MiFID II Post-Trade Bond Data “Unusable”

Shanny Basar

The International Capital Market Association has created a task force to improve post-trade data in European bond markets which it said is  “suboptimal and unusable.”

MiFID II, which went live in the European Union at the start of last year, extended best execution requirements from equities into fixed income and mandated new transparency and post-trade reporting in bond markets for the first time.

ICMA said in its latest quarterly report that market participants had been eagerly awaiting more post-trade data due to MiFID II as it can be used in pre-trade decision making, execution counterparty identification and post-trade performance and analysis.

In order to tackle the poor data quality, ICMA created a task force which bought  together data experts from a variety of market participants including trading venues and market data providers, the sell side and buy side.

“Currently, post-trade data quality is suboptimal and unusable,” added the association. “ICMA believes that improvements are urgently needed and the best places to start are the database structures within Esma.”

The European Securities and Markets Authority has two databases which “source” bond data quality in the EU – the Financial Instruments Reference Data System and the Financial Instruments Transparency System

“Both of these ‘headwater’ databases impact all downstream bond data, one way or the other,” added ICMA.

At the start of this year, the ICMA task force created a table of the identified data challenges and issues in the two databases and proposed workable solutions to Esma.

Areas identified for improving data quality include the publication times of daily files; inconsistencies in the classification of financial instruments; duplicate records and missing information; and non-equity transparency quantitative data reporting instructions.

“ICMA believes the data quality task force, working together with Esma specialists, will be successful in improving data quality in cash bond markets,” said the report. “There is also a view that these efforts will benefit data quality in other asset classes.”

The report continued that meetings are now taking place with the European regulator and the process of improving data quality has begun. ICMA said it will report progress on data quality in due course.

Rebecca Healey, Liquidnet

A survey from Liquidnet University last month found that 56% of asset managers have seen no improvements in transaction cost analysis in fixed income despite more data being reported under MiFID II.

Rebecca Healey, head of EMEA market structure and strategy at Liquidnet, the institutional investor block trading network, wrote in the report that the buy side still finds it hard to find the data needed to enhance the execution decision-making process.

“Widespread industry frustration remains at the perceived lack of data quality available from Approved Publication Arrangements (APAs) today, alongside the challenges in interpreting best execution reports,” she said. “Participants complain of incomplete and inaccurate data, unnecessary complexity in terms of different fields to be reported and a lack of industry standardisation leading to the need to allocate valuable resources to clean up datasets before they can be used to derive real value.”


European Union firms will face more new reporting requirements when the Securities Financing Transactions Regulation comes into force in the region next year.

The required SFTR standards were published in the EU’s Official Journal last month which fixes the implementation timeline. ICMA said banks and investment firms will be the first ones to report, starting from 11 April 2020, or exactly 12 months after the standards came into force. The requirements will then be gradually extended to other entities, including clearing houses and central securities depositories on 11 July 2020, the buy side on 11 October next year and non-financial counterparties in 2021.

“This leaves the industry exactly one year to prepare for the initial reporting go-live,” added ICMA. “While the scale of this implementation task is not to be underestimated, the work at the industry level is well under way.”

The association has a dedicated SFTR task force working on agreed definitions and best practices for reporting. In addition Esma is due to publish draft reporting guidelines for public consultation either this month or in early May.

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