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Document 32023R0945
Commission Delegated Regulation (EU) 2023/945 of 17 January 2023 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2017/583 as regards certain transparency requirements applicable to transactions in non-equity instruments (Text with EEA relevance)
Commission Delegated Regulation (EU) 2023/945 of 17 January 2023 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2017/583 as regards certain transparency requirements applicable to transactions in non-equity instruments (Text with EEA relevance)
Commission Delegated Regulation (EU) 2023/945 of 17 January 2023 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2017/583 as regards certain transparency requirements applicable to transactions in non-equity instruments (Text with EEA relevance)
C/2023/246
OJ L 131, 16.5.2023, p. 17–117
(BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)
In force
|
16.5.2023 |
EN |
Official Journal of the European Union |
L 131/17 |
COMMISSION DELEGATED REGULATION (EU) 2023/945
of 17 January 2023
amending the regulatory technical standards laid down in Delegated Regulation (EU) 2017/583 as regards certain transparency requirements applicable to transactions in non-equity instruments
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012 (1), and in particular Article 9(5), third subparagraph, Article 11(4), third subparagraph, Article 14(7), third subparagraph, Article 21(5), third subparagraph, and Article 22(3), second subparagraph, thereof,
Whereas:
|
(1) |
Taking into consideration the experience acquired with the application of Commission Delegated Regulation (EU) 2017/583 (2), the identification of inconsistent application of provisions that rely on whether or not a transaction is ‘non-price forming’ and taking into account the changes in trading practices due to technological developments and adaptations of behaviour of market participants which allow information to be published with a shorter delay, it is necessary to amend certain provisions of that Delegated Regulation. |
|
(2) |
The concept of non-price forming transactions, which is relevant for the application of the exemption of post-trade transparency requirements for bilateral transactions, has been interpreted differently by entities under supervision, which has led to inconsistent publication of post-trade transparency information in accordance with Article 21 of Regulation (EU) No 600/2014 of the European Parliament and of the Council (3). To improve the transparency, data quality and ultimately to facilitate data aggregation, it is necessary to simplify and clarify the reporting regime applicable to non-equity transactions. To avoid diverging interpretation, the various provisions that rely on the concept of non-price forming transactions in both Commission Delegated Regulation (EU) 2017/587 (4) and Commission Delegated Regulation (EU) 2017/590 (5), which deals with the reporting of transactions to competent authorities, should be aligned. Since the list of non-price forming transactions in Delegated Regulation (EU) 2017/590 contains all the transactions to be excluded from the reporting requirements, the separate transactions in Delegated Regulation (EU) 2017/587 should therefore be removed. |
|
(3) |
Market participants have been interpreting the pre-trade transparency requirements for hybrid trading systems differently, which has resulted in inconsistent pre-trade transparency disclosed by operators of such systems. Hybrid systems are systems which combine two or more trading systems. To ensure that those operators disclose appropriate pre-trade transparency information in a consistent manner across the Union, pre-trade transparency requirements should be introduced for hybrid trading systems which ensure that pre-trade transparency requirements are aligned with those of the individual systems of which the hybrid system consists. |
|
(4) |
In public reports on transactions in financial instruments certain key elements, such as price, quantity and notional amount have been expressed inconsistently. The expression of those elements should be in line with the market conventions in relation to the individual instruments. With regard to bonds, the price should be expressed in percentage, unless the market convention dictates that the price of a specific type of bond is expressed differently. For Credit Default Swaps the price should be expressed in basis points received by the seller of the credit protection. |
|
(5) |
Trades where several different bonds, or other financial instruments, are simultaneously sold to a single client, including counterparties, as a portfolio trade against a single price for the entire lot, are not recognisable as such in the public reports. Without accurate identification of such portfolio trades the public reports display several individual transactions against a price that does not reflect the market price. Therefore, it is necessary to add in Table 3 of Annex II to Delegated Regulation (EU) 2017/587 a flag for portfolio trades identifying such transactions. |
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(6) |
Trading venues, approved publication arrangements (APAs) and investment firms have not interpreted the requirements related to the disclosure of post-trade transparency information to the public and the information to be provided to the European Securities and Markets Authority (ESMA) and competent authorities for the purpose of the transparency calculations consistently. As a result, such information is incomplete, inaccurate or inconsistent. This undermines the usability of such information and the quality and accuracy of the transparency calculations based on the submitted data. In order to promote the consistent application of the post-trade transparency requirements across the Union, it is necessary to further specify how details, such as price and notional amount, should be disclosed with regard to different financial instruments by trading venues, APAs and investment firms and for the reporting of reference data and quantitative data to ESMA and competent authorities. |
|
(7) |
The liquidity of commodity derivatives varies significantly depending on the characteristics of the instruments. The format under which certain characteristics of commodity and freight derivatives are reported is currently not sufficiently specified in Delegated Regulation (EU) 2017/583. To achieve a consistent reporting of those characteristics and enhance data quality, those formats should rely on existing market standards and should be specified. |
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(8) |
Delegated Regulation (EU) 2017/583 should therefore be amended accordingly. |
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(9) |
To allow trading venues, APAs and investment firms to implement the required changes into their systems, certain amendments introduced by this Regulation should apply from 1 January 2024. In order to ensure legal certainty and continuity for transactions executed before 1 January 2024 but which are published or amended after that date, Article 12 of and Annex I, II and IV to Delegated Regulation (EU) 2017/583 as applicable on 31 December 2023 should continue to apply to transactions executed before 1 January 2024. |
|
(10) |
This Regulation is based on the draft regulatory technical standards submitted to the Commission by ESMA. |
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(11) |
ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (6), |
HAS ADOPTED THIS REGULATION:
Article 1
Amendments to Delegated Regulation (EU) 2017/583
Delegated Regulation (EU) 2017/583 is amended as follows:
|
(1) |
in Article 4, the following paragraph 4 is added: ‘4. For the purposes of paragraph 2, point (a), the size of orders held in an order management facility shall be measured by the notional amount of the traded contracts as referred to in Annex II, table 2, field 10.’; |
|
(2) |
Article 12 is replaced by the following: ‘Article 12 Application of post-trade transparency to certain transactions executed outside a trading venue (Article 21(1) of Regulation (EU) No 600/2014) The obligations set out in Article 21(1) of Regulation (EU) No 600/2014 shall not apply to transactions listed in Article 2(5) of Commission Delegated Regulation (EU) 2017/590 (*1). |
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(3) |
Article 13 is amended as follows:
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(4) |
Annex I is replaced by the text in Annex I to this Regulation; |
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(5) |
Annex II is amended in accordance with Annex II to this Regulation; |
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(6) |
Annex III is amended in accordance with Annex III to this Regulation; |
|
(7) |
Annex IV is amended in accordance with Annex IV to this Regulation; |
|
(8) |
The text set out in Annex V to this Regulation is added as Annex V. |
Article 2
Transitional provision
Article 12 of and Annex I, II and IV to Delegated Regulation (EU) 2017/583 as applicable on 31 December 2023 shall continue to apply to transactions executed before 1 January 2024.
Article 3
Entry into force and application
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
Article 1, points (2), (4), (5), and (7) shall apply from 1 January 2024.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 17 January 2023.
For the Commission
The President
Ursula VON DER LEYEN
(1) OJ L 173, 12.6.2014, p. 84.
(2) Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (OJ L 87, 31.3.2017, p. 229).
(3) Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012 (OJ L 173, 12.6.2014, p. 84).
(4) Commission Delegated Regulation (EU) 2017/587 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of shares, depositary receipts, exchange-traded funds, certificates and other similar financial instruments and on transaction execution obligations in respect of certain shares on a trading venue or by a systematic internaliser (OJ L 87, 31.3.2017, p. 387).
(5) Commission Delegated Regulation (EU) 2017/590 of 28 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the reporting of transactions to competent authorities (OJ L 87, 31.3.2017, p. 449).
(6) Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).
(*1) Commission Delegated Regulation (EU) 2017/590 of 28 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the reporting of transactions to competent authorities (OJ L 87, 31.3.2017, p. 449).’;
ANNEX I
‘ANNEX I
Description of the type of system and the related information to be made public in accordance with Article 2
|
Type of system |
Description of system |
Information to be made public |
|
Continuous auction order book trading system |
A system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis. |
For each financial instrument, the aggregate number of orders and the volume they represent at each price level, for at least the five best bid and offer price levels. |
|
Quote-driven trading system |
A system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself. |
For each financial instrument, the best bid and offer by price of each market maker in that instrument, together with the volumes attaching to those prices. The quotes made public shall be those that represent binding commitments to buy and sell the financial instruments and which indicate the price and volume of financial instruments in which the registered market makers are prepared to buy or sell. In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time. |
|
Periodic auction trading system |
A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention. |
For each financial instrument, the price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system. |
|
Request-for-quote trading system |
A trading system where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request. |
The quotes and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable. |
|
Voice trading system |
A trading system where transactions between members are arranged through voice negotiation. |
The bids and offers and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules. |
|
Hybrid trading system |
A system falling into two or more of the types of trading systems referred to in rows 1 to 5 of this Table. |
For hybrid trading systems that combine different trading systems at the same time, the requirements correspond to the pre-trade trade transparency requirements applicable to each type of trading system that forms the hybrid system. For hybrid trading systems that combine two or more trading systems subsequently, the requirements correspond to the pre-trade transparency requirements applicable to the respective trading system operated at a particular point in time. |
|
Any other trading system |
Any other type of trading system not covered by rows 1 to 6. |
Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit.’ |
ANNEX II
Annex II is amended as follows:
|
(1) |
Table 2 is replaced by the following: ‘Table 2 List of details for the purpose of post-trade transparency
|
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(2) |
Table 3 is replaced by the following: ‘Table 3 List of flags for the purpose of post-trade transparency
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(3) |
Table 4 is replaced by the following: ‘Table 4 Measure of volume
|
(1) Commission Delegated Regulation (EU) 2017/574 of 7 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the level of accuracy of business clocks (OJ L 87, 31.3.2017, p. 148).
(2) Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (OJ L 87, 31.3.2017, p. 193).
Delegated Regulation (EU) No 148/2013 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories.’
ANNEX III
Annex III is amended as follows:
|
(1) |
in part 1, point 13 is replaced by the following:
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(2) |
Table 2.2 is replaced by the following: ‘Table 2.2 Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market
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(3) |
Table 2.4 is replaced by the following: ‘Table 2.4 Bonds (ETC and ETN bond types) — classes not having a liquid market
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(4) |
Table 3.1 is replaced by the following: ‘Table 3.1 SFPs — classes not having a liquid market
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(5) |
Table 4.1 is replaced by the following: ‘Table 4.1 Securitised derivatives — classes not having a liquid market
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(6) |
Table 5.1 is replaced by the following: ‘Table 5.1 Interest rate derivatives — classes not having a liquid market
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(7) |
Table 6.1 is replaced by the following: ‘Table 6.1 Equity derivatives — classes not having a liquid market
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(8) |
Table 7.1 is replaced by the following: ‘Table 7.1 Commodity derivatives – classes not having a liquid market
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(9) |
Table 8.1 is replaced by the following: ‘Table 8.1 Foreign exchange derivatives – classes not having a liquid market
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(10) |
Tables 9.1, 9.2 and 9.3 are replaced by the following: ‘Table 9.1 Credit derivatives — classes not having a liquid market
Table 9.2 Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
Table 9.3 Credit derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
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(11) |
Table 10.1 is replaced by the following: ‘Table 10.1 C10 derivatives – classes not having a liquid market
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(12) |
Table 11.1 is replaced by the following: ‘Table 11.1 CFDs – classes not having a liquid market
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(13) |
Table 12.1 is replaced by the following: ‘Table 12.1 Emission allowances — classes not having a liquid market
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(14) |
Table 13.1 is replaced by the following: ‘Table 13.1 Emission allowance derivatives — classes not having a liquid market
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(1) Council Regulation (EC) No 2157/2001 of 8 October 2001 on the Statute for a European company (SE) (OJ L 294, 10.11.2001, p. 1).
(2) Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).’
(3) Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 establishing a scheme for greenhouse gas emission allowance trading within the Community and amending Council Directive 96/61/EC (JO L 275, 25.10.2003, p. 32).’
ANNEX IV
In Annex IV, Tables 1 and 2 are replaced by the following:
‘Table 1
Symbol table for Table 2
|
SYMBOL |
DATA TYPE |
DEFINITION |
||||
|
{ALPHANUM-n} |
Up to n alphanumerical char- acters |
Free text field. |
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|
{DECIMAL-n/m} |
Decimal number of up to n digits in total of which up to m digits can be fraction digits |
Numerical field for both positive and negative values:
Where applicable, values shall be rounded and not truncated. |
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|
{COUNTRYCODE_2} |
2 alphanumerical characters |
2 letter country code, as defined by ISO 3166-1 alpha-2 country code |
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|
{CURRENCYCODE_3} |
3 alphanumerical characters |
3 letter currency code, as defined by ISO 4217 currency codes |
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|
{DATEFORMAT} |
ISO 8601 date format |
Dates shall be formatted by the following format: YYYY-MM-DD. |
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|
{ISIN} |
12 alphanumerical characters |
ISIN code, as defined in ISO 6166 |
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|
{LEI} |
20 alphanumerical characters |
Legal entity identifier as defined in ISO 17442 |
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|
{MIC} |
4 alphanumerical characters |
Market identifier as defined in ISO 10383 |
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|
{EIC} |
16 alphanumerical characters |
an EIC code pertaining to a delivery point within or outside the European Union |
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|
{INDEX} |
4 alphabetic characters |
“EONA” — EONIA “EONS” — EONIA SWAP “EURI” — EURIBOR “EUUS” — EURODOLLAR “EUCH” — EuroSwiss “GCFR” — GCF REPO “ISDA” — ISDAFIX “LIBI” — LIBID “LIBO” — LIBOR “MAAA” — Muni AAA “PFAN” — Pfandbriefe “TIBO” — TIBOR “STBO” — STIBOR “BBSW” — BBSW “JIBA” — JIBAR “BUBO” — BUBOR “CDOR” — CDOR “CIBO” — CIBOR |
Table 2
Details of the reference data to be provided for the purpose of transparency calculations
|
# |
FIELD |
DETAILS TO BE REPORTED |
FORMAT FOR REPORTING |
|
1 |
Instrument identification code |
Code used to identify the financial instrument |
{ISIN} |
|
2 |
Instrument full name |
Full name of the financial instrument |
{ALPHANUM-350} |
|
3 |
MiFIR identifier |
Identification of non-equity financial instruments: Securitised derivatives as defined in Table 4.1 in Section 4 of Annex III Structured Finance Products (SFPs) as defined in Article 2(1)(28) of Regulation (EU) No 600/2014 Bonds (for all bonds except ETCs and ETNs) as defined in Article 4(1)(44)(b) of Directive 2014/65/EU ETCs as defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex III ETNs as defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex III Emission allowances as defined in Table 12.1 of Section 12 of Annex III Derivative as defined in Annex I, Section C (4) to (10) of Directive 2014/65/EU |
Non-equity financial instruments: “SDRV” — Securitised derivatives “SFPS” — Structured Finance Products (SFPs) “BOND” — Bonds “ETCS” — ETCs “ETNS” — ETNs “EMAL” — Emission Allowances “DERV” — Derivative |
|
4 |
Asset class of the underlying |
To be populated when the MiFIR identifier is a securitised derivative or a derivative. |
“INTR” — Interest rate “EQUI” — Equity “COMM” — Commodity “CRDT” — Credit “CURR” — Currency “EMAL” — Emission Allowances “OCTN” — Other C10 |
|
5 |
Contract type |
To be populated when the MiFIR identifier is a derivative. |
“OPTN” — Options “FUTR” — Futures (including — Forward Freight Agreements (FFAs)) “FRAS” — Forward Rate Agreement (FRA) “FORW” — Forwards “SWAP” — Swaps “PSWP” — Portfolio Swaps “SWPT” — Swaptions “OPTS” — Option on a swap “FONS” — Futures on a swap “FWOS” — Forwards on a swap “SPDB” — Spread betting “CFDS” — CFD “OTHR” — Other |
|
6 |
Reporting day |
Day for which the reference data is provided |
{DATEFORMAT} |
|
7 |
Trading venue |
Segment MIC for the trading venue, where available, otherwise operating MIC. |
{MIC} |
|
8 |
Maturity |
Defined maturity of the financial instrument. Field applicable for the asset classes of bonds, Interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives C10 derivatives and derivatives on emission allowances. |
{DATEFORMAT} |
Bonds (all bond types except ETCs and ETNs) related fields
The fields in this section shall only be populated for Bonds as defined in Table 2.1 of Section 2 of Annex III
|
9 |
Bond type |
Bond type as specified in Table 2.2 of Section 2 of Annex III. To be populated only when the MiFIR identifier is equal to bonds. |
“EUSB” — Sovereign Bond “OEPB” — Other Public Bond “CVTB” — Convertible Bond “CVDB” — Covered Bond “CRPB” — Corporate Bond “OTHR” — Other |
|
10 |
Issuance date |
Date on which a bond is issued and begins to accrue interest. |
{DATEFORMAT} |
Emission Allowances related fields
The fields in this section shall only be populated for emission allowances as defined in Table 12.1 of Section 12 of Annex III
|
11 |
Emissions Allowances sub type |
Emissions Allowances |
“CERE” — CER “ERUE” — ERU “EUAE” — EUA “EUAA” — EUAA “OTHR” — Other |
Derivatives related fields
Commodity derivatives and C10 derivatives
The fields in this section shall only be populated for commodity derivatives as defined in Table 7.1 of Section 7 of Annex III and for C10 derivatives as defined in Table 10.1 of Section 10 of Annex III
|
12 |
Specification of the size related to the freight sub-type |
To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight. |
For dry freight: “CAPE” — Capesize “PNMX” — Panamax “SPMX” — Supramax “HAND” — Handysize For wet freight: “CLAN” — Clean “DRTY” — Dirty {ALPHANUM-4} otherwise |
|
13 |
Specific route or time charter average |
To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight. |
For wet freight: “TD7” — TD7 “TD8” — TD8 “TD17” — TD17 “TD19” — TD19 “TD20” — TD20 “BLPG1” — BLPG1 “TD3C” — TD3C “TC2” — TC2 “TC2_37” — TC2_37 “TD3” — TD3 “TC5” — TC5 “TC6” — TC6 “TC7” — TC7 “TC9” — TC9 “TC12” — TC12 “TC14” — TC14 “TC15” — TC15 For dry freight: “4TC” — 4TC “5TC” — 5TC “6TC” — 6TC “10TC” — 10TC “C3” — C3 “C5” — C5 “C7” — C7 “P1A” — P1A “P2A” — P2A “P3A” — P3A “P1E” — P1E “P2E” — P2E “P3E”— P3E {ALPHANUM-6} otherwise |
|
14 |
Delivery/cash settlement location |
To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to energy. |
{EIC} for electricity or natural gas “OTHR” — Other |
|
15 |
Notional currency |
Currency in which the notional is denominated. |
{CURRENCYCODE_3} |
Interest rate derivatives
The fields in this section shall only be populated for interest rate derivatives as defined in Table 5.1 of Section 5 of Annex III
|
16 |
Underlying type |
To be populated for contract type different from swaps, swaptions, futures on a swap and forwards on a swap with one of the following alternatives *********************************************************** To be populated for the contract types of swaps, swaptions, options on a swap, futures on a swap and forwards on a swap with regard to the underlying swap with one of the following alternatives |
“BOND” — Bond “BNDF” — Bond Futures “INTR” — Interest rate “IFUT” — Interest rate Futures ***************************** “FFMC” — FLOAT TO FLOAT MULTI-CURRENCY SWAPS “XFMC” — FIXED TO FLOAT MULTI-CURRENCY SWAPS “XXMC” — FIXED TO FIXED MULTI-CURRENCY SWAPS “OSMC” — OIS MULTI-CURRENCY SWAPS “IFMC” — INFLATION MULTI- CURRENCY SWAPS “FFSC” — FLOAT TO FLOAT SINGLE-CURRENCY SWAPS “XFSC” — FIXED TO FLOAT SINGLE-CURRENCY SWAPS “XXSC” — FIXED TO FIXED SINGLE-CURRENCY SWAPS “OSSC” — OIS SINGLE-CUR- RENCY SWAPS “IFSC” — INFLATION SINGLE- CURRENCY SWAPS |
|
17 |
Issuer of the underlying bond |
To be populated when the underlying type is a bond or a bond future with the legal entity identifier code (LEI) of the issuer of the direct or ultimate underlying bond. |
{LEI} |
|
18 |
Maturity date of the underlying bond |
To be populated with the date of the defined maturity of the underlying bond. |
{DATEFORMAT} |
|
19 |
Issuance date of the under- lying bond |
To be populated with the issuance date of the underlying bond. |
{DATEFORMAT} |
|
20 |
Notional currency of the swaption |
To be populated for swaptions only. |
{CURRENCYCODE_3} |
|
21 |
Maturity of the underlying swap |
To be populated for swaptions, options on swaps, futures on swaps and for- wards on a swap only. |
{DATEFORMAT} |
|
22 |
Inflation index ISIN code/ISIN code of the underlying bond |
In case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap; whenever the inflation index has an ISIN, the field has to be populated with the ISIN code for that index. ********************************************************** In case of Bond Options/ Options on a bond option/ Options on a bond future, the field has to be populated with the ISIN code of the ultimate underlying bond. |
{ISIN} ***************** {ISIN} |
|
23 |
Inflation index name |
To be populated with standardised name of the index in case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/ forwards on inflation multi-currency swap. |
{ALPHANUM-25} |
|
24 |
Reference rate |
Name of the reference rate. |
{INDEX} or {ALPHANUM-25}- if the reference rate is not included in the {INDEX} list |
|
25 |
Term of the underlying interest rate |
This field states the term of the interest rate underlying the contract. The term shall be expressed in days, weeks, months or years. Starting with the largest term unit (years) and working downwards, if the term of the interest rate is an integer number, such standard term shall be populated in this field. |
{INTEGER-3}+“DAYS” — days {INTEGER-3}+“WEEK” — weeks {INTEGER-3}+“MNTH” — months {INTEGER-3}+“YEAR” — years |
Foreign exchange derivatives
The fields in this section shall only be populated for foreign exchange derivatives as defined in Table 8.1 of Section 8 of Annex III
|
26 |
Contract sub-type |
To be populated so as to differentiate deliverable and non-deliverable forwards, options and swaps as defined in Table 8.1 of Section 8 of Annex III. |
“DLVB” — Deliverable “NDLV” — Non-deliverable |
Equity derivatives
The fields shall only be populated for equity derivatives as defined in Table 6.1 of Section 6 of Annex III
|
27 |
Underlying type |
To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is neither swaps nor portfolio swaps. |
“STIX” — Stock Index “SHRS” — Share/Stock “DIVI” — Dividend Index “DVSE” — Stock dividend “BSKT” — Basket of shares resulting from a corporate action “ETFS” — ETFs “VOLI” — Volatility Index “OTHR” — Other (including depositary receipts, certificates and other equity like financial instrument) |
|
|
|
******************************************* To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a single name. |
************* “SHRS” — Share/Stock “DVSE” — Stock dividend “ETFS” — ETFs “OTHR” — Other (including depositary receipts, certificates and other equity like financial instrument) |
|
|
|
******************************************* To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is an index. |
************* “STIX” — Stock Index “DIVI” — Dividend Index “VOLI” — Volatility Index “OTHR” — Other |
|
|
|
******************************************* To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a basket. |
************* “BSKT” — Basket |
|
28 |
Parameter |
To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is one of the following: swaps, portfolio swaps. |
“PRBP” — Price return basic performance parameter “PRDV” — Parameter return dividend “PRVA” — Parameter return variance “PRVO” — Parameter return volatility |
Contracts for difference (CFDs)
The fields shall only be populated when the contract type is equal to contract for difference or spread betting
|
29 |
Underlying type |
To be populated when the MiFIR identifier is a derivative and ‘the contract type is equal to contract for difference or spread betting |
“CURR” — Currency “EQUI” — Equity “BOND” — Bonds “FTEQ” — Futures/Forward on an equity “OPEQ” — Options on an equity “COMM” — Commodity “EMAL” — Emission Allowances “OTHR” — Other |
|
30 |
Notional currency 1 |
Currency 1 of the underlying currency pair. This field is applicable when the underlying type is currency. |
{CURRENCYCODE_3} |
|
31 |
Notional currency 2 |
Currency 2 of the underlying currency pair. This field is applicable when the underlying type is currency. |
{CURRENCYCODE_3} |
Credit derivatives
The fields in this section shall only be populated for credit derivatives as defined in Table 9.1 of Section 9 of Annex III
|
32 |
ISIN code of the underlying credit default swap |
To be populated for derivatives on a credit default swaps with the ISIN code of the underlying swap. |
{ISIN} |
|
33 |
Underlying Index code |
To be populated for derivatives on a CDS index with the ISIN code of the index. |
{ISIN} |
|
34 |
Underlying Index name |
To be populated for derivatives on a CDS index with the standardised name of the index. |
{ALPHANUM-25} |
|
35 |
Series |
The series number of the composition of the index if applicable. To be populated for a CDS Index or a derivative on a CDS Index with the series of the CDS Index. |
{DECIMAL-18/17} |
|
36 |
Version |
A new version of a series is issued if one of the constituents defaults and the index has to be re-weighted to account for the new number of total constituents within the index. To be populated for a CDS Index or a derivative on a CDS Index with the version of the CDS Index. |
{DECIMAL-18/17} |
|
37 |
Roll months |
All months when the roll is expected as established by the index provider for a given year. Field shall be repeated for each month in the roll. To be populated for a CDS Index or a derivative on a CDS Index. |
“01”, “02”, “03”, “04”, “05”, “06”, “07”, “08”, “09”, “10”, “11”, “12” |
|
38 |
Next roll date |
To be populated in the case of a CDS Index or a derivative on a CDS Index with the next roll date of the index as established by the index provider. |
{DATEFORMAT} |
|
39 |
Issuer of sovereign and public type |
To be populated when the reference entity of a single name CDS or a derivative on single name CDS is a sovereign issuer as defined in Table 9.1 Section 9 of Annex III. |
“TRUE” — the reference entity is an issuer of sovereign and public type “FALSE” — the reference entity is not an issuer of sovereign and public type |
|
40 |
Reference obligation |
To be populated for a derivative on a single name credit de- fault swap with the ISIN of the reference obligation. |
{ISIN} |
|
41 |
Reference entity |
To be populated with the reference entity of a single name CDS or a derivative on single name CDS. |
{COUNTRYCODE_2} or ISO 3166-2 — 2 character country code followed by dash “-” and up to 3 alphanumeric character country subdivision code or {LEI} |
|
42 |
Notional currency |
Currency in which the notional is denominated. |
{CURRENCYCODE_3} |
Emission allowance derivatives
The fields in this section shall only be populated for emission allowance derivatives as defined in Table 13.1 of Section 13 of Annex III
|
43 |
Emission Allowances derivative sub type |
To be populated when variable #3 “MiFIR identifier” is “DERV”-derivative and variable #4 “asset class of the underlying” is “EMAL”-emission allowance |
“CERE” — CER “ERUE” —ERU “EUAE” — EUA “EUAA” —EUAA “OTHR” — Other’ |
ANNEX V
‘ANNEX V
Quantitative data to be provided for the purpose of transparency calculations
Table 1
Symbol table for Table 2
|
Symbol |
Data Type |
Definition |
|
{ALPHANUM-n} |
Up to n alphanumerical characters |
Free text field. |
|
{ISIN} |
12 alphanumerical characters |
ISIN code, as defined in ISO 6166 |
|
{MIC} |
4 alphanumerical characters |
Market identifier as defined in ISO 10383 |
|
{DATEFORMAT} |
ISO 8601 date format |
Dates shall be formatted by the following format: YYYY-MM-DD. |
|
{DECIMAL-n/m} |
Decimal number of up to n digits in total of which up to m digits can be fraction digits |
Numerical field for both positive and negative values. Decimal separator is “.” (full stop); negative numbers are prefixed with “–” (minus); values are rounded and not truncated. |
|
{INTEGER-n} |
Integer number of up to n digits |
Numerical field for both positive and negative integer values. |
Table 2
Details of the data to be provided for the purpose of determining a liquid market, the LIS and SSTI thresholds for non-equity financial instruments
|
# |
Field |
Details to be reported |
Type of execution or publication venue |
Format and standards for reporting |
|
1 |
Instrument identification code |
Code used to identify the financial instrument |
Regulated Market (RM) Multilateral Trading Facility (MTF) Organised Traded Facility (OTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP) |
{ISIN} |
|
2 |
Execution date |
Date on which the trades are executed. |
RM, MTF, OTF, APA, CTP |
{DATEFORMAT} |
|
3 |
Execution venue |
Segment MIC of the EU trading venue or systematic internaliser, where available, otherwise operating MIC. Segment MIC of the systematic internaliser where available, otherwise the operating MIC. The MIC code XOFF for OTC transactions. For a given ISIN and execution date, APAs shall sum all OTC trading activity for that instrument in a single record (ISIN, XOFF, execution date). |
RM, MTF, OTF, APA, CTP |
{MIC} of the trading venue or systematic internaliser or “XOFF” |
|
4 |
Suspended instrument flag |
Indicator of whether the instrument was suspended during the whole day for trading on the respective TV on the execution date. As a consequence, Fields 5 shall be reported with a value of zero. |
RM, MTF, OTF |
“TRUE” – if the instrument was suspended for the whole trading day or “FALSE” – if the instrument was not suspended for the whole trading day |
|
5 |
Total number of transactions |
The total number of transactions executed on the execution date. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. In all cases, the field has to be populated with a value greater than or equal to zero. For instruments that are suspended for the whole day, the field shall have zero value. |
RM, MTF, OTF, APA, CTP |
{INTEGER-18} |
|
6 |
Total volume |
The total volume executed on the execution date. The volume shall be measured in accordance with Table 4 of Annex II of this Regulation. Monetary amounts shall be reported in Euros. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. |
RM, MTF, OTF, APA, CTP |
{DECIMAL-18/5} |
|
7 |
“Size of transaction” bin range |
This field shall be populated with the values as provided in Tables 3 and 4 of this Annex. The size of transaction bin range as defined: in Table 4 of this Annex for emission allowances and derivatives thereof; In Table 3 of this Annex for the other instruments. For instruments that are suspended for the whole day, data related to this field and to fields 8 and 9 shall not be reported. |
RM, MTF, OTF, APA, CTP |
{ALPHANUM - -140} |
|
8 |
Total number of transactions executed for that bin |
Total number of transactions executed on the execution date which size lies in the bin’s range. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. |
RM, MTF, OTF, APA, CTP |
{INTEGER-18} |
|
9 |
Total volume traded for that bin |
Total volume traded represented by all transactions executed on the reporting day which size lies in the bin’s range. The volume shall be measured in accordance with Table 4 of Annex II of this Regulation. Monetary amounts shall be reported in Euros. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. |
RM, MTF, OTF, APA, CTP |
{DECIMAL-18/5} |
Table 3
Trade-size bins for bonds, SFPs, securitised derivatives, interest rate derivatives, equity derivatives, foreign exchange derivatives, credit derivatives, commodity derivatives, C10 derivatives and CFDs
|
Scope |
Size of transaction bin |
Definition |
|
Transactions with a size between 0 and 1,000,000 (excluded) |
]0 – 100,000[ |
Transactions with a trade size smaller than EUR 100,000 |
|
[100,000 – 100,000] |
Transactions with a trade size equal to EUR 100,000 |
|
|
]100,000 – 200,000[ |
Transactions with a trade size greater than EUR 100,000 and smaller than EUR 200,000 |
|
|
[200,000 – 300,000[ |
Transactions with a trade size greater than or equal to EUR 200,000 and smaller than EUR 300,000 |
|
|
[300,000 – 400,000[ |
Transactions with a trade size greater than or equal to EUR 300,000 and smaller than EUR 400,000 |
|
|
[Y– Y+100,000[ |
Transactions with a trade size greater than or equal to EUR Y and smaller than EUR Y + 100,000 (EUR 100,000 step) |
|
|
[900,000 – 1,000,000[ |
Transactions with a trade size greater than or equal to EUR 900,000 and smaller than EUR 1,000,000 |
|
|
Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) |
[1,000,000 – 1,500,000[ |
Transactions with a trade size greater than or equal to EUR 1,000,000 and smaller than EUR 1,500,000 |
|
[1,500,000 – 2,000,000[ |
Transactions with a trade size greater than or equal to EUR 1,500,000 and smaller than EUR 2,000,000 |
|
|
[Z– Z+500,000[ |
Transactions with a trade size greater than or equal to EUR Z and smaller than EUR Z + 500,000 (EUR 500,000 step) |
|
|
[9,500,000 – 10,000,000[ |
Transactions with a trade size greater than or equal to EUR 9,500,000 and smaller than EUR 10,000,000 |
|
|
Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) |
[10,000,000 – 15,000,000[ |
Transactions with a trade size greater than or equal to EUR 10,000,000 and smaller than EUR 15,000,000 |
|
[15,000,000 – 20,000,000[ |
Transactions with a trade size greater than or equal to EUR 15,000,000 and smaller than EUR 20,000,000 |
|
|
[W– W+5,000,000[ |
Transactions with a trade size greater than or equal to EUR W and smaller than EUR W + 5,000,000 (EUR 5,000,000 step) |
|
|
[95,000,000 – 100,000,000[ |
Transactions with a trade size greater than or equal to EUR 95,000,000 and smaller than EUR 100,000,000 |
|
|
Transactions with a size greater than or equal to 100,000,000 |
[100,000,000 – 125,000,000[ |
Transactions with a trade size greater than or equal to EUR 100,000,000 and smaller than EUR 125,000,000 |
|
[125,000,000 – 150,000,000[ |
Transactions with a trade size greater than or equal to EUR 125,000,000 and smaller than EUR 150,000,000 |
|
|
[X– X+25,000,000[ |
Transactions with a trade size greater than or equal to EUR X and smaller than EUR X + 25,000,000 (EUR 25,000,000 step) |
|
|
… |
… |
… |
Table 4
Size of transaction bin ranges for emission allowances and derivatives on emission allowances
|
Scope |
Size of transaction bin |
Definition |
|
Transactions with a size between 0 and 1,000,000 (excluded) |
]0 – 100,000[ |
Transactions with a trade size smaller than 100,000 tonnes of carbon dioxide equivalent (tCO2e) |
|
[100,000 – 100,000] |
Transactions with a trade size equal to 100,000 tCO2e |
|
|
]100,000 – 200,000[ |
Transactions with a trade size greater than 100,000 tCO2e and smaller than 200,000 tCO2e |
|
|
[200,000 – 300,000[ |
Transactions with a trade size greater than or equal to 200,000 tCO2e and smaller than 300,000 tCO2e |
|
|
[300,000 – 400,000[ |
Transactions with a trade size greater than or equal to 300,000 tCO2e and smaller than 400,000 tCO2e |
|
|
[Y– Y+100,000[ |
Transactions with a trade size greater than or equal to Y tCO2e and smaller than Y tCO2e + 100,000 (100,000 tCO2e step) |
|
|
[900,000 – 1,000,000[ |
Transactions with a trade size greater than or equal to 900,000 tCO2e and smaller than 1,000,000 tCO2e |
|
|
Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) |
[1,000,000 – 1,500,000[ |
Transactions with a trade size greater than or equal to 1,000,000 tCO2e and smaller than 1,500,000 tCO2e |
|
[1,500,000 – 2,000,000[ |
Transactions with a trade size greater than or equal to 1,500,000 tCO2e and smaller than 2,000,000 tCO2e |
|
|
[Z– Z+500,000[ |
Transactions with a trade size greater than or equal to Z tCO2e and smaller than Z tCO2e + 500,000 (500,000 tCO2e step) |
|
|
[9,500,000 – 10,000,000[ |
Transactions with a trade size greater than or equal to 9,500,000 tCO2e and smaller than 10,000,000 tCO2e |
|
|
Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) |
[10,000,000 – 15,000,000[ |
Transactions with a trade size greater than or equal to 10,000,000 tCO2e and smaller than 15,000,000 tCO2e |
|
[15,000,000 – 20,000,000[ |
Transactions with a trade size greater than or equal to 15,000,000 tCO2e and smaller than 20,000,000 tCO2e |
|
|
[W– W+5,000,000[ |
Transactions with a trade size greater than or equal to W tCO2e and smaller than W tCO2e + 5,000,000 (5,000,000 tCO2e step) |
|
|
[95,000,000 – 100,000,000[ |
Transactions with a trade size greater than or equal to 95,000,000 tCO2e and smaller than 100,000,000 tCO2e |
|
|
Transactions with a size greater than or equal to 100,000,000 |
[100,000,000 – 125,000,000[ |
Transactions with a trade size greater than or equal to 100,000,000 tCO2e and smaller than 125,000,000 tCO2e |
|
[125,000,000 – 150,000,000[ |
Transactions with a trade size greater than or equal to 125,000,000 tCO2e and smaller than 150,000,000 tCO2e |
|
|
[X– X+25,000,000[ |
Transactions with a trade size greater than or equal to X tCO2e and smaller than X tCO2e + 25,000,000 (25,000,000 tCO2e step) |
|
|
… |
… |
…’ |