Transparency calculations: MiFID

An updated list of all the shares admitted to trading on a regulated market where the UK is the most relevant market in terms of liquidity, and the associated 2015 transparency calculations.

After we send this list to the European Securities and Markets Authority (ESMA), they add it to their consolidated database of all shares admitted to trading on an EEA regulated market (RM) - this is the ESMA MiFID database.

This underpins the MiFID transparency regime and enables investment firms to identify:

  • shares deemed to be liquid under the criteria laid out in Article 22 of the Commission Regulation (EC) No 1287/2006
  • the liquidity band into which a share falls for determining
  • whether an order in that share is large in scale compared to normal market size (Table 2 of Annex II of the Commission Regulation) for purposes of the waiver from pre-trade transparency
  • the minimum qualifying size of transaction for the purposes of deferred post-trade publication (Table 4 of Annex II of the Commission Regulation)

Find out more on the ESMA website

Calculating and maintaining the ESMA database

Relevant market: Articles 9 and 10 of the Commission Regulation outline the process for determining the most relevant market for a share.

Liquid shares: Article 22 of the Commission Regulation outlines how to determine whether a share admitted to trading on an RM shall be considered liquid (for the purposes of systematic internaliser quote obligations).

The UK has opted to specify that both the liquidity criteria stated in the Commission Regulation need to be met.

Calculations and estimates: Articles 33 and 34 of the Commission Regulation outline the obligations, the calculation method and the publication requirements for the MiFID transparency calculations.

Trading data: The trading data for each share admitted to trading on a UK RM is being sourced from the operator of each UK RM that is the most relevant market in terms of liquidity for that share.

Exchange rate: ESMA’s consolidated list is published in Euros. To meet this requirement, we have converted our Sterling-denominated MiFID transparency calculations data into Euros using a fixed Euro/Sterling exchange rate of 1.378210 throughout.

This exchange rate is the average of the Bank of England's 4pm daily spot rate over the calculation period (1 January 2015 – 31 December 2015).

The current values for Euro/Sterling exchange rate (calculation period: 1 January 2015 – 31 December 2015) are shown in the table below along with previous exchange rates used on the ESMA database. We have included them for the purpose of past calculations.

Period where exchange rates are valid on the ESMA database Euro: Sterling exchange rate Sterling: Euro exchange rate
1 Apr 2016 – 31 Mar 2017 1.378210 0.725579
1 Apr 2015 – 31 Mar 2016 1.240499 0.806127
1 Apr 2014 - 31 Mar 2015 1.177623 0.849340
1 Apr 2013 - 31 Mar 2014 1.233120 0.810951
1 Apr 2012 – 31 Mar 2013 1.152673 0.867549
1 Apr 2011 – 31 Mar 2012 1.166443 0.857307
1 Apr 2010 - 31 Mar 2011 1.123324 0.890215
1 Apr 2009 – 31 Mar 2010 1.258755 0.794436
1 Apr 2008 – 31 Mar 2009 1.4619 0.6840
1 Nov 2007 – 31 Mar 2008 1.4760 0.6775

Free float information: the free float banding has been based on data sourced from FTSE International Limited.

Maintenance: We have established a process with the RMs that enables us to update the ESMA MiFID database each day for any admissions or cancellations of shares admitted to trading on an RM for which the UK is the most relevant market.

We will also review the calculations from time to time for any significant and permanent changes in relation to a share or the issuer that significantly affects the previous calculations and recalculate them as necessary.

Further information

For more information on the MiFID transparency calculations, please contact MiFID_calculation@fca.org.uk.