EUROPEAN UNION: ESMA Fosters Derivatives Market Transparency

Friday May 29 2015

The European Union’s derivatives markets are becoming more transparent through the public availability of harmonised aggregate data reported to the six trade repositories (TRs) registered with the European Securities and Markets Authority (ESMA) under the European Markets Infrastructure Regulation (EMIR). The publically available data allows market participants to monitor the extent, dynamics and trends of derivatives trading in the European Union, including identifying what has been traded on and off-venue.

EMIR requires TRs to publish a breakdown of:

• the aggregate open positions per derivative class; 
• aggregate transactions volumes per derivative class; and 
• aggregate values per derivative class.

Harmonisation of public data across TRs

All TRs started publishing aggregate data after February 2014, however the overall aggregation of publicly available data across TRs remained problematic due to different data granularity, level of consistency, presentation structure and formats chosen by TRs. In order to foster market transparency, ESMA, which supervises the six European TRs, asked for the implementation of different measures to improve the quality, harmonisation and access to data aggregates.

From April 2015, harmonised public data is available and updated weekly by all TRs. The information available includes: open positions, trades volume and values are broken down by derivative class, type, trade type (single-sided EEA, single-sided non EEA, or dual-sided) which enables to aggregate and compare data across TRs.

Click on the link above for further details.