On December 5, MFA provided a response to ESMA’s consultation paper on Guidelines on the calibration, publication and reporting of trading halts. In general, MFA supported ESMA’s approach in its guidance, which would provide that trading venues should calibrate volatility parameters according to pre-defined, statistically supported methodology, including: the nature of the financial instrument, the liquidity profile and the quotation level of the financial instrument, the volatility profile of the financial instrument, the order imbalance, trading venue mode and rules, external references, duration of the halts, and newly issued instruments.
