated where it should have been.

  • Short Selling Without Exemption (SSWE)

    Triggered on transactions where 'Short Selling Indicator' has been reported as short selling without exemption (SESH).

8.9%

of all alerts

308,000 + alerts

triggered by this issue across the UnaVista community

2

Price and Price Type

Ensuring that your transaction prices are reported accurately is fundamental as price is essential to the FCA’s ability to monitor for market abuse. If your firm reports a price as ‘not applicable’ without proper justification, or ‘pending’ but never supplies it, the data will be useless to FCA

Protect against this issue:

Our new Data Accuracy alerts monitor for:

  • Zero Price (ZERP)

    Triggered on on-exchange transactions when field 33 ‘Price’ has been reported as zero.

  • Negative Price (NEGP)

    Triggered on on-exchange transactions when field 33 ‘Price’ has been reported as negative.

  • Price Not Available/Applicable (PRNP)

    Triggered on transactions where field 33a 'Price Type' has been reported as available/pending (PNDG) or not applicable price (NOAP).

  • Unusual Trade Price

    Triggered on transactions where the price reported is out of line with the market high / low or other reported prices that day where there is a statistically relevant sample.

5.5%

of all alerts

191,000 + alerts

triggered by this issue across the UnaVista community

3

Trading Capacity

The FCA expects your firm to correctly report the trading capacity to allow it to accurately monitor the change of firms and their clients position

FCA Market Watch 59 comments: “We have recorded firms populating buyer and seller fields inconsistently with the trading capacity field. For example, firms reporting themselves as the buyer or seller where the trading capacity is AOTC ... Market participants must promptly notify the relevant competent authority where they become aware of errors or omissions within a transaction report.”

Protect against this issue:

Our new Data Accuracy alerts monitor for:

  • Incorrect Agency Capacity Usage (IACU)

    Triggered when the executing entity is either the buyer or the seller and the trading capacity is incorrectly AOTC or where AOTC is correctly used but the Buyer / Seller is incorrectly populated.

  • Incorrect Match Capacity Usage (IMCU)

    Triggered when the executing entity is either the buyer or the seller and the trading capacity is incorrectly MTCH, or where MTCH is correctly used but the buyer / seller is incorrectly populated.

0.7%

of all alerts

23,000 + alerts

triggered by this issue across the UnaVista community

4

Aggregate Client Account

Your firm should ensure correct use of the aggregate client account (INTC) as highlighted by the FCA in the applicable guidelines.

FCA Market Watch 62 comments: We have identified firms misusing the aggregate client account by using the INTC convention to report order(s) for one client executed in multiple fills. Other firms have reported flows in and out of the aggregate client account that do not net off on the same business day.”

Protect against this issue:

Our new Data Accuracy alerts monitor for:

  • Misuse of INTC Flag (MOIF)

    The alert triggers if the INTC flag is used but the bought and sold volumes do not net off at an instrument level on trade date.

0.2%

of all alerts

7,000 + alerts

triggered by this issue across the UnaVista community

5

Price Currency

FCA has been highlighting this error since MiFID.

FCA Market Watch 59 comments: “Where price is reported in monetary terms, it should be populated in the major currency (e.g. pounds). We have identified multiple instances of firms misreporting in the minor currency (e.g. pence). This presents a misleading impression of the value of the transaction, limiting the FCA’s ability to conduct effective market abuse surveillance.”

Protect against this issue:

Our new Data Accuracy alerts monitor for:

  • Erroneous Currency conversion

    Triggered where the reported price is > 10% away from the closing price of the stock

0.04%

of all alerts

1,406 + alerts

triggered by this issue across the UnaVista community

6

Commodity Derivative Indicator

Your firm is expected to check that the commodity derivatives indicator is populated correctly . Monitoring of this will reduce the risk that your NCA will detect an issue with the population of the field.

FCA Market Watch 62 comments: “Firms have misreported fields 61, 62, 63 and 64 with potentially default values. Examples include ... Field 64 (commodity derivative indicator) being populated ‘false’ for transactions executed in financial instruments that are not commodity derivatives. Field 64 should be left blank in this scenario. The indicator fields should be populated in accordance with the requirements in RTS 22.”

Protect against this issue:

Our new Data Accuracy alerts monitor for:

  • Incorrect Commodity Derivative Indicator (ICDI)

    Triggered when this field is mis-populated for instruments that are not commodity derivatives.

0.02%

of all alerts

800 + alerts

triggered by this issue across the UnaVista community

Choose another MiFID II issue

Why is data accuracy so important in MiFID II?

Regular monitoring of these data accuracy alerts will reduce the risk that your National Competent Authority (NCA) will detect an issue with your firm’s MiFID II reporting.

Testing has been made mandatory by ESMA RTS 22 Article 15 (1) (d): “The methods and arrangements by which transaction reports are generated and submitted by trading venues and investment firms shall include mechanisms for identifying errors and omissions within transaction reports.”

Hence UnaVista Analytics is designed to provide you with tools to allow you to demonstrate the active steps your firm needs to take to comply with this rule.

Many firms mainly check for issues when an FCA Market Watch is published, to ensure that the errors highlighted are not being made. UnaVista Analytics simplifies this initial check – and our Data Accuracy alerts help you monitor for errors emerging on an ongoing basis.