欧洲央行-关于收集MiFIR透明度数据：对欧洲央行合格上市资产的申请（英）

Statistics Paper Series On the collection of MiFIR transparency data: an application to the ECB eligible marketable assets Gonzalo Camba-Méndez, Jan Jerzy Darecki, Andrés Manzanares, Matteo Metra, Riccardo Vergnano No 51 Disclaimer: This publication should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. ECB Statistics Paper Series No 51 1 Contents Abstract 3 1 Executive Summary 4 2 Introduction 6 3 Transparency requirements in respect of bonds under MiFIR 9 3.1 Trading venues and over-the-counter transactions 9 3.2 Pre-trade versus post-trade transparency 10 3.3 Transparency requirements under UK MiFIR 13 4 Data sources and database schema 15 4.1 ECB list of eligible marketable assets 15 4.2 Trading venues and APAs 15 4.3 Linking trading venues with ECB eligible assets 16 4.4 Transaction records and database schema 16 5 IT retrieval and database management 19 5.1 IT retrieval technicalities for metadata 19 5.2 IT retrieval technicalities for transactions and quotes 20 5.3 Overcoming some of the data reporting deficiencies 21 6 The data in the context of the ECB’s collateral framework 25 6.1 Distribution across trading venues 25 6.2 The depth of the various market segments 29 Box 1 Instances of double counting by UK and EU investment firms 29 6.3 Availability of reliable price information 34 7 Conclusions and challenges going forward 38 References 40 Annex I: Tables of field names 42 Annex II: List of trading venues 44 Annex III: Metadata retrieval with Python 46 ECB Statistics Paper Series No 51 2 Annex IV: Example of data retrieval with Python from a trading venue 49 Acknowledgements 52 ECB Statistics Paper Series No 51 3 Abstract One of the main goals of launching the EU’s second Markets in Financial Instruments Directive (MiFID II) and the respective Markets in Financial Instruments Regulation (MiFIR) was to increase the transparency of transactions in financial markets. Prior to MiFID II, transparency requirements in financial markets were limited mostly to equities traded in regulated markets. Following MiFID II, transactions now need to be publicly reported for a broader range of financial assets. Furthermore, disclosures on financial transactions are not restricted to those transactions executed in regulated markets but apply also to those executed over the counter. Importantly, this information should be made available free of charge, ensuring non-discriminatory access, within the 15 minutes following the transaction. The published information should also be machine-readable. The purpose of this paper is to show how a relatively simple IT tool may be devised that gathers data on market prices and transacted volumes published in compliance with MiFID II. We steer our simple IT tool towards retrieving data on those financial assets that are eligible for use as collateral in Eurosystem credit operations. Thi