esma_mifid_gth_meff_replyform

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Reply form for the Consultation Paper on the
Guidelines on the calibration, publication and
reporting of trading halts
06 October 2016 | ESMA/2016/1440
Date: 06 October 2016
Responding to this paper
The European Securities and Markets Authority (ESMA) invites responses to the specific questions listed
in the ESMA Discussion Paper on the Guidelines on specific notions under MiFID II related to the management body of market operators and data reporting services providers, published on the ESMA website.
Instructions
Please note that, in order to facilitate the analysis of the large number of responses expected, you are
requested to use this file to send your response to ESMA so as to allow us to process it properly. Therefore, ESMA will only be able to consider responses which follow the instructions described below:

use this form and send your responses in Word format (pdf documents will not be considered except for annexes);

do not remove the tags of type <ESMA_ QUESTION_MIFID_GTH_1> - i.e. the response to one
question has to be framed by the 2 tags corresponding to the question; and

if you do not have a response to a question, do not delete it and leave the text “TYPE YOUR
TEXT HERE” between the tags.
Responses are most helpful:

if they respond to the question stated;

contain a clear rationale, including on any related costs and benefits; and

describe any alternatives that ESMA should consider.
Naming protocol
In order to facilitate the handling of stakeholders responses please save your document using the following format:
ESMA_MiFID_GTH_NAMEOFCOMPANY_NAMEOFDOCUMENT.
e.g. if the respondent were ESMA, the name of the reply form would be:
ESMA_MiFID_GTH_ESMA_REPLYFORM or
ESMA_MiFID_GTH_ESMA_ANNEX1
Deadline
Responses must reach us by 06 December 2016.
All contributions should be submitted online at www.esma.europa.eu under the heading ‘Your input/Consultations’.
Publication of responses
All contributions received will be published following the end of the consultation period, unless otherwise
requested. Please clearly indicate by ticking the appropriate checkbox in the website submission
form if you do not wish your contribution to be publicly disclosed. A standard confidentiality
statement in an email message will not be treated as a request for non-disclosure. Note also that a
confidential response may be requested from us in accordance with ESMA’s rules on access to documents. We may consult you if we receive such a request. Any decision we make is reviewable by ESMA’s
Board of Appeal and the European Ombudsman.
Data protection
Information on data protection can be found at www.esma.europa.eu under the heading ‘Legal notice’.
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Introduction
Please make your introductory comments below, if any:
< ESMA_COMMENT_MIFID_GTH_0>
TYPE YOUR TEXT HERE
< ESMA_COMMENT_MIFID_GTH_0>
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Would you consider these factors discussed above to be useful? Could you identify any additional element to be factored in?
<ESMA_QUESTION_MIFID_GTH_1>
No. Regarding the inputs to take into account to calibrate volatility parameters we do not agree with all of
them.
To calibrate a set of parameters at the level of a class of financial instrument is not necessary because in
our point of view trading halts should only apply in futures order books, and only those futures that are
considerate appropriate to the trading venue. Due to its nature it makes no sense to have trading halts in
options or dividend futures for example.
We do not agree either with the input External references. A derivative in our market has nothing to do
with the same derivative traded in another market, the order books are completely different and a trading
halt in one of them should not imply a trading halt in another market.
Regarding the duration of the halts is very complex to define an exact length, but we can consider establish an approximate duration, from 30 seconds to 15 minutes, although it could be extended if the trading
venue considers it necessary.
When calibrating the volatility parameter we agree to take into consideration the number of times the
mechanism was used in the previous years, but only on our own platform, not in the platforms of other
trading venues.
Do you consider that the Guidelines regarding calibration of volatility parameters
should also apply to mechanisms to reject erroneous orders (i.e. order price / volume collars) and that ESMA should propose Guidelines on this issue at its own initiative?
No, mechanisms to reject erroneous orders are already in place with their correspondent parameters.
Is there any other aspect which should be considered in these Guidelines so as to
prevent market-wide volatility events given the current structure of European markets?
No. <ESMA_QUESTION_MIFID_GTH_3>
Do you consider that the proposed order and trade feed reporting standard for
trading status will contribute to facilitate a correct identification of trading halts
across Europe? Do you foresee any drawback on it?
This unified data is already available via vendors and we consider it does not provide further information
or add any value to market participants.<ESMA_QUESTION_MIFID_GTH_4>
Would you prefer a further degree of granularity in the information provided as described in the text under paragraphs 46 and 47? Please elaborate in case you consider necessary further granularity but you disagree with the proposed approach.
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No, degree of granularity is wide enough.
Is the code proposed above (i.e. “VH”) appropriate, or should another code be
used? Please elaborate in case you consider that another code should be used.
Yes, it is fine.l
Do you agree with the reporting template proposed?
Yes.
Are there any other items that should be included in the template?
No.
Please provide any views with respect to the costs and benefits identified in the
relevant annex.
We consider statistical correlation between instruments among different markets would imply high costs,
as it would be needed to increase human resources to do the research, new market data licenses and this
would bring a lack of benefits or they would be very limited. <ESMA_QUESTION_MIFID_GTH_9>
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