Monitoring the quality of transaction reports received under Article 26 of MiFIR

This press release provides an update on transaction reporting obligations for credit institutions and investment firms under Article 26 of Regulation (EU) No 600/2014 (‘MiFIR’). In particular, it informs on the current number of reporting entities in scope as well as the number of reports received by the CSSF and provides an overview on the initiatives taken by the CSSF to further enhance data quality since its previous communication in this regard (‘Press Release 23/06’). The CSSF also shares key observations and recommendations regarding the overall quality of transaction reports submitted by supervised entities. As transaction reports serve purposes extending well beyond market abuse detection, including their recent use in calculating trading volumes under the Single Volume Cap Mechanism, the CSSF underscores the critical importance of accurate and reliable data. Finally, this press release provides an update on the ongoing evolution of the legal framework following the MiFIR Review (Regulation (EU) 2024/791) including ESMA’s decision not to propose any changes to the related reporting frameworks in MiFIR (transaction reporting, reference data and order book data) but to launch a call for evidence on a comprehensive approach for the simplification of financial transaction reporting. This call for evidence aims at identifying major cost drivers across regulatory reporting frameworks (MiFIR, EMIR and SFTR) and initiating a simplification exercise on reporting requirements in line with the European Commission’s strategy on legal burden reduction and simplification.

In this press release, references to a specific ‘field’ refer to the fields in Table 2 of Annex I of Commission Delegated Regulation (EU) 2017/590 (‘RTS 22’).

In accordance with Article 1(2) of MiFIR, the obligation to report transactions in financial instruments to the CSSF applies to credit institutions and investment firms incorporated under Luxembourg law as well as to branches of third-country firms authorised in Luxembourg (together referred to hereunder as “Investment Firms”).

The following table provides the number of Investment Firms under the remit of the CSSF that submit transaction reports to the CSSF either directly or via an approved reporting mechanism (‘ARM’) as well as the number of transaction reports (including cancellations and corrections) submitted to the CSSF by these Investment Firms since the publication of Press Release 23/06:

As transaction reporting data is key for National Competent Authorities to carry out their supervisory duties, the CSSF is committed to continuously monitor its quality. In this regard, the CSSF has implemented data quality tests that it executes on a recurring basis. These tests cover the fields that are important for conducting efficient market surveillance. In addition, the CSSF also performs tests on an ad-hoc basis that focus on specific inconsistencies identified in transaction reports of a limited number of Investment Firms.

The recurring tests are the following:

In addition to the standardised quality tests developed together with National Competent Authorities and ESMA, the CSSF executes its self-developed Quarterly Analytical Summaries which have been implemented since 2022. They largely build on the scripts developed for the individual CSSF quality tests conducted between 2018 and 2021, documented in our previous press releases, and have been slightly adjusted ever since, taking into account lessons learned during the various campaigns. The Quarterly Analytical Summaries provide Investment Firms with a quarterly overview of transaction reporting data quality inviting them to self-assess the detected inconsistencies and to take the appropriate remedial measures.

Furthermore, the CSSF compares the transaction related information it receives in suspicious transaction and order reports (‘STORs’) notified under Article 16 of Regulation (EU) No 596/2014 on market abuse (‘Market Abuse Regulation’) with the relevant transaction reports. If inconsistencies are identified, the executing entities concerned are asked to address the issues.

Finally, the CSSF checks the consistency between transaction reporting and order book data within the meaning of Commission Delegated Regulation (EU) 2017/580 (‘RTS 24’). The purpose of this test is to identify inconsistencies in reports pertaining to transactions executed by trading members of the regulated market (XLUX) or the multilateral facility (EMTF) of the Luxembourg Stock Exchange compared to the order book details such as provided by the Luxembourg Stock Exchange.

In addition to the recurring tests, the CSSF performs data quality tests on an ad-hoc basis. Here are relevant examples of the tests performed over the recent years:

• Country of branch

This test verifies whether the branch‑related fields in transaction reports for transactions executed wholly or partly through an Investment Firm’s branch have been correctly completed, either by indicating the appropriate two‑letter country code where the firm has an established branch or by leaving the fields empty when applicable. The accuracy of these fields is essential because transaction reports are automatically routed to National Competent Authorities based, among other criteria, on these branch‑related fields.

• Inconsistent prices

The purpose of this test is (1) to detect outliers in field 33 – Price when comparing reports pertaining to transactions executed on the same day in a particular financial instrument, (2) to flag transaction reports in which field 36 – Venue identification code was populated with a MIC code and field 33 was populated with 0, and (3) to flag transaction reports with an abnormal high price. It is of upmost importance for National Competent Authorities that field 33 is populated with accurate traded prices, excluding, where applicable, commissions and accrued interests in order to efficiently monitor financial markets. Outliers in transaction prices often cause false alerts in market surveillance systems.

• Reporting of MIC codes when using the internal aggregate client account (‘INTC account’)

The aim of this test is to identify the inconsistent reporting of MIC codes when using the INTC account. It flags transaction reports in which field 36 of both the market-sided and the client-sided reports were populated with a MIC code. In this context, it should be reminded that only transactions effectively executed on a trading venue, Systematic Internaliser (SI) or organised trading platform outside of the European Economic Area (EEA) should be reported with a MIC code populated in field 36 whereas the subsequent client allocation of financial instruments should be reported with XOFF.

In general, the CSSF notes that Investment Firms continue to proactively work on improving the quality of the transaction reports. Nevertheless, the CSSF identified a number of Investment Firms whose data quality only merely improved or even deteriorated and who turned into action only after they were expressly contacted by the CSSF. In this context, the CSSF reiterates the importance for Investment Firms to continuously monitor transaction reporting and to remediate any issue they may identify as soon as possible. To this end, the close monitoring of the feedback files received following each submission should serve as the primary basis for validating the technical accuracy of the reports. In addition, the CSSF’s Quarterly Analytical Summaries provide a complementary layer of oversight by highlighting broader trends and potential issues in reporting quality. Finally, Investment Firms may also request data samples extracted from the CSSF’s database, enabling them to compare their internal records with the data effectively received by the CSSF.

Investment Firms are strongly encouraged to leverage on the data required by regulatory reporting regimes in their own internal processes (e.g. market abuse monitoring and risk management). In doing so, Investment Firms will have the appropriate incentives to report accurate data and will be in a position to better exploit the benefits of consistent data reporting across the regulatory frameworks.

The CSSF also notes that many Investment Firms submit duly completed error notification forms such as introduced by Circular CSSF 17/674. The CSSF welcomes the Investment Firm’s proactive approach to report major shortcomings they have identified and to keep the CSSF informed about the remedial actions taken in this regard.

Based on our Quarterly Analytical Summaries, the CSSF was able to identify Investment Firms that reported inconsistent natural person identifiers on a regular basis without taking the necessary remedial actions. The CSSF provided the Investment Firms concerned with a list of erroneous natural person identifiers and asked them to rectify the situation as soon as possible. In addition, the CSSF required the Investment Firms concerned not to execute transactions on behalf of the flagged clients if the latter fail to provide them with the correct identifier. The CSSF strongly reiterates that eight years after the introduction of client identifiers there is no longer valid justification for failing to provide correct identifiers for natural persons.

The CSSF reminds Investment Firms that transaction reports serve a much broader purpose than merely detecting market abuse. They are notably used for a range of additional supervisory and analytical purposes and further use cases are currently being explored by ESMA and National Competent Authorities. In this context, the CSSF emphasises the importance of accurate transaction reporting, as inconsistencies may undermine the reliability and effectiveness of the analyses and investigations. Examples of current use cases are provided below.

In the context of the changes introduced by MiFIR Review, the double volume cap mechanism (‘DVCM’) has been revised to become a single volume cap mechanism (‘VCM’). The new VCM limits at 7% the trading volume under the reference price waiver (Article 4(1)(a) of the amended MiFIR) in an equity or equity-like financial instrument compared to the total aggregated trading volume in the EU over the last 12 months for each equity and equity-like financial instrument.

In this context and in order to reduce the reporting burden of entities, ESMA decided to base the VCM calculations on transaction reporting data and consequently to decommission the DVCM reporting system. In this regard, the CSSF reiterates the importance of the transaction reports’ accuracy and invites Investment Firms to put special focus on the following fields:

• Field 3 – Trading venue transaction identification code shall be populated with the TVTIC code provided by the trading venue operator. Investment Firms are reminded that field 3 is to be populated if and only if they have effectively executed the transaction in their capacity as trading member of the trading venue (i.e. if the transaction was executed on an organised trading platform outside of the EEA, field 3 shall not be populated);
• Field 36 – Venue shall be populated with a MIC code only where the report pertains to the transaction effectively executed on the trading venue, SI or organised trading platform outside of the EEA. In all other transaction reports being part of the same chain, field 36 shall be populated with ‘XOFF’;
• Field 61 – Waiver indicator: The RFPT waiver flag should be reported in Field 61 whenever a trade is executed under the reference price waiver on a trading venue using a price derived from a recognised reference source, thereby exempting them from the pre-trade transparency obligation. Before being able to execute transactions under the RFPT waiver, the waiver must be granted to the trading venue operator by its relevant National Competent

Transaction reports are key for ESMA to monitor the European carbon markets (first annual EU carbon markets report published on 7 October 2024, the second report was published on 22 October 2025).

The FASTER Directive aims to streamline and enhance the efficiency of cross-border tax relief procedures within the European Union as it introduces a framework for the issuance of digital tax residence certificates and sets out rules for the relief of excess withholding taxes on dividends and interest paid on publicly traded shares and bonds. A key element of this framework is the requirement for ESMA to publish, on an annual basis, the market capitalisation and market capitalisation ratio of each Member State, starting in 2026. In line with this mandate, ESMA elaborated a methodology for calculating the market capitalisation and market capitalisation ratio of Member States based on transaction reports under MiFIR.

ESMA is developing various new retail risk indicators based on transaction reports and a first set has been published in ESMA’s latest Trends, Risk and Vulnerabilities report (‘TRV’) monitoring market-level risks to consumers, market integrity and financial stability risks. In addition, these indicators will help to monitor market and cross-border trading from a product intervention perspective.

Following the feedback received to the MiFIR review where ESMA run a public consultation on the revision of MiFIR RTS 22 and RTS 24 as well as on RTS 23, ESMA and National Competent Authorities concluded that frequent regulatory changes as well as the lack of synchronisation and coordination in the changes to overall reporting requirements are a burden to the affected entities. Consequently, it has been decided not to propose any changes to the existing RTS and to launch instead the call for evidence on a comprehensive approach for the simplification of financial transaction reporting mainly covering the transaction reporting obligations stemming from MiFIR, EMIR and SFTR. In particular, the aim of this call for evidence is to reduce the reporting’s complexity and identify major cost drivers while improving data quality and the usability. After the analysis of the feedback from the contributors, ESMA will publish a final report at the beginning of 2026 outlining the key areas to be covered by the simplification exercise and the definition of the preferred simplification option.

Furthermore, it should be noted that Article 54(3) of MiFIR as amended by the MiFIR review foresees the continued application of the delegated acts currently in place until these delegated acts are revised.

In light of the above, additional time is needed to properly identify and implement the appropriate amendments to RTS 22, RTS 23 and RTS 24. As the current reporting framework will therefore remain in force for the coming years, the CSSF reminds Investment Firms that, throughout this transitional period, it will continue to closely monitor the quality of transaction reports under the existing legal requirements. Investment Firms must accordingly ensure that their transaction reporting systems are updated whenever deficiencies are detected.