COMMISSION STAFF WORKING DOCUMENT IMPACT ASSESSMENT REPORT Accompanying the Proposal for a Regulation of the European Parliament and of the Council amending Regulation (EU) No 600/2014 as regards enhancing market data transparency, removing obstacles to the emergence of a consolidated tape, optimising the trading obligations and prohibiting receiving payments for forwarding client orders Proposal for a Directive of the European Parliament and of the Council amending Directive 2014/65/EU on markets in financial instruments
Date: 2021-11-25
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: credit institution, data collection, disclosure of information, financial instrument, financial legislation, financial supervision, financial transaction, investment company, share, trade licence

EN 

  EN 

   EUROPEAN COMMISSION  Brussels, 25.11.2021  SWD(2021) 346 final  COMMISSION STAFF WORKING DOCUMENT  IMPACT ASSESSMENT REPORT  Accompanying the Proposal for a Regulation of the European Parliament and of the Council amending Regulation (EU) No 600/2014 as regards enhancing market data transparency, removing obstacles to the emergence of a consolidated tape, optimising the trading obligations and prohibiting receiving payments for forwarding client orders Proposal for a Directive of the European Parliament and of the Council  amending Directive 2014/65/EU on markets in financial instruments {COM(2021) 726 final} - {COM(2021) 727 final} - {SEC(2021) 573 final} - {SWD(2021) 347 final}  
 
 
Table of contents 

1. 

2. 

INTRODUCTION: POLITICAL AND LEGAL CONTEXT ............................................................... 5 

PROBLEM DEFINITION .................................................................................................................... 6 

  Main stakeholder views ..................................................................................... 6 
  What are the problems? ..................................................................................... 8 
  What are the problem drivers? ........................................................................ 13 
  How will the problem evolve? ........................................................................ 17 

3.  WHY SHOULD THE EU ACT? ........................................................................................................ 19 

  Legal basis ....................................................................................................... 19 
  Subsidiarity: Necessity of EU action ............................................................... 20 
  Subsidiarity: Added value of EU action .......................................................... 21 

4.  OBJECTIVES: WHAT IS TO BE ACHIEVED? ............................................................................... 22 

5.  WHAT ARE THE AVAILABLE POLICY OPTIONS? .................................................................... 22 

  What is the baseline from which options are assessed? .................................. 22 
  Options to achieve specific objectives 1 and 2 ................................................ 23 
  Options to achieve specific objectives 3 and 4 ................................................ 29 
  Options discarded at an early stage ................................................................. 33 

6.  WHAT ARE THE IMPACTS OF THE POLICY OPTIONS? ........................................................... 34 

Impacts of options to achieve specific objectives 1 & 2 ................................. 34 
Impacts of options to achieve specific objectives 3 & 4 ................................. 50 

7.  HOW DO THE POLICY OPTIONS COMPARE? ............................................................................. 56 

  Options to address specific objectives 1 & 2 ................................................... 56 
  Options to address specific objectives 3 & 4 ................................................... 58 

8. 

PREFERRED OPTION ...................................................................................................................... 59 

9.  HOW WILL ACTUAL IMPACTS BE MONITORED AND EVALUATED? .................................. 61 

10.  ANNEXES .......................................................................................................................................... 63 

1 

 
 
 
 
 
 
Glossary 

Term or acronym  Meaning or definition 

15 minutes 
delayed data rule  

According  to  this  rule,  trading  venues  and  reporting  agencies  have  to  make  available 
their market data free of charge after 15 minutes. The rule is a remnant of a traditional 
exchange practice of publishing market data after 15 minutes free, essentially because 
the data has lost its commercial value after that period. 

APA 

API 

BBO 

CLOB 

Approved  publication  arrangement  (APA)  is  a  person  authorised  under  MIFID  II  to 
provide  the  service  of  publishing  trade  reports  on  behalf  of  investment  firms  (Article 
(4)(1)(52) MiFID II). 

Application Programming Interfaces 

Best bid and offer. The best bid price is the highest binding bid price to buy a financial 
instrument  and  the  best  offer  price  is  the  lowest  binding  price  to  sell  a  financial 
instrument.  

Central Limit Order Book. A transparent system that matches customer orders (e.g. bids 
and offers) on a 'price time priority' basis. The highest ("best") bid order and the lowest 
("cheapest") offer order constitutes the best market or "the touch" in a given financial 
instrument trades on the CLOB. 

CMU 

Capital Markets Union 

Core market data 

Minimum  set  of  trade  data  to  be  provided  by  a  consolidated  tape.  The  two  main 
components  of  core  Market  Data  are pre-trade  data  (i.e.,  information  about  orders  or 
quotations)  and  post-trade  data  (i.e., information  about  executions  including  (1) 
financial  instrument  name  (standardized  instrument  identifier  that  applies  across 
venues);  (2)  best bid  and  offer,  (3)  transaction  price  and  quantity/size  executed  at  the 
stated price; (4) standardised code identifying the execution venue; (5) timestamp and 
(6) trade conditions (execution protocol/execution flag)). 

CT 

Consolidated Tape 

CT Plan 

CTP 

DVC 

EBBO 

Consolidated  Tape  Plan.  The  entity  administering  the  remuneration  of  the  revenue 
flows generated by the consolidated tape and appointing the technology provider(s) that 
operate the consolidation of core market data.) 

Consolidated Tape Provider (the entity responsible for administering the tape, notably 
receiving,  consolidating  and  disseminating  the  core  market  data  from  trading  venues 
and APAs,  

Double  Volume  Cap.  Under  MiFID/R,  the  percentage  of  trading  in  a  financial 
instrument carried out on a trading venue under the negotiated trade and the reference 
price waivers is limited to 4% of the total volume of trading in that financial instrument 
on that trading venue, calculated over the previous twelve months. Union-wide trading 
in a financial instrument under those waivers may not exceed 8% of the total volume of 
trading on all venues throughout the EU over the previous twelve months. These caps 
are measured over a rolling twelve-month period. ESMA is mandated with publishing 
and updating this data on a monthly basis. 

European Best Bid and Offer – the best bid vs best offer  spread available at the most 
competitive trading venue in the Union (identified by the consolidated core market data 
tape) 

ESMA 

European Securities and Markets Authority 

ESAs Review 

Regulation (EU) 2019/2175 

ETD 

Exchange-traded Derivative means a derivative that is traded on a regulated market or 
on a third-country market considered to be equivalent under MiFIR  

2 

 
ETF 

EOD 

Exchange-traded Fund, a collective (retail) investment vehicle, that issues participation 
rights (units or shares) that can be traded among investors. 

End-of-day; one of the potential delivery modes for a consolidated tape.  

FINRA 

Financial Industry Regulatory Authority, a US self-regulatory organisation (SRO). 

FIX protocol 

The Financial Information eXchange (FIX) protocol is a messaging standard developed 
specifically  for  the  real-time  electronic  exchange  of  securities  transactions.  FIX  is  a 
public-domain specification owned and maintained by FIX Protocol, Ltd (FPL). 

HFT 

IIA 

IPO 

ISIN 

ISO 

Latency 

LIS 

Market data 

MiFID I  

MiFID II 

MiFIR 

High Frequency Trading 

Inception Impact Assessment 

Initial Public Offering 

An  International  Securities  Identification  Number  (ISIN)  is  a  12-digit  alphanumeric 
code that uniquely identifies a specific security. The organization that allocates ISINs in 
any particular country is the country's respective National Numbering Agency (NNA). 

International  Organisation  for  Standardisation,  the  world’s  largest  developer  of 
voluntary  international  standards,  covering  inter  alia,  information  technology  used  in 
the  financial  sector  (the  relevant  committee  is  entitled  “information  technology”  and 
was created in 1987 to develop information and communication technology  standards 
for business and consumer applications.  

Time  required  for  delivery  of  a  data  feed.  Low  latency  denotes  a  fast  delivery  speed, 
whilst  high  latency  denotes  a  slower  delivery  speed.  Latency  is  usually  measured  in 
milliseconds, microseconds or nanoseconds.  

Large in Scale. The LIS waiver is available where an order is considered to be “large in 
scale” compared with normal market size. This is the case if it is equal to or larger than 
the  minimum  size  of  order  specified  in  the  Annex  to  the  MiFID/R  regulatory  and 
implementing technical standards. It allows to waive transparency for what is generally 
known as block trades or high-volume transactions. 

Market  data  includes  the  following  elements:  Pre-trade  data  comprises  the  visible 
prices  and  volumes  of  orders  placed  in  order-driven  markets  or  visible  quotes 
advertised  in  quote-driven  markets.  Orders  are  firm  and  participants  can  interact  with 
every order that  they can see.  Quotes  may only be  firm  up to the advertised size but, 
even  then,  may  have  to  be  negotiated.  Participants  are  not  guaranteed  to  be  able  to 
interact with orders and quotes that are not visible to the market such as for large-sized 
trades or trades that are subject to other special conditions. Post-trade data comprises 
the prices and volumes of trades that have been executed against those visible orders or 
quotes, as well as trades executed against orders and quotes that were not visible to the 
entire market. 

Directive 2004/39/EC (Markets in Financial Instruments Directive) 

Directive 2014/65/EU (Markets in Financial Instruments Directive) 

Regulation (EU) No 600/2014 (Markets in Financial Instruments Regulation) 

MiFID/R 

The overall framework comprising MiFID II and MiFIR 

MMT 

MSP 

MTF 

Market Model Typology, an industry data reporting standard 

Market Structure Partners, consultancy that published a report for the EC on the tape 

Multilateral  Trading  Facility  –  a  MTF  offers  trading  in  financial  instruments  that  are 
listed  elsewhere  (the  “unlisted  trading  privilege”).  The  main  difference  between  an 
MTF  and  an  OTF  (see  below)  is  that  an  OTF  can  only  offer  trading  in  non-equities, 
whereas  MTFs  can  offer  equities  and  non-equities.  [MTFs  can  also  be  registered  as 

3 

 
NAV 

NCA 

OTC 

OTF 

PFOF 

PBBO 

‘SME Growth Markets’ in which case they serve as a primary listing venue.] 

Net Asset Value 

National Competent Authority 

Over-the-counter – OTC trades are not executed on a regulated market, MTF or OTF. 

Organised Trading Facility – an OTF is a multilateral system that offers trading in non-
equity instruments, such as bonds and derivatives.  

Payment  for  order  flow  (PFOF)  is  the  compensation  and  benefit  a  brokerage  firm 
receives for directing orders to different parties for trade execution. The brokerage firm 
receives a  small payment, usually  fractions of a penny per share, as compensation for 
directing the order to a particular market maker or exchange. 

Primary Best Bid and Offer – the best bid vs best offer spread on the primary (listing) 
exchange 

QuickFIX/J 

QuickFIX/J is a full featured messaging engine for the FIX protocol. It is a 100% Java 
open source implementation of the C++ QuickFIX engine. 

RM 

RPW 

SEC 

SI 

According  to  MiFID/R,  a  Regulated  Market  (RM)  is  a  multilateral  system  that  is 
operated  or  managed  by  a  market  operator  and  that  brings  together  or  facilitates  the 
bringing  together  of  multiple  third-party  buying  and  selling  interests  in  financial 
instruments  within  the  system.  RMs  are  often  referred  to  as  “exchanges”  or  “stock 
exchanges”. 

Reference Price Waiver. The reference price waiver for MTFs or RMs allows for orders 
to be  matched at the  midpoint of the  best bid and offer price  available on the trading 
venue where that financial instrument was first admitted to trading or the most relevant 
market in terms of liquidity. 

Securities Exchange Commission (US securities market regulator) 

Systematic  Internaliser.  MiFID/R  defines  SIs  as  “investment  firms  which,  on  an 
organised,  frequent,  systematic  and  substantial  basis,  deal  on  own  account  when 
executing client orders outside a regulated market, an MTF or an OTF”. 

TRACE 

Trade Reporting and Compliance Engine 

UTP 

Unlisted Trading Privilege – the ability of an alternative trading venue, such as a MTF 
or OTF, that have not listed a financial instrument to nevertheless offer trading in that 
financial instrument in competition with the original listing exchange. 

4 

 
 
 
1.  INTRODUCTION: POLITICAL AND LEGAL CONTEXT 

Political context. This initiative is part of the Commission’s 2020 Work Programme. It is 
one  of  the  actions  proposed  by  the  European  Commission  to  implement  the  current 
European  Commission’s  objective  of  ensuring  An  Economy  that  Works  for  People 
implementing  the  CMU  and  protecting  particularly  smaller  and  retail  investors1  by 
enabling  them  to  easily  access  market  data  and  reducing  the  information  asymmetries 
between  different  market  players.  In  the  2020  CMU  Action  Plan2  the  Commission 
announced that it would put forward a legislative proposal by the end of 2021 to create a 
centralised data base meant to provide, for equity and equity-like financial instruments, a 
comprehensive  view  on  market  data,  that  is  prices  and  volume  of  securities  traded 
throughout  the  Union  across  a  multitude  of  trading  venues.  This  centralised  data  base, 
also referred to as the ‘consolidated tape’3 would have the objective to “improve overall 
price  transparency  across  trading  venues”.  In  its  roadmap  on  ‘The  European  economic 
and  financial  system:  fostering  openness,  strength  and  resilience’  of  19  January  2021,4 
the  European  Commission  confirmed  its  intention  to  propose  to  improve,  simplify  and 
further  harmonise  capital  markets’  transparency,  as  part  of  the  review  of  the  MiFID  II 
and  MiFIR  framework  (MiFID/R).  In  the  wider  context  of  the  efforts  aimed  at 
strengthening  the  international  role  of  the  euro,  the  Commission  announced  that  such 
reform would include the design and implementation of a consolidated tape, in particular 
for corporate bond issuances with an aim of increasing the liquidity of secondary trading5 
in euro-denominated debt instruments.  

Legal  context.  In  2007,  MiFID  I6  introduced  competition  in  the  market  for  equity 
trading. In later iterations of MIFID, competition was extended to trading in non-equity 
asset classes, such as bonds and derivatives. The consequence is that, when a broker or 
investor  wants  to  execute  an  order  to  buy  or  sell  an  asset,  it  can  choose  from  different 
venues,  such  as  regulated  markets  (RMs),  multilateral  trading  facilities  (MTFs),  dark 
pools7, and systematic internalisers (SIs). As shown in an Oxera report for the European 
Commission  in  2011,  the  introduction  of  competition  resulted  in  more  choice  and 

1 Retail investors refers to a large spectrum of investors that are non-professional investors.  
2 https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=COM:2020:590:FIN. 
3 The concept of a consolidated tape originates from equity markets in the US and dates back to the late 
1970s. Magnetic tape is  used as a recording  medium  to store  data. Whereas  magnetic  tape is used today 
still for long-term data storage (backup and archiving), in the 1970s this was the main storage medium. 
4 https://ec.europa.eu/info/publications/210119-economic-financial-system-communication_en. 
5  Secondary  trading  denotes  capital  market  activity  that  takes  place  after  the  issuance  of  a  financial 
instrument. The issuance can be done for example by means of an initial public offering (IPO). 
6  Directive  2004/39/EC  of  the  European  Parliament  and  of  the  Council  of  21  April  2004  on  markets  in 
financial  instruments  amending  Council  Directives  85/611/EEC  and 93/6/EEC  and  Directive 2000/12/EC 
of  the  European  Parliament  and  of  the  Council  and  repealing  Council  Directive  93/22/EEC  (OJ  L  145, 
30.4.2004, p. 1). 
7 Dark pools are (dedicated parts of) MTFs or RMs that do not apply pre-trade transparency following the 
use of pre-trade transparency waivers.  

5 

 
                                                 
reductions in trading fees.8 Since MiFID I entered into application, the combined amount 
of  multilateral  venues  and  SIs  across  all  asset  classes  in  the  EEA  increased  by  344, 
leading to a total of 476.9 Each of these trading venues and SIs10 have to disclose to the 
public  their  market  data.  Across  asset  classes,  this  adds  up  to  a  total  of  more  than  400 
market data sources. Every trading venue  is charging a license fee. Soon after MiFID I 
issue  of  market  data  fragmentation11  and  market  data 
was 
monopolies12,13 came to the fore, primarily in equity markets.  

implemented, 

the 

MiFIR,14  in  application  since  3 January 2018,  recognises  the  investor  benefits  of 
consolidating the market data that is published by the different execution venues. MiFIR 
therefore  comprises  the  concept  of  a  ‘consolidated  tape  provider’  (‘CTP’).15  The  idea 
behind  a  CTP  was  simple:  exchanges,  alternative  trading  venues  and/or  their  approved 
publication  arrangements  (APAs)  would  send  real-time  data  streams  to  accredited 
consolidated tape providers (CTPs). Those CTPs would make available to the public the 
exact  same  information,  at  so-called  reasonable  cost,  using  identical  data  tags  and 
formats. The framework was set up under the assumption that market forces would lead 
to  its  creation  by  private  actors  (competing  consolidators).  Based  on  the  MiFIR 
provisions,  there  can  be  multiple competing  CTPs,  but  it  is  also  possible  to  have  one 
single CTP in case multiple providers do not step up. To date, this has not happened for a 
variety of reasons. This impact assessment will analyse why no CTP has  come forward 
and assess various options to finally facilitate the emergence of a CTP.  

2.  PROBLEM DEFINITION 

 Main stakeholder views 

DG  FISMA  consulted  five  stakeholder  groups  on  the  initial  and  revised  problem 
descriptions:  1)  stock  exchanges,  2)  alternative  trading  venues,  3)  asset  managers,  4) 
executing brokers, and 5) market data companies.  Each of these stakeholder groups put 
the emphasis on different aspects of the problem definitions, but there is wide agreement 

8 Oxera (2011), ‘Monitoring prices, costs  and volumes of trading and post-trading services’, prepared for 
European  Commission.  Confirmed  in  Oxera  (2020),  ‘Primary  and  secondary  equity  markets  in  the  EU’, 
also prepared for the European Commission. 
9 Data is based on the 2021 figures from the ESMA register of MiFID entities. See Annex 4 for the picture 
of the market in the main asset classes.  
10 SIs publish post-trade data via one of the (15) approved publication mechanisms (APAs). Transparency 
requirements also apply to transactions executed over-the-counter (OTC), as described in Annex 5.1.3. 
11 OECD Business and Finance Outlook (2016), Changing business models of stock exchanges and stock 
market fragmentation 
12 Impact assessment accompanying MiFID/R, SEC(2011) 1226 final, p 322. 
13 Copenhagen Economics (2018), Pricing of market data 
14  Regulation  (EU)  No 600/2014  of  the  European  Parliament  and  of  the  Council  of  15 May  2014  on 
markets  in  financial  instruments  and  amending  Regulation  (EU)  No 648/2012  (OJ  L  173,  12.6.2014,  p. 
84). 
15 Provisions regarding the CTP were initially introduced in MiFID II, but have been replaced to MiFIR, 
which changes enter into force as of 1 January 2022.   

6 

 
                                                 
that  market  data  fragmentation  and  market  data  quality  issues  cause  information 
deficiencies which are detrimental to an efficient capital market.  

Stock  exchanges  stressed  the  lack  of  uniform  market  data  quality  across  trade 
execution  venues,  singling  out  the  insufficient  quality  of  market  data  delivered  by 
investment banks (SIs) that systematically internalise share trades and investment banks 
trading over-the-counter (OTC). Exchanges do not believe that the need to license market 
data  from  individual  trading  venues  causes  problems  for  market  data  consolidation. 
Alternative trading venues stressed the need to improve overall market transparency and 
best  execution  for  professional  clients.  Asset  managers  and  executing  brokers  stressed 
the  aspects  of  intra-day  liquidity  and  execution  risk  that  results  from  fragmented 
market data sources that are prohibitively expensive to consolidate into an overall view 
of  all  execution  markets.  Asset  managers  also  stressed  the  lack  of  clarity  or  where  to 
locate  liquidity  to  execute  their  orders  throughout  the  trading  day.  They  stressed  that 
making  consolidated  market  data  available  with  a  time-lag  or  only  at  the  end  of  the 
trading  day  would  achieve  nothing  to  reduce  their  liquidity  and  trade  execution  risks. 
Data  companies  stressed  the  impossibility  to  consolidate  market  data  due  to  what  they 
perceive  as  insurmountable  market  data  licensing  obstacles  (both  in  terms  of  the 
amount of licenses required and the high cost of market data licenses).  Data companies 
also stress that market data quality is insufficient to allow for cost-efficient consolidation 
and that application of the “15 minutes delayed data rule” also to a consolidated market 
data  product  leaves  no  commercial  incentives  to  provide  a  consolidated  market  data 
stream.  

Most stakeholders, with the exception of stock exchanges, believe that intra-day liquidity 
and  trade  execution  risk  can  only  be  managed  if  market  data  (prices  and  available 
volumes)  is  consolidated  and  disseminated  in  as  close  to  “real-time”  as  possible  to  the 
entire  market.    Stakeholders  have  also  mentioned  that  opacity  on  available  prices  has 
spawned practices such as payment for order flow. Such practices are greatly facilitated 
by the impossibility for (retail) investors to verify whether a broker that has “sold” their 
order  flow  to  an  execution  venue  has  obtained  best  execution  in  return.  For  stock 
exchanges and some of the main data vendors there is  also  the fear that  a consolidated 
market  data  product  might  cannibalize  the  important  (and  growing)  revenue  stream  of 
their existing venue-specific proprietary market data products. 

Most stakeholders are neutral on how many consolidators are active in the market.  Small 
data companies like the competing consolidator model (as they perceive this as an easier 
path  to  market  entry),  while  the  bigger  data  companies  (and  some  of  the  smaller 
companies)  would  prefer  the  single  consolidator  model  as  it  provides  them  with 
exclusivity.  For  end  users  (asset  managers,  brokers)  the  specific  features  of  the  tape 
operating  model  are  less  important  than  the  speed  at  which  the  market  data  is 
disseminated to the market.   

7 

 
 What are the problems? 

Problem driver: low 
quality of market data

Problem driver: 
complex market data 
licensing policies

Problem: 

Sub-optimal trading 
decisions cause investor 
detriment

Problem: 

Absence of an accurate view 
of prices and liquidty in the 
markets causes contestable 
execution practices

Problem: 

High levels of liquidity & 
trade execution risk causing 
implementation shortfall  
missed investment 
opportunities

Problem: 

Existing market data 
products are not fit for 
managing liquidity and trade 
execution risks

2.2.1. 

Sub-optimal trading decisions cause investor detriment 

The  absence  of  a  consolidated  view  of  prices  and  liquidity  available  in  all  trading 
markets is a problem when a financial instrument is made available for trading not just on 
a  single  listing  venue,  but  across  several  competing  venues.  An  investor  then  has,  and 
should have, the choice between competing venues, but currently has to rely on market 
data that only cover individual venues. As a result, investors have insufficient access to 
consolidated  and  comparable  market  data.  This  prevents  them  from  holding  their 
securities brokers and broker-dealers accountable on whether they achieved the best 
execution  for  any  given  trading  order.  Securities  brokers  and  broker-dealers  are 
responsible for providing best execution — achieving the most advantageous transaction 
in  terms  of  price  and  the  lowest  total  explicit  and  implicit  costs  to  investors.  Best 
execution  means  that  the  broker  has  to  show  its  customers  the  prices  at  which  they 
bought and sold compared with prices and volumes available on different exchanges and 
alternative  trading  venues  at  the  time  the  trade  was  executed.    In  the  absence  of  a 
consolidated view of available prices, this burden of proof cannot be met.  

The broad dissemination of market data is essential for all market participants in order to 
make  informed  investment  decisions.  The  absence  of  broadly  available  market  data  is 
detrimental for the operation of securities markets, but especially to retail investors and 
smaller issuers. A lack of access to data by all market participants is a significant barrier 
to cross-border investments and is one of the main reasons why national markets remain 

8 

 
 
fragmented along national lines instead of integrating into a single, globally competitive 
CMU16.  

The  cost  to  procure  market  data  from  multiple  trading  venues  currently  accounts  for 
roughly  2/3  of  the  overall  cost  of  assembling  market  data.17  Because  of  this,  data 
vendors, who make this data available to users, tend to narrow the sources of data sources 
in  assembling  their  market  data  products.  As  a  result,  investors  lack  a  comprehensive 
view of liquidity across  all trading markets  and  most investors are unable to  afford the 
cost of obtaining a more comprehensive view. 

Who  is  affected  and  how?  Data  vendors  already  offer  proprietary  versions  of 
consolidated tapes. However, no data vendor has been able to provide a complete picture 
of EU trading in any asset class. Moreover, as data vendors interpret the data fields and 
choose the venues they incorporate, they differ not only in terms of market coverage, but 
also on the level of detail provided or data tags and will provide different results for the 
same  securities.  The  cost  of  producing  and  normalising  bad  quality  data  has  led  to 
additional expense and  asset and portfolio managers complain  that data providers are 
charging high fees for their data feeds.18 As a result it is very costly for all investors and 
their intermediaries to  manage their liquidity  and trade execution risk and to  determine 
whether  they  achieved  best  execution  for  their  trades,  as  verification  of  the  best  price 
currently requires a subscription to a proprietary market data product produced by a data 
vendor or the proprietary data feed that each stock exchange offers for its venue. While 
some of the big sell-side banks have the resources to subscribe to data flows from many 
of  the  execution  venues  (a  practice  known  as  “self-aggregation”),  the  vast  majority  of 
brokers  and  investors  can  only  afford  to  subscribe  to  the  data  flow  of  a  few  of  the 
primary listing exchanges or the most important alternative trading platforms in terms of 
market share.  

2.2.2. 

Absence of an accurate view of prices and liquidity in the markets 

causes contestable execution practices 

A  partial  view  of  the  market  facilitates  liquidity  risk  management  and  trade  execution 
practices that might not always be in the best interest of retail investors, such as online 
brokers  deciding  that  it  is  easier  to  send  all  of  their  retail  order  flow  to  one  particular 
high-frequency  trader  or  exchange  against  a  remuneration  –  “payment  for  order  flow” 
(PFOF).  Zero-commission  equity  (stock  and  exchange-traded  fund)  brokerage  has 
brought trade execution practices, such as PFOF, to the fore. PFOF has become a major 

16 European Commission (2019), On the  movement of capital and freedom of payments,  SWD(2019) 94 
final 
17 See footnote 84  
18  EFAMA  (2021),  Joint  statement  by  EFAMA  and  EFSA  on  Consolidated  Tape  and  market  data  costs, 
https://www.efama.org/newsroom/news/joint-statement-efama-and-efsa-consolidated-tape-and-market-
data-costs  

9 

 
                                                 
revenue source for certain retail brokers.19 For the retail investor, the problem with PFOF 
is that the brokerage might be routing orders to a particular market maker or execution 
venue for their own benefit (to maximise the payment they receive for order routed to a 
executing broker or venue), and not in the investor’s best interest. Retail investors, who 
tend to trade in smaller order sizes, do not have an objective price benchmark to assess 
whether PFOF positively or negatively affected the prices they pay for a security or the 
return they receive by selling a security. Without an objective price benchmark, it will 
be  impossible  for  the  retail  client  to  ascertain  whether  their  PFOF  recipient  broker  has 
achieved “best execution”.20  

2.2.3. 

High levels of liquidity and trade execution risk 

Liquidity  and  trade  execution  risk  is  caused  by  a  lack  of  correct  information  on  prices 
and  available  trading  volumes  for  traded  securities21.  This  means  that  investors  do  not 
have an accurate picture of what a security (e.g., a share or a bond) is worth and where an 
order can be filled at the best price and with minimal risk of not being executed  or not 
being  executed  in  full  (implementation  shortfall).  Liquidity  risk,  as  pointed  out  in  the 
Market Structure Partners (MSP) study ‘The study on the creation of an EU consolidated 
tape’22, is a consequence of the need to navigate the fragmented execution markets in the 
Union  without  a  comprehensive  picture  of  all  available  sources  of  liquidity.  The 
economic  cost  of  imperfect  market  transparency  can  be  measured,  both  in  terms  of 
“implementation  shortfall”  (trades  are  executed  at  prices  that  do  not  reflect  the  best 
available  sales  offer  or  purchase  bid)  and  in  terms  of  missed  trading  and  investment 
opportunities.  These  costs  go  against  the  objectives  of  the  CMU,  which  is  to  provide 
well-functioning, liquid and integrated capital markets.  

The impact of market fragmentation, especially across national lines, is particularly acute 
for smaller asset managers and smaller banks that do not have the same possibilities to 
check accuracy of market data across multiple venues (information on the price of assets 
and the available amount of liquidity) as sophisticated market participants, such as large 
“sell-side”  investment  banks  or  electronic  market  makers.  Because  price  and  liquidity 
information  for  a  smaller  investor  or  asset  manager  are  generally  incomplete,  these 
investors have a limited view of how much liquidity is “addressable”, i.e. how much of 
the  liquidity  is  available  for  executing  their  investment  decisions.  Without  clear  and 

19 PFOF implies that the broker, in exchange for aggregating retail orders and sending them for execution 
to a particular market maker or execution platform, receives a payment from the recipient of the order flow. 
This may create a conflict of interest, especially if the choice of market maker or venue is influenced by the 
payment received, rather than the price of execution achieved by the market maker or execution venue. 
20 “Time to Reduce Complexity in a Data-Driven Regulatory Agenda – Perspectives on the MiFID II Best 
Execution Regime” https://doi.org/10.1515/ecfr-2020-0027. 
21  Engle  and  Ferstenberg  (2007),  Execution  risk,  Journal  of  Portfolio  Management,  33(2)  34-44.  O’hara 
(2003),  Presidential Address: Liquidity and Price Discovery, Journal of Finance, 58(3) 
22  MSP  (2020),  The  study  on  the  creation  of  an  EU  consolidated  tape,  commissioned  by  the  European 
Commission. 
https://op.europa.eu/en/publication-detail/-/publication/82763219-1cbe-11eb-b57e-
01aa75ed71a1/language-en/format-PDF/source-169654830  

10 

 
                                                 
complete  cross-market  information,  investors  need  to  base  their  trading  decisions, 
including  brokers’  decisions,  on  which  venues  they  need  to  be  members  of,  on 
incomplete  market  data  (prices  and/or  available  supply)  which  makes  the  process 
inefficient and drives the costs up for investors.  

In equities markets, asset and portfolio managers interviewed as part of the MSP study 
estimate  the  annual  cost  of  not  having  a  complete  and  accurate  view  of  market  data 
(defined as “slippage”) as anything in the range of 0 to 1.0 basis points, although some 
rated it even higher as slippage of above 5.0 bps. The larger the trade to be executed, the 
higher  the  liquidity  risk  (i.e.,  the  risk  that  there  is  not  enough  liquidity  to  execute  at  a 
given limit price or in a given time period). While it is true that on average larger asset 
managers  have  higher  trade  sizes,  any  asset  management  firm  could  face  the  need  to 
execute a large trade (large investor redemptions or large investment inflows that need to 
be invested in  the capital  markets).  Intra-day liquidity management needs (for all types 
and  sizes  of  investment  managers)  are  especially  acute  in  times  of  price  volatility. 
Executing  brokers  (investment  firms)  are  equally  affected  in  that,  in  the  absence  of 
reliable market data, they often find it difficult to prove compliance with best execution 
to their (retail) clients. For retail investors themselves, the impact (in terms of % slippage 
and/or  inferior  price  taking)  is  expected  to  be  even  larger  as  they  have  even  less 
information at hand. In absolute terms, the impact may be small but not as a % on their 
smaller  trades.  For  investment  banks,  the  impact  is  expected  to  be  smaller  especially 
when they are large. Respondents to the MSP study make different estimates on the cost 
inherent  in  having  an  imperfect  view  of  the  market.  The  larger  the  firm  and  the  more 
extensive  the  resources  available  to  compile  and  clean  the  data,  the  lower  the  estimate 
might  be.  By  applying these estimates to  the annual  traded value of European equities, 
the  total  cost  of  not  having  an  accurate  view  of  the  equities  markets  can  be  as  high  as 
EUR 10.61 billion annually  whereas almost  a third of the respondents  indicate that the 
cost  is  between  half  and  one  EUR  billion  annually  (MSP  study,  Figure  14,  p  42).For 
bond market data, asset managers estimated the cost of inefficiencies resulting from a 
lack  of  consolidated  and  accurate  market  data  in  basis  points  to  their  annual  trading 
strategies  of  not  having  complete  and  accurate  data  to  properly  size  orders  for  optimal 
execution (Figure 16 of the MSP study, p 43). Unlike for shares, retail investors do not 
invest  directly  in  bonds.  As  above,  for  investment  banks  the  impact  is  expected  to  be 
smaller especially when they are large.  

Liquidity  and  trade  execution  risk  due  to  an  incomplete  view  of  the  market  is  also 
prevalent in the derivatives markets that are not traded on venues but ‘over-the-counter’ 
(OTC). Important OTC  derivatives are euro-denominated interest rates derivatives and 
credit  risk  derivatives.  OTC  derivatives  markets  are  dealer  markets,  where  major  swap 
dealers,  mostly  international  banks,  offer  bespoke  contracts  to  their  clients,  e.g.,  for 
taking a position to protect against future price movements (hedging). OTC contracts are 

11 

 
mostly not post-trade transparent. The 2020 ESMA annual statistical report23 shows that 
OTC derivatives still account for 85% of the notional value of derivatives traded in the 
Union.  Because  there  is  currently  no  consolidated  public  view  of  prices  for  OTC 
derivatives, the high percentage of OTC trading contributes to opacity in  the pricing of 
these  derivatives  and,  in  consequence,  to  information  asymmetries  that  primarily  hurt 
smaller market participants. 

The  absence  of  consolidated  market  data  also  prevents  accurate  portfolio  valuations, 
reduces  the  accuracy  of  indices  across  all  asset  classes  (European  equity,  bond  and 
derivatives  benchmarks  are  less  reliable).  Large  cap  stocks  is  favoured  by  most  (retail) 
trading, as  evidenced in  the large number of investment  indices that  focus on the large 
cap universe of listed companies (e.g., DJ 100, S&P 500, STOXX 600).  The economic 
cost of informational inefficiency results in less investment indices that comprise smaller 
capitalisation companies and, in consequence, less index-driven funds channelling capital 
to  smaller  cap  issuers  (e.g.,  by  virtue  of  exchange-traded  funds  that  track  a  small  or 
midcap index). 

Who is affected and how? According to the MSP study (pages 40-45), asset and portfolio 
managers that are collectively responsible for managing and trading trillions of euros of 
assets  on  behalf  of  individual  investors  report  that  the  lack  of  an  accurate  consolidated 
view  of  prices  and  liquidity  available  across  the  Union’s  trading  markets  means  they 
currently have to rely on sub-optimal data when seeking to manage and trade investments 
for their clients. In many interviews leading up to this impact assessment24 it has emerged 
that almost no market participant has a consolidated view of the entire liquidity available 
in the Union’s trading markets. Conversations that DG FISMA had with smaller, regional 
banks tend to indicate that some investors and their financial intermediaries may not even 
realize that they do not  have  market  data covering all liquidity available  in  the market. 
Investors  are  often  unaware  of  the  (degree  of)  fragmentation  of  the  European  trading 
markets and do not know which data they require to make the right choices as to when 
and  where  to  execute  a  trade.  Investors  are  also  confused  about  the  myriad  of  data 
dissemination policies by existing trading venues, while the need to subscribe to a variety 
of data products in parallel adds to the cost. The largest, most sophisticated investment 
firms and execution brokers enjoy an informational advantage as a result. 

2.2.1. 

Existing  market  data  products  are  not  fit  for  managing  liquidity 

and trade execution risks 

Existing execution venue specific (proprietary) market data products that have emerged 
under MiFID I and MiFID/R are not fit for obtaining an overview of prices and liquidity 
available across trading markets. The dispersed proprietary data products are also not fit 

23 https://www.esma.europa.eu/sites/default/files/library/esma50-165-1355_mifid_asr.pdf 
24 Including asset managers, large and small, as well as brokers and proprietary traders. See annex 2.V for a 
summary of those stakeholder meetings 

12 

 
                                                 
as  raw  materials  for  consolidating  market  data.  Assembling  a  consolidated  tape  from 
proprietary  data  products  obliges  a  market  data  consolidator  to  negotiate  market  data 
contributions  with  potentially  over  400  venues  and  APAs.  Negotiation  of  often  very 
complex licensing arrangements are an obstacle to consolidating dispersed market data. 
The COBA project25 was released in November 2012 after the FIX Trading Community 
provided  a  set  of  guidelines  for  how  trade  reports  and  market  data  should  be 
consolidated. The initiative had even established a revenue allocation plan similar to how 
the consolidated tape operates in the US. In the end, the project did not get the necessary 
support from data suppliers and data vendors. Without a legal framework that accelerates 
and facilitates data licensing and data reporting, there was no business case for launching 
a consolidated tape.26 

Who  is  affected  and  how?  A  commercially  operated  CTP  is  in  the  business  to  make 
money and, if there is no certainty on how and at what cost the market data “inputs” can 
be  obtained,  a  commercial  entity  will  have  no  motivation  to  enter  the  market  for  data 
consolidation.  With  the  current  legal  framework,  there  is  no  commercial  reward  for 
providing a consolidated market data product.27 

 What are the problem drivers? 

Two main drivers, (1) low quality of market data and (2) complex market data licensing 
policies  imposed  by  market  data  suppliers,  were  most  often  mentioned  as  the  main 
obstacles to obtaining a real-time view of prices and liquidity available across the various 
trading markets in the Union.  

2.3.1. 

Low quality of market data  

The ESMA register identifies more than 400 public trading data sources. The more than 
400 data contributors currently do not report their market data in the same manner. Each 
one of these venues, or the APAs mandated by investment firms trading OTC, produce 
their own proprietary market data feeds, largely using different data reporting standards 
and often entirely different ways of accessing the data28. For example, current reporting 
standards  leave  discretion  in  the  interpretation  of  various  reporting  data  fields.  The 
consequence  is  that  data  contributors  report  similar  transactions  using  different  data 
fields  and  (post-trade)  reporting  flags.  These  differences  in  interpreting  prescribed  data 

https://www.bloomberg.com/news/articles/2013-03-20/coba-project-drops-plan-to-administer-

25 
consolidated-tape 
26 ESMA (2019), MiFID II/MiFIR review report no. 1; MSP (2020), The study on the creation of an EU 
consolidated tape (p 25) 
27 ESMA (2019), MiFID II/MiFIR review report no. 1; meetings with data companies 
28 Most venues have their own specific software intermediary (application programming interfaces (API)) 
for users to access the data feeds. Therefore, any user of the multiple data feeds has to invest in adapting to 
numerous APIs in order to get all the respective data feeds. 

13 

 
                                                 
fields  gives  rise  to  low  quality  market  data  reports  and  results  in  regulatory  reporting 
arbitrage, sometimes even paving the ground for deliberate mis-reporting of trades.29  

Different interpretations of data reporting fields have resulted in low quality data reports 
across multiple execution venues. Low quality data reports have undermined the attempt 
to consolidate data from various trading markets into a single view of liquidity across the 
Union. Consolidating the data from the heterogeneous reports, both in terms of substance 
as well as in terms of format, has proven to be difficult. The principal driver explaining 
the absence of a consolidated view of liquidity is therefore linked to the way that market 
data is reported.  

Market  data  licensed  by  trading  venues  and  APAs  for  OTC  trading  (market  data 
contributors)  is  therefore  not  easy  to  produce  because  the  currently  applicable  market 
data  reporting  fields  (e.g.,  type  of  instrument,  price,  volume,  execution  platform  or 
execution  protocol)  and  post-trade  reporting  flags  (order  book  trade  vs.  trade  executed 
under  a  transparency  waiver)  are  interpreted  differently  by  the  different  market  data 
contributors. Some of the non-exchange data, especially the OTC data, as a consequence, 
has  proven  to  be  inaccurate.  The  reason  for  the  mis-reporting  lies  in  the  fact  that  the 
current  MiFID/R  framework  creates  ambiguity  in  how  market  data  originating  from 
trading venues and OTC trading needs to be reported. 

In  addition  the  MiFID/R  rulebook  contains  rules  and  exceptions  that  govern  the 
transparency around the execution of transactions in equities, bonds and derivatives. The 
necessary  rebalancing  between  the  competing  interests  of  transparency  and  protection 
against “price reversion” (when larger orders move the public prices, creating volatility 
and  execution  uncertainties)  has  not  only  led  to  a  complex  system  of  rules  and 
exceptions, but also created a high level of complexity on how and when trades have to 
be reported. The proliferation of exceptions to trading on order book has likewise led to 
uncertainty on how to report certain types of transaction (under which type of “reporting 
flag”). 

For example the French securities markets regulator (AMF) reports that early reports on 
SI  market  share  in  equities  volumes  were  inaccurate  because  the  regulatory  data 
reporting formats were interpreted differently by different market participants. The AMF 
calculates that by, e.g., excluding mis-reported intra-group SI transactions, the percentage 
of amounts from SI transactions involved in the price formation process and accessible to 
clients  did  not  account  for  more  than  8%  to  10%  of  total  trading  volumes  in  French 
equities in the first quarter of 2020 (instead of a previously reported 30%)30. 

29  For  example, 
https://www.fca.org.uk/markets/transaction-reporting/transaction-reporting-fines.  
30 https://www.amf-france.org/sites/default/files/2020-06/202005_etude_internalisateurs_integrale_va.pdf 

the  FCA  publishes  a 

transaction  mis-reporting:  

fines  due 

list  of 

to 

14 

 
                                                 
Uncertainty on market data reporting implies that not all execution venues or APAs take 
full  responsibility  for  the  quality  of  the  reported  market  data.  It  also  entails  that  a 
potential  provider  of  a  consolidated  tape  is  not  limited  to  consolidating  the  data,  since 
currently  the  market  data  consolidator  would  also  be  responsible  for  parsing  and 
cleaning-up  the  data  received  from  the  different  execution  sources.  As  long  as  market 
data contributions are not standardised, the data consolidator cannot publish consolidated 
data close to the execution venue’s time-stamp of the transaction.31 

Who is affected and how? Market participants have provided examples of low quality of 
trade  reporting  data  for  both  for  equities  and  non-equities.  For  shares,  issues  have 
resulted  in  particular  from  interpretative  differences  around  the  reporting  of  certain 
trades, in particular on whether to qualify certain types of transactions as price formative 
or  not.32.  This  has  led  to  a  difficulty  to  paint  a  consensual  picture  of  the  share  trading 
landscape.33  For  non-equities,  data  analyses  have  highlighted  insufficient  quality  in 
particular for OTC data.34  

Securities brokers and broker-dealers are responsible for providing best execution — 
achieving  the  most  advantageous  transaction  in  terms  of  price  and  the  lowest  total 
explicit and implicit costs to investors. But to do so, these financial intermediaries need 
data  covering  the  entire  liquidity  available  in  the  Union’s  trading  markets.  Without 
mandated  common  standards  for  reporting  (i.e.,  tagging,  formatting  and  identifiers), 
different  venues  may  provide  value  for  their  own  paying  data  customers,  but  present  a 
dilemma  for  any  data  consolidator  tasked  with  consolidating  the  market  data  from 
multiple markets. 

2.3.2. 

Complex market data licensing schemes  

Fragmentation of market data sources increases dependency on multiple, venue-specific, 
proprietary  data  streams  which  only  cover  a  partial  view  of  available  trading  liquidity. 
Verifying whether  all market  data sources provide  access  to  their  market  data in a fair, 

31 The earliest tape based on current (non-harmonised) market data is made available 24 hours after close 
of  the  trading  day.  It  is  not  a  consolidated  tape  under  the  MiFID  II  definition  because  the  current 
framework provides for a framework “to make the information available to the public as close to real time 
as is technically possible”. 
32 An example for equities is the different interpretation to what extent trades fall into a category of trades 
that  are  technical  trades  which  are  not  informative  to  the  market  in  terms  of  both  price  discovery  and 
volumes (examples of flags are PORT, TNCP and BENC).  
33 Current debate around the size of transparent trading compared to SI/OTC trading, with the Oxera report 
commissioned  by  AFME  (Oxera  (2021),  The  landscape  for  European  equity  trading  and  liquidity)  and 
FESE’s  different  analysis  of  ESMA  statistics,  https://www.fese.eu/app/uploads/2021/05/An-analysis-on-
AFMEs-The-landscape-for-European-equity-trading-and-liquidity-Final.pdf . 
See also Annex 4 for a picture of the trading landscape. 
34  AMF  (2020),  Overview  of  Bond  Market  Transparency  under  MiFID  II;  where  the  French  market 
regulator makes a quality analysis on the data of the main APAs for bonds and identifies potential errors in 
reporting,  an  example  is  that  it  is  not  possible  to  isolate  the  venue  where  a  transaction  has  been  pre-
arranged;  as  well  as  ESMA  (2019),  MiFID  II/  MiFIR  review  report  no  1,  which  identifies  a  number  of 
shortcomings (p.41). 

15 

 
                                                 
equitable  and  timely  manner  is  made  difficult  by  the  complexity  of  how  proprietary 
market data is licensed and how compliance with usage restrictions is administered. This 
complexity  includes  different  pricing  tiers;  separate  charges  for  connectivity,  data, 
distribution  and  derived  publication;  usage  or  user  type  based  pricing,  as  well  as  the 
complexities  and  costs  of  compliance  with  market  data  policies  and  reporting  or  audit 
requirements. The following submission of a major asset manager, included in the ESMA 
‘MiFID II/MiFIR Review Report No. 1’, sums up the data licensing conundrum that has 
been raised by many stakeholders:  

“Data  licensing  agreements  in  particular  are  often  complex,  with  subscribers  asked  to 
pay for data on the basis of both individual use cases, and for each individual user. The 
fact that trading data from individual venues is unique and non-substitutable has, in our 
view,  allowed  data  licensing  agreements  to  become  increasingly  detailed  and  onerous. 
Firms receiving market data therefore face significant complexity in managing ongoing 
variation  in  their  licensing  agreements,  incurring  operation  costs  and  risks;  they  also 
often bear the cost of complex audits of their licenses, imposed by data providers through 
ex-post fees.”35 Apart from the heterogeneous quality of market data, the complexity of 
licensing market data is a major impediment to procuring the data necessary to create a 
consolidated view of all liquidity in a given financial instrument across the Union  

Who  is  affected  and  how?  In  light  of  the  heterogeneous  market  data  pricing  policies 
across  the  single  market,  it  is  difficult  for  a  consolidator  of  market  data  to  access 
proprietary market data streams on fair, equitable and timely conditions. In its report on 
the consolidated tape, ESMA took the view that the current MiFID II rules do not oblige 
trading  venues  and  APAs  to  submit  market  data  to  a  consolidated  tape  on  fair  and 
reasonable terms. ESMA also notes that the current rules do not equip the provider of a 
consolidated tape with the means to obtain market data in conditions that provide for a 
viable  business  model  to  provide  a  consolidated  tape.  Therefore,  ESMA  suggests  that 
trading  venues  and  APAs  should  be  required  to  provide  data  to  the  consolidated  tape 
either by (i) requesting trading venues and APAs to provide data to the consolidated tape, 
or, (ii) setting forth criteria to determine the price (and usage terms and conditions) for 
contributions to the consolidated tape. 

According to ESMA, MiFID/R did not deliver on its objective to create more clarity on 
licensing and pricing of proprietary market data. Prices for market data, in particular for 
data  for  which  there  is  high  demand,  such  as  non-display  data,  have  increased  since 
2017.36,37  One  trade  association  estimates  that  the  total  costs  of  data  for  a  hypothetical 

35 esma-cost-of-market-data-consolidated-tape-090619.pdf (blackrock.com) 
36 ESMA (2019), MiFID II /MiFIR review report no 1 
37  Financial  Times 
(2019),  European 
https://www.ft.com/content/d8c2743e-549f-11e9-91f9-b6515a54c5b1 

investors 

complain  over 

soaring 

cost  of  data, 

16 

 
                                                 
small principal trading firm with access to various venues have increased by 27% from 
EUR 917.000 in 2016 to EUR 1.16 million in 2019.38  

 How will the problem evolve? 

In the absence of clear data reporting and licensing standards, there will be ….  

… no consolidated  view of markets  in any of the  MiFIR asset  classes  (Scenario  1: 
highly likely) 

Without  further  action  in  amending  the  MiFIR39  rules  on  market  data  reporting,  data 
publication  and  data  consolidation  it  is  highly  likely  that  no  provider  of  a  consolidated 
tape will emerge in any of the three relevant asset classes (equity, bonds or derivatives). 
ESMA40  identified  three  main  deficiencies  of  the  current  MiFIR  framework:  (1)  no 
commercial rewards for consolidating market data that is currently offered by individual 
trading  venues  and  their  APAs;  (2)  the  need  to  conclude  individual  licensing 
arrangements with potentially 400 execution platforms (170 to cover a consolidated tape 
for equities alone); and (3) insufficient transaction data quality, in particular for OTC and 
SI transactions.41  

…. one or several “delayed data” tapes (Scenario 2: likely, but not satisfactory) 

Market  data  providers  that  are  currently  active  in  the  market  for  consolidating  market 
data cannot make a consolidated view of even a part of the market available in less than 
24  hours.  Due  to  the  bad  quality  of  the  data  currently,  these  consolidators  can  only 
achieve  consolidation  among  a  partial  set  of  trading  venues  in  delayed  form  (T+24 
hours).  They  explain  the  time  lag  by  the  need  to  “normalize”  the  various  market  data 
reports and employ considerable time and effort in reconciling non-harmonized reports to 
assemble  a  coherent  data  product.  That  said,  even  the  delayed  data  stream,  due  to 
inconsistent  OTC  and  SI  trade-reporting  practices,  remains  inaccurate.  It  cannot  be 
excluded that, with  the  progress  in  data normalisation technologies, this  time lag could 
eventually be reduced to twelve hours or even an end-of-day delivery target.  

Financial  market  participants  do  not  consider 
these  delayed  and  partial 
consolidations  represent  a  complete,  timely  and  accurate  view  of  all  of  the  available 
liquidity in the market. Due to their delivery speed, they are also not a suitable tool for 
most  of  their  intra-day  trading  needs.  A  delayed  data  tape  would  only  be  useful  for 
market surveys and academic research into longer-term trends on market infrastructure. 

that 

38  FIA  EPTA  response  to  the  ESMA  Consultation  Paper:  MiFID  II/MiFIR  review  report  on  the 
development  in  prices  for  pre-  and  post-trade  data  and  on  the  consolidated  tape  for  equity  instruments 
(ESMA70-156-1065). 
39  The  legislative  framework  for  data  reporting  services  providers  is  currently  largely  in  MiFID  II,  but 
amendments replacing them into MiFIR will enter into force 1 Jan 2022.  
40 Report on the development in prices for pre- and post-trade data and on the consolidated tape for equity 
instruments. 
41 These explanations are shared by many respondents to the EC public consultation (see Annex 2). 

17 

 
                                                 
….  a  voluntary  ISO  standard  for  core  market  data42  allows  market  data  to  be 
licensed  to  several  providers  of  a  consolidated  tape  (Scenario  3:  unlikely  and 
unstable) 

Trading  venues  active  in  a  particular  asset  class  agree,  among  themselves,  on  a 
harmonised data reporting standard that covers all core market data to be reported to the 
market data consolidator.43 The standard would be curated by an industry body set up by 
its sponsors. The voluntary standard could be endorsed by the International Organisation 
for Standardisation and thereby evolve into on ISO standard. An entity that wishes to use 
this  harmonised  data  to  provide  a  consolidated  tape  would  register  with  that  industry 
body  and,  in  exchange  for  this  registration,  would  obtain  access  to  the  standardised 
market data from the trading venues that participate in the harmonised data standard. For 
example, an entity registered for the consolidation of bonds, or a particular sub-category 
of  bonds  (e.g.,  sovereign  issuances),  would  get  permission  to  extract  the  harmonised 
bond trading data  from  the relevant  trading venues, using a technology of their  choice. 
Each  data  consolidator  would  be  free  to  commercialise  the  consolidated  data  stream  to 
clients at a price and quality standard of its choice. Prices and delivery parameters would 
be determined by the individual data consolidators. Each consolidator would carry out a 
cost vs revenue projection (individualised break-even analysis) to determine its pricing. 
Competition  would  be  on  price,  speed  and  quality  (business  continuity,  security, 
avoidance of “downtime” or outages).  

Scenario 3 would lead to competing consolidated tapes (i.e., several versions of the tape 
are  offered  for  a  particular  asset  class)  that  will  not  differ  in  terms  of  instrument 
coverage,  but  might  well  differ  in  terms  of  message  capacity  (measured  in  millions  of 
messages that can be transmitted per trading day) reliability (measured in % of “uptime” 
vs  “downtime”  in  a  chosen  reference  period  and  speed  (measured  in  nano-,  micro-,  or 
millisecond  latency).  Scenario  3  is  highly  competitive  but  potentially  unstable  as  it 
depends  on  a  data  consolidator  being  able  to  obtain  (license)  core  market  data 
contributions form potentially 400 trading venues across the Union (as there would be a 
common  reporting  standard  but  no  legislation  mandating  contributions).  The  model 
would  also  be  commercially  unstable  as  a  system  of  “competing  consolidators”  is 
expected  to  drive  down  the  price  for  a  consolidated  tape.  The  competing  consolidator 
model will reach an equilibrium where there are a certain number ‘n’ of CTPs and excess 
profit is zero. In that equilibrium, every CTP is just able to cover its operating cost and 

42 A minimum set of trade data to be provided by a consolidated tape. The two main components of core 
market  data  are  pre-trade  data  (i.e.,  information  about  orders  or  quotations)  and  post-trade  data  (i.e., 
information  about  executions  including  (1)  financial  instrument  name  (standardized  instrument  identifier 
that applies across  venues); (2) best bid and offer, (3) transaction price  and quantity/size executed at the 
stated price; (4) standardised code identifying the execution venue; (5) timestamp and (6) trade conditions 
(execution protocol/execution flag)). 
43  A  voluntary  data  reporting  standard  would  be  very  unstable  as  smaller  venues,  SIs  and  OTC  traders 
would  see  little  incentive  to  adhere  to  such  a  standard.  Non-adherence  by  a  large  part  of  the  execution 
venues would lead to a continuation of the poor quality and fragmentation of market data reports and that 
poor quality would prevent consolidation of market data into a single data stream. 

18 

 
                                                 
remunerate its  cost of  capital. In consequence, there is no expectation that a competing 
consolidator  model  can  generate  excess  profit  that  is  allocated  back  to  the  data 
contributors.  This  prospect  might  dissuade  market  data  contributors  from  entering  into 
the  necessary  market  data  licenses  with  several  competing  data  consolidators.  For 
example, resistance by market data sources has stopped a previous effort at producing a 
consolidated tape based on voluntary harmonisation of reporting standards.  

… a private initiative for a single tape (Scenario 4: stable, but unlikely) 

A single consolidated tape emerges, against all the odds described in the ESMA report, 
without  any  further  legislative  change  on  the  basis  of  voluntary  industry  consensus. 
There is no precedent around the world for such an outcome (the US consolidated tape 
was  mandated  by  Regulation  NMS44),  but  it  is  theoretically  possible  that  an  industry 
consensus  on  the  construction  and  design  of  a  single  consolidated  tape  emerges, 
especially  for  the  two  non-equity  asset  classes  (bonds  and  derivatives).  The  operating 
model  would  be  that  trading  venues  that  offer  trading  in  the  selected  asset  class  (e.g., 
bonds)  form  a  consortium  to  consolidate  their  proprietary  market  data  streams  into  a 
single  consolidated  one.  This  implies  that  the  trading  venues  participating  in  the 
construction of a consolidated tape would agree on a proprietary data reporting standard 
that  each  “data  source”  would  voluntarily  use  to  notify  the  agreed  market  data 
contributions to the operator of the consolidated tape.  

3.  WHY SHOULD THE EU ACT? 

 Legal basis 

The current  MiFID/R framework consists of  a directive (Directive 2014/65/EU, MiFID 
II) and a regulation (Regulation No 600/2014, MiFIR). The legal basis for the adoption 
of MiFIR is Article 114 of the Treaty on the Functioning of the European Union (TFEU). 
Article 53 TFEU is the legal basis for amendments to MiFID II. The reform assessed in 
this  report  concern  the  facilitation  of  market  data  consolidation  and  would  therefore 
amend  MiFIR.  Therefore,  the  amendments  proposed  in  this  report  would  fall  under 
Article 114 TFEU.  

Article 114 TFEU empowers the European Parliament and the Council to adopt measures 
for  the  approximation  of  the  provisions  laid  down  by  law,  regulation  or  administrative 
action in Member States which have as their object the establishment and functioning of 

44  In  the  United  States  “Regulation  National  Market  Structure”  (NMS)  created  two  essential  consumer 
protection safeguards: The Order Protection Rule aims to ensure that investors receive the best price when 
their order is executed by removing the ability to have  orders traded through—executed at a worse price 
than that displayed on the consolidated tape. This rule requires trading venues to establish, maintain, and 
enforce written policies and procedures that are reasonably designed to prevent  the execution of trades at 
prices that are inferior to protected quotations displayed by other trading centres on the consolidated tape. 
It  also  created  the National  Best  Bid  and  Offer (NBBO)  requirement  that  requires  brokers  to  route  their 
orders to the venues offering the best-displayed price. 

19 

 
                                                 
the  internal  market.  Article  114  TFEU  allows  the  EU  to  take  measures  not  only  to 
eliminate  current  obstacles  to  the  exercise  of  the  fundamental  freedoms,  but  also  to 
prevent, if they are sufficiently foreseeable, the emergence of new obstacles. Article 114 
TFEU allows for removal of all obstacles which make it difficult for economic operators, 
including  investors,  to  take  full  advantage  of  the  benefits  of  the  internal  market.  Thus, 
Article 114 TFEU is the appropriate legal basis to address obstacles in data consolidation 
which result from (1) fragmented market data sources; (2) unclear market data reporting 
standards and (3) complex data licensing schemes for proprietary market data. These are 
the  main  drivers  that  prevent  a  consolidated  view  of  trading  liquidity  across  the  Union 
and have to be addressed at Union level.  

Furthermore,  Article  53  TFEU  grants  the  co-legislators  the  power  to  issue  directives 
aimed at making it easier for persons to take up and pursue commercial activities across 
the EU. MIFIR was already amended via the “ESA review”45 in order to include rules on 
the  commercial  activities  of  a  consolidated  tape  provider.  The  proposed  amendments 
comprise a set of rules governing the activities around consolidation of market data, such 
as  rules  on  the  data  formats  to  be  used  when  reporting  data  to  a  consolidator,  legal 
obligation  governing  the  provision  of  market  data  and  the  status  and  obligations  of  a 
market  data  consolidator.  It  is  important  that  rules  on  applicable  reporting  formats  and 
reporting obligations apply to all market data sources across the Union. 

 Subsidiarity: Necessity of EU action 

According to the principle of subsidiarity (Article 5.3 of the TFEU), action on EU level 
should  be  taken  only  when  the  aims  envisaged  cannot  be  achieved  sufficiently  by 
Member States alone and can therefore, by reason of the scale or effects of the proposed 
action, be better achieved by the EU.  

Most  of  the  issues  targeted  by  this  initiative  aim  to  amend  the  existing  market 
infrastructure framework laid down by MiFIR. It was already established at the time of 
its  adoption  that  the  aspects  of  the  Union’s  market  infrastructure  such  as  reporting  of 
transactions and disclosure of trade data should be governed by a regulation. The current 
MiFIR rules on market data consolidation and the provision of a consolidated tape have 
not proven sufficient for the successful launch of such a tape for any of the MiFIR asset 
classes  (equities,  bonds  or  derivatives).  The  report  therefore  concludes  that  more 
precision in the rules governing data consolidation  

45  Regulation  (EU)  2019/2175  of  the  European  Parliament  and  of  the  Council  of  18  December  2019 
amending  Regulation  (EU)  No 1093/2010  establishing  a  European  Supervisory  Authority  (European 
Banking  Authority),  Regulation  (EU)  No 1094/2010  establishing  a  European  Supervisory  Authority 
(European Insurance and Occupational Pensions Authority), Regulation (EU) No 1095/2010 establishing a 
European  Supervisory  Authority  (European  Securities  and  Markets  Authority),  Regulation  (EU) 
No 600/2014  on  markets  in  financial  instruments,  Regulation  (EU)  2016/1011  on  indices  used  as 
benchmarks in financial instruments and financial contracts or to measure the performance of investment 
funds,  and  Regulation  (EU)  2015/847  on  information  accompanying  transfers  of  funds  (Text  with  EEA 
relevance) (Text with EEA relevance) 

20 

 
                                                 
Trading in the main MiFIR asset classes take place across borders. Trading markets for 
various  asset  classes  are  dispersed  across  the  Union  and  the  conditions  for  executing 
trades  require  rules  that  apply  across  the  Union.  This  includes,  first  and  foremost,  the 
availability of market data revealing price and liquidity for financial instruments that are 
traded across the Union.  

The  above  problem  drivers  could  possibly  be  addressed  through  individual  action  by 
Member  States.  Member  States  could  attempt  to  harmonise  market  data  reporting 
standards  and  licensing  conditions  by  means  of  national  laws.  But  such  national 
initiatives  would  not  prove  effective  in  addressing  market  data  quality  or  licensing 
conditions.  Different  Member  States  might  still  adopt  different  standards  or  licensing 
conditions  and  some  Member  States  might  not  take  any  action  at  all.  As  market  data 
consolidation has to work across the entire Union, it is both more effective and efficient 
to address reporting standards and data licensing conditions, necessary for the production 
of  a  consolidated  view  of  all  trading  markets  at  Union  level.  Standardisation  of  data 
reports  and  licensing  conditions  would  also  be  strictly  confined  to  reporting  to  the 
provider of a consolidated tape. For example, market data licenses that do not pertain to 
the  production  of  a  consolidated  tape  would  not  be  the  subject  matter  of  the  proposed 
rules.  

 Subsidiarity: Added value of EU action 

The actions needed to address the problems and drivers set out in section 2 can be better 
implemented  at  Union  level.  Because  of  their  direct  applicability  across  the  Union,  the 
deployment of policy tools contemplated in this report would clearly be swifter and more 
efficient than if similar initiatives were undertaken on Member State level. A patchwork 
of national rules on any of the initiatives analysed in this report would risk undoing the 
progress  already  achieved  under  MiFIR  and  towards  achieving  the  CMU.  Finally,  the 
options  considered  in  this  report  are  calibrated  such  that  they  are  suitable  for  reaching 
their objectives and that they do not go beyond what is necessary to do so. 

21 

 
4.  OBJECTIVES: WHAT IS TO BE ACHIEVED? 

General objective 1

General objective 2

Improve the quality of 
market data

Simplify complex market 
data licensing policies

Specific objective 1

Harmonise core market 
data reporting to 
providers of a 
consolidated tape 

Specific objective 2 

Facilitate market data 
consolidation

Specific objective 3 

Facilitate access to core 
market data

Specific objective 4

Facilitate a business 
case for the 
consolidation of core 
market data

5.  WHAT ARE THE AVAILABLE POLICY OPTIONS? 

 What is the baseline from which options are assessed? 

Baseline  1  –  the  lack  of  a  consolidated  view  of  liquidity  across  trading  markets  will 
continue to result in economic cost for European investors. A direct cost of imperfect 
transparency is suboptimal trading decisions, decisions taken on only a partial view of all 
available  liquidity.  As  described  in  Annex  3.1,  beyond  the  actual  trading  of  financial 
securities,  there  is  a  whole  array  of  professionals  that  have  functions  such  as  issuing, 
in-flight 
asset  allocation,  portfolio/investment  management,  pre-trade  analysis, 
monitoring  of  trades,  post-trade  analysis/  best  execution  and  middle  and  back  office 
processes/valuations  that  also  rely  on  real  time  comprehensive  market  data.  The 
economic cost of not having an accurate and comprehensive view of trading markets are 
manifold  and  described  in  the  impact  section.  The  Market  Structure  Partners  study 
provides further detail46.  

Baseline  2  –  the  lack  of  a  consolidated  view  of  liquidity  across  trading  markets  will 
continue  to  disqualify  many  small  and  midcap  companies  from  the  investment 
portfolios  of  most  (retail)  investors.  The  economic  cost  of  informational  inefficiencies 
varies in line with the liquidity of tradeable securities. In the current fragmented trading 
environment, this creates a tendency for smaller and midcap issuers to be less visible to 
potential  investors  than  large  caps.  The  lack  of  consolidated  and  accurate  market  data 

46  The  Study  on  the  Creation  of  an  EU  Consolidated  Tape, MSP  (2020),  gives  a  detailed  account  of  the 
uses a tape would serve (pp. 28-29). Section 2.1.1 describes the estimates on the costs from the MSP study.  

22 

 
 
                                                 
effectively disqualifies securities issued by small and midcap companies from the  focus 
of  the  majority  of  the  investors.  Price  and  volume  information  is  not  readily  available 
reducing the interest in those small and midcap companies, often excluding these issuers 
even  from  indices  that  focus  on  the  small  and  midcap  sectors.  The  incomplete  market 
picture  that  results  from  imperfect  transparency  leaves  retail  and  institutional  investors 
unable to diversify their investment portfolio toward smaller and midcap issuers.   

 Options to achieve specific objectives 1 and 2 

This report offers a separate analysis of various options on how to improve market data 
quality  and  facilitate  market  data  consolidation  (specific  objectives  1  and  2–  Options 
1.1. to 1.5) and options on how a market data consolidator can obtain core market data 
and  how  to  create  a  business  case  for  market  data  consolidation  (objectives  3  and  4 
share - Options 2.1 to 2.3).  

Option 1.1 – Self-aggregation.  

Data reporting. Level 2 measures would harmonise the necessary market data fields for 
reporting of “reportable securities” (defined as all securities traded on a trading venue in 
the Union). Data reports would comprise the best bid and offer on an order book plus last 
sale (transaction) data from  the market  data contributor’s order book.  These mandatory 
data fields would have to be used for mandatory contributions by all execution platforms 
that offer trading in or trade in “reportable securities’ to self-aggregators.47  

Operating  model.  Self-aggregators  are  defined  as  market  participants  that  collect  and 
consolidate  market  data  for  their  own  (compliance)  needs.  Electronic  market  makers 
(high-frequency trading firms) or big investment banks have the capacity to become self-
aggregators48.  Self-aggregators  will  collect  market  data  from  execution  platforms  and 
consolidate  market  data  directly  at  a  data  centre  on  their  own  premises  (decentralised 
consolidation).  With  this  decentralized  consolidation  model  it  will  no  longer  be 
necessary for market data to be collected at individual data sources and then to travel to a 
separate central location (the “hub”) from where it will be distributed to data users. Upon 
registration with ESMA as “self-aggregators”, market participants would be allowed to 

47 The option of self-aggregation would focus on driver 2: unclear market data reporting standards in order 
to  address  fragmentation  in  market  data.  ESMA  would  supervise  adherence  to  the  harmonised  reporting 
standard. In particular, ESMA would police the correct application of the harmonised “flagging” of trade 
execution protocols, allowing market participants who self-aggregate the harmonised market data to judge 
for themselves whether a particular source of liquidity would have been available for them or not. ESMA 
would  have  Union-wide  sanctioning  and  enforcement  powers  to  ensure  compliance  with  the  harmonised 
reporting  standards.  ESMA  supervision  also  requires  central  sanctioning  powers  for  inappropriate 
“flagging” of trades.  
48 The  SEC Final  Rule on  amending  Regulation National Market System (“Regulation NMS”) under the 
Securities  Exchange  Act  of  1934  (“Exchange  Act”)  defines  a  self-aggregator  as  […]  a  broker-dealer, 
exchange,  national  securities  association,  or  investment  adviser  registered  with  the  Commission  (“RIA”) 
that receives the NMS information that is necessary to generate consolidated market data from the SROs 
pursuant to Rule 603(b) […] for its internal use. 

23 

 
                                                 
collect all core (harmonised) market data and consolidate the information solely for their 
internal  use  (harmonisation  of  reporting  standards  diminishes  the  cost  of  data 
consolidation). Self-aggregators would not be allowed to publish a consolidated tape.  

Selection  of  consolidator/exclusivity.  There  would  be  no  selection  process:  any  entity 
that  wishes  to  self-aggregate  the  harmonised  market  data  would  have  to  register  with 
ESMA and would obtain access to standardised core market data from the various trading 
venues  directly  (mandatory  contributions).  ESMA  would  ensure  that  self-aggregators 
comply  with  their  obligations,  notably  with  the  obligation  not  to  publish  or  otherwise 
commercialise the self-aggregated market data. There would be no exclusivity (no limits 
on the amount of self-aggregators registered with ESMA).  

Contestability of the market for consolidated data. There would be no public market for 
consolidated  data.  Self-aggregation  would  be  a  tool  for  market  participants  to  manage 
their  liquidity  and  trade  execution  risk  “in-house”  and  to  demonstrate  their  compliance 
with ‘best execution’ to their clients.  

Summary of Option 1.1 key features:  
  Data  reporting.  Harmonised  data  reports  will  be  made  available  to  self-aggregators 

registered with ESMA; 

  Operating  model:  decentralised  consolidation  from  data  sources  directly  to  the  data 

users’ premises; 

  Selection: no formal selection process; 
  Exclusivity: No exclusivity, self-aggregation for internal use only; 
  Supervision: ESMA registration; 
  Contestability: No formal replacement process required. 

Option 1.2 – competing consolidators.  

Data  reporting.    As  Option  1.1.The  mandatory  data  fields  are  used  for  mandatory 
contributions  by  all  execution  platforms  that  offer  trading  in  or  trade  in  “reportable 
securities’ to competing market data consolidators.  

Operating model. The competing consolidator model takes a decentralised approach to 
core market data consolidation. Upon registration with ESMA, competing consolidators 
would  be  allowed  to  collect  harmonised  market  data  from  the  individual  data  sources 
(trading venues, APAs) and then consolidate this market data at the data centre where its 
subscribers are located (thus avoiding consolidation at a central hub). The decentralised 
model aims to avoid the monopoly of a single consolidators. It also aims to increase the 
speed and precision at which market data is collected and consolidated. A decentralised 
model  for  data  consolidation  (where  data  is  collected  across  platforms  and  then 
consolidated  directly  at  the  subscriber’s  data  centre)  aims  to  address  geographical 
dispersion  and  latency  by  showing  each  market  data  subscriber  its  local  reality.  As  a 
result,  each  subscriber  will  be  able  to  observe  the  best  price  available  from  its 
geographical location, avoiding or reducing the phenomenon that valuable time is lost by 
sending the data first to a central “consolidation hub” and then retransmitting it back to 

24 

 
the data centres of market data subscribers. Decentralised consolidation would avoid the 
criticism that the best quote displayed on a consolidated tape will no longer be relevant 
when  a  market  data  subscriber  decides  to  redirect  execution  flow  to  the venue  that  has 
posted it. The decentralised model also aims to neutralise a common criticism made with 
respect to a consolidated tape: The fact that “best execution” is a local reality, true at one 
moment, for one specific location where the executing broker is located.  

Selection  of  consolidator/exclusivity.  Any  entity  that  wishes  to  use  the  harmonised 
market data to provide a consolidated tape would have to register with ESMA and would 
obtain access  to  standardised core market  data from the various trading venues directly 
(mandatory  contributions).  For  example,  an  entity  registered  for  the  consolidation  of 
bonds,  or  a  particular  sub-category  of  bonds,  would  get  permission  to  extract  the  bond 
trading data from all of the relevant trading venues. With Option 1.2, several competing 
data consolidators would provide the identical consolidated tape in parallel. They would 
compete  on  other  services  and  quality  features,  e.g.,  on  speed  of  delivery,  maximising 
“up-time”  or  data  consumption  end-user  interfaces.  The  number  of  competing 
consolidators would only be limited by the need for each of them to reach a break-even 
point covering their set-up and operating costs (there is no exclusivity).  

Contestability of the market for consolidated data. Harmonisation of mandatory data 
reporting  standards  for  the  supply  of  core  market  data  by  the  various  contributor 
venues would ensure that many entities could benefit from the harmonised data stream to 
offer  competing  products.  As  several  competing  consolidators  would  disseminate 
consolidated  market  data  in  parallel,  the  competitive  process  would  ensure  that  the 
market for consolidated market data remains contestable. In order to further enhance the 
competitive  process,  competing  consolidators  would  not  be  considered  as  “authorised 
entities”  but  would  only  have  to  register  (electronically)  with  ESMA.  The  registration 
particulars would govern the responsibilities of the competing consolidators and contain 
details  on  the  conduct  of  their  business,  fees  and  services  details,  and  their  operational 
capabilities.  The  registration  would  enable  ESMA  to  determine  whether  a  competing 
consolidator  is  in  compliance  with  their  duties  and  obligations  under  the  registration 
scheme.  Registration  as  competing  consolidators  would  entail  an  obligation  for  those 
entities  to  inform  ESMA  on  changes  in  their  business  model  and  operations  prior  to 
implementing a material change, as well as on systems disruptions and intrusions. ESMA 
will publish these disclosures which could be used by market participants to evaluate the 
services offered by competing consolidators. 

Summary of Option 1.2 key features:  
  Data  reporting.  Harmonised  data  reports  will  be  made  available  to  market  data 

consolidators registered with ESMA; 

  Operating  model:  decentralised  consolidation  from  data  sources  directly  to  the  data 

users’ premises; 

  Selection: no formal selection process; 
  Exclusivity: No exclusivity; 
  Supervision: ESMA registration; 

25 

 
  Contestability: No formal replacement process required; 

Option 1.3 – exchange consolidators. 

Data reporting. As Option 1.1.  The different  market  data sources that do not  act  as  the 
listing venue (alternative trading venues, SIs, OTC) provide harmonised core market data 
to the listing exchange pertaining to all EU ISINs listed on that exchange.  This Option 
does not cover shares that are traded in the Union without a listing on an EU exchange49.   

Operating  model.  The  exchange-consolidator  operates  a  centralised  "hub  and  spoke 
model”.  With  this  approach,  the  exclusive  data  consolidators  collect  data  for  specific 
stocks from geographically separated exchanges, consolidate the data in one centralized 
data centre, and then disseminate it from the central location to subscribers’ data centres 
that are in other locations.   

Selection of consolidator/exclusivity. ESMA would supervise the listing exchanges as far 
as the consolidation activity is concerned, but there would be no regular re-tendering of 
the exclusive consolidator function. The result  would be that listing exchanges become 
the  consolidators  (the  “hub”)  for  all  market  data  that  involve  their  listings.  In  practice, 
Option  1.3  would  lead,  e.g.,  to  a  separate  tape  for  each  European  listed  exchange 
(examples  are  Euronext,  Deutsche  Börse,  NASDAQ  OMX,  BME,  Vienna  stock 
exchange, Warsaw stock exchange, etc.).  

For bonds and OTC derivatives, there is no listing exchange. The task of consolidating 
market data would fall on the MTFs or OTFs that are identified as the primary centres of 
liquidity for the relevant class of reportable security (e.g., government bonds, investment 
grade  corporate  bonds,  high  yield  bonds  or  even  distinct  sub-asset  classes  within  the 
above  category  of  bonds).  In  order  to  create  legal  certainty,  ESMA  would  select  the 
consolidator  in  line  with  the  determination  of  the  primary  centre  of  liquidity  or  ‘most 
relevant  market  in  terms  of  liquidity’  in  analogy  with  Article  16  of  RTS  22.  ESMA 
would also maintain and update a website comprising these primary centres of liquidity 
for  a  particular  class  of  reportable  securities.  A  primary  centre  of  liquidity  would  be 
entitled to be the sole recipient of core market data in the identified asset class from all 
other  venues  offering  trading  in  that  asset  class  as  long  as  it  is  not  removed  from  the 
ESMA list.  

Contestability of the market for consolidated data. Due to the harmonised market data 
reporting  standards,  ESMA  could,  if  need  be,  replace  the  exclusive  data  consolidator 
and  replace  it  with  an  alternative  provider.  Exclusivity  also  entails  that  the  current  15-
minute rule (after which market data has to be made available for free) would not apply 
to  the  consolidated  tape  provider,  but  would  be  maintained  for  the  current  non-

49 For example, regional exchanges in the Union offer trading in U.S. blue chip companies without being 
the formal listing venues for these issuers, usually listed on the NYSE or NASDAQ. 

26 

 
                                                 
consolidated  data  feeds.  As  all  the  relevant  data  reporting  fields  (the  “content”  to  be 
reported)  and  an  agreed  protocol  for  the  delivery  of  this  data  (the  “transmission” 
protocol) to the consolidator would be specified, an alternative provider could step in and 
take over the task of data consolidation, although with the exchange-consolidator model 
this might be difficult to achieve in practice (for a detailed analysis of ESMA’s powers 
and potential obstacles in their exercise, see Section 6.2). 

Summary of Option 1.3 Key features:  
  Data reporting. Harmonised data reports pertaining to EU listed shares will be made 

available to the listing exchange; 

  Operating model: centralised consolidation; 
  Selection: no formal selection process, appointment of the listing venue (equities) or 

primary centre of liquidity (non-equities); 

  Exclusivity: Indefinite exclusivity; 
  Supervision: ESMA, but confined to the exchange’s consolidator function; 
  Contestability: Formal replacement process in case of quality defects. 

Option 1.4 – single consolidator.  

Data  reporting.  As  Option  1.1.  The  mandatory  data  fields  would  have  to  be  used  for 
mandatory  contributions  by  all  execution  platforms  that  offer  trading  in  or  trade  in 
“reportable securities’ to a single consolidator.  

Operating  model.  The  single  consolidator  could  operate  either  a  decentralised  or  a 
centralised "hub and spoke model”50. With the “hub-and-spoke” approach, the exclusive 
data  consolidator  would  collect  data  for  specific  stocks  from  geographically  separated 
venues, consolidate the data in one centralized (cloud-based) data centre, and then either 
disseminate  it  from  such  central  location  to  subscribers  or  allow  other  market  data 
publishers  to  tap  into  the  cloud  based  data  repository  to  disseminate  the  data  to  their 
subscribers. Compared to a decentralised operating model, a centralised model would be 
slightly less accurate in terms of the timeliness of the data provided on the consolidated 
tape.   

Selection of the consolidator/exclusivity. ESMA would be tasked to run an open tender 
to  select  a  single  provider  of  the  data  consolidation  infrastructure  necessary  as  the 
backbone  for  a  consolidated  tape.  Regular  re-tendering  of  the  single  tape  infrastructure 
aims  to  avoid  entrenching  an  infrastructure  monopoly.  The  data  infrastructure  provider 
would be selected and authorised by ESMA. 

50 A single consolidator can collect data and consolidate directly at the customers data centre, avoiding the 
hub-and-spoke  induced  latency.  To  that  extent,  there  is  no  fundamental  difference  between  the  single 
consolidator  and  the  competing  consolidators.  However,  to  our  knowledge,  no  single  existing  entity  (the 
tape consolidators in the US and Canada) has decentralised consolidation. As it is not clear what the reason 
is for not using the decentralised model, the more prudent approach seems to base this assessment on actual 
stakeholder feedback and experience in the U.S. markets to date (see Annex 5.6  for further details). 

27 

 
                                                 
Contestability of the market for consolidated data. Due to the harmonised market data 
reporting  standards  which  would  ease  the  consolidation,  ESMA  could,  if  need  be, 
replace the exclusive data infrastructure and replace it with an alternative provider (even 
in between regular tenders). As all the relevant data reporting fields (the “content” to be 
reported)  and  an  agreed  protocol  for  the  delivery  of  this  data  (the  “transmission” 
protocol) to  the consolidator would be harmonised, an alternative provider could  easily 
step  in  and  take  over  the  task  of  data  consolidation.  In  addition,  an  authorisation 
requirement  for  the  single  consolidator  would  enable  ESMA  to  determine  whether  the 
single consolidator remains in compliance with its duties and obligations throughout the 
period  of  exclusivity  in  the  provision  of  consolidated  market  data.  As  with  the 
registration  of  competing  consolidators,  the  single  consolidator  would  be  obliged  to 
inform  ESMA  of  all  changes  in  its  business  model  prior  to  implementing  them.  The 
single consolidator would also be obliged to file regular information relating to systems 
disruptions  and  intrusions.  ESMA  would  publish  all  disclosure  made  by  the  single 
consolidator so that market participants can use this information to evaluate the services 
offered by the single consolidator. 

Summary of Option 1.4 key features: 
  Data reporting. Harmonised data reports will be made available to the single market 

data consolidator registered with ESMA; 
  Operating model: centralised consolidation; 
  Selection: formal tendering process for build and operation of a single “data ingestion 

infrastructure”; 

  Exclusivity: Five year exclusivity for the infrastructure; 
  Supervision: ESMA authorisation; 
  Contestability:  Regular  re-tendering  and  formal  replacement  process  in  case  of 

quality defects. 

Option 1.5 – the concentration rule.  

All trading in listed shares is concentrated on the listing exchange (for non-equities on 
the existing primary centre of liquidity), there is no need for consolidation of core market 
data with an exclusive or non-exclusive securities market data consolidator. This option 
would  not  involve  the  creation  of  a  consolidated  tape.  This  option  would rather  aim  to 
consolidate the flow of market data (indirectly) by concentrating trading in certain asset 
classes  on  designated  execution  platforms.  As  trading  practices  differ  among  asset 
classes, this option would be asset-class specific: 

Listed  instruments.  Option  1.5  would  entail  that  European  market  participants  are 
restricted to where they can trade share listed on an EU exchange. This option contains a 
“concentration  rule”  that  market  participants  can  only  trade  shares  below  the  current 
large-in-scale  threshold  on  the  “listing  exchange”  of  the  share.  Likewise,  only  the 

28 

 
exchange that designed and listed an exchange-traded derivative (ETD) can offer trading 
in that contract.51 The contract is then centrally cleared in a clearinghouse designated by 
the exchange.  

Unlisted  instruments.  For  unlisted  instruments  (bonds  and  OTC  derivatives)  ESMA 
would  need  to  designate  the  primary  centre  of  liquidity  in  a  certain  asset  class  (e.g., 
government bonds, corporate investment grade or high yield bonds or any sub-categories 
thereof) as the sole execution platform for this asset class. 

Summary of Option 1.5 key features: 
  Data reporting. No harmonised data reports; 
  Operating model: centralisation of trading on a listing exchange; 
  Selection: no formal tendering process; 
  Exclusivity: Indefinite exclusivity for the listing exchange; 
  Supervision: National exchange supervision applies; 
  Contestability: No contestability. 

 Options to achieve specific objectives 3 and 4 

All options to achieve the specific objectives 3 and 4 can be combined with Options 1.1 
to 1.4 on the operating model for the consolidation of core market data.  Options on how 
to  achieve  consolidation  of  data  and  on  how  to  generate  revenue  for  compensating 
market data contributors are therefore separate and distinct. 

The decisive factor determining whether the provision of a consolidated tape generates 
revenue to be allocated to market data contributors is therefore not the chosen operating 
model, but whether the mandatory contributions are accompanied with either a minimum 
revenue  target  to  be  achieved  with  the  sale  of  consolidated  market  data,  a  statutory 
subscription fee or a fee for “dark pool” trades.  

As a consequence of their distinct nature, the operation of the market data consolidation 
can be undertaken by entity that is separate and distinct from the entity that administers 
the allocation of tape revenues.     

Option 2.1 – Mandatory contributions with “minimum revenue targets” incumbent on 
market data consolidators. In order to  avoid complex, individual market data licensing 
arrangements with often hundreds of execution platforms or their APAs that act as data 
contributors, all market data sources would have to make standardised core market data 
available  to  self-aggregators  (mandatory  contribution).  Mandatory  contribution  of  core 

51 The rationale of Option 1.5 in the area of ETDs is that no other trading venue, which has not designed 
and listed its own ETD could offer trading in a “copy” of the ETD that is listed on an exchange. Allowing 
other  trading  venues  to  copy  an  ETD  would  fragment  ETD  trading  volumes  which  are  currently 
concentrated  on  the  listing  exchange.  The  approach  to  ensure  concentration  of  an  ETD  on  its  listing 
exchange is further described in Annex 5.3. 

29 

 
                                                 
market data would apply to all operating models that aim to consolidate core market data, 
be  it  self-aggregation,  competing  consolidators,  exchange-consolidators  or  a  single 
consolidator. Each of these consolidators would aim to cover operating and capital costs. 
In  order  to  create  additional  revenue  for  allocation  to  market  data  contributors,  there 
would be “minimum revenue targets” that form part of the selection process for a single 
consolidator (Option 1.4) or part of the registration process for competing consolidators 
(Option  1.2).    The  system  of  minimum  revenue  targets  would  not  work  for  self-
aggregators,  as  these  entities  do  not  publish  data  for  third  parties.  The  regulatory 
establishment of minimum revenue targets aims to avoid a situation in which the making 
available of the consolidated core market data streams will not produce revenue beyond 
the consolidators operating cost and the cost of their capital invested52.  

The  minimum  revenue  targets  would  be  established  and  regularly  reviewed  by  an 
independent  operating  committee.  The  operating  committee  would  be  comprised  of 
industry  stakeholders  –  both  market  data  contributors,  redistributors  and  market  data 
consumers,  with  both  retail  and  institutional  representation.    The  operating  committee 
could be structured as a body that advises the European Commission in the formulation 
of delegated legislation, along the lines of the technical expert group that advised the EC 
on climate change benchmarks.  The operating committee would have responsibility for 
the revenue target as well as for the revenue allocation methodology. Participants in the 
operating committee should require the proof of relevant qualifications in economics and 
accountancy.  

The  revenue  targets  would  take  into  account  various  uses  that  subscribers  make  of  the 
consolidated  tape  and  take  into  account  relevant  parameters  such  as  commercial 
redistribution,  price  referencing,  indexing,  syndication,  sales  of  market  data  to  media 
outlets.  The  revenue  targets  with  respect  to  professional  users  could  be  set  at  levels 
sufficient to largely subsidize the cost of granting retail access for minimal or no cost. 

Several models can be envisaged on how to organise revenue allocations among market 
data contributors. A data contributor’s revenue share could be calculated as the arithmetic 
average  of  its  percentage  share  of  overall  value  traded  in  a  particular  financial 
instrument.  The  allocation  formula  would  then  simply  be  the  contributor’s  total  value 
reported  as  a  percentage  of  the  total  value  of  trading  across  the  Union  in  that  share. 
Hence, a participating venue that traded 3% of all reported value in a share traded on that 
day  would  receive  3%  of  that  share’s  total  revenue.  Additional  modulations  could  be 
provided to avoid that market data contributors that offer trading in heavily traded “blue 

52 Without a statutory revenue target of floor for subscription fees for accessing consolidated  market data 
and  the  existing  measures  around  the  reasonable  commercial  basis,  excess  revenue  for  re-allocation  to 
market  data  contributors  is  expected  to  be  low,  or  even  non-existent.  In  the  case  of  competing 
consolidators, any supra-competitive profit is expected to attract new market entrants, a potential maximum 
of  competing  consolidators  will  ensure  that  there  is  no  excess  revenue  to  be  distributed  after  each 
consolidator has covered its operating and capital costs. In the case of a single consolidator  (option 1.1), 
the alternative to self-aggregate would further limit the potential for supra-competitive profits. 

30 

 
                                                 
chip” issuances reap the main benefit from the allocation scheme. One option would be a 
preferential weighting for trading platforms that list thinly traded shares.  As small cap 
stocks  listed  on  smaller  exchanges  typically  have  wider  spreads  and  lower  trading 
volumes, incentives for smaller exchanges would mean allocating revenue based on the 
square  root  of  the  value  reported  to  the  CTP.  That  means  a  stock  with  10  times  the 
notional liquidity only counts for three times the revenues53. Another approach would be 
to  reserve  a  preferential  tranche  for  smaller  exchanges.  In  this  option  a  “small” 
exchange  is  objectively  defined  as  an  operator  that  assembles  more  than  a  given 
percentage (e.g., more than 80%) of trading value on the original listing exchange, as a 
higher  level  of  “concentration”  in  trade  executions  is  a  defining  feature  of  smaller 
exchanges. The consequence would be that the bigger exchange operators would only get 
access  to  the  tape  revenue  once  the  smaller  exchanges  have  received  revenue  that 
corresponds to the reserved tranche.  As mentioned above, the revenue allocation could 
be undertaken by an entity that is distinct from the operator of the consolidated tape.   

licensing:  Mandatory  contributions 

to  either  a  self-aggregator,  competing 

Summary of Option 2.1 main features 
Data 
consolidators, or a single consolidator 
Compensation  for  market  data  contributors:  Minimum  revenue  target  incorporated  into 
the operating conditions of the market data consolidator 
Revenue allocation: allocation weighting in favour of less liquid shares or exchanges that 
assemble a high percentage of trading on the listing platform. 
Separate data consolidator and revenue allocation functions: yes 

Option  2.2  –  Mandatory  contributions  with  statutory  subscription  fees.  In  addition  to 
mandatory  contributions,  Option  2.2  would  comprise  statutory  minimum  subscription 
fees for consolidated market data feeds. Option 2.2 expresses a clear choice to regulate 
minimum  levels  data usage  fees  at  the data consumer level.  Option  2.2 is  based on the 
assumption  that  market  data  contributors  are  adequately  remunerated  based  on  a 
participation  in  the  profits  of  a  consolidated  market  data  feed.  Making  mandatory 
contributions  contingent  on  a  “revenue  participation  model”  aims  to  create  a 
commonality of interest between market data contributors and market data consolidators. 
By setting fee floors for the use of core market data, market data contributors participate 
in  the  commercial  success  of  consolidated  market  data  streams  and  share  the  risk  of 
success of the consolidated market data product with market data consolidators.  

The  subscription  fees  would  be  designed  and  regularly  reviewed  by  an  independent 
operating  committee.  The  operating  committee  would  be  comprised  of  industry 
stakeholders – both market data contributors, redistributors and market data consumers, 
with  both  retail  and  institutional  representation.    The  operating  committee  could  be 
structured  as  a  body  that  advises  the  European  Commission  in  the  formulation  of 

53 https://www.nasdaq.com/articles/sip-accounting-101-2021-03-25 

31 

 
                                                 
delegated legislation, along the lines of the technical expert group that advised the EC on 
climate change benchmarks.  The operating committee would have responsibility for fee 
management  as  well  as  for  the  revenue  allocation  methodology.  Participants  in  the 
operating committee should require the proof of relevant qualifications in economics and 
accountancy.  

The appropriate subscription fees should take into account various uses that subscribers 
make  of  the  consolidated  tape  and  take  into  account  relevant  parameters  such  as 
commercial  redistribution,  price  referencing,  indexing,  syndication,  sales  to  media 
outlets.  The  various  subscription  fees  should  be  set  at  levels  sufficient  to  largely 
subsidize the cost of granting retail access for minimal or no cost.  

Rules on minimum end-user (and self-allocator) subscription fees would aim to cover the 
set up and operating cost of the chosen model for data consolidation and to create excess 
revenue  to  operate  a  revenue  allocation  scheme  to  remunerate  core  market  data 
contributors (the allocation criteria would be the same as in Option 2.1 above). All forms 
of market data consolidators would be subject to a legal obligation to allocate revenue in 
excess of their operating cost to core market data contributors54. Revenue to be generated 
would depend on the statutory fees that the regulation choses to impose on consolidators 
for the provision of the consolidated data: (1) One choice would be to establish an annual 
statutory subscription fee of e.g., EUR 25 per month per professional market data user. 
Non-professional  users  (defined  as  retail  clients  who  subscribe  to  the  data  for  personal 
use only and upon evidence of their status of non-professional users) would either obtain 
access to the tape via their brokers (indirect access) or would obtain direct access to core 
market data at an annual subscription fee for direct access by non-professional users. Due 
to  their  non-professional  (private)  usage,  this  fee  would  be  significantly  lower  than  the 
fee that market professionals would need to pay, e.g., maximum EUR 1/month55,56. If an 
investor  would  deem  the  cost  of  the  CT  too  high,  she  can  still  choose  to  go  to  the 
respective venues for 15 minutes delayed data which remains free. 

Summary of Option 2.2 main features 
Data 
consolidators, or a single consolidator 

licensing:  Mandatory  contributions 

to  either  a  self-aggregator,  competing 

54  Every  market  data  consolidator  will  have  to  determine  its  operating  cost  and  cost  of  capital  and  then 
allocate excess revenue from the sale of the tape back to market data contributors in accordance with the 
legally mandated value-based allocation method. 
55 This would be a significant improvement for the retail investors compared to the 15 minutes delayed data 
rule. Retail investors would for private use obtain market data for EUR 1/month not only real time instead 
of after 15 minutes but get in one single point a complete picture based of all trading in the EU.  
56  A  good  proxy  for  a  reasonably  priced  retail  tape  would  be  the  US  retail  access  model.  In  the  U.S.  all 
online brokers offer their retail clients access to the US consolidated tape. This is how retail consumers get 
a  comprehensive  view  of  all  U.S.  markets  that  execute  trades  in  a  share  that  they  are  interested  in.  The 
three  US  tapes  together  have  5.4  million  non-professional  subscribers.  When  US  non-professional 
subscribers (retail) consume the consolidated tape through retail brokerage websites, they effectively pay a 
maximum of $ 1/month. 

32 

 
                                                 
Compensation for market data contributors: Statutory subscription fess applicable to all 
categories of market data disseminators 
Revenue allocation: allocation weighting in favour of less liquid shares or exchanges that 
assemble a high percentage of trading on the listing platform. 
Separate data consolidator and revenue allocation functions: yes 

Option  2.3  –  Mandatory  contributions  with  compensation  by  means  of  a  “reference 
price  usage  fee”.  Option  2.3  envisages  to  ensure  compensation  for  market  data 
contributors by means  of a usage fee for all  execution venues that  do not  contribute to 
price formation in the equity markets (“dark trading”).  Technically “dark trading” would 
be  defined  as  offering  trading  in  EU  ISIN  using  a  “reference  price”  established  at  the 
original listing venue for the relevant EU ISIN57. In order to continue offering this form 
of  trading  that  is  not  pre-trade  transparent  –  no  quotes  are  published  and  trades  are 
executed at the reference price set at the primary market (either the “listing exchange” or 
the “most relevant market in terms of liquidity”), execution platforms that match trades 
using an a reference price “imported” from the listing exchange would need to “buy” the 
reference price by means of a monthly “ad valorem” fee, to be paid (for rebating back to 
the listing exchange) to the operator of the consolidated tape.  

The  reference  price  usage  fee  would  be  designed  and  regularly  reviewed  by  an 
independent operating committee set up in line with the committees described in Options 
2.1  and  2.2.    In  addition  to  the  possibility  to  separate  the  data  consolidation  from  the 
revenue allocation function, this option would allow an even clearer separation between 
the data consolidation and the collection and administration of the “dark pool” fee.  

licensing:  Mandatory  contributions 

to  either  a  self-aggregator,  competing 

Summary of Option 2.3 main features 
Data 
consolidators, or a single consolidator 
Compensation  for  market  data  contributors:  Statutory  “reference  price  usage  fee”  to  be 
paid by all market data contributors who operate a “dark pool” 
Revenue allocation: allocation weighting in favour of less liquid shares or exchanges that 
assemble a high percentage of trading on the listing platform. 
Separate data consolidator and dark pool fee administrator: yes.   

 Options discarded at an early stage 

Due to the rapid evolution of technology in collecting and storing market data no option 
on either the organisation of data consolidation or on the organisation of data licensing 
should be discarded upfront. Preference should be given to operational and market data 
licensing approaches that serve as a reliable price benchmark against which to manage 

57  As  all  EU  ISIN  would  form  part  of  the  “reportable  universe”  of  an  EU  consolidated  tape,  provisions 
would have to be made that all trading venues that offer trading in EU ISIN report to the tape and, when 
using the RPW exemption, pay the “RPW fee” to the provider of a consolidated tape.   

33 

 
                                                 
their  intra-day  liquidity  risk  throughout  the  entire  trading  day58.  At  a  time  when 
continuous  intra-day  trading  is  already  under  pressure  on  account  of  a  significant  shift 
towards  trading  “at  the  close  (up  to  25%  of  daily  volume  is  currently  transacted  in  the 
closing  auction),  promoting  more  intra-day  order  execution  outside  of  the  end-of-day 
closing  auctions  should  guide  the  choice  of  options  on  market  data  consolidation  and 
market data licensing.  

6.  WHAT ARE THE IMPACTS OF THE POLICY OPTIONS? 

 Impacts of options to achieve specific objectives 1 & 2  

6.1.1. 

Impacts of Option 1.1 – self-aggregation 

Data  contributors.  Standardisation  of  market  data  reporting  formats  will  facilitate  self-
aggregation of market data; most costs incurred by data contributors in the harmonisation 
of data reports are one off investments.  

The  Oliver  Wyman  reports  presents  various  estimates  of  the  connection  cost  of 
delivering standardised data by stock exchanges: (1) EUR 10.000 per venue for an end-
of-day tape; (2) EUR 50.000 per venue for a 15 minute delayed tape; (3) EUR 75.000 per 
venue  for  a  real  time  transaction  tape  and  (4)  EUR  100.000  for  a  real-time  pre-trade 
tape59.  On the basis that there are 15 exchanges that still operate separate platforms in 
each Member States (despite some exchanges forming part of a group, such as Euronext 
or  NASDAQ),  annual  cost  of  harmonised  data  reporting  across  all  stock  exchanges 
would vary between EUR 270.000 and EUR 2.7 million.   

Other  market  data  contributors  (alternative  venues,  SIs  and  OTC  traders60)  indicate  a 
likely spend between EUR 500 000 – EUR 1 million (varying with size and data volume) 
in  one-off  costs  to  implement  reporting  systems  that  comply  with  the  harmonised  data 
reporting  standards,  which  leads  to  an  industry-wide  switching  or  adaption  cost  of 
between  EUR  85  and  EUR  170  million61.  The  industry-wide  annual  market  data 

58  A  clear  majority  of  respondents  to  the  European  Commission’s  public  consultation  and  workshop 
supported a real-time tape (see Annex 2), as it was the case in the answer’s to ESMA’s public consultation 
in 2019.  
59 Oliver Wyman, Caught on Tape, a consolidated tape for Europe (2021). 
60 Some of the main data contributors, next to the regulated markets, would include the following entities: 
the  Aquis  Exchange,  CBOE,  Turquoise/LSEG,  Virtu,  UBS,  Liquidnet,  Tradeweb,  GS  Sigma,  Morgan 
Stanley,  Instinet,  Equiduct.  Assuming  that  APAs  would  consolidate  the  SIs  trading  data,  there  would  be 
three  main  APA  contributors  for  equity:  the  CBOE  APA,  the  LSEG/Turquoise  APA  and  the  Tradeweb 
APA. Should APAs not continue to consolidate SI trading, all equity SIs operated by the main investment 
firms would need to contribute market data individually. 
61 Technology provider Finbourne explained that based on past experience of implementing technology at 
large financial institutions and market data providers, a technology provider submits that the upper bound 
of  a  cost  estimate  would  be  6  months’  work  for  5  FTE.  On  the  assumption  that  roughly  300  Trading 
Venues and APAs offer trading in reportable bonds, this could result in costs in the region of EUR 250 000 
per firm or a total of roughly EUR 75 million across the industry.  

34 

 
                                                 
 
reporting  cost  would  amount  to  between  EUR  34  and  EUR  67  million.62  It  is  possible 
that many of the venues and APAs, as specialists earning significant revenue from data 
resale and aggregation, could implement adaptations necessary to harmonise data formats 
at  a  lower  cost,  especially  if  market  data  is  provided  by  an  API  directly  to  the  various 
self-aggregators.63 These adaptation costs are deemed manageable for large market data 
contributors as they would amount to a maximum of EUR 1 million annually with a one-
off cost between EUR 500 000 and EUR 1 million64.  

On the other hand, self-aggregation does not produce a commercial product available to 
the  wider  market.  However,  alternative  venues  (MTFs  that  offer  additional  trading  in 
shares listed on an exchange) would benefit from this option most as more professional 
and non-professional investors would become aware of the additional execution options 
they  offer.  It  is  likely that  the increased  Union-wide visibility of alternative venues for 
executing  trades  will  increase  competition,  which  they  could  benefit  from.  Exchanges 
would most likely benefit least from self-aggregation as most market participants already 
subscribe  to  the  proprietary  data  feeds  supplied  by  the  principal  listing  exchange, 
including the data feeds provided by smaller exchanges65.  

Data users. Data users having the resources to register as self-aggregators would benefit 
from  a  decentralized  consolidation  model,  because  they  would  not  need  to  rely  on 
market  data  which  is  collected  and  consolidated  in  a  single  hub  before  being 
disseminated  to  data  users,  a  process  which  introduces  additional  latency  into  the  data 
consolidation  process66.  Instead  self-aggregators  would  collect  market  data  from  the 
various data sources and consolidate the data in their own data centre. Accordingly, each 
of the self-aggregated data sets would show the information more accurately from each 
self-aggregators’  geographical  perspective,  which  would  narrow  the  “latency  gap”  that 
results  from  a  centralised  hub  delivering  market  data  to  geographically  dispersed  data 
users.   

Latency  benefits  from  decentralised  self-aggregation  would,  however,  not  benefit  all 
market  data  users.  The  population  of  self-aggregators  would  very  likely  comprise  only 
large  market  data  consumers,  such  as  electronic  market  makers  or  the  big  investment 
banks.  Smaller  market  participants  would,  at  least  not  in  the  immediate  and  medium-
term,  have the capacity  and resources necessary  to  self-aggregate.  In this immediate or 

In addition, GreenBirch also provided a cost estimate for the costs to report and transmit data, whereby the 
development, testing and commissioning is estimated at EUR 150 000 for smaller contributors.  
However, as both estimates are lower than the estimate received from an association representing sell side 
firms, it is chosen to go for the more conservative approach with high cost estimates. 
62 These estimates were provided by an association representing sell side firms. More details can be found 
in Annex 3. 
63 Assessment supplied by Finbourne, 21 May 2021. 
64 Figures obtained from large data contributors through stakeholder meetings. 
65 Source: DG FISMA interviews with Baltic and CEE exchange operators. 
66 The self-aggregators would be paying the same statutory subscription fees for their internal users as the 
professional users. 

35 

 
                                                                                                                                                 
medium term, self-aggregation would therefore consolidate the bifurcation of the market 
between  participants  who  have  a  complete  overview  of  the  market,  delivered  at  low 
latency,  and  those  who  do  not.  For  example,  the  MSP  study  identifies  a  handful  of 
financial intermediaries that benefit from the current fragmentation of market data – large 
banks and HFTs/latency arbitrageurs.67 Self-aggregation would solidify these operators’ 
business model and entrench some of the informational advantages they currently enjoy. 
Self-aggregation would therefore increase information asymmetry. 

Retail investors. Benefits for retail investors would largely be indirect on account of the 
better  liquidity  risk  management  and  trade  execution  achieved  by  the  financial 
intermediaries  who  self-aggregate.  The  retail  benefit  would  be  increased  if  regulation 
made  self-aggregation  mandatory  for  all  intermediaries  in  order  to  demonstrate 
compliance with ‘best execution’. 

Competition in the market for consolidated data. There would not be a public version of 
a consolidated tape, but many “internal” versions of such a tape established through the 
process  of  self-aggregation.  The  multitude  of  self-aggregated  (consolidated)  data  flows 
would ensure that there is no monopoly for consolidated market data.  

6.1.2. 

Impacts of Option 1.2 – competing consolidators 

Data contributors. Same as Option 1.1.  

Data  users.  Competing  consolidators  would  collect  market  data  from  the  various  data 
sources and consolidate the data directly at their customer’s data centre. Accordingly,  a 
direct venue-to-subscriber model will show the best bid and offer more accurately from 
each data users’ geographical perspective. Data users would get more a precise picture of 
the  liquidity  as  the  best  bid  and  offer  is  provided  from  their  individual  geographical 
perspective,  which  narrows  the  “latency  gap”  that  results  from  a  centralised  hub 
delivering  data  to  geographically  dispersed  data  centres  (users)68.  In  addition,  several 
competing consolidated tapes would give market data users a choice between competing 
versions of the single consolidated tape at the lowest possible latency; this means that a 
system  of  competing  consolidators  would  reach  the  largest  group  of  (geographically 
dispersed) investors. Competition between consolidators would focus on delivery speed, 
business  continuity or the avoidance of “downtime”. Competing consolidators have the 
ability  to  compete  on  how  to  collect  and  transmit  the  market  data  to  data  consumers, 

67 MSP (2020), The Study on the Creation of an EU Consolidated Tape, p. 50. 
68  While  a  decentralised  venue-to-customer  model  will  close  the  latency  gap  presented  by  the  hub-and-
spoke  model  of  a  centralised  consolidator,  decentralised  consolidation  will  not  automatically  ensure  that 
the  consolidated  tape  will  evolve  into  an  “order  routing  tape”  that  is  delivered  within  nano-  or 
microseconds.  In  the  European  Union,  data  centres  are  dispersed  (Euronext  even  plans  to  move  its  data 
centre to Bergamo, while all other exchanges have their data centres in the Benelux, Germany or the U.K) 
making  any  effort  at  data  consolidation,  even  with  a  direct  venue-to-subscriber  model,  too  slow  to  be 
meaningful for algorithmic trading or order routing.  

36 

 
                                                 
resulting  in  different  transmission  latencies,  throughput  capacities,  and  data-feed 
protocols.69 

Investors  (the  buy  side)  would  be  the  main  beneficiaries  of  a  competing  consolidator 
model.  For  the  buy-side,  in  general,  the  consolidated  tape  will  have  the  advantage  that 
they will be able to get a complete overview of the entire liquidity in any given financial 
instrument.  The  tape  will  incentivize  asset  and  portfolio  managers  to  include  in  the 
portfolios  they  manage  the  most  optimal  (combination  of)  instruments  available  in  the 
Union and not just the instrument available on the (few) venues whose market data they 
currently subscribe to. They would have the information allowing them to decide if they 
need to become member of (other) venues, when these venues provide the most optimal 
products for their purpose. It will function as an important guide to the buy-side trader on 
assessing  and  making  their  trading  decisions  and  setting  up  their  algorithmic 
parameters.70 

The main investor (buy-side manager) benefit of a consolidated tape is the avoidance of 
liquidity  risk  and  slippage.  For  equities,  56%  of  asset  managers  that  participated  in  a 
survey conducted by MSP71 identified slippage of between 0-0.5 basis points as the main 
consequence of a lack of transparency with respect to liquidity in the market. Avoidance 
of this slippage would result in  investor  gains  of up to  EUR 1.06 billion.  11% of  asset 
managers estimated slippage of between 0.5 up to 1 basis point. If this slippage could be 
avoided,  investors  stand  to  gain  up  to  EUR  2.12  billion  due  to  better  trade  execution 
results. 7% of asset managers estimated slippage between 1 of up to 1.5 basis points, the 
avoidance of this slippage would yield investor gains of up to 3.18 billion. 10% of asset 
managers  estimated  slippage  of  between  1.5  to  2  basis  points,  the  avoidance  of  this 
slippage  could  yield  investor gains  of EUR 4.24 billion. Finally, 4% of  asset managers 
estimated slippage at above 5 basis points. Avoiding this slippage could potentially yield 
EUR 10.6 billion for investors.  

For  bonds,  potential  gains  from  a  consolidated  view  of  the  markets  would  be  even 
greater.  This  is  because  the  estimated  losses  due  to  slippage  by  far  exceed  the  above 
estimates  for  shares.  60%  of  bond  asset  managers  interviewed  for  the  MSP  study 
estimated slippage costs of up to 5 basis points, 25% estimated slippage cost of up to 10 
basis points, while 11% estimated slippage of up to 50 basis points. The absence of any 

69 It is important to note, however, that the centralised vs decentralised approach to data consolidation has 
no repercussions on the “greenfield” set-up or operating cost estimates. The cost estimates made available 
to DG FISMA indicate that the competing consolidator model does not have set up and operating costs that 
differ from the hub-and-spoke approach inherent in Options 2.2 and 2.3 (see Section 5.3, above). On the 
other hand, many of the entities that are expected to act as competing consolidators, investment banks and 
data companies, would not need to set up a data collection, consolidation and dissemination infrastructure, 
but could leverage existing infrastructures.  
70 https://www.fixglobal.com/real-time-tca-the-next-frontier-in-trading-analytics. 
71 MSP (2019), The Study on the Creation of an EU Consolidated Tape, Figure 14. 

37 

 
                                                 
reliable  data  for  the  traded  value  in  bonds  makes  it  impossible  to  quantify  slippage  in 
absolute terms.  

In terms of potential market data cost savings, large data consumers stand to benefit from 
competing  consolidated  tapes.  For  an  average-sized  investment  firm  (with  50  human 
users), current annual costs for “piecing together” a multitude of venue-specific market 
data products (including level 1, i.e., the first level of best bids and offers)72 are estimated 
at  around  EUR  300  000.  Replacing  this  by  a  consolidated  tape  at  a  subscription  fee  of 
EUR 600 per user/year would result in annual cost of 30 000 per investment firm. In such 
a scenario each firm would be able to save 270 000 per year. On the basis that there are 6 
501 registered investment firms in the Union, industry-wide savings for data consumers 
could  potentially  amount  to  EUR  1.75  billion  per  year.  When  looking  at  “winners  and 
losers”, Option 1.2 favours most market participants other than market data contributors 
as the consolidated tape allows for lower market data prices. 

Retail investors. Benefits for retail investors would largely be indirect on account of the 
better  liquidity  risk  management  and  trade  execution  achieved  by  their  financial 
intermediaries. Nevertheless, a free or reasonably priced single tape could have positive 
impacts  on  more  sophisticated  retail  investors  who  wish  to  diversify  their  investment 
portfolios and branch out into shares not listed on their local exchange. This is because 
Option 1.2 will lead to a complete and real-time view of price and liquidity for the entire 
market in shares or bonds in the Union. It is currently especially retail investors that have 
only access to 15 minutes delayed prices displayed by primary markets.73,74 The broader 
availability  of  at  least  core  market  data  would  make  these  markets,  including  the  non-
equities markets, more accessible (and, in consequence, more “tradeable”) for all types of 
retail market participants. The main advantage of a consolidated tape is therefore that a 
retail  investor  gets  the  comprehensive  view  of  markets  that  currently  only  the  largest 
market makers have. This knowledge would allow the retail investor to be aware of the 
best prices and liquidity in the entire Union. The consolidated tape would for those retail 

72 Data packages vary by the depth of financial information included, and generally there is a distinction 
made between post-trade data (transaction information, defined in the rest of the present document as core 
market data), level 1 data (the best bid and offer in addition to transaction), but also potentially level 2 data 
(not only the best bid and offer, but several layers of bids and offers, usually 5 to 10), and full order book. 
As an example, HFTs generally do not use simple level 1 data, and they pay for direct proprietary feeds. 
For more information, see “The design of equity trading markets in Europe”, Oxera, 2019, p.61. 
73According to Better Finance in a Letter to Commissioner McGuiness, June 2021, the primary focus for 
retail  investors  should  be  on  increasing  data  quality  and  accessibility  to  data  from  alternative  venues. 
Should a tape arise, it should in their view focus first on bonds and be easy and free to access.  
74 ESMA and the MSP study found considerable benefits for retail investors of a model featuring a single 
consolidator:  ESMA70-156-1606  and  “The  Study  on  the  Creation  of  an  EU  Consolidated  Tape”,  MSP, 
October  2020  ESMA  notes  that  the  CT  could  be  used  for  supplementing  best  execution  policies,  in 
particular  for  retail  investors.  The  MSP  study  mentions  that  the  US  bond  tape  has  had  an  impact  on 
lowering  transaction  costs  for  investors,  particularly  retail  investors.  Another  example  is  the  Exchange-
Trade Funds (ETFs) that have become increasingly popular with retail investors. The CT would positively 
affect the supply of ETFs to retail investors. 

38 

 
                                                 
investors  likely  become  a  reference  price  benchmark  (to  measure  best  execution)75.  It 
would  hence  provide  retail  investors  with  a  powerful  “private  enforcement”  tool.  The 
democratisation  of  liquidity  insight  will  create  a  more  level  playing  field  for  all 
participants in the equity, bond and derivative markets.  

Consolidated tape providers. Standard market data reporting formats will lower barriers 
to entry into the market for data consolidation. Several competing consolidated tapes will 
create opportunities for more than one entity to enter the market for data consolidation, 
creating opportunities for fintech and data companies. In order to allow for a break-even 
analysis  for  the  provision  of  a  consolidated  tape,  several  entities  submitted  cost 
projections  for  setting  up  and  operating  a  consolidated  tape  in  the  European 
topography76.  

Box 1– Cost projections for a consolidated tape (relevant for Options 1.2, 1.3 and 1.4) 

The projected cost for the provider of a consolidated  equities tape77 (assuming a five year pay-
back period range within the following estimates: 

Build/Setup costs78: EUR 4-12 million = EUR 0.8-2.4 million annually; 

Running cost79: EUR 7-27 million = EUR 1.4-5.4 million annually; 

Total cost: EUR 11-39 million = EUR 2.2-7.8 million annually. 

The projected cost (assuming a five year payback period for the provider of a consolidated bond 
tape/derivatives tape80 would be:81,82  

75 The expectation is not that retail investors are going to do the number crunching themselves but that the 
market  data  will  be  used  to  provide  user  friendly  applications  that  will  allow  the  retail  investor  to  make 
better informed decisions. 
76  All  of  the  cost  estimates  were  required  to  take  into  account  the  following  assumptions:  (1)  The  EU 
consolidated tape has to operate  with significantly more contribution venues (150-200) than the three US 
tapes  (22  exchanges  each);  (2)  Physical  or  cloud-based  data-centre  space  required  for  the  European 
environment  is  larger  than  the  US  tape  model;  (3)  the  U.S.  has  ~5,000  tradeable  securities  in  a  single 
country while the EU assumption is there are slightly less than 9000 tradeable securities, listed across 27 
EU  listing  venues  (the  FESE  Statistics  identify  8800  listed  securities  across  EU27  exchanges,  FESE 
Statistics, last accessed on 9  August 2021); (4) EU Message  formats  will be  required to carry additional 
data  content  not  necessary  for  the  US  tapes  (currency,  unique  venue  symbol  identifiers,  etc.);  (5)  Larger 
message  formats  require  additional  bandwidth,  processing  code  and  storage  of  the  information;  (6)  Staff 
levels, diverse language skills needed to facilitate client communications and interactions.  
77  For  the  provision  of  a  consolidated  equities  tape  with  level  1  quotes/post-trade  transactions,  made 
available intra-day within a range of 200 to 300 milliseconds of the quotes/trades being “time-stamped” at 
the  execution  venue.  Level  1  quotes  supply  “top  of  the  order  book”  basic  information  that,  for  the  most 
part, is more than sufficient for most investors. These ranges are the result of two separate costed estimates 
provided to DG FISMA. 
78 The build/setup cost contains the following products and services: (1) Technology: setting up dedicated 
lines and data feeds; (2) Infrastructure cost; (3) Software licensing; (4) Establishment of connections to 170 
equity trading venues; and (5) Project and account management.  
79  Running  cost  comprise  administrative  functions  of  the  CTP  (controlling  data  quality,  billing  tape 
consumers and sharing back revenues to market data contributors. 

39 

 
                                                 
Build/Setup costs: EUR 0.8-7 million = EUR 0.16-1.4 million annually; 

Running costs: EUR 6.5-20 million = EUR 1.3-4 million annually; 

Total cost: EUR 7.3-27 million = EUR 1.46-5.4million annually. 

According to the providers of the estimates, 83 there are no fundamental difference in the costs of 
data  consolidation  between  a  competing  consolidator model  and  a  centralised  “hub-and-spoke” 
model84.  Differences  in  cost  estimates  would  rather  vary  in  line  with  assumptions  on  the 
specifications that the tape has to comply with (see Annex 3 for a description of the main cost 
drivers). The basic requirement for the equities tape is that it will collect, store and disseminate 
market  data  within  200  to  300  milliseconds  of  the  timestamp  of  the  execution  venue.  Data 
consolidators  could  be  able  to  achieve  additional  efficiencies  by  selecting  third  party  data 
services, such as ingesting, processing and storing the market data via the cloud.   

Speed  of  delivery  was  deemed  a  driver  of  cost  only  for  with  very  low  latency  data  feeds  and 
connectivity.  The  incremental  costs  of  reducing  from  low  to  very  low  latency  increases 
exponentially. But speed would not be a main driver with a millisecond or as close to real-time as 
technologically  possible  delivery  frame85.  The  main  cost  driver  is  connectivity  to  data  sources. 
The  use  of  cloud-based  data  collection  would,  however,  avoid  the  majority  of  the  cost  of 
connectivity  and  would  support  close  to  real-time  delivery.  Basing  the  operation  of  the 
consolidated market data on the cloud would align with major investment firms moving their own 
data  collection  and  processing  activities  to  the  cloud.  A  cloud-based  consolidated  tape  would 
therefore not only be cheaper than an operation based on physical private networks, but would 
also be more future-proof.  

The cloud was generally deemed as a core element to make market data consolidation viable. The 
cloud  can  avoid  the  creation  of  dedicated  physical  infrastructure.  Building  new  physical 
infrastructure  adds  unnecessary  build  and  switching  cost  and  would  pose  a  risk  to  market  data 

80 The range of cost estimates is based on separate cost estimates provided to DG FISMA by the following 
entities: Greenbirch, Ediphy Markets, DXC Technology, NASDAQ, Finbourne.  Additional estimates are 
also presented in the Market Structure Partners study.   
81 The estimate that makes up the higher end of this cost range concerns an intra-day bond tape. Because of 
many common cost drivers, the estimate is extendable to an equity tape.  
82 See Annex 3.2 for further details, including real-life costing examples. 
83  All  cost  estimates  were  provided  on  the  basis  of  mandatory  contributions  and  harmonised  reporting 
standards. If these conditions were not met, the additional cost of having to conclude over 170 market data 
licenses for shares alone would make the consolidated tape non-viable.  
84 For example, one data company (Finbourne) states that the infrastructural set up costs are pretty much 
the same no matter what model is used.  The operating costs would be a function of some of the following 
elements:  AWS  cloud  storage  costs,  personnel,  offices,  administration  and  some  R&D/investment. 
However,  if  any  model  did  not  contain  mandatory  contributions,  the  requirement  to  pay  up-front  data 
licensing fees this would drive up costs as the data providers will either demand an upfront fee or create a 
situation  where  large  incumbents  could  use  their  current  position  and  licensing  arrangements  with  data 
providers to either 'crowd out' new entrants through a 'race to the bottom or price the licencing fee at a level 
that would effectively make a project led by a new entrant unviable.  
85 This is in contrast to the conclusions by Oliver Wyman, Caught on Tape (October 2021) who estimate 
that  there  is  a  huge  cost  differential  between  a  15-minute  delayed  tape  and  a  real-time  tape  (€  50  vs  77 
million).  A large portion of this cost difference is due to assumptions on the cost of connectivity (€ 33 vs 
49 million) and third party vendor support (€ 10 vs 20 million).  

40 

 
                                                                                                                                                 
consolidation.  Cloud-based  contribution  mandates,  harmonized  input  specifications  and  a 
common  consolidation  and  output  specification  were  seen  as  key  factors  reducing  the  cost  of 
market data consolidation. 

All of the estimates assumed an initial roll out of post-trade followed by pre-trade at least a year 
later. This is deemed the most cost effective approach. If the tape were limited to only post-trade, 
then the reduction in overall cost would only be moderate. In the build phase, most of the cost is 
driven from the infrastructure cost (networking, establishing connectivity for data ingestion and 
the  staff  costs  of  on-boarding  the  data  contributors  as  well  as  ongoing  ‘account  management’ 
activities. All of these areas have considerable economies of scale that would apply across a pre-
and post-trade equity tape but also to different asset classes. In the operating phase, networking 
is  again  the  principle  single  cost.  Data  storage  would  be  significantly  cheaper  for  a  post-trade 
only tape, but storage represents only a small part of the total costs. As a rough estimate, the total 
cost would reduce by 20-30% for a post-trade tape.   

Mandating contributions would play a role in reducing the cost of operating a consolidated tape. 
Receiving  core  market  data  form  execution  platforms  under  a  mandatory  contribution  scheme 
would  avoid  the  market  data  consolidator  having  to  negotiate  data  licenses  with  over  170 
contributors, reducing the costs and risks associated with consolidating market data.  

Remuneration for core market data providers is not considered as part of the operating cost of a 
consolidated, as market data contributors are remunerated with a share of the profit achieved with 
the sale of consolidated core market data.  

The  break-even  point  for  competing  consolidators  depends  on  the  combination  of  the 
level  of  subscription  fees  and  the  number  of  subscribers  to  the  tapes  that  competing 
consolidators  can  achieve  in  the  market  for  consolidated  data.  On  the  basis  of  a 
competitive market that would allow for coverage of operating and capital cost only (no 
remuneration  for  market  data  contributors),  the  following  break-even  scenarios  would 
apply:  Break-even  for  a  market  data  consolidator  with  only  professional  subscribers 
would require the following combinations of subscribers and fees:  

Scenario  Number of professional subscribers 

Annual fee 

1 
2 
3 
4 
5 
6 

(Number of Investment firms) 
6 500 (130) 
7 800 (156) 
15 600 (312) 
78 000 (1560) 
162 500 (3250) 
325 000 (6500) 

EUR 1 200 
EUR 1 000 
EUR 500 
EUR 100 
EUR 48 
EUR 24 

Percentage of investment 
professionals in the Union 
2% 
2.4% 
5% 
24% 
50% 
100% 

In a mixed professional plus non-professional subscription fee scenario, a market data 
consolidator could achieve break-even at even lower levels, for example with only 5000 
professional  subscribers  at  EUR  1200/year  and  150.000  retail  investors  (at  EUR  12 
each).  The  consolidated  tape  would  therefore  break  even  with  1.5%  of  investment 
professionals and 0.03% of potential retail users.   

Competition in the market for consolidated data. In terms of maintaining competition in 
the market for consolidated data, a professional subscriber model at EUR 600/year with 
100% of investment professionals subscribing would create revenue of EUR 195 million 

41 

 
and  would  support  25  competing  consolidators.  At  EUR  600/year,  with  50%  of 
investment  professionals  subscribing, a revenue of EUR  97.5 million  would  support  12 
competing consolidators. Even if only 25% of investment professionals subscribed to the 
tape  (at  EUR  600/year),  a  revenue  of  EUR  48.7  million  would  support  six  competing 
consolidators. A mixed professional/non-professional model would yield higher numbers 
of competing  consolidators. The market  would  most likely support far  more competing 
consolidators as the above figures are based on the conservative assumption that setting 
up a competing consolidator is a “greenfield” operation in which each competitor has the 
same  set-up  and  operating  cost  as  a  new  market  entrant  that  starts  a  “greenfield” 
operation (i.e., max. 7.8 million annually). For many of the competing consolidators this 
will  not  be  the  case,  as  existing  self-aggregators  and  data  companies  could  leverage 
established  infrastructures  to  enter  the  market  for  consolidated  market  data  that  is 
disseminated to the public markets.  

The  above  break-even  analysis  demonstrates  that  the  number  of  potential  competing 
suppliers  of  consolidated  market  data  will  increase  in  line  with  the  revenues  to  be 
generated in this market. With increased subscription fee levels, the revenue can increase 
from  EUR  48.7  to  almost  EUR  200  million.  In  a  competing  consolidator  model,  the 
additional revenue to be gained from an increased subscriber base will attract new entry, 
from  an  initial  base  of  six  competitors  to  potentially  25  competitors.  It  is,  however, 
unlikely that a “real-life” market would sustain 25 competitors, as a stable price of EUR 
600/year  will  not  be  maintained  in  competition.  Should  market  entry  occur  at  levels 
predicted  in  the  above  scenario  analysis,  the  price  per  user  will  decrease  with  the 
consequence  that  each  competing  consolidator  model  will  just  cover  operating  and 
capital  cost.  Their  individual  excess  profit  will  be  zero.  In  consequence,  there  is  an 
expectation  that  a  competing  consolidator  model  (with  discretionary  end  user  pricing) 
will  lead  to  better  (and  cheaper)  consolidated  data  products  but  no  expectation  that  a 
competing consolidator model can generate excess profit that is allocated back to the data 
contributors. 

Some stakeholders (notably technology and fintech companies) have expressed the fear 
that the competing consolidator model could actually raise barriers to entry to the market 
for consolidated data. This  is  because the mission critical  infrastructure  to  facilitate the 
secure  transmission,  receipt  and  cleaning  of  the  core  market  data  feeds  would  be 
technically complex and require highly sought after technical skills to build and maintain. 
As  existing  market  data  providers  would  have  core  components  of  the  required 
infrastructure in place already this would deter new market entrants. 

With a competitive field of consolidated data providers the issue of replacing an existing 
provider  would  not  arise,  as  several  providers  deliver  competing  consolidated  tapes, 
allowing consumers to switch in case one of the consolidated tapes encounters quality of 
service  issues  or  is  priced  in  an  uncompetitive  manner.  In  addition,  allowing  self-

42 

 
aggregation of core market data, either in conjunction with Option 1.2, 1.3 or 1.4, would 
end  up  in  increased  competitive  pressure  compared  to  a  model  that  solely  consists  of 
competing consolidators86.  

Other impacts. In terms of social impacts, the competing consolidator option would lead 
to  increased  ‘democratisation’  of  access  to  market  data.  Furthermore  it  would  have 
impacts of an indirect nature as a consequence of more efficient financial markets. Social 
impacts can therefore be deemed positive, though difficult to quantify. This option might 
have negative environmental impacts as reporting  market data to multiple consolidators 
increases the amount of data that needs to be processed electronically. Compared to the 
exchange  consolidation,  the  consolidation  of  all  market  data  in  one  (or  more)  single 
tape(s)  (option  1.1,  1.2  and  1.4)  would  have  a  positive  impact  on  listed  SMEs  stocks 
would have a wider visibility than their own local markets and a consequential increase 
in liquidity.  

6.1.3. 

Impacts of Option 1.3 – exchange consolidators  

Data contributors. Standardisation of market data formats for reporting to a consolidated 
tape  will  facilitate  data  contributions  to  the  consolidator  listing  exchange  from  other 
platforms, SIs and APAs; most of the standardisation costs are one off investments (see 
Option  1.1  above).  Market  data  contributors  would  be  remunerated  on  the  basis  of  a 
revenue  allocation  model  chosen  by  the  listing  exchanges  that  consolidate  market  data 
pertaining to their own listings.  

Data users. With the exchange consolidator model, the national securities exchanges, the 
alternative trading venues, SIs and  OTC traders  would report all their trading in  shares 
listed on an exchange (exchange X) to a central consolidator operated by exchange X87. 
This will lead to several exchange-specific consolidated tapes, with no tape reflective of 
the  entire  market.  Due  to  the  heterogeneous  listing  market  in  the  Union,  individual 
exchange-specific  consolidated  tapes  will  likely  vary  greatly  in  terms  of  instruments 
covered, latency and price. A necessary implication in an exchange-consolidator model is 

86 The regulatory burden incumbent on ESMA registering competing consolidators and self-aggregators 
would depend on the number of such entities. The cost of registering competing entities would, however be 
carried  by  the  registration  fees  applicable  to  any  data  service  provider.  Therefore,  each  new  applicant 
would  also  generate  additional  fee  income  appropriate  to  proceed  with  the  application  and  ongoing 
supervision. Compared to the current fully-fledged authorisation scheme for market data service providers, 
the registration scheme would generate less administrative burden. 
87 Apart from the exchanges and alternative trading platforms, data contributors are investment firms (SIs) 
or  market  operators  who  are  required  to  provide  pre-and  post-trade  data  relating  to  transactions  taking 
place  on  their  markets.  All  market  data  consolidation  options  operating  a  “hub-and-spoke”  model  would 
require  all  market  data  sources  (including  APAs  and  SIs  this  would  around  170  data  contributors  for 
equities) to implement new data standards as set by the consolidating venue. Implementation of these new 
standards will bring about one-off costs between EUR 500k and EUR 1 million per contributor. Industry 
wide  this  would  cost  somewhere  between  EUR  85  and  EUR  170  million.  Industry-wide  annual  market 
data reporting costs are expected to amount to between EUR 34 and EUR 67 million.  

43 

 
                                                 
that there would be 15 different exchange-consolidators, producing 15 different “listing” 
tapes  covering  a  total  of  8.804  listed  companies88.  Each  of  the  tapes  would  cover  a 
distinct population of listed companies (one tape will comprise as little as 28 companies 
while  others  will  cover  over  1000  listed  companies89).  Investors  wishing  to  have  a 
consolidated  view  of  the  entire  market  would  need  to  subscribe  to  the  following  15 
consolidated tapes as their content would not overlap (there are hardly any dual listings 
within the Union): (1) Athens Stock Exchange (163 listings); (2) BME (Madrid) (2.642); 
(3)  Bucharest  Stock  Exchange  (83);  (4)  Budapest  Stock  Exchange  (45);  (5)  Bulgarian 
Stock Exchange (257); (6) Cyprus Stock Exchange (106); (7) Deutsche Börse (496); (8) 
Euronext  (1.935);  (9)  Luxembourg  Stock  Exchange  (136);  (10)  Malta  Stock  Exchange 
(28);  (11)  Nasdaq  Nordics  &  Baltics  (1.152);  (12)  Prague  Stock  Exchange  (56);  (13) 
Vienna  Stock  Exchange  (814);  (14)  Warsaw  Stock  Exchange  (791);  (15)  Zagreb  Stock 
Exchange (100).  

Especially small data users, such as smaller or mid-tier asset managers, pension funds 
and  investment  insurers  would  be  losers  with  Option  1.3.  An  exchange-consolidator 
would, by implication, only provide a partial view of the relevant trading markets. Users 
would still need to assemble a view of the entire Union trading markets by subscribing to 
15 distinct consolidated tapes (as there are 15 exchanges listing non-substitutable shares). 
Due to budget constraints, small data consumers will still have to make a choice and limit 
the  number  of  data  sources  (venues  and  APAs)  to  which  they  subscribe.  This  form  of 
“optimisation” of market data consumption will likely result in less subscriptions to the 
tapes  consolidating  the  issuances  of  smaller  exchanges  in  the  Union.  For  example,  one 
budget optimisation strategy would be for a data user to only subscribe to the Euronext, 
Nasdaq and Deutsche Börse tapes. This would result in market data covering 40% of the 
most frequently traded Union issuers. While adding the BME tape would bring coverage 
up to 70% of Union issuers, these cost savings would not show the market data user any 
trading  that  takes  place  in  ISIN  (shares)  issued  on  the  remaining  11  exchanges.  This 
would also mean that issuers on those exchanges would face less investment  flows and 
therefore less secondary market liquidity for their issuances.  

For  an  investor  that  is  interested  in  prices  and  liquidity  of  all  of  the  Union’s  issuers, 
Option 1.3 will not replace the need for data consumers to subscribe to 15 consolidated 
data feeds. This option will, with regard to all classes, furthermore not incentivise small 
data consumers to include new markets in their portfolio because they likely still will not 
have access to data relating to these markets due to the fact that the impact on the costs of 
getting the full market picture will be limited.  

88 Source: FESE Statistics, accessed on 9 August 2021. 
89 Obviously the bigger exchanges will have more of their shares traded on the above-mentioned alternative 
trading venues (MTFs) or with SIs. 

44 

 
                                                 
Large  data  users,  such  as  electronic  market  makers,  SIs  and  high  frequency  traders 
might,  on the other hand, actually benefit  from  the partial  consolidation  implied by the 
exchange-consolidator  model.  These  market  participants  have  the  means  to  obtain  a 
fairly  complete  overview  of  the  market  across  all  instruments  by  subscribing  to  the 
products offered by the individual exchange-consolidators. This would provide them with 
an advantage over smaller market participants who cannot subscribe to all the exchange-
consolidator  feeds.  By  virtue  of  their  better  view  of  the  markets,  electronic  market 
makers and the big investment  banks can access more markets  and more liquidity than 
their  smaller  peers.  Any  investor  with  multi-market  exposure  will  therefore  have  to 
choose to execute trades through on of the big electronic market makers or internalising 
investment  firm.  Retail  brokers  will  also  have  to  continue  to  rely  on  the  bigger  firm’s 
superior knowledge of the markets, and will continue to be inclined to route all of their 
retail  orders  through  the  main  electronic  market  makers  (payment  for  order  flow).  In 
terms of “winners and losers” Option 1.3 would favour the revenue interest of exchanges, 
exchange-consolidators and electronic market makers over broadening access to market 
data for smaller market data users.  

Retail  investors.  The  continued  fragmentation  of  market  data  inherent  in  Option  1.3 
would negatively affect those retail investors invested in a cross-border portfolio of listed 
instruments.  For  example,  retail  investors  that  invest  beyond  national  borders  (i.e., 
beyond what is listed on their national exchange) would be affected more negatively than 
those that invest only locally. In addition, it would not be realistic to expect that all retail 
investors have the financial means would take the necessary steps to subscribe to several 
tapes to obtain a full picture of prices for all the shares in their investment portfolio, as 
these portfolios are rarely confined to the listing on a single exchange. For example, it is 
not  realistic  to  expect  a  retail  trader  to  subscribe  to  a  Euronext,  NASDAQ,  BME  or 
Deutsche  Börse  tape  to  obtain  prices  available  for  a  portfolio  of  shares  that  comprises 
shares listed on all of these main exchanges90. It is even less realistic if a retail investor 
also  wants  exposure  to  the  remaining  11  national  exchanges.  Option  1.3  will  therefore 
not serve the needs of an even moderately diversified retail investor. Option 1.3 would, 
on the contrary, favour a myopic view that prevents retail investors from investing across 
the Union.  

Retail  investors from  smaller markets  would not  gain  insight  in  the rest  of the Union’s 
markets and investors from larger markets would not gain insight in the smaller markets 
because  they  would  still  need  to  subscribe  to  these  markets  in  addition  to  the  tape 
provided by the stock “exchange group” of their ‘home’ markets. The fact that the tape 
pertaining to the national exchanges home markets would need to be made available for 
free  within  a  15  minute  delay  is  not  a  remedy  as  the  delayed  data  is  (1)  not  timely  to 

90  This  aspect  is  overlooked  in  a  submission  of  Better  Finance  of  June  2021,  where  Better  Finance 
advocated that the primary focus for retail investors should be on aggregating trade execution on a national 
exchange instead of consolidating data from competing execution sources.  

45 

 
                                                 
influence  an  informed  investment  decision  and  (2)  not  reflective  of  all  liquidity  in  a 
financial instrument that is not solely traded on its listing exchange.   

From  a  retail  investor  perspective,  Option  1.3  is  therefore  not  compatible  with  the 
creation of a capital market union that benefits also the less sophisticated segments of the 
market. 

Consolidated tape providers. As the above data demonstrates, the exchange-consolidator 
model will not create a single consolidated view of all shares listed on any one of the EU 
exchanges.  It  will  most likely result in  15  consolidated tapes, each covering a different 
population  of  listed  shares.  On  the  other  hand,  exchange-specific  consolidation  would 
provide exchanges with a large degree of control over the parameters of their tapes and 
the rates at which consolidated data relating to their listings is released to the market. The 
exchange-consolidator tapes would most likely  also look  very different  in  terms  of: (1) 
contributing venues; (2) instrument coverage; (3) latency; (4) message capacity; and (5) 
performance  in  term  of  “uptime”  vs  “downtime”.  Essential  issues  to  promote  best 
execution, such as speed of delivery, coverage and quality will need to be addressed by 
the  competitive  process  and  might  require  potentially  very  detailed  regulation  of  a 
consolidated  tape  provider.  In  terms  of  “winners  and  losers”,  Option  1.3  favours  the 
listing  exchanges,  as  it  entails  that  exchanges  control  the  operation  of  the  consolidated 
tapes.  This  control  would  enable  exchanges  to  ensure  that  tape  revenue  flows  back  to 
their  order  books.  As  each  exchange-consolidator  would  be  able  to  modulate  revenue 
allocation to favour its own pre-trade quotation data and be granted the power to charge a 
“dark pool” levy for transactions that were not pre-trade transparent, this would generate 
revenue,  mostly  for  the  larger  exchanges,  whose  shares  are  often  traded  under  the 
reference price waiver.   

Competition  in  the  market  for  consolidated  data.  It  would  be  a  difficult  process  for 
ESMA to replace a listing exchange in its role as the exclusive data consolidator for the 
equity  instruments  it  lists.  Competition  would  be  the  most  acute  challenge  with  the 
exchange-consolidator  model.  Entrusting  the  consolidation  of  core  market  data  to  an 
entity that is also an important data contributor gives rise to conflicts of interest. A large 
part of the supervision of an exchange-consolidator would therefore focus on preventing 
or managing conflicts of interests  (CoI) when a large data provider is  also in charge of 
collecting market data from competitors. Policies would need to address how data from 
competing venues is obtained, remunerated and how harmonised data reporting standards 
are  enforced.  A  registration  or  authorisation  with  ESMA  would  therefore  have  to  be 
designed in a way that enables ESMA to determine whether exchange consolidators are 
in  compliance  with  their  CoI-related  duties  and  obligations  under  the  registration  or 
authorisation scheme. Supervising an exchange-consolidator model will, in consequence, 
be  more  costly  for  ESMA  than  registering  independent  entities,  such  as  competing 
consolidators  (Option  1.2)  or  a  single  consolidator  (Option  1.4).  Competition  issues 

46 

 
would  also  arise  because  the  exchange-consolidator  will  operate  a  consolidated  tape 
alongside  the  listing  exchange’s  own  proprietary  market  data  products  (that  are  not 
centrally  supervised).91  This  option  furthermore  requires  the  central  supervisor  to 
maintain  a  register  of  consolidating  venues  and  to  police  the  application  of  the  correct 
data standards for market data trade execution protocols92. 

The  potential  of  lower  barriers  to  entry  into  the  market  for  data  consolidation  (brought 
about  by  standardisation  of  market  data  reporting  formats)  will  therefore  be  largely 
neutralised  by  the  market  power  that  the  exchange-consolidator  model  provides  to  the 
listing exchanges.  

Other impacts. In terms of social impact the competing consolidator option would lead to 
a  marginal  increase  in  ‘democratisation’  of  access  to  market  data,  as  the  need  to  self-
aggregate  data  from  several  sources  is  only  reduced  but  not  eliminated.  Due  to  the 
duplication  of  reporting  that  an  exchange-consolidator  model  would  imply,  this  option 
might  have  negative  environmental  impacts  as  reporting  to  multiple  consolidators 
increases the amount data that needs to be processed electronically. 

6.1.4. 

Impacts of Option 1.4 – single consolidator 

Data contributors. Same as Options 1.1 and 1.2, standardisation of market data formats 
for  reporting  to  a  consolidated  tape  will  facilitate  data  contributions;  as  with  the  other 
options,  most  adaptation  costs  are  one  off  investments.  Alternative  venues  (MTFs  that 
offer additional trading in shares listed on an exchange) would benefit from Option 1.4, 
as  more  professional  and  non-professional  investors  would  become  aware  of  the 
additional  execution  options  they  offer.  It  is  likely  that  the  increased  Union-wide 
visibility of alternative venues for executing trades will increase competition, which they 
could benefit from. 

Data users. Same as Option 1.2. In contrast with Option 1.2, market data supplied by the 
hub-and-spoke  model  would  be  slightly  less  precise  and  less  reflective  of  the  user’s 
geographical  location,  as  the  centralised  consolidation  process  introduces  additional 
latency.  While  not  tested  in  practice,  a  single  consolidator  could  also  employ  the  more 
accurate  decentralised  model  to  avoid  that  the  prices  it  displays  are  not  an  appropriate 
reference price for geographically dispersed users.    

Retail investors. Retail investor benefits would reflect those described for Option 1.2. 

91 See, for example, the following stakeholder statement: “Lack of regulatory enforcement means there is 
no incentive for venues and APAs to improve quality – on the contrary, most have an incentive to keep the 
data  quality  poor  to  discourage  consumption  of  public  data  and  force  consumption  of  their  high  margin 
commercial data products.” 
92According to a stakeholder submission the absence of enforceable data standards leads to the following 
consequences: “Raw data quality will only improve once people are looking at the data and a mechanism 
exists  whereby  the  producers  of  the  data  are  required  to  correct  identified  issues  –  most  producers  are 
ignoring feedback provided by those of us analysing the data.” 

47 

 
                                                 
Consolidated tape provider. Break-even for a single consolidator with only professional 
subscribers would reflect the break-even point for each single competing  consolidator, 
as  described  above.  The  same  applies  in  a  mixed  professional  plus  non-professional 
subscription fee scenario, see above Section 6.1.2 above.  

Competition in the market for consolidated market data. The potential of lower barriers 
to entry (due to harmonised data reports) would only be partially seized, as an exclusive 
consolidator  is  appointed,  albeit  for  a  limited  time  period.  Essential  issues  for  best 
execution, such as speed of delivery and quality would therefore need to be addressed by 
EU supervision and regulation (and potentially require an early re-tender). ESMA would 
be  under  the  obligation  to  re-tender  the  provision  of  the  consolidated  tape  every  five 
years.  ESMA,  in  its  role  as  the  supervisor  of  the  single  consolidator,  would  be 
empowered to require remedies or to replace the chosen operator of the consolidated tape 
even before the expiry of the allotted term of exclusivity in case of insufficient quality, 
non-compliance with service level commitments or monopolistic pricing.   

Allowing  self-aggregation  of  core  market  data  in  parallel  to  the  single  consolidator 
model  would  have  the  positive  effect  to  increase  competitive  pressure  on  the 
performance  of  the  single  consolidator.  Should  service  quality  or  speed  of  the  single 
consolidator deteriorate, market participants could have recourse to self-aggregating core 
market  data  for  their  own  internal  use.  On  the  other  hand,  self-aggregation  would 
perpetuate  current  information  asymmetries  between  well-equipped  market  participants 
and those that cannot afford to self-aggregate.  

Other impacts. In terms of social impact, both Options 1.2 and 1.4 would contribute to 
democratise  the  access  to  market  data  and  thus  potentially  favour  the  participation  in 
markets from a larger section of the population. It would also have impacts of an indirect 
nature  as  a  consequence  of  more  efficient  and  competitive  financial  markets.  Although 
the social impacts cannot be quantified they are deemed to be positive.  

Option 1.4 (along with option 1.1 and 1.2) would furthermore have the benefit that SME 
shares that are listed on only one or a few regulated markets  or SME Growth Markets 
become  visible  to  (non-local)  investors  and  brokers  in  the  Union,  without  the  need  to 
subscribe  to  potentially  15  listing-specific  consolidated  tapes.  This  increased  visibility 
increases  the  attractiveness  of  investments  and  the  possibilities  of  the  shares  being 
included  in  investment  funds  or  investment  portfolios.  As  a  consequence  of  increased 
attractiveness of SME shares it could therefore also increase the effectiveness of raising 
capital for SMEs.  

6.1.5. 

Impacts of Option 1.5 – concentration rule 

Data  contributors.  Option  1.5  favours  incumbent  exchanges  alone  as  it  concentrates 
trading  on  a  single  national  exchange-operated  order  book.  There  would  be  no  other 
market  data  contributors.  In  terms  of  “winners  and  losers”,  Option  1.5  would  favour 
exchanges  over  all  other  market  participants,  not  just  data  users,  but  also  competing 
execution venues.   

48 

 
Data  users.  Trade  concentration  will  provide  end  users  with  a  good  view  of  only  one 
segment  of  the  market  (its  listings).  From  the  perspective  of  data  users,  Option  1.5 
amounts to the same result as Option 1.3, it provides them a consolidated view of a part 
of the market. The main difference with Option 1.3 is that Option 1.5 provides a partial 
consolidation not of market data but of trading (trade execution) itself.   

The downside for data users is that the concentration rule is not comprehensive when it 
comes  to  solving  for  market  data  fragmentation.  The  lack  of  comprehensive  coverage 
would still force data users to piece together a picture of the entire market by subscribing 
to  multiple  exchange-specific  data  feeds.  Market  data  users  have  not  endorsed  the 
concentration  model  as  they  believe  that  this  would  lead  to  higher  transaction  fees  and 
data costs charged by the exchanges and a wider bid offer spread because there would be 
less choice and competition. 

Data  users  would  be  losers  in  Option  1.5,  as  this  option  would,  in  terms  of  instrument 
coverage, only provide a partial view of the relevant trading markets. They would also 
be losers in terms of having less choice and higher costs in executing a trade. 

Retail  investors.  Option  1.5  would  have  the  consequence  that  a  larger  portion  of  the 
trading in financial instruments would take place on the listing exchange, decreasing the 
need  to  obtain  core  market  data  from  other  competing  execution  venues.  At  first  sight, 
this  seems  to  facilitate  access  to  core  market  data  for  retail  investors  (reduced  search 
costs).  But  there  would  still  be  the  various  listing  exchanges  in  which  the  data  is 
concentrated.  In  order  for  retail  investors,  or  their  brokers,  to  have  an  overview  of  the 
available liquidity in other shares listed on other markets than the one they are connected 
to  they  would  still  need  to  subscribe  to  the  data  feeds  of  all  the  exchanges  (no 
consolidation effect between shares listed on different stock exchanges). 

The main disadvantage  of Option  1.5 for retail  investors is  that reduced  competition  in 
trade  execution  is  expected  to  increase  exchange  fees  (transaction  costs)  and  execution 
spreads would increase back to the levels that existed pre-MiFID I.   

Competition. Quality and delivery issues would not be addressed through the competitive 
process  (neither  at  trade  nor  at  market  data  level).  Barriers  to  entry  will  protect  the 
incumbent as market data consolidation is achieved by consolidation of trade execution 
on a single (listing) exchange. Essential issues around speed of delivery and quality will 
need  to  be  addressed  by  national  supervision  and  regulation  (and  even  then  will  be 
difficult to address as a trading monopoly cannot be replaced easily) 

Other impacts. In terms of social impact the trade concentration rule would lead to some 
level  of  increased  ‘democratisation’  of  access  to  market  data,  although  at  the  cost  of 
eliminating competition between execution venues. Due to the fact that trading and data 
reporting would be integrated, this option might have positive environmental impacts as 
reporting to external consolidators is avoided altogether.  

49 

 
 Impacts of options to achieve specific objectives 3 & 4 

6.2.1. 

Impacts of Option 2.1 – Mandatory contributions with “minimum 

revenue targets”  

Data users. Data users would be best served by Option 2.1 as, without any statutory floor 
for subscription fees, it is incumbent on the market data consolidator to design a pricing 
and  subscription  model  that  allows  flexibility  in  how  to  achieve  the  legally  binding 
“minimum  revenue  targets”.    This  level  of  commercial  freedom  would  incentivise  the 
market data consolidators the freedom to set differential subscription fees in line with the 
use  that  individual  subscribers  (or  categories  of  subscribers)  make  of  the  core  market 
data.  It  would  also  allow  commercial  freedom  to  design  a  fee  and  usage  schedule  that 
could generate enough revenue to offer the core market data to retail users at low or no 
cost.  

Data contributors. Depending on the legal enforcement mechanism associated with the 
“minimum revenue target”, either as part of the data consolidator’s operating conditions 
(Option 1.2) or as part of the selection process (Option 1.4)  data contributors would be 
remunerated for the mandatory supply of core market data.   

In order to establish appropriate levels of remuneration, the operating committee that is 
tasked with establishing and reviewing the level of the “minimum revenue targets” would 
have to assess the concerns of potential market data revenue displacement effects to the 
detriment  of  listing  exchanges  that  currently  derive  revenue  from  the  sale  of  non-
consolidated market data. In this context, the operating committee will be tasked with the 
verification  of  a  series  of  assumptions:  (1)  does  the  consolidated  market  data  feed 
automatically replace so-called low latency proprietary data feeds of the exchanges or (2) 
does  the  consolidated  market  data  entirely  or  partially  replace  existing  intra-day  data 
non-consolidated data feeds offered by individual exchanges?  

The  operating  committee  would  therefore  have  to  assess  the  level  of  the  minimum 
revenue  target  in  close  alignment  with  the  features  of  current  non-consolidated  market 
data  products  when  compared  with  the  consolidated  market  data  offered  by  the 
consolidated tape. The operating committee would need to establish the extent to which 
the  consolidated  tape  is  a  substitute  for  exchange-specific  non-consolidated  data  feeds 
and whether both products form part of the same or different markets. In order to strike 
the right balance between the interests of market data contributors and market data users, 
the operating committee would need to analyse the relevant market both from a demand 
and a supply side perspective:  

Demand  for  latency.  The  operating  committee  would  need  to  establish  whether  the 
consolidated  tape,  even  if  delivered  as  close  to  the  execution  venue’s  time  stamp  as 
technologically possible, would replace a nano-second low latency proprietary data feed. 
If the consolidated tape is not expected to displace any exchange revenue from the sale of 
low latency proprietary data feeds, revenue generated in this market is no displaced and 
would therefore have to be excluded from the minimum revenue target.  

50 

 
Demand for scope. A large broker or a retail broker active in several jurisdictions would 
want a view of the entire range of options available for executing a trade in a particular 
financial instrument (to comply with best execution). On the other hand, a (local) broker 
highly specialised in executing trades in local small caps would be content with the feed 
of its local exchange (assuming that small cap listings of that exchange are not traded, or 
traded to a significant extent, in any of the alternative execution venues).  

Product  features.  Proprietary  data  products  sold  by  exchanges  contain  more  than  core 
market  data.  For  example,  exchange-specific  proprietary  data  feeds  contain  pre-trade 
quotation data reflecting several layers of the order book and last sales (transaction) data 
while the core market data on a consolidated tape would be confined to only the best bid 
and offer on an order book (“top of book”) plus last sale (transaction) data.   

Important  caveat:  As  long  as  none  of  the  above  determinations  have  been  made,  no 
forecast as to the precise amount of the required minimum revenue target can be made.  

Smaller  stock  exchanges.  In  case  there  would  be  a  preferential  weighting  for  thinly 
traded  instruments  or  a  preferential  tranche  for  smaller  listing  venues  in  the  revenue 
allocation  scheme  to  smaller  exchanges,  each  one  of  the  smaller  exchanges  would 
potentially  receive  a  higher  percentage  of  the  revenue  produced  than  reflected  by  the 
value  of 
their  market  data  contributions.  While  preferential  weighting  would 
“overweight”  a  lower  value  contribution  vis-à-vis  a  higher  value  one,  a  preferential 
tranche would work more in the sense of a risk rebalancing in favour of smaller listing 
venues.  As  the  preferential  tranche  will  be  paid  out  to  smaller  listing  venues  before 
payment is made to bigger ones, the risk of a shortfall in the minimum target revenue is 
shifted to the bigger market data contributors.  

Consolidated tape provider. Option 2.1 is the easiest option for one or several providers 
of a consolidated tape, as they are free to design their own subscription fee schedules as 
long  as  they  meet  the  goal  to  cover  the  pre-established  minimum  revenue  target  that 
forms  part  of  their  operating  conditions.    There  might  be  uncertainties  for  the 
consolidated  tape  operator,  if  the  operating  committee  does  not  manage  to  find  a 
consensus  on  the  requirements  that  need  to  be  verified  in  order  to  establish  the 
appropriate level of the minimum revenue target.  

6.2.2. 

Impacts  of  Option  2.2  –  Mandatory  contributions  with  statutory 

subscription fees   

Data  users.  Option  2.2  would  be  more  intrusive  in  terms  of  commercial  freedom  as 
market  data  users  would  be  subject  to  statutory  minimum  subscription  fees.  There  are 
two choices: a statutory fee for professional users only or a statutory fee for professional 
and non-professional users.   

51 

 
Professional  market  data  consumers  pay  an  annual  subscription  fee,  established,  and 
regularly  updated,  by  regulation.  The  European  Union  has  6501  registered  investment 
firms93.  According  to  a  trade  body  representing  major  market  data  users,  Union-
registered investment  firms  have, on average, 50 users.  This would  amount to  325  000 
professional  users  in  the  Union  (50*6  500).  The  estimate  that  there  are  325  000 
professional  users  is  a  rather  conservative  point  of  departure  as  it  only  counts 
professionals  in  registered MiFID firms  (on the conservative assumption that there will 
be  50  per  registered  investment  firm).  UCITS  management  companies,  pension  fund 
administrators,  AIFM  and  brokers  form  third  country  jurisdictions  are  not  included  in 
this estimate.  By comparison the US the CTA Plan reports 5.4 million non-professional 
subscribers  and  290.000  professional  subscribers;  the  professional  subscriber  figure  for 
the US comprises firms and individual brokers so the actual number of individual users 
per “professional subscriber” (firm) will be much higher.    

If  each  user  paid  a  monthly  subscription  fee  of  EUR  5094  (EUR  600/year)95,  a 
professional  subscription  model  could  generate  annual  revenues  of  EUR  97.5  million 
(Scenario 1A). In the alternative, if only 50 % of the registered 6 500 investment firms 
subscribed  to  the  consolidated  tape,  Option  2.2  would  generate  revenues  of  EUR  97.5 
million  (Scenario  1B).  The  same  result  would  apply  if  the  subscription  fee  would  be 
lowered to € 25 (€ 300/year) for each professional user.  

Again, these assumptions are very conservative when compared to the fees applicable for 
the three tapes (Tapes A, B and C) that currently make up the US consolidated tape.  The 
total cost for professional users in the US comprises a monthly $ 7500 fixed direct access 
fee  ($  3500)  and  a  monthly  per  user  variable  fee  of  $  66-92.  Data  shows  that  the  US 
consolidated  tape  revenue  pool  is  around  $400  million  each  year,  and  that  has  been 
relatively stable over the past decade96. 

A  study  commissioned  by  FESE  comes  to  a  comparable  result.  Participants  in  a  study 
carried  out  by  Oliver  Wyman  indicated  a  willingness  to  pay  a  €10–15.000  in  annual 
subscription  fee,  even  for  a  post-trade  15  minute  delayed  tape.  With  around  15,000 

93 In the projections, only registered MiFID investment firms are taken into account. However, in several 
member states asset managers do not trade via a MiFID investment firms. Similarly, pension funds are not 
MiFID investment firms. Therefore, the projections are deemed to be rather conservative. Finally, it can be 
assumed  that  the  improved  transparency  of  the  EU  financial  markets  6500  will  attract  additional 
subscribers from outside of the Union.  
94 In a public letter, several of Europe’s most important asset managers and investment firms suggested that 
access  fees  to  a  consolidated  market  data  feed  should  be  no  more  than  €50  per  user  per  calendar  month 
with  separate  fees  for  direct  access  feeds.  https://www.thetradenews.com/plato-partnership-implores-
regulators-to-implement-real-time-single-post-trade-consolidated-tape-for-equities/  
95  The  €  50  per  user/month  figure  would  only  apply  to  a  real-time  intra-day  tape  that  contains  all 
transactions on any of the Union’s execution platform with a precise time-stamp of the execution platform. 
A consolidated tape delivered with a greater time lag would not give rise to a willingness to pay this level 
of subscription fees.   
96 Source: https://www.nasdaq.com/articles/sip-accounting-101-2021-03-25 

52 

 
                                                 
trading participants in Europe, Oliver Wyman estimates that a subscription model would 
result in  a potential revenue of €150–225 million97.  The Wyman study also underlines 
that the willingness to pay diminishes with a less timely delivery modus: respondents to 
the  Wyman  study  expressed  a  willingness  to  pay  €  10-15.000  for  a  delayed  15  minute 
post trade tape, while the interviews conducted by FISMA revealed a willingness to pay 
between € 15.000 and 30.000 (€ 300/600 x 50) per investment firm for a real-time, intra-
day transaction tape.   

In  addition  to  professional  users,  4.5  million  non-professional  data  consumers  pay  a 
maximum  annual  subscription  fee  data  (EUR  1  per  month  so  EUR  12  per  year).  The 
Union has approximately 450 million citizens. On the assumption that 1% of the Union’s 
population  subscribes  to  the  tape  (in  the  US  2%  of  the  population,  i.e.,  5.4  million 
households, subscribe to the US tape at either a monthly fee of $ 1 or a per-query fee of $ 
0.007598),  non-professional  subscribers  would  generate  another  EUR  54  million  in 
revenue per year (EUR 12 * 1% of the Union population) (Scenario 2A). If only 0.5% of 
the Union’s population subscribe to the tape, the total revenue would be EUR 27 million 
attributable to retail subscriptions (Scenario 2B).  

Data  contributors.  Regardless  of  how  many  consolidators  operate  in  the  market,  the 
amount of fees to be generated by commercialisation of a consolidated tape depends on 
two factors (1) subscription levels and (2) the (scalable) user fees per subscriber that the 
regulator establishes. For example, a tape displaying real-time transactions continuously 
throughout the trading day will generate most subscriber interest whereas an end-of-day 
tape would generate almost no subscriber interest (section 5.4, footnote 63).   In addition, 
user  fees  capped  at  €  25  per  user/month  will  generate  less  revenue  than  a  consolidated 
market data feed sold at € 50 per user/month. 

The  table  below  summarises  potential  revenue  scenarios  from  a  consolidated  tape  that 
charges subscription fees from professional and retail users, comparing a competing vs a 
single consolidator operating model. The assumptions on revenue to be achieved with a 
competing  consolidator  model  are  extremely  conservative,  as  they  are  based  on  the 
assumption  that  each  competing  consolidator  would  have  the  same  (high)  set  up  and 
operating cost as a “greenfield” new market entrant (€ 7.8 million). Bases on interviews 
with data experts, competing consolidators are expected to be large data companies that 
would  be  able  to  leverage  existing  infrastructure  in  order  to  enter  the  market  at  much 
lower cost.    

Annual revenue 
expectations, in 
EUR millions 

Option 2.2 Scenario 
1A/2A (best case) 

Option 2.2 Scenario 
1B/2B (worst case) 

Option 2.2 Scenario 
1A/2B (intermediate) 

Option 2.2 
Scenario 1B/2A 
(intermediate) 

Gross 

195+54=249 

97.5+27=124.5 

195+27=222 

97.5+54=151.5 

97 Oliver Wyman, Caught on tape — A consolidated tape for Europe 
98 Non-professional and per query fees are usually paid by the end users broker and not by the end users 
themselves. Source: https://www.nasdaq.com/articles/sip-accounting-101-2021-03-25 

53 

 
                                                 
revenue/year 
in EUR million 
Net revenue 
with a single 
consolidator 
… with two 
consolidators 
… with four 
consolidators 

241.2 (3.13%) 

116.7 (6.26%) 

214.2 (3.5%) 

143.7 (5.1%) 

233.4 (6.26%) 

108.9 (12.5%) 

206.4 (7.0%) 

135.9 (10.2%) 

217.8 (12.5%) 

93.3 (25%) 

190.8 (14.0%) 

120.3 (20.5%) 

The  table  above  shows  a  wide  variety  of  outcomes,  depending  on  a  modulation  of  the 
underlying assumptions.  The highest revenue (€241.2 million/year) and lowest operating 
cost  (3.1%  of  revenue)  can  be  achieved  with  a  single  consolidator  charging  a  €  50  per 
user/month  subscription  fee,  based  on  the  assumption  that  all  firms  registered  with 
ESMA will find it useful to subscribe to the tape and a 1% retail subscription at € 1 per 
user/month.  The lowest revenue (€ 93.3 million/year) and highest operating cost (25%) 
is  achieved  with  four  consolidators and  only 50% of investment  firms  and 0.5% of the 
European population find subscribing to the tapes. Revenue expectations are higher when 
taking  into  account  additional  operators  that  are  not  MiFID  investment  firms,  such  as 
UCITS  managers  and  alternative  investment  fund  managers  (AIFMs),  as  well  as  third 
country investment firms. Due to the premise that each competing consolidator incurs the 
cost  as  if  it  were  a  “greenfield”  operation  (see  above),  the  highest  revenue  can  be 
achieved  with  a  single  consolidator.  With  a  single  consolidator  operating  costs  would 
vary  between  3.1%  and  6.26%  of  expected  revenue,  which  is  percentage  very  much  in 
line with the US experience99.   

Smaller  stock  exchanges.  In  case  there  would  be  a  preferential  weighting  for  thinly 
traded  instruments  or  a  preferential  tranche  for  smaller  listing  venues  in  the  revenue 
allocation  scheme  to  smaller  exchanges,  each  one  of  the  smaller  exchanges  would 
potentially  receive  a  higher  percentage  of  the  revenue  produced  than  reflected  by  the 
value  of 
their  market  data  contributions.  While  preferential  weighting  would 
“overweight”  a  lower  value  contribution  vis-à-vis  a  higher  value  one,  a  preferential 
tranche would work more in the sense of a risk rebalancing in favour of smaller listing 
venues.  As  the  preferential  tranche  will  be  paid  out  to  smaller  listing  venues  before 
payment  is  made  to  bigger  ones,  the  risk  of  revenue  shortfall  is  shifted  to  the  bigger 
market data contributors.  

Consolidated tape providers. All market data consolidators would be obliged to sell their 
consolidated market data stream at the statutory subscription fee. Self-aggregators would 
also have to pay the per user/month statutory subscription fee depending on the number 
of  “internal”  users.  For  a  market  data  consolidator,  Option  2.2  would  entail  additional 

99 “The data also shows that the majority of SIP revenues are shared back to those providing the actual data 
in  the  first  place.  In  fact,  we  estimate  the  SIP  infrastructure  costs  at  just  $27  million,  or  6%  of  total 
revenues”  SIP Accounting 101, NASDAQ,  https://www.nasdaq.com/articles/sip-accounting-101-2021-03-
25.  

54 

 
                                                 
billing and invoicing effort, although the administration of the statutory subscription fee 
could  be  delegated  to  a  separate  entity.  These  administrative  costs  could  be  minimised 
further  if  by  self-aggregators,  competing  or  single  consolidators  outsource  the 
redistribution of their collective excess revenue pool to a single entity.  

6.2.1. 

Impacts of Option 2.3 – Mandatory contributions with a reference 

price usage fee   

Data  users.  A  “dark  pool”  fee  would  dramatically  shift  the  burden  of  covering  the 
minimum revenue for allocation to market data contributors away from the users of the 
consolidated  tape  to  the  venues  that  use  the  reference  price  waiver  to  avoid  pre-trade 
transparent order matching.   

Data  contributors.  A  reference  price  usage  fee  could,  on  an  extremely  conservative 
estimate, generate EUR 230 million (based on an ad valorem levy of 0.1% on 230 billion 
in annual trades that reference an external price relating to EU ISIN.100)The table below 
summarises potential revenue scenarios from a consolidated tape that charges a dark pool 
fee but no additional subscription fee to market data users.  

Gross revenue/year (EUR million) 
Net revenue with a single consolidator 
… with two consolidators 
…. With four consolidators 

230  
222.2 (3.3%) 
214.4 (6.78%) 
198.8 (13.5%) 

The  table  above  shows  that  even  a  moderately  priced  “dark  pool”  fee  has  a  significant 
revenue generation capacity and would allow the consolidated tape to be offered to users 
at  cost  of  production,  which  can  result  in  subscription  fees  as  low  as  EUR  24  up  to  a 
maximum  of  EUR  1200/year  per  investment  firm  (see  break  even  analysis  in  Section 
6.1.2).  In terms of “per user fees” Option 2.3 would therefore allow annual fees of EUR 
0.50 up to a maximum of EUR 24, while still producing more around EUR 200 million in 
revenue for allocation to exchanges. 

Smaller stock exchanges.  As Option 2.2., as the amounts for distribution to market data 
contributors would be roughly the same.  

Consolidated  tape  providers.  As  Option  2.2.  with  a  slight  advantage  that  the 
administration of the dark pool  fee  can be more  easily separated to  a specialised entity 

100  According  to  data  made  available  to  DG  FISMA  by  Rosenblatt  Securities,  post  Brexit  dark  pool 
transactions conducted under the reference price waiver (RPW) in EU ISIN amounted to roughly EUR 230 
billion (2021). The Rosenblatt sample includes a sample of nine major dark pools operating in the Union 
and  might  not  reflect  all  trades  conducted  under  the  RPW  in  the  Union.  These  figures  are  on  the 
conservative  side  when  compared  to  ESMA’s  assessment.  The  ESMA  Annual  Statistical  Report  2020 
states that equity trading volume in 2019 amounted to 28.6 trillion in 2019. According to ESMA, dark pool 
trading amounted to 8% of this amount (8% * 28.6 trillion = 2,288 trillion). The levy is calculated on the 
more  conservative  assessment  as  the  ESMA  data  also  contains  large-in-scale  and  other  pre-trade 
transparency waivers.  

55 

 
                                                 
that  would  centralise  all  the  dark  pool  trading  reports,  including  the  collection  and 
distribution of the proceeds.  

7.  HOW DO THE POLICY OPTIONS COMPARE? 

 Options to address specific objectives 1 & 2 

Option  1.1  –  self-aggregation.  Depending  on  the  ability  of  enforcing  adherence  to  the 
mandated  reporting  standard,  Option  1.1  is  efficient  at  improving  market  data  quality 
(specific  objective  1).  Self-aggregation  is  also  a  very  efficient  tool  to  facilitate  market 
data  consolidation  (specific  objective  2).  Its  main  drawback  is  that  the  market  data 
consolidation will not directly benefit market participants other than those that have the 
means to self-aggregate. Only the self-aggregator and its clients of will benefit from the 
enhanced view of liquidity in the market that self-aggregation provides. Self-aggregation 
would therefore perpetuate existing information asymmetries. Option 1.1 would therefore 
fall almost completely short of achieving the general objective of reducing liquidity and 
trade execution risk across the wider market.  

Option 1.2 – competing consolidators. Depending on the ability of enforcing adherence 
to  the  mandated  reporting  standard,  Option  1.2  is  efficient  at  improving  market  data 
quality  (specific  objective  1).  Competing  consolidators  are  also  a  very  efficient  tool  to 
facilitate  market  data  consolidation  as  well  as  the  precision  and  accuracy  of  the 
consolidated data provided (specific objective 2). The main advantage for Option 1.2 is 
that it operates a decentralised (direct) consolidation model. The decentralised model cuts 
out the central data hub, which saves transmission time. This means that each subscriber 
sees the data from its own geographical perspective which cuts out the argument that the 
tape shows ‘phantom liquidity’.  

Another  advantage  of  Option  1.2  (compared  to  Option  1.1)  is  that  consolidated  market 
data will be provided to a wider range of market participants and will have wider benefits 
in reducing information asymmetries than Option 1.1. On the other hand, the population 
of potential self-aggregators (electronic market makers (high-frequency trading firms) or 
incumbent market data companies that have the capacity to become self-aggregators) will 
also  produce  the  most  likely  candidates  for  the  provision  of  competing  consolidated 
tapes, thereby entailing a slight risk that the market for consolidated data will be captured 
by incumbent operators or their affiliates, not leaving space for new entrants. Option 1.2 
would  therefore  be  effective  in  terms  of  achieving  the  general  objective  of  reducing 
liquidity  and  trade  execution  risk  across  the  board,  but  potentially  less  so  at  attracting 
new entrants in the market for consolidating market data. 

Option 1.3 – exchange consolidator. Depending on the ability of enforcing adherence to 
the mandated reporting standard, Option 1.3 is efficient at improving market data quality 
(specific objective 1). Exchange-consolidators would, however, not be an efficient tool to 
facilitate  market  data  consolidation  (specific  objective  2).  The  above  impact  analysis 
shows that Option 1.3 achieves only a very limited degree of market data consolidation. 
A  full  view  of  liquidity  in  all  Union  listings  still  requires  access  to  15  separate 

56 

 
consolidated  data  products  (each  representing  a  different  population  of  financial 
instruments).  This  means  that  15  data  licenses  need  to  be  negotiated  separately  with 
individual  price  negotiations,  as  not  all  consolidated  data  flows  are  of  comparable 
economic  importance.  Option  1.3  is  also  not  efficient  in  ensuring  that  consolidated 
market data remains of the highest possible quality and is provided at the lowest possible 
price. Option 1.3 entails a strong risk that a sub-optimal consolidator cannot be replaced 
easily.  Option  1.3  would  therefore  not  be  very  effective  in  achieving  the  general 
objective of reducing liquidity and trade execution risk across the board. 

Option 1.4 – single consolidator. Depending on the ability of enforcing adherence to the 
mandated  reporting  standard,  Option  1.4  is  efficient  at  improving  market  data  quality 
(specific objective 1). A single consolidator for all Union listings is also a very efficient 
tool to facilitate market data consolidation (specific objective 2). The main advantage of 
Option 1.4 (compared to Option 1.1) is that consolidated market data will be provided to 
the  entire  market  participants  and  will  therefore  benefit  a  wider  range  of  market 
participants than Option 1.1. A slight disadvantage of Option 1.4 (compared to Options 
1.1  and  1.2)  is  that  an  exclusive  provider  of  consolidated  market  data  might  be  less 
inclined  to  upgrade  the  consolidation  infrastructure  as  new  technologies  become 
available. On the other hand, this slight disadvantage could be mitigated by means of the 
competitive  tender  process  that  designates  a  single  and  exclusive  provider  of  the 
consolidated  tape  for  a  defined  “concession  period”  (5  years).  By  virtue  of  the  tender, 
Option 1.4 could be more effective in attracting entirely new innovators to the market for 
consolidated  data:  a  competitive  tender  could  be  a  tool  to  mitigate  the  risk  that 
established  data  companies  leverage  current  their  infrastructure  advantage  into  the  new 
market  for  consolidated  data.  Option  1.4  would  therefore  be  effective  in  achieving  the 
general objective of reducing liquidity and trade execution risk across the board, but very 
effective in attracting innovative new market entrants. 

Option  1.5  –  concentration  rule.  Option  1.5  is  not  effective  at  improving  market  data 
quality (specific objective 1). Concentrating trading on a single “listing” exchange does 
nothing to improve data reports. A concentration rule would, as Option 1.3, only achieve 
a very limited degree of market data consolidation. A full view of liquidity in all Union 
listings would require access to 15 separate proprietary data products (each representing 
a different population of financial instruments). This means that 15 data licenses need to 
be  negotiated  separately  with  individual  price  negotiations,  as  not  all  consolidated  data 
flows  are  of  comparable  economic  importance.  Option  1.5  would  therefore  not  be 
effective  in  facilitating  market  data  consolidation  (specific  objective  2).  Option  1.5  is 
also not efficient in ensuring that market data remains of the highest possible quality and 
is provided at the lowest possible price. This is because Option 1.5 entails a strong risk of 
a trading monopoly which automatically also leads to a monopoly in market data. Option 
1.5 would therefore not be very effective nor efficient in achieving the general objective 
of reducing liquidity and trade execution risk across the board. 

57 

 
 Options to address specific objectives 3 & 4 

Option 2.1 – Mandatory contributions with “minimum revenue targets”. Option 2.1 is 
very effective and the most efficient option in order to facilitate market data licensing as, 
at least core market data, would be made available to all types of consolidation ventures 
at  the  lowest  possible  cost  (specific  objective  3).  Option  2.1  is  therefore  also  very 
efficient, from the market data consolidator’s perspective, at creating a business case for 
consolidation  of  market  data  (specific  objective  4).  Depending  on  the  appropriate 
calibration of the minimum revenue targets, Option 2.1 ensures that the consolidated tape 
“ecosystem”  remains  sustainable  in  the  medium  to  long-term,  as  the  expected  revenue 
participation  for  contributors  of  core  market  data  creates  an  incentive  to  invest  in 
maintaining  data  quality  standards.  An  appropriate  revenue  generation  and  revenue 
allocation  model  would  therefore  ensure  that  the  intended  improvement  of  market  data 
quality (specific objective 1) in maintained in a sustainable fashion.  A slight downside of 
Option  2.1  is  that  it  would  be  very  complex  to  administer  and  enforce  a  minimum 
revenue target across several competing consolidators. Option 2.1 would therefore set in 
motion a trend toward selecting a single consolidator (Option 1.4).  

Option  2.2  –  Mandatory  contributions  with  statutory  subscription  fees.  Option  2.2  is 
effective,  but  less  efficient  than  option  2.1  in  order  to  facilitate  market  data  licensing 
(specific objective 3). While core market data would still need to be made available to all 
types  of  consolidation  ventures,  there  would  be  the  need  to  administer  a  statutory 
subscription  scheme  to  generate  income,  mainly  from  professional  end  users.  On  the 
other hand, as end user subscriptions fees would be mandated by regulation, Option 2.2 
remains effective at creating a business case for consolidation of market data that works 
both  for  the  consolidator  and  the  market  data  contributors  (specific  objective  4).    A 
further  efficiency  advantage  of  a  generally  applicable  subscription  fee  is  that  it  would 
allow  for  either  competing  consolidators  (Option  1.2)  or  a  hybrid  of  a  single  ingestion 
infrastructure  and  competing  data  publishers  that  access  the  single  (cloud-based) 
infrastructure to procure data for dissemination – as all competing market data publishers 
would have to respect the same subscription fee.   

Option  2.3  –  Mandatory  contributions  and  a  reference  price  usage  fee.  Option  2.3  is 
very  effective,  in  order  to  facilitate  market  data  licensing  (specific  objective  3).  If  the 
reference price usage fee is calculated as a monthly or annual flat fee, administration of 
this additional revenue source is just as efficient as the administration of the subscription 
fee.  Additional  efficiency  gains  can  be  obtained  by  separating  the  market  data 
consolidation  function  from  the  administration  of  the  reference  price  waiver  usage  fee. 
This would imply that Option 2.3 is at least as efficient in administrative terms as Option 
2.2.  Option 2.3 would be most effective at ensuring the broadest possible access to core 
market  data  at  very  low  cost  (cost  of  consolidation),  but  at  the  price  of  instituting  a 
“cross-subsidy”  from  the  operators  of  “dark  pools”  to  the  wider  community  of  market 
data users and listing exchanges.   

58 

 
8.  PREFERRED OPTION  

When it comes to market data consolidation, Consolidation Options 1.3 and 1.5 should 
be discarded as they are not effective in facilitating market data consolidation across all 
relevant trade execution markets. Consolidation Option 1.1 should also be discarded as it 
does  not  generate  a  consolidated  market  data  product  that  is  made  available  to  public 
markets (it is an “in-house” aggregation tool).   

In terms of achieving optimal combination ensuring high market data quality and timely 
delivery, the competitive tender process on Option 1.4 is the most appropriate method to 
ensure  competition  for  the  new  market  of  establishing  the  essential  infrastructure 
necessary for market data consolidation. On the other hand, many of the positive features 
of Option 1.2 can be maintained by creating a new “downstream” market for market data 
publication  and  data  advanced  analytics,  a  market  that  is  open  to  competition.    These 
would be the procedural steps necessary to achieve the optimal combination of Options 
1.4 and 1.2:  

A  competitive  tender  will  determine  the  data  collection,  storage  and  dissemination 
infrastructure.  This  infrastructure  will  be  tendered  as  it  is  “mission  critical”  to  ensure 
the  secure  transmission,  receipt  and  cleaning  of  the  core  market  data  feeds.  The 
successful bidder will build and maintain this “ingestion infrastructure” (preferably using 
cloud-based  technologies).  This  entails  responsibility  for  the  build  and  maintenance  of 
the  connectivity  between  the  CT  and  the  market  data  contributors,  receiving  data, 
screening data for errors, consolidating the data into a single stream (Section 6.1.2, Box 1 
provides estimated of the set-up and operating cost for such an infrastructure). 

In  a  second  phase,  there  can  be  competing  core  market  data  publishers.  These 
(competing) entities take the core market data from the infrastructure builder and publish 
a consolidated tape. They may also add value to the core market data they obtain from 
the infrastructure through the provision of data analytics.  

In this two-step compromise between Options 1.4 and 1.2, the competitive tender process 
ensures that barriers to entry relating to the mission critical infrastructure are kept low. A 
competitive  tender  for  the  mission  critical  “ingestion  infrastructure”  would  best  ensure 
that this technically complex infrastructure (in terms of security, regulatory requirements, 
latency  and  number  of  connection  points  to  be  established)  is  awarded  to  the  best 
provider  available.  A  competitive  tender  would  ensure  that  existing  data  providers  that 
have  components  of  the  infrastructure  required  in  place  already  would  not  be  able  to 
deter  new  market  entrants.  A  single  ingestion  infrastructure  with  resilience  built  in 
(Option 1.4) would therefore be the most economical and practical option101. 

101  While  this  impact  assessment  has  identified  some  benefit  in  having  more  than  one  version  of  the 
“ingestion infrastructure” (Option 1.2), there are major disadvantages associated with this option as well. 
Multiple  suppliers  of  competing  infrastructures  would  add  complexity  to  the  process.  Market  data 

59 

 
                                                 
 
Once  the  data  has  been  ingested  the  dissemination  of  core  market  data  would  not 
necessarily  have  to  be  done  by  the  infrastructure  CTP  (although  it  could  initially).  
Market data publication could be an activity left open to market forces (Option 1.2). For 
example, the core market data could be used to form market-wide asset pricing or used to 
draw other inferences with a richer dataset. This market data analytics activity will attract 
innovative start-ups and we expect the availability of consolidated core market data from 
the CTP to accelerate competition (new products) in this “downstream” market.  

The policy preference on market data consolidation therefore is: (1) the creation of an 
utility backbone for the consolidated tape selected through a competitive tender (Option 
1.4) and (2) the opening up of the market data publication market to several competing 
providers that tap into the data assembled by the utility provider. The first tender would 
be for the build and initial  run of the  (preferably cloud-based) infrastructure. When the 
initial concession comes to an end after five year a new tender process should choose a 
supplier  to  continue  the  maintenance  of  the  infrastructure.  Steps  1  and  2  can  be 
concurrent or take the form of a later phase-in of step 2. 

When  it  comes  to  the  preferred  choice  for  market  data  licensing  arrangements, 
Licensing  Option  2.1  is  the  least  intrusive  on  the  consolidator’s  business  model,  while 
ensuring a revenue stream in line with that that can be generated with either Options 2.2 
or  2.3.  When  compared  to  the  complexity  of  setting  individual  subscription  fees 
centrally,  Option  2.1  allows  for  more  commercial  freedom  in  establishing  and  revising 
subscription fees.  The same is true when competing Option 2.1 with Option 2.3.  

The policy choice on  market data licensing would therefore be a licensing model that 
maximises  the  sources  of  licensing  income  with  the  aim  to  create  a  commonality  of 
interest  between market  data providers and market  data  consolidators. This  can best  be 
achieved by setting a minimum revenue target for all types of market data consolidators, 
either  as  part  of  their  operating  conditions  or  as  part  of  the  tenders  to  select  a  single 
provider of the consolidated tape. Licensing Option 2.1 is therefore the chosen option. 

The  overall  policy  choice  therefore  is  the  organisation  of  an  open  tender  for  the 
establishment  of  an  utility  backbone  for  the  consolidated  tape  selected  through  a 
competitive  tender  (Option  1.4),  combined  with  a  non-intrusive  commercial  licensing 
model  that  establishes  a  minimum  revenue  target  to  be  met  by  the  operation  of  this 
infrastructure (Option 2.1).  

contributors would have more consolidators to engage with and the cost of all the additional infrastructure 
would, in the end, be passed on to market data users, increasing the cost of market data.  

60 

 
                                                                                                                                                 
9.  HOW WILL ACTUAL IMPACTS BE MONITORED AND EVALUATED? 

Monitoring  of  the  evolution  of  the  Union’s  market  for  consolidated  data  will  comprise 
both the evolution of operating models used to consolidate market data and the success of 
the preferred market data licensing arrangements:  

Monitorin
g of : 
Market 
data users 

Market 
data 
contributo
rs 

Market 
data 
consolidat
ors 

The market for consolidated data 

- How many providers of consolidated 
market data products have emerged? 
- Which markets are covered by a 
consolidated market data product? 
- If there is no consolidated market data 
product for a particular market (e.g., 
equities) what are the reasons that such a 
product has not emerged? 
- How accurate and timely are the 
consolidated data products on offer? 
- Has self-aggregation served as a 
competitive constraint in the market for 
consolidated data? 
- Is there a measurable reduction in 
implementation shortfall (slippage) post 
making available of a consolidated 
market data product? 
Source: EC survey of buy-side users & 
ESMA statistics on registered 
consolidated market data providers 
How are the mandatory contributors of 
market data remunerated?  
Has the emergence of several, 
competing consolidators been 
detrimental or beneficial for the levels of 
remuneration achieved by market data 
contributors? 
Source: EC or ESMA market survey 

Has the market for consolidated market 
data remained contestable?  
Has there been competition in the 
market for consolidated data or have 
economies of scale (also due to the 
chosen data licensing options) resulted 
in a single provider or in an oligopolistic 
market structure?  
Source: EC (COMP) survey 

SME 
issuers 

Is there (post introduction of a 
consolidated view of trading markets) an 
increase in investment flows to SME 
issuers?  

Consolidated market data licensing 
arrangements 
Has a single & scalable “per user” 
subscription fee emerged and been 
successful with market data users?  
How many data users have decided to 
subscribe to a consolidated view of the 
Union’s capital market? 
How many market data users have 
subscribed to an equities tape? 
How many market data users have 
subscribed to a bond tape? 
How many market data users have 
subscribed to a derivatives tape? 
Source: EC or ESMA market data user 
survey 

Has a single & scalable subscription fee 
for consolidated market data produced 
the expected revenue for market data 
contributors?  
Has the reference price usage fee led to 
the expected increase in revenue 
allocations to market data sources? 
Has the reference price usage fee led to 
an increase of trades that are executed 
on pre-trade transparent order books? 
Source: EC or ESMA market survey 
Has the administration of a single & 
scalable subscription fee proven 
relatively straightforward for the 
consolidated data providers to 
administer?  
If not, what administrative obstacles 
have emerged?  
Has the administration of a reference 
price usage fee proven to be feasible?  
If not, what administrative obstacles 
have emerged?  
Source: ESMA 

61 

 
 
 
Source: EC survey of asset managers 
and SME trade associations 

62 

 
 
 
10. ANNEXES 

ANNEX 1: Procedural information 

1.1 Lead DG, Decide Planning/CWP references 

Lead DG: FISMA 

Decide planning: PLAN/2019/6173 

CWP reference 2021: Annex I initiative No. 14. c) 

1.2 Organisation and timing 

The IIA and public consultation were published in Q1 2020 with the initial goal to come 
forward with a legislative proposal in Q4 2020. However, due to the Covid-19 crisis, a 
Recovery  Package  was  deemed  necessary,  including  certain  areas  on  MiFID.  After  the 
finalisation of the Recovery Package in December 2020, the IA specifying the changes in 
MiFIR was finalised for submission to the RSB in June 2021.  

During the whole phase, six ISSG meetings were held on 12 December 2019, 2 March 
2020,  23  March  2021,  13  April  2021,  12  May  2021  and  11  October  2021.  DGs  that 
participated in the ISSG are: AGRI, CLIMA, CNECT, COMP, ECFIN, ENER, GROW, 
JUST, SG, SJ, TAXUD, and TRADE. 

1.3 Consultation of the RSB 

The RSB delivered its second (positive) opinion with reservations on 8 October 2021.  In 
its opinion the RSB requested the following clarifications:   

(1)  The  report  should  better  explain  the 
degree  of  relevance  of  the  problem  for 
and 
of 
different 
intermediaries. 

investors 

types 

The  report  clarifies  that  the  problem  of 
market  data  fragmentation/access  to  core 
market  data  is  extremely  relevant  for 
professional investors (asset and portfolio 
managers)  who  need  to  manage  intra-day 
liquidity  and  trade  execution  risk.  The 
second  stakeholder  group  directly  affected 
are  executing  brokers  (investment  firms) 
that, in the absence of reliable market data, 
often  find  it  difficult  to  prove  compliance 
with best execution to their (retail) clients. 
The  third  group  affected  are  retail  clients 
who have no view of the overall market in 
order to hold their brokers accountable for 
best execution.  

(2)  The  report  should  better  clarify  the 
functioning  of  some  of 
the  proposed 
options:  
(i)  The  report  should  explain  why  it 

(i)  The  report  clarifies  that  it  is  not 

63 

 
 
   
offer 
and  why 

that  competing  consolidators 
considers 
decentralised 
only 
would 
single 
consolidation 
consolidator  would  necessarily 
apply 
centralised  consolidation.  It  should  also 
better  explain  the  possible  role  of  cloud-
based consolidation.  

a 

(ii)  The  report  should  better  explain  that 
self-aggregation  is  not  considered  as  a 
feasible  self-standing  option,  but  that  it 
would  co-exist  with  a  single  or  competing 
consolidator(s).  It  should  clarify  whether 
self-aggregators  would  have  to  pay  data 
access  fees,  although  the  data  contributors 
would  always  be  obliged  to  provide  the 
data.  

(iii)  The  report  should  clarify  that  the 
consolidated 
tape  providers  would  be 
legally  obliged  to  distribute  revenues  in 
excess of their costs to data contributors. It 
needs  to  specify  how  this  would  work  in 
practice.  

that 

report 

explains 

7.1].  Self-aggregation 

it  does  not  produce 

impossible  for  a  single  consolidator  to 
operate  a  decentralised  model  and  Option 
1.4 is amended accordingly [Section 5.2.].  
As  explained  in  the  box  on  cost  estimates 
for  the  establishment  and  provision  of  a 
consolidated  tape  (Box  1),  the  cloud  is  a 
storage medium for data and in only a very 
minor  part  of  these  data  consolidation 
costs.   
self-
(ii)  The 
aggregation  is  not  a  desirable  stand-alone 
option  as 
a 
for 
consolidated  market  data  product 
market  participants  other  than  the  self-
aggregator  (it  is  confined  to  in-house  use) 
[Section 
can, 
however,  serve  as  an  accompanying 
measure  to  any  of  the  other  consolidator 
options  (Options  1.2,  1.3  and  1.4)  as  it 
provides  an  alternative  to  the  potentially 
monopolistic  data  streams  offered  by 
exchange  consolidators  or  a 
single, 
exclusive consolidator.  
(iii)  The  report  clarifies  that  all  forms  of 
market data consolidators would be subject 
to  a legal  obligation to  allocate revenue in 
excess  of  their  operating  cost  to  market 
data  contributors.  In  practice  this  means 
that  every  market  data  consolidator  has  to 
determine  its  operating  cost  and  cost  of 
capital  and  then  allocate  excess  revenue 
from  the  sale  of  the  tape  back  to  market 
data  contributors  in  accordance  with  the 
legally  mandated  value-based  allocation 
method [Section 5.3].   

(iv)  The  report  should  clarify  what  will 
happen  with 
free  data 
provision after 15 minutes. 

the  existing 

(3) The report should consider and analyse 
all  relevant  options.  This  should  include 
exploring the feasibility of a hybrid option 
that  combines  competing  consolidators 
with  the  possibility  for  the  supervisor  to 
organise a competitive tender when there is 
a lack of effective competition. 

(iv)  The  report  clarifies  in  several  places 
that  the  existing  15  minutes  delayed  data 
for  non-
in  place 
remains 
provision 
consolidated  data.  Whenever 
this  was 
clarified in a footnote, it has been moved to 
the main text. 
The  report  clearly  opts  for  a  phased 
approach,  giving 
to 
competing  consolidators.  If  this  model 
should not work in practice (and the result 
may be different for shares vs bonds), then 
ESMA  would  be  tasked  with  organising  a 
competitive  tender  to  select  an  exclusive 
consolidator  for  a  limited  time  period 

initial  preference 

64 

 
 
 
 
 
(4)  The  report  should  improve  the  impact 
analysis:  
(i)  The  report  should  demonstrate  the 
robustness  of  the  estimates  of  the  revenue 
of a consolidated tape and how the level of 
the usage fees was determined.  

(ii)  The  report  should  analyse  the  excess 
revenue that could be generated by a single 
consolidator  when  there  is  no  statutory 
contribution for the use of the consolidated 
tape.  

(iii) The report should analyse the costs for 
ESMA  of  managing  and  supervising  the 
system under the different options.  

(iv) The report should re-assess the relative 
performance  on  market  access  of 
the 
options with a single consolidator and with 
competing consolidators. 

[Section 8].  

that 

scheme. 

revealed 

in  order 

allocation 

(i)  The  report  clarifies  the  robustness  of 
estimates  on  possible 
revenue  of  a 
consolidated  tape  has  been  tested  with 
potential  users  of  the  tape  and  that  this 
market-testing  has 
the 
revenue  estimates  can  only  be  achieved 
with a real time intra-day tape.  The reports 
also cites relevant (public sources)[Section 
6.1.2] 
ii)  The  report,  in  Option  2.1  states  clearly 
that  no  excess  revenue  can  be  expected 
when the operator of any of the options for 
a  consolidated  tape  is  not  subject  to  a 
statutory subscription fees and the statutory 
revenue 
[Section 
6.1.2].The  report  clarifies  that  both  the 
self-aggregators,  competing  consolidators 
and  the  single  consolidator  would  need  to 
statutory  minimum 
be  bound  by  a 
subscription  fee 
to  generate 
revenue  to  be  distributed  to  market  data 
contributors  
(iii)  The  report  clarifies  that  ESMA’s  cost 
of 
registering 
market  data  consolidators  and  developing 
the technical standards on harmonised core 
market data reporting to the tape. The cost 
of  registration:  (EUR  20  000  for  a  market 
data  consolidator)  will  be  borne  by  the 
applicant.  While 
the  development  of 
technical 
standards  on  market  data 
reporting is a core competence for ESMA, 
the  report  points  out  that  the  cost  of 
registering  competing  consolidators  would 
increase  with  the  numbers  of  entities  that 
need  to  be  registered,  but  this  would  be 
neutral on the ESMA budget as the cost is 
borne by the applicants. 
(iv)the  report  clarifies  that  market  access 
for  new  (fintech)  start-ups  might  at  first 
sight  be  better  served  with  a  model  of 
competing consolidators, but acknowledges 
that this model would also provide a strong 
incentive 
incumbent  market  data 
companies to gain control of this emerging 
market [Section 8]. 

supervision 

comprises 

for 

(5)  The 

report 

should  draw 

clear  The  report  clarifies  that  all  options  on  the 

65 

 
  
 
 
 
 
conclusions from its analysis to support the 
decision-making  process.  It  should  better 
establish  the  strengths  and  weaknesses  of 
the combinations of options and of the two 
scenarios for the fees for private use of the 
consolidated tape by retail clients. 

(6) The report should present  the views of 
different stakeholder groups on the revised 
problem description and options. 

66 

a 

to 

to 

for  market 

remunerate  market 

[Section  8].  While 

trading  venues,  3) 

data 
operating  model 
single 
whether 
consolidation, 
consolidator  or  multiple  consolidators, 
would need to respect the policy choice on 
how 
data 
contributors.  The  report  expresses  a  clear 
preference  for  a  competing  consolidator 
model that is, however, associated with  an 
equally  clear  need  to  respect  a  statutory 
subscription  fee  with  mandatory  allocation 
of  excess  revenue  back  to  market  data 
consolidators 
this 
revenue  model  will  entail  monthly  fees  of 
potentially  €  50  per  professional  user,  the 
report clarifies that retail clients will obtain 
access 
tape  at  a 
the  consolidated 
preferential  fee  not  exceeding  €1/month 
[Section 6.2.2].  
DG  FISMA  consulted  five  stakeholder 
groups  on  the  initial  and  revised  problem 
exchanges,  2) 
stock 
description:  1) 
alternative 
asset 
managers,  4)  executing  brokers,  and  5) 
market data companies.  
Stock  exchanges  stressed 
lack  of 
market  data  quality,  especially  data 
delivered  by  investment  banks  (SIs)  and 
put less emphasis on market data licensing. 
Alternative  trading  venues  stressed  the 
overall  market 
need 
improve 
for 
transparency  and  best  execution 
professional  clients.  Asset  managers  and 
executing  brokers  stressed  the  aspects  on 
liquidity  and  execution  risk  management 
and  the  lack  of  clarity  on  where  to  locate 
liquidity  to  execute  their  orders.  Data 
companies  stressed  the  impossibility  to 
consolidate  market  data  due  to  what  they 
perceive  as  insurmountable  market  data 
licensing obstacles. ,  
Most  stakeholders,  with  the  exception  of 
stock  exchanges,  advocate  for  a  real-time 
transaction tape. They are relatively neutral 
on  how  many  consolidators  are  in  the 
market.    Small  data  companies  like  the 
competing  consolidator  model  (as  they 
perceive  this  as  an  easier  path  to  market 
entry),  while  the  bigger  data  companies 
(and some of the smaller companies) would 
prefer  the  single  consolidator  model  as  it 
provides them with exclusivity.  

the 

to 

 
For end users (asset managers, brokers) the 
specific  features  of  the  tape  operating 
model are not that important.   

1.4 Evidence, sources and quality 

DG FISMA has benefited from multiple external sources. First, the Expert Group of the 
ESC was involved to hear Member State views. Multiple stakeholder meetings, both with 
industry,  trade  organisations  and  supervisors  took  place  in  order  to  receive  evidence. 
Both the public consultation held in Q1/Q2 2020 and the ESMA review reports received 
in 2020-2021 provided additional input for the IA. Further the Commission performed a 
study,  and  two  workshops,  on  the  development  of  a  consolidated  tape.  MSP  delivered 
this  study  for  DG  FISMA,  which  can  be  found  at  https://op.europa.eu/en/publication-
detail/-/publication/82763219-1cbe-11eb-b57e-01aa75ed71a1/language-en/format-
PDF/source-169654830.   

67 

 
 
 
 
 
ANNEX 2: Stakeholder consultation  

The  consultation  activities  of  the  Commission  with  regard  to  the  review  of  MiFIR  has 
centred on the organisation of a workshop and a public consultation. They are presented 
in  more  detail  in  section  2.1  and  2.2  below.  Beyond  these,  the  Commission  has  been 
actively  studying  the  issue  at  hand,  mandating  an  extensive  study  for  assessing  and 
defining  it  ex-ante,  with  the  final  goal  of  supporting  an  informed  decision-making 
process. Finally, DG FISMA staff has had many bilateral contacts with a broad spectrum 
of stakeholders in order to further refine its analysis and policy approach. 

2.1 Workshop 

On  28  June  2019,  the  Commission  organised  a  workshop  intended  to  engage 
stakeholders on an interactive discussion about the creation of an EU consolidated tape, 
bringing  together  around  80  market  participants  to  debate  the  merits  and  technical 
characteristics of an EU CT, as well as the obstacles to its creation. The participants were 
experts in trading or market data from the buy-side, data vendors, trading venues, and on 
the regulatory side, ESMA and several NCAs. Generally, participants of all types agreed 
that  such  a  tool  could  be  useful,  even  if  there  were  different  views  as  to  the 
characteristics of a tape.   

The workshop focused around two main topics: 

1) 
The  first  working  session  discussed  the  different  users’  needs  that  the  EU 
consolidated tape should serve, together with its intended use, functionalities, scope, and 
associated  data  quality  and  best  practices.  Market  participants  agreed  that  no 
consolidated tape provider (CTP) has materialised yet, despite MiFID II provisions and 
arrangements  for  its  creation,  due  to  the  geographically  dispersed  fragmentation  of  EU 
trading  venues  and  lack  of  data  standardisation,  making  it  difficult  the  development  of 
competing consolidation initiatives.  

Several  stakeholders  noted  that  there  should  be  mandatory  use  of  the  CT  in  order  to 
provide economic incentives for its creation. There were diverging views as to what the 
market coverage should be and whether there are merits in having almost 100% market 
coverage.  

The participants were in agreement that the starting point of the tape should be post-trade 
data.  There  was  overall  consensus  among  the  participants  that  a  post-trade  equity  tape 
would  provide  significant  added  value  if  the  tool  provides  a  high-quality  consolidated 
view  on  the  venues,  volumes  and  prices  equities  are  traded  at.  In  general,  participants 
agreed that a CTP could bring value for asset classes other than equity, including ETFs, 
fixed income and derivatives. Out of these non-equity instruments, participants saw most 
urgency for fixed income.  

Regarding its functionalities, most participants indicated that a consolidated tape would 
be used for evaluation of post-trade best execution. Some argued that even a post-trade 
tape  could  be  used  for  trade  execution  and  making  informed  trade  decisions.  Some 

68 

 
participants want the tape to be as close to real-time as possible to add most value, with 
fragmented opinions from the actors involved.  

Most participants see data latency as an important issue. However, poor data quality and 
inconsistency are considered even more important problems to be tackled first.  

With  reference  to  the  creation  of  a  non-equity  CTP,  participants  cited  the  following  as 
obstacles that need to be overcome: (i) data quality needs to be improved along the chain 
of  transmission  (venues,  Approved  Publication  Arrangements-APAs),  (ii)  errors  in 
reference data such as in FITRS and FIRDS (CFI codes especially), (iii) data deferrals on 
the  post-trade,  which  are  applied  differently  across  Member  States,  (iv)  lack  of 
moderation in the number of data fields that should be reported to the CTP. On debating 
on the data quality to be deployed for ensuring a useful CTP, the panel delved into the 
use  of  Market  Model  Typology  (MMT)  as  foundation  system  for  the  CTP.  There  is 
consensus among participants that someone needs to be responsible for the data quality. 
ESMA is deemed to be best placed for the oversight of data quality. 

2) 
The  second  working  session  delved  into  the  optimal  design  of  the  EU 
consolidated  tape,  discussing  the  operational  design,  the  technical  architecture,  its 
governance  model  and  the  issues  associated  with  data  quality.  The  consolidated  tape 
should  be  industry  funded,  in  particular  by  the  users.  There  should  be  a  standardised, 
simple pricing model (several participants favoured a cost-plus model). The consolidated 
tape  should  create  the  least  possible  cost  to  the  financial  system.  On  remuneration  for 
providing data to the tape, data vendors suggested that the system should remunerate for 
valuable contributions and/or price formation, and possibly allow to fine participants that 
would “pollute” the system. Regarding the accessibility to the tape, the discussants were 
sceptical about the service being free of charge, considering that creating and  operating 
the consolidated tape will require significant investment.  

In  addressing  the  technical  aspects  associated  with  the  tape,  a  large  majority  of 
participants  favoured  one  or  more  private  entities  to  act  as  CTPs.  The  main  arguments 
were  efficiency,  innovation  and  quality  improvements.  A  few  participants  preferred  a 
public utility and argued that there should not be any rent extraction because a CT is a 
(quasi)-public  good.  There  was  a  general  consensus  amongst  participants  that  the 
envisioned CTP (or CTPs) should operate on a cost-plus approach. Several stakeholders 
supported  the  idea  of  tendering  out  the  CT  provision  with  regular  renewals  every  3-10 
years. Exchange operators argued that the set up costs would be too costly for providers 
if they could not rely on acting as CTP provider for a longer period of time. Users noted 
that  implied  technical  challenges  are  actually  not  very  expensive  to  overcome  (figures 
noted for set-up costs: € 5-20 million).  

it  was  generally  argued 

In  terms  of  governance,  although  no  consensus  appeared  on  the  structure  to  be 
implemented, 
that  all  market  participants  should  be 
represented/take  part  in  the  decision  making  process  in  order  to  ensure  that  the  CT 
remains  “neutral”.  The  governance  should  depend  on  the  use  case,  mandatory  use  and 
mandatory  contribution.  There  was  no  clear  consensus  as  to  how  many  CTPs  there 

69 

 
should be. Several  participants encouraged the EC to  find a solution  that would enable 
real market driven competition amongst multiple CTPs. 

In  considering  whether  pure  OTC  and  SIs  data  should  be  included  in  the  CT, 
stakeholders  view  the  inclusion  of  pure  OTC  and  SIs  data  as  a  key  element  of  a 
successful post-trade tape. The table agreed that only the price forming flow of trades is 
relevant. It was noted that as long as non-addressable liquidity is not reported to the tape, 
this may act as an incentive to keep some liquidity non-addressable. According to some 
participants, it should be up to  industry to  come  up with  a suitable distinction between 
the two and a way forward.  

In addressing in further detail the issue of data quality, market participants commended 
MiFID  II  for  lifting  the  veil  on  the  lacklustre  quality  of  trade  data.  In  respect  to  this, 
participants agreed that a CTP would not be the answer to Europe’s data quality issues. 
Rather, improving data quality is the precondition for having a functioning CTP. There is 
however a point in  the process  where data is  of sufficient  quality and can be improved 
further by putting it out there for public scrutiny, subject to the requisite disclaimer that it 
is a work in progress. 

2.2 Public Consultation 

On 17 February 2020, DG FISMA published a public consultation  on MiFID/R review 
intended to gather evidence from stakeholders, and more generally from EU citizens, on 
the  overall  functioning  of  the  regime  after  two  years  of  application.  Stakeholders  had 
until 18 May 2020 to express their views via the online EU Survey portal. The CT was a 
prominent  topic  of  such  public  consultation.  458  stakeholders  replied  to  the  open 
consultation.  This  feedback  statement  provides  a  factual  summary  of  the  253  unique 
responses  received  during  this  period  coming  from  sell  side,  buy  side,  trading  venues, 
data providers, end users as well as regulators. 

Respondent’s main activity 

Regulators; 8%

Data vendors; 5%

Trading 
venues; 11%

Issuers; 4%

Buy-side; 
26%

Sell-side; 
35%

End 
investors; 
11%

I. 

Current state of play 

70 

 
 
 
 
 
 
The  reasons  why  an  EU  consolidated  tape  has  not  yet  emerged:  reasons  ordered  from 
highest  to  lowest  in  terms  of  respondents’  perceived  importance  (fully  agree  &  rather 
agree vs disagree & rather not agree; neutral in brackets): 

1.  Lack of financial incentives for the running a CT: 102 vs 5 (11) 
2.  Lack of sufficient data quality, in particular for OTC transactions and transactions on 

systematic internalisers: 89 vs 19 (11) 

3.  Competition by non-regulated entities such as data vendors: 66 vs 21 (29) 
4.  Overly strict regulatory requirements for providing a CT: 56 vs 16 (44). 

The majority of respondents identified the lack of financial incentives for running the CT 
and  the  lack  of  sufficient  data  quality  (in  particular  for  OTC  and  SIs  transactions)  for 
being  the  reasons  why  an  EU  consolidated  tape  has  not  emerged  under  the  current 
consolidated tape framework as defined by Article 65 of MiFID II.  

Use cases ordered from highest to lowest in terms of respondents’ perceived importance 
(fully agree & rather agree vs disagree & rather not agree; neutral in brackets): 

1.  Documenting best execution: 77 vs 17 (19) 
2.  Transaction cost analysis (TCA): 67 vs 22 (19) 
3.  Market surveillance: 64 vs 26 (21) 
4.  Making market data accessible at a reasonable cost: 64 vs 28 (15) 
5.  Identify available liquidity: 58 vs 35 (15) 
6.  Ensuring best execution: 54 vs 39 (17) 
7.  Portfolio valuation: 50 vs 19 (36) 
8.  Better control of order & execution management: 49 vs 34 (26) 
9.  Liquidity risk management: 45 vs 26 (27) 
10. Regulatory reporting requirements: 42 vs 30 (35) 

Many  respondents  identified  the  EU  consolidated  tape  as  the  integral  mechanism  for 
delivering  the  Capital  Markets  Union  and  increasing  the  efficiency  of  EU  financial 
markets since more symmetric information ensures that shifts in supply and demand are 
more efficiently reflected in current price levels, improving the price discovery process 
and  allowing  for  an  efficient  capital  allocation  and  a  decrease  in  the  level  of 
fragmentation of the EU capital markets. Other use cases pointed out by respondents: 

  Order routing, ensuring that trades are made in the correct size and right price; 
  Boost retail participation in European markets, particularly across instruments such as 
ETFs, for which there is currently little retail adoption compared to other markets like 
the  U.S.,  where  the  ETFs  market  represents  a  key  part  of  the  retail  equities  trading 
alternatives; 

  Provide clients (retail and small/medium firms) with comprehensive data to challenge 

their service providers. 

II. 

General features of the consolidated tape 

71 

 
 
Features  ordered  from  highest  to  lowest  in  terms  of  respondents’  perceived  importance 
(fully agree & rather agree vs disagree & rather not agree; neutral in brackets): 

1.  High level of data quality: 115 vs 6 (3) 
2.  Mandatory contributions: 97 vs 5 (13) 
3.  Strong governance framework: 97 vs 8 (10) 
4.  Very high coverage (not lower than 90% of the market): 75 vs 25 (7) 
5.  Full coverage: 64 vs 40 (14) 
6.  Real-time (minimum standards on latency): 61 vs 30 (22) 
7.  Single provider per asset class: 38 vs 30 (34) 
8.  Mandatory consumption: 23 vs 72 (17) 
9.  The existence of an order protection rule: 17 vs 51 (27) 

The  majority  of  respondents  pointed  out  that  a  high  level  of  data  quality,  mandatory 
contributions,  strong  governance  framework  and  a  very  high  coverage  are  all  critical 
features for a successful implementation of an EU consolidated tape. 

With regards to  the level  of quality,  respondents identify the quality of data as being  a 
key success factor underneath the emergence of a CT. 

The  majority  of  respondents  advocate  for  mandatory  contributions  to  the  tape  but  not 
mandatory  consumption  Several  respondents  noted  that  exchanges  and  APAs  must  be 
mandated  to  contribute  quality  data  to  the  consolidated  tape,  noting  that  this  is  a  key 
requirement for the CT, and that in the current market, the CT cannot be formed without 
this, since exchanges would have insufficient motivation to contribute. On the mandatory 
consumption  feature,  majority  of  respondents  do  not  see  it  as  needed,  given  that  the 
usefulness of the tape should emerge over time if properly constructed. Few participants 
also noted that, form a governance perspective, the mandatory consumption feature could 
dis-incentivise  the  CT  provider  in  monitoring  and  assessing  whether  the  consolidated 
tape answers the needs of its forced clients. 

Majority of respondents  identified a strong  governance  framework to  be  a fundamental 
feature of the CT.  

Majority of respondents expressed preference for a high coverage of the tape rather than 
a  full  coverage,  although  diverging  views  exist  between  stakeholders.  Multiple 
respondents  see  full  coverage  as  a  long-term  objective,  stating  that  kicking  off  the  CT 
with  a  full  coverage  would  pose  too  burden.  Multiple  respondents  advocate  for  a 
phased/staggered approach in the level of CT coverage, starting from post-trade data for 
those asset classes with a high level of standardisation.  

On the link between the CT and best execution obligations, the general view expressed 
by  the  majority  of  respondents  is  that,  although  the  CT  could  be  used  for  promoting 
better execution practices, performing Transaction Cost Analysis (TCA) and enabling all 
investors who do not necessarily have access to market data to better evaluate the service 
they  receive,  the  tape  should  not  prohibit  flexibility  in  execution  practices,  particularly 
for  wholesale  firms  where  flexibility  is  necessary  in  order  to  offer  a  broader  range  of 

72 

 
investment  strategies  for  clients  in  cases  where  price  is  not  the  only  key  factor.  In 
particular,  the  majority  of  respondents  noted  that  the  introduction  of  the  European  CT 
should not lead to changes in the current best execution framework, where price is only 
one factor of the multi-faceted approach used for meeting best execution obligations. 

Despite  the  general  opposition  towards  a  change  in  best  execution  obligations,  the 
majority  of  participants  noted  that  a  post-trade  CT  could  facilitate  more  accurate 
assessments  of  execution  quality  and  enable  end-clients  to  more  easily  verify  whether 
best execution has been satisfied by providing an impartial and reliable picture of trading 
patterns, volumes and pricing. Participants also noted that a CT would allow < to a single 
point  of  collection  of  information,  hopefully  standardised,  supporting  the  collection  of 
data for the purpose of ex-post execution monitoring and Transaction Cost Analysis. 

Provision, governance and funding of the tape: features ordered from highest to lowest in 
terms  of  respondents’  perceived  importance  (fully  agree  &  rather  agree  vs  disagree  & 
rather not agree; neutral in brackets): 

1.  The CT should be funded on the basis of user fees: 84 vs 12 (13); 
2.  Fees should be differentiated according to type of use: 65 vs 23 (18); 
3.  Revenue should be redistributed among contributing venues: 53 vs 24 (27); 
4.  The position of CTP should be put up for tender every 5-7 years: 42 vs 18 (40); 
5.  In redistributing revenue, price forming trades should be compensated at a higher rate 

than other trades: 36 vs 31 (36). 

Majority  of  respondents  advocate  for  a  CT  funding  based  on  user  fees,  with  several 
stakeholders pointing out that the setting up of the funding framework of the CT needs to 
go hand in hand with the governance structure to be implemented. From this perspective, 
several  respondents  argue  that  market  data  provided  for  free  or  at  discount  could  lead 
trading venues to increase their trading fees in order to make up for the lost data revenue, 
highlighting the link between funding and governance.  

In considering whether revenue should be redistributed among contributing venues, there 
is  general  consensus  on  the  importance  of  having  trading  venues  on-board  in  order  to 
achieve a sufficient level of data quality and completeness, although several stakeholders 
raised  concerns  about  the  nature  of  such  redistribution  provisions.  Several  respondents 
advocate that, independently from which methodology is going to be used to redistribute 
CT revenue, such redistribution should be tied up and contingent to certain service levels 
to be met on the side of the data providers, so to align their incentives and reduce free-
riding  practices  that  could  undermine  the  value  of  the  tape.  On  the  same  view,  one 
stakeholder  advocated  for  a  bonus-malus  mechanism,  where  a  data  provider  reporting 
data of bad quality would then be penalised. 

In  considering  the  funding  model  to  be  applied,  views  put  forward  by  stakeholders  are 
mixed  between  a  not-for-profit/at-cost  model,  and  cost-plus-margin  approach.  Several 
respondents advocate for a not-for-profit funding model where the CT is operated by an 
industry  body,  given  that  the  tape  can  be  considered  as  a  valuable  piece  of  market 

73 

 
infrastructure that provides a public good, and as such its incentives should be aligned to 
serve the market as a whole rather than generate profits.  

On the differentiation of user fee, majority of respondents are in  favour to calibrate the 
fees according to the type of use. Several stakeholders pointed out that when consuming 
the  CT,  users  must  be  able  to  buy  disaggregated  sections  of  the  tape  based  on  those 
streams of data they need, keeping in mind that there is a practical limit to how far the 
data set can be broken down.  

On  the  frequency  with  which  the  position  of  the  CT  should  be  put  up  for  tender, 
respondents provided mixed views. Majority of respondents provided positive feedback 
in  tendering  the  CTP  position  with  a  predefined  frequency.  Several  stakeholders 
expressed the need for having a clear assessment on the costs and the business model to 
be implemented.  

III.  The scope of the consolidated tape 

The scope of the consolidated tape: assets classes ordered from highest to lowest in terms 
of respondents’ perceived importance (fully agree & rather agree vs disagree & rather not 
agree; neutral in brackets): 

1.  Shares post-trade: 101 vs 8 (8) 
2.  Corporate bonds post-trade: 93 vs 13 (11) 
3.  Government bonds post-trade: 91 vs 11 (14) 
4.  ETFs post-trade: 90 vs 13 (14) 
5.  Interest rate swaps post-trade: 48 vs 35 (23) 
6.  Shares pre-trade: 46 vs 53 (17) 
7.  Credit default swaps post-trade: 43 vs 36 (24) 
8.  ETFs pre-trade: 33 vs 63 (20) 
9.  Government bonds pre-trade: 29 vs 71 (14) 
10. Corporate bonds pre-trade: 29 vs 72 (15) 
11. Interest rate swaps pre-trade: 15 vs 73 (18) 
12. Credit default swaps pre-trade: 14 vs 75 (16) 

Majority  of  respondents  advocate  for  a  post-trade  consolidated  tape,  with  equity, 
corporate bonds and government bonds representing the most important asset classes to 
be included. Several respondents noted that due to the complexities entailed with a pre-
trade  tape,  a  phased  approach  should  be  followed,  where  priority  is  given  to  the  post-
trade  tape.  In  considering  non-equity  asset  classes,  the  majority  of  respondents 
highlighted the general opacity that is associated with non-equity instruments, stating that 
a  European  tape  could  deliver  benefits  and  reduce  asymmetries.  From  this  perspective, 
respondents expressed a remarkable support for a bond CT. One respondent suggests to 
start with the most liquid sub-asset classes, such as liquid government bonds, where the 
demand to consume such data could be relevant. On a ETFs tape, one respondent noted 
that it could have the potential for boosting retail participation in the European markets.  

74 

 
In  considering  which  information  published  under  the  MiFID/R  pre-  and  post-trade 
transparency should be consolidated in an equity tape, there is a general consensus on the 
need of having a standardised data format with standardised data fields to be included.  

In  assessing  what  shares  should  be  included  in  the  Official  List  of  shares  defining  the 
scope of the EU consolidated tape, the respondents expressed the following views (fully 
agree & rather agree vs disagree & rather not agree; neutral in brackets): 

1.  Shares admitted to trading on a RM: 84 vs 5 (10) 
2.  Shares admitted to trading on an MTF with a prospectus approved in an EU Member 

State: 81 vs 9 (8) 
3.  Other: 20 vs 10 (5) 

Majority of respondents believe that a comprehensive coverage is central to the success 
of a CT, and therefore support the inclusion of all the shares in the Official List of shares 
defining the scope of the EU CT, namely, not only shares with an approved prospectus in 
an  EU  Member  State  that  trade  on  a  regulated  market,  but  also  those  shares  which  are 
traded on an MTF or an SI. These proponents suggest to use proper tagging criteria so to 
allow clear identification. The rationale put forward for such a comprehensive approach 
is  that  excluding  those  shares  would  provide  a  partial  picture  of  the  trading  activities 
taking place within the EU. 

IV.  Other MiFID/R provisions with a link to the consolidated tape 

In considering whether additional measures need to be taken to further promote the price 
discovery process in the equity trading, the majority of respondents say that current price 
formation process works fine, adding that the current MiFID/R framework is sufficiently 
conducive of the price discovery process and has a good balance between the benefits of 
transparency  and  the  importance  of  market  liquidity.  Few  respondents  noted  that  a 
consolidated  tape  with  mandatory  contribution  would  enhance  the  price  discovery 
process in equity trading and would contribute in solving the current data quality issues.  

In  considering  what  is  the  appropriate  measure  to  ensure  the  availability  of  data  of 
sufficient  value  and  quality  to  create  a  consolidated  tape  for  bonds,  the  respondents 
expressed the following views (fully agree & rather agree vs disagree & rather not agree; 
neutral in brackets): 

1.  Harmonisation of national deferral regimes: 90 vs 4 (9) 
2.  Shortening of the 4-week deferral period for the volume information: 30 vs 50 (17) 
3.  Shortening of the 2-day deferral period for the price information: 27 vs 52 (17) 
4.  Abolition of post-trade transparency deferrals: 18 vs 70 (13) 
5.  Keeping the current regime: 17 vs 54 (25). 

The majority  of respondents  consider the harmonisation  of national  deferral  regimes as 
the most appropriate measure for improving consistency of the regimes across different 
Member States and ensuring the availability of data of sufficient value and quality for the 

75 

 
creation of a non-equity tape, given that only a very limited amount of post-trade data is 
currently made available. 

76 

 
 
V. 

Summary of stakeholder discussions on the tape 

This table summarises the positions on the consolidated tape of the stakeholders met by DG FISMA since mid-2020. 

VI. 

Data 
Standardisation 

Type of tape 

Time stamp 

Governance 

Asset classes 

Target of the 
consolidation 

Contribution 
to the tape 

Consumption  Remuneration 

model 

Deferral 
harmonisation 

y
t
i
u
q
e

t
s
o
p
/
e
r
p
h
t
o
b

d
n
o
b
e
d
a
r
t
-
e
r
P

y
t
i
u
q
e

e
d
a
r
t
-
e
r
P

y
t
i
u
q
e

e
d
a
r
t
-
t
s
o
P

x 

d
n
o
b
e
d
a
r
t

-
t
s
o
P

x 

x 

x 

x 

x 

x 

x 

x 

x 

x 

x 

x 

x 

d
n
o
b
y
c
n
e
t
a
l

r
e
g
n
o
L

d
n
o
b
y
a
d
f
o
d
n
E

x 

l
e
d
o
m
e
g
n
a
h
c
x
E

x 

x 

x 

r
e
d
i
v
o
r
p
c
i
l
b
u
P

)

A
M
S
E

.
g
.
e
(

x 

y
t
i
u
q
e

x 

s
d
n
o
b

x 

x 

x 

x 

e
l
g
n
i
S

x 

x 

x 

s
e
v
i
t
a
v
i
r
e
d

x 

x 

x 

x 

x 

x 

x 

x 

x 
x 

y
t
i
u
q
e
y
a
d
f
o
d
n
E

x 

x 

y
t
i
u
q
e

e
m

i
t

l
a
e
R

x 

x 

x 

x 

x 

x 

g
n
i
t
s
i
x
E

x 

r
e
h
g
i
H

x 
x 

x  

x 

x 

x 

Sell side 1 
Sell side 2 
Trade 
association 1 
Non-equity 
trading 
venue 1 
Non-equity 
trading 
venue 2 
Non-equity 
trading 
venue 3 
Buy side 1 
Trade 
association 2 
Exchange 1 
Trade 
association 3 
Sell side  
Buy side 2 

Alternative 
venue 1 

77 

l
l
a
(

e
g
a
r
e
v
o
c
h
g
i
h
/
l
l
u
F

)
s
e
u
n
e
v
e
l
b
a
l
i
a
v
a

t
e
k
r
a
m
s
i
m
i
n
i
m
e
D

y
r
o
t
a
d
n
a
M

y
r
o
t
a
d
n
a
m
n
o
N

y
r
o
t
a
d
n
a
M

y
r
o
t
a
d
n
a
m
-
n
o
N

x 

e
d
a
r
t
-
e
r
p
n
o
d
e
s
a
b

y
c
n
e
r
a
p
s
n
a
r
t

x 

x 

x 

x 

x 

x 
x 

x 

x 

x 

s
e
y

o
n

s
i
s
a
b
t
n
e
r
e
f
f
i

D

x 

x 

x 

x 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Exchange 2 
Buy side 3 
Buy side 4 
Trade 
association 4  
Member 
State 1 
Member 
State 2 
Member 
State 3 
Buy side 
forum 
Sell side 
forum 
Stakeholders 
participating 
in the CTP 
Workshop 

x 

x 

x 

x 

x 

4 

2 

- 

- 

46 
vs 
53 

101 
vs 
8 

4 

3 

3 

3 

6 

5 

2 

115 

x 

x 

x 

x 

x 

x 

x 

x 
x 
x 

x 

x 

x 

x 

x 
x 

x 

x 

5 

3 

3 

2 

x 

1 

2 

4 

- 

1 

1 

x 

x 

x 

x 

x 

x 

93 

61 

30 

30 

38 

101 
vs 
8 

93 
vs 
13 

48 
vs 
35 

61 

30 

97 

5 

23 

72 

36 

31 

78 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
ANNEX 3: Who is affected and how? 

3.1 Practical implications of the initiative 

It is estimated that tens of thousands of market participants would use the data if it were 
available.102  In  most  financial  markets  firms,  groups  of  users  can  be  broadly  split  into 
functions  that  align  with  the  three  lines  of  defence  risk  management  principles. 
Consolidated  Tape  (CT)  Data  is  therefore  required  by  these  different  functions  in  each 
organisation’s  lifecycle:  (i)  functions  that  own  and  manage  risk;  (ii)  functions  that 
oversee  risks  and  challenge  the  front  line;  and  (iii)  functions  that  provide  independent 
assurance. As a result, multiple functions across organisations require data. Each function 
and  each  line  of  defence  may  use  different  sets  of  data  or  different  calculations,  at 
different  times,  to  create,  monitor  and  challenge  processes  or  results.  CT  data  would 
reduce the need for each function and then each line of defence to process and clean data 
for their use, which currently requires considerable resources. 

Functions are similar across asset classes and there are multiple underlying use cases for 
CT data within each function: 

• Issuing 
• Asset Allocation 
• Portfolio/Investment Management 
• Pre-Trade Analysis 
• In-flight Monitoring of trades 
• Post-Trade Analysis/ Best Execution 
• Middle and Back Office 
Processes/Valuations 

• Funding and Collateral 
Management/Securities Lending 
• Market Surveillance 
• Risk Management 
• Performance Measurement 
• Regulatory Oversight 
• Audit 

102 MSP (2020), The study on the creation of an EU consolidated tape, p. 31. 

79 

 
 
 
 
 
                                                 
Figure 1 - Use of Consolidated Data by Functions Organised by the Three Lines of Defence 

Source: Market Structure Partners 

3.2 Summary of costs and benefits 

Benefits  and  costs  of  option  1.2  and  1.4  for  each  category  of  stakeholders  have  been 
summarized in the below table. The main beneficiary of this option is the retail investor, 
either  through  the  smaller  data  consumers  (asset  managers,  pension  funds,  insurance 
companies)  that  invest  their  savings  or  as  direct  investors,  who  would  benefit  from  a 
coherent  overall  picture  of  trading  in  the  EU  by  making  better  investment  and  trading 
decisions,  improve  the  oversight  of  their  broker’s  performance,  and  reduce  the 
administrative burden to manage data across pan-European markets. 

Table 1 - Impacts on different stakeholders of Option 1.2 and 1.4 

Retail investor 

Benefits 
Costs 

↑↑↑ 
NA 

Data users 
(small/large) 
↑↑↑/↑↑ 
↑ /↑↑ 

Data contributors 
(small/large) 
↑↑↑/↑↑ 
↑ /↑↑  

CTP 

Supervision 

↑↑ 
↑↑  

↑↑ 
↑ 

Tables  8  and  9  below,  present  the  typical  costs  and  benefits  deriving  from  the  specific 
actions to be undertaken for each of the main policy areas in order to implement option 
1.2 and 1.4. In several instances, it is not possible to quantify impact at  a high level of 
detail.  In  addition,  for  some  policy  areas  in  the  baseline,  current  costs  are  not 
available/disclosed  due  to  the  sensitivity  of  market  data  and  contractual  obligations103. 
On the benefits side, most impact descriptions are of a qualitative nature.  

103 As has been noted for instance in the ESMA report on market data, the license agreement signed by the 
market participants do not allow them to make public what they have to pay for market data. 

80 

 
 
  
 
 
                                                 
 Table 2 – Overview of Benefits – Preferred option  

I. Overview of Benefits (total for all provisions) – Preferred Option 
Description 

Amount 

Comments 

Direct benefits 

Access  to  core  market  data 
statutory 
through 
subscription 
to 
competing  tapes  or  a  single 
consolidated tape 

fee 

Client-facing  intermediaries: 
easier  compliance  with  best 
execution requirement 

More  share  trading  on  most 
transparent markets  

Ca. EUR billions annually 
This  is  an  estimate  of  the  direct  cost  saved  by  obtaining 
better  execution  quality  in  the  equity  and  bond  markets. 
This  figure  is  based  on  market  participants’  estimates  of 
the  loss  they  suffer  due  to  slippage  (adverse  price 
movement  between  a  trading  decision  and  the  execution 
of a trade), which could be avoided if a consolidated tape 
was  available.  It  represents  the  complement  of  the  cost 
incurred by large dealers currently benefiting from a better 
view  of  the  market.104  A  consolidated  tape  should 
therefore  be  seen  as  a  measure  redistributing  from  larger 
to smaller market participants. 

Considering  a  hypothetical  firm  with  50  data  consumers, 
the  current  annual  costs  for  the  market  data  would  be 
€300,000. Replacing this by  a tape costing €5,000 a year 
and  €300  per  user  per  year,  would  equate  to  a  €265,000 
saving,  or  88%  cost  reduction.  For  a  large  banks  there 
could  be  up  to  20  times  as  many  users  of  the  market 
data105. 
There are 10,925 active regulated entities (including 6501 
Investment  Firms,  127  Regulated  Markets,  and  145 
MTFs).  If  we  assume  that  the  average  investment  firm 
equals the hypothetical firm above the overall cost saving 
across  the  Union  for  investment  firms  alone  would  be 
EUR 1.8 billion annually. 

The  remuneration  model  would  reward  operators  that 
contribute to price formation through pre-trade-transparent 
execution. If  well-calibrated the proposal might also feed 
through  to  incentives  for  participants  to  post  smaller 
orders  to  lit  venues  rather  than  place  them  into  non-
displayed venues 
and support distributed (and therefore more resilient) price 
formation and competitive markets 

Main recipient of the benefit: 
Retail  investors  and  small  market 
data users 

Main recipient of the benefit: 
All data users 

Main recipient of the benefit: 
Most transparent markets 

Pan  European 
market 

Indirect benefits 

financial 

Easy  access  to  pan  European  data  would  encourage  the 
development of a robust pan European retail market. 

Main recipient of the benefit: 
Retail investors 

View of all EU markets 

5  year  tender  period  for  the 
single consolidated tape 

The smaller and less developed markets  would become a 
lot more visible as at the moment only local investors and 
niche  investors  go  through  the  trouble  of  obtaining  the 
market data 

The  CTP  would  enjoy  a  five  year  period  where  it  would 
be the sole provider of the consolidated market data. This 
period  should  allow  the  CTP  to  recoup  its  initial 
investments. 

Main recipient of the benefit: 
Smaller and less developed markets 

Main recipient of the benefit: 
CTP 

Product innovation 

More  competition  in  the  market  for  data  consolidation  Main recipient of the benefit: 

104 MSP (2020), The study on the creation of an EU consolidated tape, p50 
105 These estimates have been provided by an association representing financial institutions. 

81 

 
 
                                                 
with  competing  data  consolidators  keeps  this  market 
contestable  and  stimulates  product  innovation,  requiring 
less supervision and oversight 

All data users 

82 

 
 
Table 3 – Overview of costs – preferred option 

II. Overview of costs – Preferred option 

Retail investors  

Data users 

Data Contributors 

Consolidated tape provider  Supervision 

One-off  Recurrent  One-off 

Recurrent 

One-off 

Recurrent 

One-off 

Recurrent 

One-off 

Recurrent 

NA 

NA 

Small 
EUR 50k 
Large 
EUR 150k – 1 
million 

All data users 
will have to make 
changes to their 
systems to 
integrate the 
consolidate data 
feed into their 
systems 
Small 
EUR 250k 

Standardised 
data format 

Direct costs 

NA 

NA 

Each trading venue 
and APA would need 
to establish a data feed 
to the consolidator 
(this is ‘Business as 
Usual’ from a 
technical perspective) 
Small 
EUR 250k 
Large 
EUR 500k – 1 
million106 

An initial tape would 
cover only large 
contributors (around 
170 data contributors). 
The industry-wide 
cost of adapting data 
reporting standards is 

Small 
EUR 200k-300k 
absent material 
changes in compliance 
requirements, which 
would generate 
additional costs. 
Large 
EUR 1million for the 
largest contributors 
(SIs) 

Industry-wide annual 
market data reporting 
cost would therefore 
amount to between 34-
50 million with an 
add-on to account for 
the higher cost of the 
G10 banks of 17 

NCA 
EUR 50k 
ESMA 
EUR 50k 

All NCAs 
and ESMA 
will have 
to make 
changes to 
their 
systems to 
integrate 
the 
consolidate
d data feed 
NCA 
EUR 150k 
ESMA 
EUR 150k 

106 Large contributors with complex and diverse data reporting arrangements could face a higher annual compliance cost with big (G10) investment banks (SIs) likely to spend EUR 2-3 
million in one-off cost to comply with their market data reporting obligations. 

83 

 
 
 
 
 
 
 
 
                                                 
Indirect costs  NA 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

Mandatory 
contribution  

Direct costs 

estimated at between € 
85 and 170 million 

million 

NA 

NA 

The initial cost 
estimate is included in 
the cost above to 
produce the 
standardised data 
format 

Ca. EUR 2000 / 
month. 

Contributors pay only 
for connectivity to 
local cloud-based 
presence 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

Indirect costs  NA 

NA 

Direct costs 

Setting up and 
running  of  a 
tape 

NA 

NA 

NA 

NA 

NA 

NA 

NAdf 

NA 

NA 

NA 

NA 

NA 

Equity107:  
EUR 4 – 12 
million 

Equity:  
EUR 1.4-
5.5 

ESMA 
IT spend 
of 2 

ESMA 
4 FTEb  
IT spend 

107 Range based on two separate estimates provided to DG FISMA. The key assumptions behind the estimate are as follows: (i) the operation of the consolidated tape is awarded for a 
period of five years;(ii) build of the tape will take place over 18-24 months in order to give exchanges and other data sources time to adapt to the prescribed reporting standard and make 
the required reporting changes (if necessary);(iii) the CT provider will receive data for equity and equity-like instruments from around 170 sources across the EU; and (iv) the required 
security and latency specifications exclude a (cheaper) cloud solution. The build and operating cost in estimate 1 contains the following products and services: (a) Technology: setting 
up dedicated lines and data feeds;(b) Infrastructure cost; (c) Software licensing; (d) Establishment of connections; (e) Project and account management, and (f) Administrative functions 
of the CTP (controlling data quality, billing tape consumers and sharing back revenues to market data contributors). 

84 

 
 
 
 
 
 
                                                 
Indirect costs  NA 

NA 

Direct costs 

NA 

Maximum 
EUR 
1/month 

NA 

NA 

NA 

EUR 100 per 
individual 
user/month 

NA 

NA 

Tape  statutory 
subscription 
fee 
consumption
111 

/ 

Bonds/Deriv
atives108: 
EUR 0.8 – 7 
million 

million/yr  

Bonds/Der
ivatives: 
EUR 1.3 – 
4109 
million/yr 

million 
(already 
accounted 
for and for 
all 
DRSPs)110  

of EUR 
400 
000(alread
y 
accounted 
for and for 
all 
DRSPs)b 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

Data  revenue  Direct costs 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

108 The cost figures for a bonds / derivatives tape are based on three separate estimates provided to DG FISMA. The estimate that makes up the higher end of the spectrum concerns a 
proposal for an intra-day bond CT, which shares many cost drivers of an equity CT. 
109 For this specific higher-end figure, please see a detailed breakdown of the running costs in table 10 where the five year running cost boils down to EUR 3.8 million. 
110 Following the ESA review, ESMA will be in charge of registering data reporting services providers (DRSPs) including consolidated tape providers (CTPs) that are new types of 
entities. ESMA will also ensure their ongoing supervision and it will be empowered to conduct investigations. This will necessitate additional specialised staff estimated at 4 FTEs. 
Given the large number of data managed by those entities, a large IT system is needed to assess their quality, the way they are processed and published. Those IT costs are estimated at 
EUR 2 million (one-off costs) as well as EUR 400 000 per year (maintenance costs). 
111 DG FISMA proposed amounts, based on a number of 10,925 active regulated entities (including 6501 Investment Firms). It is assumed that all 6501 investment firms subscribe to 
the tape to prove “best execution” and that 1% of the EU population would subscribe to the CT as retail users for a fee capped at EUR 1/month. In the US, 5.4 million non-professionals 
(2% of the US population) subscribe to the CT. 

85 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                 
lost  by  data 
contributors 

Indirect costs  NA 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

NA 

Exchanges: 
max one third of EUR 
245 million annually112  

Bond data 
contributors: 
NA 

112 A 2018 industry estimate puts the market data revenue of all FESE exchanges at EUR 245 million annually. Since this also incorporates revenue from pre-trade data streams and 
proprietary, low-latency feeds that are geared specifically to highly sophisticated market data users, this can be seen as a considerable overestimation of the revenue loss they would 
incur as a result of the proposed CT. 

86 

 
 
  
 
 
 
                                                 
 
Table 4 – Breakdown of operating costs for the operation of a consolidated tape 113 

Item 
Governance 

Secretariat 

Regulatory compliance and 
relationship management 

ESMA ongoing supervisory fees 
Legal 
Product and Tech 

Infrastructure 

Technical account management 
On-boarding / KYC 
Customer support 
Application support 

Description 
To manage board and senior 
management oversight 
To manage product and technical 
committees with industry 
participation 
To manage engagement with 
ESMA, Commission, NCAs and 
other regulatory stakeholders. 
ESMA compliance obligations 
and inbound requests and 
questions from ESMA 
tbc by ESMA budget 
Legal resources 
Resource to manage product 
build and maintenance 
Costs including personnel and 
3rd party costs 
Manage submitters and users 
For submitters and user’s 

Support IT services delivered to 
users, enabling the operational 
processes  

Cost (EUR thousands) 
150 

200 

400 

250 
150 
500 

800 

200 
200 
250 
200 

Sales and Account management  Manage user contracts and billing  250 
300 
Billing, Finance and Accounting 

3rd party ‘Audit costs’ 

TOTAL 

Support revenue collection and 
production of accounts for cost 
recovery and revenue share 
model 
PEN tests, statutory audits, SOC 
1 style audits, ISO certification 
etc..…    

150 

3800 

Table 5 – A real-life example of setting up a service for non-equity post trade aggregation114 

Number of data sources 
Time  required  for  on  boarding 
per feed 
Target latency across platform 
Output Format API 

12: 1 RM, 4 MTFs, 1 OTF, 6 APAs 
3  weeks  for FIX  feed, 6  weeks  for binary  feed. If all users used the 
same FIX protocol, 5-10 days to on-board 
< 300 ms 
Service  provided  a  real-time  stream  of  data  out  in  FIX  Protocol. 
Clients could also request historical data using a REST API 

113 Estimate of operating costs provided to DG FISMA by a specialist market information company 
114 Information submitted by Alex Wolcough, Greenbirch. All of the costs are on the assumption that a pre-
existing organisation that is already in the business of providing data services builds and runs the CT. E.g., 
it  supposes  a  pre-existing  management  team,  pre-existing  operational  and  support  structures.  The  cost 
estimate  is  for  adding  the  extra  staff  and  resources  to  build  and  manage  CT  service  from  a  technical 
perspective. 

87 

 
 
 
 
 
  
                                                 
Output format user interface 

Data points 
Architecture 

Cost 

Data available on web page HTML5 interface – allows user to query 
individual  instruments  by  ISIN  and  depth  of  History.  An  important 
feature of this historical display was being able to sort by publication 
time or execution time (so delayed data could be listed in the correct 
chronological order amongst trades reported without delay) 
All data points in RTS 2, including flags 
Built on cloud platform, with nearshore low cost development centre 
for components 
EUR  800,000  one-off,  EUR  1,300,000/annum  (operational  staff, 
support, infrastructure) 

+ 

Significant costs to redistribute data are charged by TVs, APAs 

88 

 
 
 
 
 
 
ANNEX 4: Picture of European markets in financial instruments   

Due  to  the  iterative  market  infrastructure  reforms  (MiFID  I  and  II),  Europe  has  a  very 
fragmented markets for trading in shares, bonds and derivatives. Investors now have the 
choice to trade on (1) regulated markets (RMs) or (2) alternative trading venues such as 
multilateral  trading  facilities  (MTFs)  which  are  comparable  to  stock  exchanges,  but  do 
not have a listing function and, specifically for bonds and derivatives, organised trading 
facilities  (OTFs).115  In  the  current  framework,  investors  can  also  trade  (3)  through  the 
balance sheet of investment banks that act as dealers and trade bilaterally (also known as 
‘systematic internalisers’).116 Apart from these more or less formal execution venues, the 
European trading landscape, both for equities (such as shares and ETFs) and non-equities 
(such as bonds and derivatives), is also characterised (4) by a large segment of so-called 
“over-the-counter” (OTC) trading.  

Fragmentation increased in share trading already before the entry into force of MiFID I 
in  2007,  but  this  development  has  accelerated  significantly  after  entry  into  force  of 
MiFID  II.  For  non-equity  instruments  (bonds  and  derivatives),  trading  has  historically 
been  decentralised  around  dealers,  with  certain  exceptions  for  liquid  segments.  ESMA 
data  shows  that  by  the  end  of  2019  there  were  262  trading  venues  (RMs,  MTFs  and 
OTFs) and 147 SIs, in the EU27. A large amount of these venues are relatively new. In 
2018 there were 197 admissions of new venues and SIs and 87 in 2019. 

Bonds 

Bond trading volumes in the EEA amounted to EUR 101tn in 2019 versus EUR 27tn for 
equity  and  equity-like  instruments  according  to  ESMA  data.  The  European  trading 
landscape  in  this  universe  is  also  characterised  by  fragmentation.  According  to  the 
mentioned  ESMA  Annual  Statistical  Report,  in  2019  the  majority  of  bond  trading 
remained  “off-exchange”,  with  OTC  accounting  for  50%  and  trading  through 
internalising investment banks for 26%. However, the introduction of alternative trading 
systems  (MTFs)  is  beginning  to  show  positive  effects  in  reducing  trading  cost  and 
increasing  execution  quality.  Thus,  many  sovereign,  and  a  certain  number  of  corporate 
bond issuances, can now be traded on MTFs. Exchange trading for bonds is split among 
traditional  stock  exchanges,  which  merely  account  for  1%  of  bond  transactions,  MTFs 
accounting for 15%, and OTFs accounting for 8%. On-exchange trading volumes in 2019 
were concentrated in the UK, with more than 80% of on-exchange trading on UK trading 
venues (EUR 20 tn). At the moment, less than 0.5% of European bonds are liquid which 

115  These  different  venues  can  operate  different  trading  protocols,  offering  a  different  level  of  pre-trade 
transparency.  These  range  from  an  open  order  book  (that  displays  all  bids  and  offers  and  market  depth 
underpinning these quotes), to an intraday or end of day (closing) auctions, a request for quote (RFQ) or on 
so-called "dark pools" (where orders are matched without pre-trade bids and offers being shown to the rest 
of the market). 
116 SIs are investment firms that frequently and substantially deal with clients from their own inventory.  

89 

 
                                                 
means  in  practice  that  more  than  99.5%  of  bonds  are  not  subject  to  pre-trade 
transparency.  

Table 2. Bond trading in the EEA in 2019. 

Derivatives 

OTC contracts still account for the most outstanding notional amount in 2019 according 
to ESMA data. Exchange traded derivatives (standardised contracts listed on an exchange 
–  ETDs)  accounted  for  only  8%  of  notional  amount  in  2019,  and  OTC  on  venue 
derivatives for 7%. Bilateral OTC trading took up 85% of total notional amount, which is 
a (slight decrease) from the year before.      

Table 3. Derivative trading in the EEA in 2019 

90 

 
 
  
 
ANNEX 5: other initiative specific annexes 

ANNEX  5.1  Current  framework  on  consolidated  tape  providers  and transparency 
waivers and deferrals 

5.1.1 Applicable framework for consolidated tape providers 

MiFID/R  introduced  a  consolidated  tape  framework  for  equity  and  non-equity 
instruments. Consolidated tape providers (CTPs) constitute one of the three types of so-
called  Data  Reporting  Services  Providers  (DRSPs),  alongside  Approved  Publication 
Arrangements  (APAs)  and  Approved  Reporting  Mechanisms  (ARMs)  that  aggregate 
data,  respectively  for  the  purpose  of  trade  reporting  and  transaction  reporting.  For  a 
number of reasons analysed by ESMA in their report (to be found in Annex 5.4.1), after 
more than three years of implementation, no entity has requested this CTP status, neither 
in equity nor on non-equity instruments.  

As envisaged under MiFID II, the operation of a CTP is subject to authorisation. In the 
original framework, this authorisation was granted by the NCA but following the review 
of the ESAs, ESMA will be in charge from 2022.117 This authorisation is granted when 
the CTP satisfies with all the requirements set forth by MiFID II (originally Articles 59, 
61 and 62 of the directive, rules that are supplemented by RTS 13),118 with a possibility 
of  withdrawal  when  the  conditions  are  no  longer  met.  ESMA  has  to  publish  a  list  of 
authorised CTPs. 

The  core  requirements  concern  the  consolidation  of  post-trade  transparency  data  into  a 
continuous  electronic  data  stream  from  all  the  trading  venues  and  APAs,  and  the 
publication  of  this  information  as  close  to  real  time  as  technically  possible,  on  a 
reasonable commercial basis. The minimum set of information should include, among 
other  things,  the  ISIN,  transaction  price  and  volume,  the  transaction  time,  the 
relevant  venue.119  This  information  shall  be  made  available  free  of  charge  15  minutes 
after  the  CTP  has  published  it,  and  the  CTP  should  disseminate  such  information  in  a 

117 The ESAs review has moved the provisions on DRSPs from MiFID II to MiFIR. These changes in the 
ESAs review to not impact the content of these provisions as presented in this section 
118 Commission Delegated Regulation (EU) 2017/571 of 2 June 2016: This provides rules on authorisation, 
including the information on organisation and corporate governance, as well as a number of specification 
in terms of organisational requirements, with regard to conflict of interest rules, outsourcing, and business 
continuity, testing and capacity, security and management of incomplete or potentially erroneous data.  
119  (i)  the  identifier  of  the  financial  instrument  (in  practice  the  ISIN  code),  (ii)  the  price  at  which  the 
transaction was concluded, (iii) the volume of the transaction, (iv) the time of the transaction, (v) the time 
the  transaction  was  reported,  (vi)  the  price  notation  of  the  transaction,  (vii)  the  code  for  the  execution 
venue where the transaction was executed, (viii) the indication whether an algorithm is responsible for the 
investment decision and the execution of the transaction, (ix) an indicator on whether the transaction was 
subject to specific conditions and for equity instruments (x) an indication on whether the transaction  was 
concluded by using a RPW or a negotiated trade waiver. 

 
 
                                                 
 
way  that  ensures  fast  access  to  the  information,  on  a  non-discriminatory  basis  and  in 
formats that are easily accessible and utilisable for market participants. 

A  number  of  organisational  requirements  exist  in  the  current  CTP  framework,  with 
requirements  in  relation  to  the  members  of  the  management  body.  They  also  comprise 
administrative arrangements designed to prevent conflicts of interest, in particular in 
the case where a market operator or an APA also operate a CT, since it specifies that in 
such  a  situation,  all  information  collected  shall  be  treated  in  a  non-discriminatory  way 
and  the  CTP  must  ensure  through  arrangements  a  separation  of  different  business 
functions.  Finally,  the  framework  also  provides  for  the  need  to  have  sound  security 
mechanisms in place.  

The regulation also opened the possibility for the European Commission to step in if no 
tape  has  been  created  and  ask  ESMA  to  appoint  an  exclusive  tape  through  a  public 
procurement.120 In such a case, the framework empowered the European Commission to 
adopt  delegated acts  specifying measures  in  order to  determine the contract-duration of 
the  commercial  entity  operation  the  CT  on  an  exclusive  basis,  as  well  as  ensuring  that 
post-trade information would be provided at a high-quality, in appropriate format and at a 
reasonable cost to the CT. 

5.1.2 Transparency waivers and deferrals applicable to trading venues  

MiFID introduced pre-trade and post-trade transparency requirements for shares, with a 
number  of  exemptions  to  pre-trade  transparency,  namely  waivers,  as  well  as  different 
possibilities to delay the publication of post-trade information, namely deferrals. This set 
of  rules  with  its  exceptions  is  often  called  the  “transparency  regime”.  In  MiFIR,  this 
system of waivers and deferrals  remains and is  extended to  other equity instruments as 
well as to non-equity instruments, with certain adaptations. 

Waivers for trading venues in relation to equity instruments 

Article 4 MiFIR contains exemptions (‘waivers’) for trading venues (regulated markets 
or multilateral trading facilities) to publish current bids and offers from the members or 
participants  on  their  platform  in  relation  to  shares,  depository  receipts,  ETFs, 
certificates and other similar financial instruments. Such waivers are available in the 
following cases: 

120  These  powers  have  not  been  exercised.  Instead,  the  European  Commission  has  chosen  to  review  the 
framework  applicable  to  CTPs  at  the  occasion  of  the  proposed  MiFIR  review  so  that  the  conditions  are 
rightly set to ensure the emergence and functioning of a tape. 

92 

 
 
                                                 
1.  RPW  –  When  the  trading  venue  operates  a  system  that  matches  the  bids  and  offers 
from  their  members  or  participants  on  the  basis of  prices  that  are  referred  from  the 
midpoint of the best bids and offers on the primary market (the exchange where the 
instrument was first listed) or the most relevant market in terms of liquidity, it does 
not  need  to  publish  information  on  the  available  buying  and  selling  interest.  This 
system is commonly referred to as a dark pool. Recourse to this waiver is limited by 
the DVC (Article 5 MiFIR). The DVC aims to ensure that the amount of trading that 
occurs  under  such  a  waiver  in  any  instrument  on  1)  that  specific  venue  may  not 
exceed 4% on all trading on venues in the EU, and 2) all venues combined in the EU 
may not exceed 8% of all trading in that instrument on venues in the EU.  

2.  Negotiated trade waiver – Some venues allow for the possibilities that pre-negotiated 
transactions are formalised on their venue. In this case the venue does not match the 
bid and offer based on their algorithm, because this has been done bilaterally already. 
This buying and selling interest does not need to be made public by the venue if: 1) 
the price reflects the ‘volume weighted spread’ on the order book, in which case the 
usage of waiver is capped by the DVC, or 2) if it concerns an illiquid instrument and 
the  agreed  price  is  close  to  a  suitable  reference  price,  or  3)  if  the  conditions  are 
different  than  the  current  market  price  of  that  instrument.  This  last  type  of  waiver 
applies to so called ‘technical trades’, such as the delivery of shares following the call 
of an options contract.  

3.  Large  in  scale  waiver  –  Orders  that  are  ‘large  in  scale’  compared  with  the  normal 
market size do not need to be published. When an order is large is scale is calculated 
by the competent authorities following the requirements set in level 2 (EU 2017/587, 
or RTS 1). E.g. when the average daily turnover of a share is between 1 million and 5 
million EUR, the large in scale threshold is EUR 200.000.  

4.  Order  management  facility  waiver  –  When  an  order  is  too  large  to  be  executed  at 
once on an order book, it can be divided in separate smaller batches. A single batch 
will  be  made  public  by  placing  it  on  the  order  book  and  when  it  is  executed  the 
following  batch  will  be  made  public.  All  the  other  batches  remain  hidden  to  the 
public, and may not interact with other orders, until they are put on the order book. 
This type of waiver allows the volume of an order to be hidden. 

Waivers for trading venues in relation to non-equity instruments  

Likewise,  Article  9  MiFIR  contains  exemptions  (‘waivers’)  for  trading  venues 
(regulated markets, multilateral trading facilities or organised trading facilities) to publish 
current bids and offers from the members or participants on their platform in relation to 
bonds, structured finance products, emission allowances and derivatives traded on a 
trading venue and package orders. Such waivers are available in the following cases: 

93 

 
 
 
 
 
1.  Large  in  scale  waiver  –  Orders  that  are  ‘large  in  scale’  compared  with  the  normal 
market size do not need to be published. When an order is large is scale is calculated 
by the competent authorities following the requirements set in level 2 (EU 2017/583, 
or RTS 2).  

2.  Order  management  facility  waiver  –  When  an  order  is  too  large  to  be  executed  at 
once on an order book, it can be divided in separate smaller batches. A single batch 
will  be  made  public  by  placing  it  on  the  order  book  and  when  it  is  executed  the 
following  batch  will  be  made  public.  All  the  other  batches  remain  hidden  to  the 
public, and may not interact with other orders, until they are put on the order book. 
This type of waiver allows the volume of an order to be hidden.  

3.  Size specific to the instrument (SSTI) waiver – Specifically in ‘request for quote’ and 
‘voice  trading’  systems  on  trading  venues  any  actionable  indication  of  interest  may 
be waived if its size is larger than the SSTI  and publication would expose liquidity 
providers to undue risk. A request for quote system is a system whereby one or more 
members or participants of the venue provides a quote in respond to a request for a 
quote  submitted  by  one  or  more  other  members.  The  SSTI  is  calculated  by  the 
competent authorities based on criteria set in RTS 2.  

4.  Illiquid  instruments  waiver  –  buying  and  selling  interest  in  derivatives  that  are  not 
subject to the derivatives trading obligation in Article 28 MiFIR, and all other non-
equity instruments, that do not have a liquid market may be waived.  

5.  Exchange for physical waiver – Buying and selling interest in a derivative contract or 
other financial instrument contingent on the execution of an equivalent quantity of an 
underlying physical asset may be waived.  

6.  Package  order  waiver  –  In  case  an  order  consists  out  of  a  package  of  multiple 
financial  instruments,  the  order  may  be  waived  in  case  any  of  its  instruments  is 
illiquid or large in scale, unless the entire package is liquid, or if all components are 
individually eligible SSTI waiver.  

Deferrals for trading venues in relation to equity instruments 

Article  7  MiFIR  arranges  that  publication  of  transactions,  once  executed  on  a  trading 
venue, may be deferred from 60 minutes up to maximally two trading days (depending 
on the average daily turnover and the size of the transaction), if they  are large in  scale 
compared to the normal market size for that (class of) share, depositary receipt, ETF, 
certificate  or  other  similar  financial  instrument  in  case  the  transaction  is  executed 
between an investment firm dealing on own account and another counterparty. Based on 
article 20 these deferrals also apply to investment firms, such as systematic internalisers 
when they execute transactions outside of a trading venue.   

94 

 
 
 
 
 
 
 
Deferrals for trading venues in relation to non-equity instruments  

Article 11 MiFIR arranges that publication of transactions in bonds, structured finance 
products, emission allowances or derivatives, once executed on a trading venue, may 
be deferred from two working days up to four weeks, or for sovereign bonds indefinitely 
when the transaction is large in scale compared to the normal market size, related to an 
illiquid  instrument  or  is  above  SSTI  and  publication  would  risk  expose  liquidity 
providers  to  undue  risk.  Based  on  article  21  these  deferrals  also  apply  to  investment 
firms, such as systematic internalisers when they execute transactions outside of a trading 
venue. In combination with a deferral, competent authorities may:  

1.  Request the publication of limited details of a transaction (such as price) during the 

time of the deferral; 

2.  Allow masking of the volume of a transaction during an extended time period of four 

weeks; 

3.  Allow aggregated publication of several transactions during an extended deferral time 
period  of  four  weeks,  with  regard  to  all  non-equity  instruments,  except  sovereign 
bonds; 

4.  Allow aggregated publication of several transactions during an extended deferral time 

period of indefinite duration, with regard to sovereign bonds. 

5.1.3.  Transparency  requirements  for  investment  firms,  in  particular  systematic 
internalisers 

All  investment  firms  are  subject  to  post-trade  transparency  requirements  when  trading 
over  the  counter  in  instruments  that  are  traded  on  a  trading  venue  (ToTV).  The 
publication of the information is carried out by APAs.  

When investment firms qualify as systematic internalisers, either because they reach the 
quantitative  thresholds  or  voluntarily,  they  are  subject  to  pre-trade  transparency 
requirements on these ToTV instruments. 

With regard to instruments that are not  also traded on a trading  venue, no transparency 
requirements apply.  

Pre-trade transparency with regard to equity ToTV 

Article  14  MiFIR  prescribes  that  systematic  internalisers  are  required  to  continuously 
publish firm quotes on both sides in liquid equity instruments for a minimum of 10% of 
the standard market size. In addition any quote they provide voluntarily needs to be made 
public  as  well,  up  to  standard  market  size.  The  standard  market  size  is  calculated 
according to a methodology set out in a regulatory technical standard and depends on the 

95 

 
 
 
 
 
average  value  of  transactions  in  the  financial  instruments.  According  to  ESMA121  SIs 
mainly  limit  their  public  quotes  to  the  minimum  required  size.  With  regard  to  illiquid 
equity instruments systematic internalisers only need to provide firm quotes on request of 
a client.  

Pre-trade transparency with regard to non-equity ToTV 

Article 18 MiFIR  arranges that with regard to  liquid  non-equity instruments  systematic 
internalisers are required to publish firm quotes with regard to non-equity instruments up 
to  a  size  specific  to  the  instrument  and  make  them  available  to  (a  selection  of)  their 
clients  if  they  are  prompted  for  a  quote  and  they  agree  to  provide  a  quote.  The  size 
specific to the instrument is determined based on level 2 regulatory technical standards. 
In case there is not a liquid market such quotes merely need to be made available to their 
clients, unless a waiver applies.  

Post-trade transparency with regard to equity ToTV 

Article 20 MiFIR requires that transactions in equity need to be made public through an 
approved application arrangement (APA). The same requirements and deferrals apply as 
for trading venues (see 5.1.2).  

Post-trade transparency with regard to non-equity ToTV 

Article 21 MiFIR requires that transactions in non-equity need to be made public through 
an approved application arrangement (APA). The same requirements and deferrals apply 
as for trading venues (see 5.1.2).  

121https://www.esma.europa.eu/sites/default/files/library/esma70-156-
3329_mifid_ii_mifir_review_report_on_the_transparency_regime_for_non-equity_instruments.pdf, p.27. 

96 

 
 
 
 
 
                                                 
ANNEX 5.2 International environment 

Changes in MiFID and especially in MiFIR have to be  apprehended in  an international 
context. Many rules in the Impact Assessment of MiFID/R in 2011 were born out of G20 
proposals to make financial markets more robust after the crisis. This leads to measures 
such as trading  standardised derivatives on exchange, let them be centrally  cleared  and 
collateralise risky transactions.  Since then, markets  have  become even more global  and 
trading does not stop at the European Union border.  

In addition, the UK the largest financial centre of Europe, left the Union. This has caused 
certain  changes  in  trading  structures,  client  relationships  and  physical  presence.  Many 
financial market participants have both local and global presence. Company structures do 
not always fit within a single financial legislation framework. Different rules in different 
jurisdictions can be comparable but sometimes also overlap.  

This international environment cannot be ignored when adjustments to the trading regime 
of MiFIR are made. Any changes to MIFIR should enhance the EU capital markets and 
support the international competitiveness of European market participants.  

With  regard  to  derivatives,  European  companies  are  very  dependent  on  the  large 
investment banks for their hedging of interest, credit, commodity and foreign exchange 
risk. Although a lot has happened to encourage central clearing of derivatives and trading 
on venue, little development took place to limit the dependence on large dealers. By e.g. 
encouraging  more  trading  of  derivatives  on  European  lit  exchanges,  markets  would  be 
more transparent, more liquid and hedging could become less expensive.  

97 

 
 
 
 
 
ANNEX 5.3 Open access for ETDs 

Open access  rules  essentially mandate the operators of vertically integrated trading and 
clearing  infrastructures  to  also  clear  transactions  that  did  not  originate  within  the 
vertically  integrated  trading  platform.  Open  access  provisions  already  apply  to  OTC 
derivatives,  transferable  securities  and  money  market  instruments  (under  MiFIR  or  the 
regulatory framework for clearing EMIR). Open access remains highly controversial with 
respect  to  exchange-traded  derivatives  (ETDs)  as  these  are  standardized  contracts 
designed by the trading platforms to facilitate trading and spur liquidity, with subsequent 
clearing in a fully integrated silo. 

Due  to  longstanding  concerns  and  uncertainties  also  at  legislator  level  on  how  open 
access for ETDs would affect the current and efficient ETD market, MiFIR open access 
rules also added multiple temporary transition periods and opt-outs for an exception from 
the application of the open access rights. Many exchanges have taken advantage of these 
transitional  arrangements  as  the  initial  application  (3  January  2018)  has  been  initially 
postponed for 30 months and it  has been further postponed due to Covid-19 pandemic, 
meaning  that  the  ETD  open  access  regime  is  largely  not  up-and-running.  The  opt-outs 
will end on 3 July 2021. 

ETDs  are  often  the  benchmark  (reference  price)  indices  for  a  broad  range  of 
underlying  assets  (e.g.  bonds,  shares,  commodities  such  as  energy  or  oil  and  soft 
commodities such as coffee or sugar), including the wider OTC derivatives associated 
with  those  assets.  ETDs  are  derivative  contracts  offered  for  trading  on  stock 
exchanges, characterised by a high degree of standardisation as they are created by 
and are specific to an exchange, traded under the rules of that exchange and cleared 
in  the  clearing  infrastructure  (CCP)  used  by  that  exchange.  ETD  trading  ensures 
liquidity while ETD clearing facilitates management of counterparty risk over the life of 
the contract, which can span several years or more. The value of the derivative fluctuates 
with the price of the underlying of the contract.  

The opponents of open  access  (large  exchanges  federated in FESE) strongly  argue  that 
breaking  the  links  between  the  trading  venue  and  its  integrated  CCP  would  disrupt  the 
seamless operation of trading and clearing processes. Above all, they argue, open access 
would drive liquidity fragmentation which would negatively impact  the price discovery 
process.  It  is  stated  that  resulting  weakening  of  an  accurate  reference  price  could 
ultimately lead to serious financial stability risks. These risks would be compounded by 
the  pooling  of  open  interest  from  economically  equivalent  –  but  not  identical  –  ETD 
contracts  in  the  same  CCP  as  a  result  of  multiple  trading  venues  gaining  access  to  the 
CCP. 

ETDs  take  the  form  of  futures  (i.e.  a  contract  to  buy  or  sell  a  particular  financial 
instrument at the agreed price at a certain point in the future) and options (i.e. a contract 
that allows the holder the possibility to buy or sell a particular financial instrument at the 

98 

 
 
agreed price at a certain point in the future). ETDs, especially futures on government 
debts,  equity  indices  and  commodities,  reflect  the  market’s  expectations  of  future 
fluctuations of these underlying markets.  

ETDs  are  designed  and  put  on  the  market  by  exchanges.  The  most  salient  common 
feature  of  ETDs  is  their  standardisation  at  exchange  level.  This  is  because a 
derivatives  exchange  creates  a  contract that  is  specific  to  that  exchange  with  its  own 
rules,  and  that  contract  is  cleared  by  a  CCP  used  by  that  exchange.  Another  exchange 
may separately create an equivalent contract on the same underlying which will be traded 
under the rules of that exchange and cleared by another CCP used by the other exchange. 
Thus  derivative  contracts  with  the  same  underlying  may  be  priced  differently  and 
therefore  not  considered  as  the  same  contract.  However,  market  participants  can  use 
ETDs  from  different  exchanges  to  hedge  the  same  economic  risk  (e.g.  energy  or  other 
commodity  price  uncertainty).  On 
their 
standardization,  ETDs  are  inflexible  instruments  that  cannot  cater  to  more  custom 
exposure needs of market participants – which are normally serviced by OTC derivatives 
offered by dealers on alternative trading venues or bilaterally. The latter are customized 
to a varying degree. The fact that it takes time for an exchange to design and develop a 
standardized  (ETD)  contract  means  that  those  markets  take  longer  time  to  develop.  On 
the other hand, OTC markets are driven by  a rich universe of dealers which respond to 
bespoke customer needs and have large pricing  power because of the custom nature of 
contracts – which means that OTC derivatives markets tend to develop more quickly. 

the  other  hand,  precisely  because  of 

The opponents of open access also argue that open access provisions would not result in 
fair  competition  –  but  in  unfairly  forced,  artificial  competition  via  regulatory 
intervention. In this context, it must also be noted that no other jurisdiction in the world 
has decided to implement  open access provisions for ETDs. This  global  trend confirms 
the specific features of ETDs, and imposing open access in EU  could potentially affect 
the international competitiveness of Union infrastructures Existing provisions in MiFIR 
could potentially enable third country venues to offer trading of ETDs products based on 
EU benchmarks. 

As  already  explained  above  a  transparent  and  resilient  price  discovery  for  ETDs  is 
crucial  for  financial  markets  as  a  whole  given  that  ETD  markets  serve  as 
benchmark  for  a  broad  range  of  underlying  and  related  assets,  including  the 
relevant OTC derivatives associated with those assets. 

Equally,  within  the  EU,  open  access  would  allow  competing  EU-based  trading 
venues to replicate an ETD contract that the  listing exchange designed and put on 
the  market,  and  also  enable  those  trading  venues  to  have  the  replicated  contract 
cleared at the clearing house integrated with the exchange that designed the original 
contract. The regime is  therefore conducive to creating multiple  (albeit probably much 
smaller) liquidity pools, resulting in a fragmented trading landscape. 

99 

 
 
100 

 
 
 
 
 
ANNEX 5.4 ESMA’s recommendations for legislative L1 amendments 

ESMA performed  in-depth  analyses  of the MiFID/R framework primarily  focussing on 
the topics addressed in the review clauses in Article 90 MiFID and Article 52 MiFIR and 
published  review  reports  containing  recommendations  for  changes  in  the  legal 
framework.  These  review  reports  followed  public  consultations.  The  following 
recommendations  relate  to  market  structure  topics,  in  particular  the  current  complex 
transparency  regime.  They  are  often  of  a  very  detailed  and  specific  nature,  but  may  be 
pursued in the light of the evolution of a consolidated tape's establishment project with 
which they may have more or less direct interactions. In particular, the ones related to the 
equity  consolidated  tape  have  already  been  included  in  the  models  proposed  in  Option 
1.2 and 1.4. 

5.4.1 Cost of market data and the equity consolidated tape122  

Cost of market data 

Cost basis principle for the provision of market data: Trading venues in accordance with 
Article  13  of  MiFIR,  SIs  in  accordance  with  Articles  15  and  18  as  well  as  APAs  and 
CTPs  in  accordance  with  Articles  64  and  65  of  MiFID  II123  have  to  make  trading 
information public on a reasonable commercial basis (RCB principle). This notion is not 
defined in the L1, so ESMA proposes to indicate that the provision of market data should 
be carried out on the basis of costs as it is currently specified in L2 measures. 

Information on costs of production and dissemination of market data: ESMA suggests for 
trading  venues,  APAs,  SIs  and  CTPs  to  share  information  on  the  actual  costs  for 
producing and disseminating market data as well as on the margins with CAs and ESMA 
together, so as to enable supervisors to better understand the pricing of market data and 
assess whether it is provided on an RCB. 

Rules on access and formatting for TVs: The current framework provides that APAs and 
CTPs have to provide market data, real-time and delayed, allowing for fast access and in 
easily accessible and usable formats. There is no similar provision for trading venues so 
ESMA proposes to add such requirement in Article 13 of MiFIR. 

Mandate  on  L2  measures  specifying  the  content,  format  and  terminology  of  the  RCB 
information: ESMA considers that such an empowerment would allow to transform the 
supervisory  guidance  into  binding  Union  law,  thereby  further  strengthening  the 

122 mifid_ii_mifir_review_report_no_1_on_prices_for_market_data_and_the_equity_ct.pdf (europa.eu). 
123  Provision  moved  to  Articles  27(g)  and  27(h)  of  MiFIR  under  the  ESA  review,  applicable  from  1s 
January 2022. 

101 

 
 
                                                 
harmonised and consistent application of the RCB provisions applicable to TVs, APAs, 
CTPs and SIs. 

Equity consolidated tape 

High-level data quality: ESMA suggests that in the context of the setting-up of an equity 
tape  the  L1  is  amended  to  ensure  data  quality,  this  being  accompanied  by  L2  and 
supervisory guidance.   

Mandatory  contribution  to  the  CT:  ESMA  considers  that  trading  venues  and  APAs 
should  provide  post-trade  data  to  the  CT  free  of  charge.  ESMA  considers  that  this  is  a 
key  factor  for  the  successful  establishment  of  a  CT  that  would  need  L1  change 
accompanied by L2 measures further specifying the revenue formula. 

Revenue  sharing  with  contributing  entities  to  the  CT:  ESMA  suggests  that  the  CTP 
charges  for  its  data  on  an  RCB  and  shares  part  or  all  of  its  revenues  with  contributing 
entities on basis of an allocation key that rewards price forming trades. 

Contribution  of  users  to  the  funding  of  the  CT,  through  for  instance  mandatory 
consumption:  ESMA  thinks  that  mandatory  consumption  of  the  tape  would  make  the 
successful  establishment  of  a  CT  more  likely,  and  suggests  that  if  such  a  model  is 
chosen, a proportionate fee key is developed to reflect that not all firms will use the CT 
in the same manner and to the same extent. 

Full coverage by the CT: ESMA considers that the CT should consolidate 100% of the 
transactions across all equity and equity-like instruments and that this should be included 
in L1, with however, under clearly specified conditions, limited exceptions. 

Operation of the CT on an exclusive basis: ESMA is of the view that a single tape would 
provide  the  most  cost-efficient  solution  but  that,  in  the  meantime,  in  order  to  limit  the 
market power of such a CT, competition should be a major driver for the appointment of 
the CT. Hence, ESMA recommends that a CT is appointed for a period of 5-7 years and 
to structure the appointment process in a fully-competitive manner. 

Strong  governance  framework:  ESMA  considers  that  the  CTP  should  be  framed  by  a 
strong  governance  framework  established  at  L1  that  should  ensure,  in  particular,  the 
neutrality  of  the  CTP,  a  high  level  of  transparency  and  accountability  and  include 
provisions ensuring the continuity of service. 

5.4.2 Equity (e.g. shares and ETFs) transparency requirements for trading venues124 

124 Esma70-156-2682_mifidii_mifir_report_on_transparency_equity_dvc_tos.pdf (europa.eu). 

102 

 
 
                                                 
Liquidity  determination  Article  2(1)(17)(b)  MiFIR:  Application  of  certain  MiFIR 
provisions,  such  the  negotiated  trade  waiver  in  Article  4(1)(b)(ii),  the  DVC  in  Article 
5(1)(b)  and  the  requirement  for  systematic  internalisers  to  make  public  firm  quotes  in 
Article 14(1) depend on whether or not an equity instrument is considered liquid. ESMA 
recommends  to  determine  liquidity  based  on  only  the  average  daily  number  of 
transactions and the average daily turnover and no longer also on the free float and on the 
requirement that instrument need to be traded daily. 

RPW  Article  4  MiFIR:  Trading  venues  that  match  orders  based  on  a  price  that  is  the 
midpoint  of  the  bid-offer  spread  on  the  primary  market  may  waive  the  pre-trade 
transparency requirements. Currently there is no order size threshold connected to the use 
of this waiver. ESMA recommends to exclude small orders from the use of this waiver.  

List of non-price forming transaction Article 4 MiFIR: Currently there are three L2 lists 
defining  non-price  forming  transactions  based  on  different  delegating  provisions  in 
MiFIR (Articles 4(1)(b), 20 and 23). Non-price forming transactions are transactions that 
do not contribute to price formation. This can for example be the case when a transaction 
results  in  the  delivery  of  a  share  in  the  context  of  the  exercise  of  an  option.  ESMA 
recommends  to  clarify  that  trading  models  that  execute  non-price  forming  transaction 
should only be operated under a waiver and to include a delegation for ESMA to define 
what constitutes a non-price forming transaction.   

Simplify  the  DVC  Article  5  MiFIR:  The  use  of  the  RPW  in  Article  4(1)(a)  and  of  the 
negotiated trade waiver in Article 4(1)(b)(i) MiFIR are capped at  4% of total on-venue 
trading in the Union on a specific venue and at 8% of total on-venue trading in the Union 
on all venues. ESMA recommends to limit capping to the EU wide cap and to decrease 
the threshold from 8% to 7%. ESMA furthermore recommends to include infringement 
of the cap in the sanctions list in Article 70 MiFID. 

Based on Article 5(4) MiFIR ESMA shall publish within five working days of each new 
calendar  month  the  total  volume  of  Union  trading  per  financial  instrument  carried  out 
under one of the two waivers in the last 12 calendar months. In case the report identifies 
that  the  caps  are  almost  reached  ESMA  shall  publish  an  additional  report  within  five 
working  days  after the  middle of the month. ESMA recommends  to  increase the 5 day 
period to a 7 day period and to abolish the requirement to publish the mid-month report. 

5.4.3 Non-equity (e.g. bonds and derivatives) transparency for trading venues125 

Liquidity  determination  for  bonds  Article  2(17)(a)  MiFIR:  Non-equity  instruments 
(including  bonds)  are  considered  ‘liquid’  based  on  the  average  frequency  and  size  of 

125Esma70-156-3329_mifid_ii_mifir_review_report_on_the_transparency_regime_for_non-
equity_instruments.pdf (europa.eu). 

103 

 
 
                                                 
transactions, the number and type of market participants and the average size of spread. 
With  regard  to  illiquid  instruments  less  stringent  transparency  requirements  apply  (e.g. 
because  waivers  and  deferrals  become  available).  Currently  a  very  small  percentage  of 
bonds  are  considered  liquid  and  transparent.  ESMA  suggests  to  no  longer  rely  on  the 
liquidity requirement to determine transparency for bonds, but only on the large in scale 
requirement.  

Standardize pre-trade transparency information Article 8 MiFIR: Venues are required to 
make public current bid and offer prices and the depth of trading interests at those prices 
for  non-equity  instruments  traded  on  their  systems.  This  information  should  be  made 
available  to  the  public  on  reasonable  commercial  basis  and  free  of  charge  after  15 
minutes. ESMA recommends to introduce a delegation for an RTS in order to harmonize 
the content and format of pre-trade transparency.  

Delete SSTI waiver and  deferral  Art  9(1), 11(1)  MiFIR: Requests for quote (RFQ) and 
voice trading orders (pre-trade) or, regardless of the trading protocol, transactions (post-
trade), that are above the size specific to the instrument may receive a waiver or deferral 
from  transparency  to  prevent  liquidity  providers  from  undue  risk,  taking  into  account 
whether  market  participants  are  retail  or  wholesale  investors.  ESMA  suggests  to  delete 
this  waiver  and  deferral  and  compensate  this  by  lowering  the  large  in  scale  (LIS) 
threshold.  

Simplify deferral regime Article 11 MiFIR: Transactions that are large in scale, illiquid 
or above a size specific to the instrument and expose liquidity providers to undue risk are 
eligible for deferred publication of post-trade information for two days. This duration can 
be  prolonged  by  national  competent  authorities  up  to  four  weeks  or  indefinitely  with 
regard  to  transactions  in  sovereign  debt,  in  which  case  only  limited  details,  aggregated 
transaction data need to be published or volume masking is allowed. ESMA suggests to 
replace this regime by only allowing deferred publication in case of transactions that are 
large in scale or relate to illiquid instruments and only with regard to the volume of the 
transaction.  

Introduce possibility for EU wide transparency suspension Article 9(4), 11(2) and 21(4) 
MiFIR:  When  liquidity  falls  below  a  threshold  NCAs  may  suspend  transparency 
requirements.  ESMA  suggests  to  replace  this  provision  with  an  ESMA  mandate  to 
suspend transparency in a specific instrument.  

5.4.4. Transparency for systematic internalisers126  

126 Esma70-156-2756_mifidii_mifir_report_on_systematic_internalisers.pdf (europa.eu). 

104 

 
 
                                                 
Minimum  quoting  size  for  transactions  in  equities  Article  14(3)  MiFIR:127  Systematic 
internalisers  are  required  to  continuously  provide  and  publish  quotes  on  both  sides  in 
respect  of  the  equity  instruments  (e.g.  shares  and  ETFs)  for  which  they  are  registered. 
They are required to be continuously present on the public book for in total (all the bids 
and  offers  combined)  at  least  10%  of  the  standard  market  size.  ESMA  recommends  to 
require systematic internalisers to be continuously present on the public book for in total 
at least 100% of standard market size.  

Delete requirement to make firm quotes in respect of non-equities available to any client 
Article  18(2),(3),(5-7)  MiFIR:  Systematic  internalisers  are  required  to  publish  firm 
quotes in respect of non-equity (e.g. bonds and derivatives) if they are asked to provide a 
quote by a client and if they have agreed to do so. Systematic internalisers must enter into 
transactions with any other client that wants to do so unless the quote is for a price higher 
than the so called ‘size specific to the instrument’. Currently systematic internalisers may 
only withdraw these quotes under exceptional market conditions. ESMA recommends to 
delete the requirement that the quotes provided to one client should also be accessible to 
other  clients  and  the  requirement  that  only  exceptional  market  conditions  justify 
withdrawing published quotes. With regard to illiquid instruments SIs should not need to 
provide quotes on request.  

Replacing  the  ‘traded  on  a  trading  venue’  (ToTV)  requirement  for  transactions  in 
derivatives  Article  18(1)  and  21(1):128  Systematic  internalisers  are  required  to  make 
public  firm  quotes  (pre-trade)  and  price  and  volume  of  transactions  (post-trade)  in 
financial  instruments  for  which  they  are  systematic  internaliser  that  are  traded  on  a 
trading  venue.  With  regard  to  derivatives  ESMA  clarified  that  an  OTC  derivative  is 
considered to be traded on a trading venue if it shares the same reference data details as a 
derivative  that  is  actually  traded  on  a  trading  venue.  This  means  that  the  mandatory 
instrument data fields as required by table 3 in the Annex of RTS 23129, except the fields 
relating to the venue, need to match. ESMA recommends to replace this requirement with 
the  requirement  to  publish  pre-trade  and  post-trade  data  relating  to  transactions  in  the 
(class  of)  derivatives  for  which  the  investment  firm  is  a  systematic  internaliser  and 
derivatives in the same sub-asset class.  

127  This  recommendation  can  be  found  in  ESMAs  report  on  equity  transparency  as  referred  to  in  Annex 
5.4.1. 
128  This  recommendation  can  be  found  in  ESMA’s  report  on  transaction  and  reference  data  reporting: 
Esma74-362-1013_final_report_mifir_review_-_data_reporting.pdf (europa.eu). 
129 Commission delegated regulation (EU) 2017/585 of 14 July 2016 supplementing  Regulation (EU) No 
600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for 
the data standards and formats for financial instrument reference data and technical measures in relation to 
arrangements to be made by the European Securities and Markets Authority and competent authorities. 

105 

 
 
                                                 
Replacing  the  SSTI  threshold  for  LIS  threshold  Art  18(10):  Systematic  internalisers  do 
not  need  to  apply  transparency  requirements  when  they  deal  in  sizes  above  the  size 
specific  to  the  instrument  (SSTI).  In  line  with  the  adaption  of  references  to  the  SSTI 
threshold  in  other  provisions,  ESMA  suggests  to  replace  the  SSTI  threshold  with  a 
recalibrated LIS threshold.  

5.4.5. Multilateral systems130 

Move Article 1(7) MiFID II to MiFIR: Article 4(1)(19) defines a multilateral system as a 
system  in  which  multiple  third-party  buying  and  selling  trading  interests  in  financial 
instruments  are  able  to  interact  in  the  system.  The  operator  of  a  multilateral  system  is 
based on 1(7) MiFID II required to operate in line with the requirements for MTFs, OTFs 
or regulated markets. ESMA suggests to move Article 1(7) MiFID to MiFIR.  

Clarify  non-multilateral  status  of  bulletin  boards  Article  4(1)(tbd):  Bulletin  boards  are 
systems that display multiple prices and volumes and contact details. ESMA suggests to 
clarify  that  such  systems  are  not  considered  multilateral  systems  because  there  is  no 
interaction taking place on the system.  

Clarify prohibition to deal on own account for operators of MTFs and RMs Article 19(5) 
and 47(2) MiFID: Operators of MTFs and RMs are currently not allowed to deal on own 
account with clients or to engage in matched principle trading (unlike operators of OTFs 
in  some  cases).  ESMA  proposes  to  clarify  that  this  only  applies  to  the  MTF/RM 
activities. 

130 Esma70-156-4225_mifid_ii_final_report_on_functioning_of_otf.pdf (europa.eu). 

106 

 
 
 
 
 
                                                 
ANNEX 5.5 Governance Framework of a future consolidated tape 

The governance framework will be a very important element for the correct functioning 
of the consolidated tape provider. This has not only been acknowledged by ESMA in its 
MiFID  II  review  report  no.  1131  and  by  the  Market  Structure  Partners  study132  but  also 
systematically in any consultation with stakeholders (workshop, public consultation and 
numerous bilateral meetings).   

Through  numerous  bilateral  meetings,  FISMA  services  have  come  to  understand  that 
there  are  several  entities  that  have  expressed  interest  and  willingness  with  running  the 
technical  side  of  the  operation.  These  entities  already  perform  highly  complicated  and 
large scale operations for their clients and state that the IT aspect of consolidated tape is 
manageable. The technical side entails aspects such as the connections with contributors 
and users, the collection of the market data, the consolidation of the market data and the 
distribution of the market data (in the following called technical aspects). 

There is a unanimous view by those technical entities that they do not have the expertise 
nor the willingness  to  ensure the client  facing  activities.  Importantly, technology  alone 
cannot deliver the consolidated market data. The gap between the market requirements, 
challenges  and  the  technology  available  has  to  be  bridged  by  a  single,  organisational 
layer;  the  CT  entity.  The  activities  of  such  a  CT  entity  include  policing  that  the 
contributors use this standard; billing the users of the consolidated market data; checking 
if all users use the consolidated market data for the right ends; setting the remuneration 
key for the contributors; ensuring that each contributor receives the correct remuneration; 
and  could  include  the  data  standard  to  which  the  contributors  have  to  adhere;  (in  the 
following called governance aspects).133 As the CT entity would set certain standards, it 
seems  appropriate  to  have  a  single  CT  entity  for  each  asset  class  (equity,  bonds, 
derivatives). However, there could be several technical entities that would compete with 
each  other  or  focus  on  a  particular  niche  of  the  market.  The  CT  entity  would  have  to 
ensure  that  the  certain  users  such  as  retail  investors  and  certain  data  uses  such  as  best 
execution are certainly catered for. 

For the purpose of the EU consolidated tape provider (CTP), the governance framework 
should address the neutrality of the CTP by making sure that mechanisms are in place to 

131 ESMA70-156-1606 
132https://op.europa.eu/en/publication-detail/-/publication/82763219-1cbe-11eb-b57e-
01aa75ed71a1/language-en/format-PDF/source-169654830 
133 This bifurcation between ‘technical’ and ‘governance’ aspects is also how the consolidated tapes are run 
in the US. The governance aspects of the consolidate tape  are respectively run by a ‘Plan’ for the equity 
consolidated tapes. These ‘Plans’ have respectively service level agreements (SLA) with entities who are 
responsible for the technical aspects. The importance of the governance framework is shown by the Final 
Rule by the US Securities and Exchange Commission (SEC) (Release No. 34-90610, File No. S7-03-20) 
where the Plans have been required to come up with a modernised governance structure. 

107 

 
 
                                                 
manage conflicts of interest if they were to arise. Otherwise the CTP would only work in 
the interest of a subset of stakeholders. The conflicts of interest would be best managed if 
there is a high level of transparency, in particular around the decision-making process of 
the  CTP  and  disclosure  of  relevant  information  to  the  public.  Another  element  to 
properly address conflicts of interest would be close involvement of contributing entities 
as well as users. Such an involvement would ensure that the views of different types of 
market participants are taken into consideration. In order to ensure that the operation of 
the  consolidated  tape  is  not  stifled  by  a  deadlock  between  the  opposing  views  of  the 
different  stakeholders,  there  would  have  to  an  important  role  for  a  chair  or  arbitrage 
body. An example of a broad representation of the industry is the consultative working 
group  of  the  secondary  markets  standing  committee.134  The  term  of  reference  of  this 
consultative working group have been approved by the Board of Supervisors of ESMA 
and are renewed every two years.135 Another example is the euro Risk-Free Rate working 
group, an industry group established by the public sector to accompany the transition of 
interest rates in the euro area chaired by a representative from the private sector 136. Firms 
are granted membership only at the invitation of the establishing public institutions and 
were  selected  ensuring  broad  geographical  coverage  of  the  euro  area.  Individual 
representatives  are  appointed  by  member  institutions  as  senior  officials  with  relevant 
expertise. Certain relevant industry associations (e.g. ISDA, AFME, ICMA) or relevant 
institutions (i.e. European Investment Bank) have been invited to participate as nonvoting 
members.  Representatives  from  the  public  institutions  participate  as  observers  and  the 
ECB provides Secretariat to the group.  

Finally, there should be a high level of accountability of the CTP and provisions ensuring 
the  continuity  of  service  provision  in  case  of  a  change  of  the  entity  operating  the  CT. 
How  the  CT  entity  would  be  set  up  will  also  have  an  impact  on  the  governance 
framework. It appears that a joint venture would be needed as no market participant has 
expressed  interest  in  setting  up  a  CTP  on  its  own.137  However,  to  the  extent  that  all 

134  https://www.esma.europa.eu/about-esma/working-methods/standing-committees-and-other-bodies#title-
paragrah-14 
135 https://www.esma.europa.eu/system/files_force/library/esma70-154-555_smsc_tor.pdf?download=1 
136  Notably  the  euro  Risk-Free  Rate  Woking  Group  was  jointly  established  in  2017  by  the  European 
Commission, the ECB, ESMA and the Belgian securities market authority (FSMA as the national authority 
competent  for  the  supervision  of  the  administrator  of  the  most  widely  used  interest  rate  benchmarks  for 
financial contracts denominated in euro: the Euro Interbank Offered Rate (Euribor) and the Euro Overnight 
Index  Average 
(EONIA).  https://www.ecb.europa.eu/paym/interest_rate_benchmarks/WG_euro_risk-
free_rates/shared/pdf/2017_11_29_terms_of_reference.pdf.   
137  The  possibility  of  a  public  entity  as  CT  entity  has  been  widely  rejected  by  the  industry.  Market 
participants are of the opinion that an industry led initiative  would be  more efficient and more  effective. 
Few  stakeholders  did  suggest  that  ESMA  should  take  up  the  role  of  the  CT  entity,  however  this  would 
mean that ESMA would no longer be able to supervise the CT entity. An example of a public entity is  the 
European Datawarehouse. This entity has banks as shareholders who also funded the setup of the entity as 
the  European  Central  Bank  (ECB)  required  an  entity  to  provide  reliable  data  for  the  ABS  market. 

108 

 
 
                                                 
 
founding  members  are  from  the  same  type  of  industry,  be  is  sell  side,  buy  side  or 
exchanges,  the  conflict  of  interest  would  emerge  as  has  been  evidenced  from  the  US 
experience and the need for correction afterwards. Therefore, any endeavour would have 
to  provide  comfort  to  the  regulator  that  their  organisation  is  independent  from  the 
founding entities. This would not only be in terms of resources but also in terms of staff.  

Otherwise the ECB could not provide funding to those banks in this market. This kind of incentive has not 
been identified for the project at hand. 

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ANNEX 5.6 Data consolidation in other jurisdictions 

5.6.1. The US equity tape 

The first prototype of a consolidated tape dates back to 1975 in the United States when, 
due to the proliferation of regional exchanges with the same stock sometimes trading at 
different prices across various trading venues138, there was growing concern in Congress 
and in the Securities Exchange Commission (“SEC”, US market regulator) about the lack 
of  efficiencies  and  competition  in  the  markets,  particularly  regarding  whether  investors 
were  getting  the  best  price  to  transact  at.  Through  an  amendment  to  the  Securities 
Exchange Act139 , Congress directed the SEC to facilitate the establishment of a “national 
market  system”  (NMS)  to  link  together  the  multiple  individual  markets  that  trade 
securities.140  

There are three aggregators responsible for different data sets, i.e. they do not compete 
to aggregate the same data. The management of the consolidated tape, also known as the 
“SIP”  (Securities  Information  Processor)141,  is  overseen  by  the  Consolidated  Tape 
Association  (“CTA”).  The  Consolidated  Tape  Association  (CTA)  sits  underneath  the 
SEC and oversees the dissemination of real-time trade and quote information. The CTA 
runs  Plans  that  govern  the  collection,  processing  and  dissemination  of  trade  and  quote 
data. Two Plans exist for listed securities data, the Consolidated Tape System (CTS) Plan 
and the Consolidated Quote System (CQS) Plan. There is also a third Plan for Unlisted 
Trading Privileges (UTP). The CTA is run by representatives from the exchanges and the 
Financial  Industry  Regulatory  Authority  (FINRA),  a  self-regulated  organisation,  which 
is  owned  and  funded  by  dealers.142  FINRA  aggregates  and  cleans  off-venue  post-trade 
data.  FINRA  acts  as  the  single  technical  consolidator  of  the  on-  and  off-venue  data. 
FINRA also  undertakes  cross-market  surveillance of transactions  for the  whole market. 

138 In the US there are currently 17 exchanges, 32 alternative trading systems (ATSs) and numerous dealers 
reporting trades. A full description of the US equity data consolidation is given in Appendix 7, 8 and 9 of 
the MSP study. 
139 Section 11A. 
140 In 2005 the SEC adopted the Regulation National Market System (Reg NMS) requiring self-regulated 
organisations (SROs) and now FINRA (formed from NASD and NYSE Member Regulation), to provide 
certain  quotation  and  transaction  data  for  each  NMS  stock  to  so-called  securities  information  processors 
(SIPs) who are responsible for the “dissemination of consolidated information” of “core data”. 
141 The purpose of the SIP is to aggregate the best bid and offer quotes and trades for all US exchanges and 
to create a  universal public feed. It is also relied  upon  for certain regulatory information such as trading 
halts  and  short  sale  restrictions.  As  a  result  of  the  legislative  changes  in  1975,  the  market  has  been 
organised into a number of plans and tapes that organise, aggregate, publish and govern the collection and 
dissemination of data. 
142  Nasdaq  and  NYSE,  the  most  historically  prominent  commercial  stock  exchanges,  were  originally 
appointed to run the technical aggregation of different sets of listed securities pre and post-trade data from 
across  the  TVs  into  one  official  set  of  data  for  each  underlying  instrument  and  continue  to  do  so  today, 
although this could be changed by the CTA. 

110 

 
 
                                                 
Use of the tape is  mandated for best  execution and for display to  retail  investors at  the 
point of trade.  

FINRA requires member firms to report one side of over-the-counter (OTC) transactions 
in NMS securities to a trade reporting facility (“TRF”) for FINRA regulatory compliance 
and  data  dissemination.  Specifically,  members  must  submit  trade  reports  as  soon  as 
practicable,  but  no  later  than  10  seconds,  following  the  trade  execution  during  market 
hours. Participants have the option to report to a number of TRFs. 

Core data for each NMS security consists of three components (it is then different from 
the ‘core data’ notion used in the body of this impact assessment which is close to the 1) 
of the below list, while 2) and 3) corresponds to pre-trade information): 

1)  last  sale  reports,  which  include  the  price  at  which  the  latest  sale  of  the  security 
occurred, the size of the sale and the exchange where the execution took place; 
2)  the current highest bid and lowest offer for the security, along with the number of 

share available at those prices, at each exchange; and 

3)  the  “national  best  bid  and  offer”,  or  NBBO,  which  is  the  highest  bid  and  lowest 
offer currently available on a US exchange and the exchange(s) where those prices 
are available. 

All  other  data  distributed  by  exchanges  is  considered  “non-core  data.”  Exchanges  are 
currently  not  required  to  make  non-core  data  available  for  consolidation  and  are 
permitted to sell directly to participants for a fee. 

Operational Framework 

From  an  operating  perspective,  three  separate  networks  or  tapes  currently  collect, 
consolidate and disseminate SIP Data: Tape A, Tape B and Tape C.  

-  Tape A is comprised of NYSE listed securities.  
-  Tape  B  is  primarily  all  corporate  stocks  and  ETFs  listed  outside  of  NYSE  and 

Nasdaq.  

-  Tape C consists of Nasdaq-listed stocks.  

The  aggregation  of  the  data  on  behalf  of  the  plans  is  managed  by  two  exchanges/self-
regulated  organisations  (SROs):  (i)  NYSE  (now  owned  by  Intercontinental  Exchange, 
ICE) which operates Tape A and Tape B and (ii) Nasdaq which operates Tape C. 

Costs and revenues model 

In US exchanges are mandated to send data to a tape in return for a share of the revenue 
generated  by  that  tape  on  the  basis  of  a  revenue  allocation  model  which  encourages 

111 

 
 
certain types of liquidity and discourage certain  behaviours143. The market  data income 
from  the  US  Consolidated  Tape  is  allocated  amongst  CTA  and  UTP  plan  participants 
based on a two-step process: 

a)  Determine revenue attributable to each eligible security; termed “Security Income 

Allocation” (SIA) 

b)  Determine participant’s share of revenue in an eligible security based on “Trading 
Share”  and  “Quoting  Share”.  Quoting  share  actually  refers  to  the  firm  orders 
being shown in the order book. 

Review of the US Tape  

Market structure in the US has changed substantially since 2005 which has compelled, in 
January 2020, the SEC to propose the review certain elements of the consolidated tape 
framework.  In  particular,  it  was  recommended  that  the  exchanges  and  FINRA  work 
together to come up with a single tape plan and governing body: the “New Consolidated 
Plan”.  The  proposal  aims  to  re-structure  the  governance  framework  by  reducing  the 
influence of exchange groups by capping their voting rights and by giving non-exchange 
entities one-third of the vote. 

It  suggested  amending  the  method  by  which  ’consolidated  market  data’  is  collected, 
calculated and disseminated by introducing a  decentralized consolidation model. This 
would  have  competing  consolidators  replace  the  exclusive  securities  information 
processors.  The  model  would  in  effect  replace  the  ’exclusive  SIP’  model  with  a 
competing  ’decentralized  model’.  It  would  require  each  self-regulatory  organization, 
like FINRA and the exchanges, to make available its NMS data in the same manner and 
using the same methods needed to generate NMS market data to two new categories of 
entities:  (1)  competing  consolidators  responsible  for  collecting,  consolidating  and 
disseminating consolidated market data to the public; and (2) self-aggregators, brokers or 
dealers that elect to collect and consolidate market data solely for internal use. 

At the time of finalising this report, these new SEC rules, adopted by the end of 2020 by 
the US regulator, were subject to legal challenges and their application is still uncertain. 

5.6.2. The US bond tape 

In  the  US,  there  is  no  bond  trading  on  registered  exchanges,  all  trading  is  over-the-
counter  (OTC).  As  a  result,  historically  there  was  little  to  no  transparency  in  the  bond 
market. From the early 1990s, the US bond market had a program known as the “Fixed 
Income  Pricing  System”  (FIPS)  but  around  the  year  2000  the  SEC  wanted  to  bring 

143 A9 / US equity market data revenue allocation model is described in further detail in Appendix 9 of the 
MSP study. 

112 

 
 
                                                 
greater transparency to the market and created new rules.144 In 2002 FINRA created the 
Trade  Reporting  and  Compliance  Engine  (TRACE)  with  TRACE  Rules  requiring 
virtually  all  transaction  information  in  TRACE-eligible  securities  to  be  reported  to 
FINRA.  TRACE  manages  reporting  of  over-the-counter  (OTC)  transactions.  Brokers, 
who are FINRA members and deal with specific fixed-income securities, are required to 
report their transactions by the Securities and Exchange Commission (SEC) rules. Some 
of this data is then disseminated publicly.145  

To  promote  transparency  without  negatively  impacting  liquidity,  FINRA  adopted  a 
measured  approach  and  phased-in  the  reporting  time  and  public  dissemination 
requirements over several years to ensure there was minimal impact on reporting firms. 
This  also  allowed  FINRA  to  study  the  impact  of  transparency  on  market  liquidity.  At 
launch,  approximately  520  securities  were  publicly  disseminated  via  TRACE.  This 
included primarily investment-grade debt securities having an initial issue of $1 billion or 
greater,  but  it  also  included  50  noninvestment-grade  (high-yield)  securities  that  had 
previously been disseminated under NASD’s FIPS2 system. 

There  is  no  revenue  sharing  model  agreement  in  North  American  bond  markets  where 
CLOB markets do not exist and participants pay to report trades without taking a share in 
any revenue. 

5.6.3 The Canada equity tape  

In  Canada,  there  are  currently  6  exchange  groups  and  5  alternative  trading  systems 
(ATSs).  Each  trading  venue  acts  as  the  aggregator  of  its  own  data.  The  legislation 
provides for the existence of consolidators, known as Information Processors (IP). They 
must  satisfy  certain  criteria  and  be  approved  by  the  regulator.  In  2007  the  Canadian 
Supervisory  Authority  (CSA)  conducted  a  procurement  process  for  an  information 
processor (data consolidator) for the entire market. The Toronto Stock Exchange (TSX) 
was  designated  in  2009  subsequently  selected  as  the  IP  (TSX  is  a  subsidiary  of  TMX 
Group  and  operates  TMX  IP),  and  its  term  was  recently  extended  to  June  2022.  The 
TMX IP acts as the sole consolidator of market data for exchange-traded instruments in 
equities  it  consolidates  of  pre-  and  post-trade  data.  However,  the  use  of  its  data  by  the 
market for best execution or other purposes is not mandated through regulation and this 
IP  does  not  mandate  technical  standards.  Although  the  legislation  does  allow  for  more 
than one IP, there is little incentive for competition due to the cost/benefit of operating it 
and there is no public benefit justification for operating more than one.  

144 All firms dealing in securities that are not regulated by another SRO (including equity exchanges), are 
required  to  be  member  firms  of  FINRA.  FINRA  is  the  modern  evolution  of  the  original  SROs  in  US 
markets,  the  National  Association  of  Securities  Dealers  (NASD)  and  the  member  regulation  and 
enforcement operations of NYSE. In July 2007, the SEC approved the formation of the new SRO, FINRA. 
145 A full description of the US bond data consolidation is given in Appendix 11 of the MSP study. 

113 

 
 
                                                 
TMX IP offers six types of consolidated feeds. The Consolidated Data Feed is the most 
popular  feed  because  it  runs  on  a  common  protocol  and  users  save  money  on 
connectivity  and  programming  costs.  The  law  requires  timely,  reliable  and  accurate 
publication  of  information  but  it  does  not  mandate  or  provide  any  guidance  on  fees 
charged  to  the  users  of  the  data,  other  than  that  the  IP  must  disclose  all  fees  that  they 
charge  for  consolidated  data  on  its  website.  User  fees  for  the  IP  are  set  through 
negotiation between the IP and the CSA. 

Feed  

Consolidated Data Feed (CDF) 
Canadian  Best  Bid  and  Offer  for  Protected  Markets 
Only 
Canadian Best Bid and Offer 
Consolidated Last Sale 
Consolidated Depth of Book for Protect Markets Only 
Consolidated Depth of Book 

TMX  IP  Distribution  Charge 
Per User 
$ 200 
$ 500 

$ 500 
$ 500 
$ 750 
$ 750 

The  TMX  IP  operates  a  pass-through  model  when  it  comes  to  market  data  fees, 
meaning that in addition to the TMX IP distribution fee, the market data fees (for Level 1 
and  Level  2,  as  applicable)  and  the  costs  of  data  policies  (including  access  fees  of  the 
contributing marketplaces) are passed through to the client. This system is perceived as 
very burdensome for retail which are reported not to subscribe to the tape. 

The Investment Industry Regulatory Organisation of Canada (IIROC), which is a dealer-
funded,  self-regulated  entity,  undertakes  cross-market  surveillance  for  the  whole 
market.146  

5.6.4 Canada bond tape 

IIROC was designated by the CSA to be the information processor for corporate debt in 
July  2016  and  has  been  providing  transparency  to  the  public  regarding  all  trades  in 
corporate debt securities 147 then extended to government bonds. Unlike equities, there is 
only one post-trade data feed for corporate bonds (The TMX IP has 6 feed options) and it 
is available free of charge. The public can access a public website and search online data 
relating to corporate debt securities two days after a trade occurs (T+2). Users can look 
up summary and transaction-level data by issuer name or by CUSIP/ISIN number. 

146 A full description of Canadian equity data consolidation is given in Appendix 10 of the MSP study. 
147 A full description of Canadian bond data consolidation is given in Appendix 12 of the MSP study. 

114 

 
 
 
                                                 
While,  in  equities,  post-trade  data  must  be  submitted  in  real-time  and  the  onus  for 
sending post-trade data is on marketplaces, for bonds, dealers are also required to submit 
trade information at the end of the day. 

Costs and revenues  

IIROC operates on a cost recovery basis so although access to data is free of charge, the 
cost to operate the IP is ultimately paid by dealer member firms. IIROC developed a fee 
model  where  the  operating  cost  is  shared  among  the  dealers  based  on  the  contributing 
dealer member’s proportion of publicly reported debt transactions. 

The  debt  operating  expense  for  the  year  ending  March  31,  2019  was  $458,000,  down 
from $570,000 the year before. The cost to build the IP was approximately $2.5million 
and  is  amortized  at  $461,000  per  year  over  5  years.  Overall  market  debt  regulation 
operating expenses accounted for approximately $2.5 million of the 2019 budget. 

115