Q&A · ESMA
“Continuous” assessment and monitoring of market and credit risk in Article 17(2) of RTS 6
The 'continuous' monitoring of market and credit risk required of algorithmic traders by Article 17(2) of RTS 6 need not be real-time; intraday or end-of-day checks at entity level suffice, but firms must be able to calculate firm, trader and client exposures in real time if needed and reconcile with counterparties' real-time data.
Details
| Reference | ESMA_QA_1608 |
|---|---|
| Issuer | ESMA |
| Published | 31 May 2017 |
| Answered | 31 May 2017 |
| Submitted | 31 May 2017 |
| ESMA topics | Direct Electronic Access and algorithmic trading |
| Earlier Q&A document | ESMA 70-872942901-38 MiFID II MiFIR market structures Q&A, Q&A 3.12 |
Provisions it relates to
- Article 17 MiFID II · Algorithmic tradingInferred · 90%
- MiFID II (whole act)Explicit reference
Documents it refers to
- RTSIn forceExplicit reference
AI summaryRTS 6 on organisational requirements for investment firms engaged in algorithmic trading, providing direct electronic access or acting as general clearing members: covers governance and compliance, testing and deployment of algorithms, annual self-assessment, stress testing, kill functionality, market abuse surveillance, pre- and post-trade controls, DEA client due diligence and order record keeping.