“Continuous” assessment and monitoring of market and credit risk in Article 17(2) of RTS 6

[ESMA 70-872942901-38 MiFID II MiFIR market structures Q&A, Q&A 3.12] Article 17(2) of RTS 6 includes as part of the post-trade controls that investment firms engaged in algorithmic trading must have in place the ‘continuous assessment and monitoring of market and credit risk of the investment firm in terms of effective exposure’. Since there is no requirement to operate this continuous assessment in real-time on an ongoing basis, intraday and/or end of day checks as appropriate can be carried out at entity level. However, it is noted that the investment firm must have the capability to calculate in real time if necessary and on the basis of the information that it has: a) its outstanding exposure; b) the outstanding exposure of each of its traders and c) the outstanding exposure of clients (Article 17(3) RTS 6). ESMA notes that for that purpose, the reconciliation of the firm’s own records with those provided by trading venues, clearing members, central counterparties, brokers, DEA providers or any other business partners must be made in real time when those counterparties provide the information in real time.