LegalizeCommission 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)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
Asset class — C10 Derivatives Asset class — C10 Derivatives Asset class — C10 Derivatives Asset class — C10 Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Freight derivatives a financial instrument relating to freight rates as defined in Section C(10) of Annex I of Directive 2014/65/EU RTS2#3 = “DERV” and RTS2#4 = “COMM” and RTS23#35 = “FRGT” a freight derivative sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#5) — contract type: futures or options Segmentation criterion 2 (RTS23#36) — freight type Segmentation criterion 3 (RTS2#37) — freight sub-type Segmentation criterion 4 (RTS2#12) —specification of the size related to the freight sub-type Segmentation criterion 5 (RTS2#13) — specific route or time charter average Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the derivative defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 9 months Maturity bucket 5: 9 months < time to maturity ≤ 1 year Maturity bucket 6: 1 year < time to maturity ≤ 2 years Maturity bucket 7: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 10 000 000 10 Asset class — C10 Derivatives Asset class — C10 Derivatives Asset class — C10 Derivatives Asset class — C10 Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Other C10 derivatives a financial instrument as defined in Section C(10) of Annex I of Directive 2014/65/EU which is not a “Freight derivative”, any of the following interest rate derivatives sub- asset classes: “Inflation multi-currency swap or cross-currency swap”, a “Future/forward on inflation multi-currency swaps or cross-currency swaps”, an “Inflation single currency swap”, a “Future/forward on inflation single currency swap” and any of the following equity derivatives sub- asset classes: a “Volatility index option”, a “Volatility index future/forward”, a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility any other C10 derivatives is considered not to have a liquid market’ any other C10 derivatives is considered not to have a liquid market’ any other C10 derivatives is considered not to have a liquid market’
- (12) Table 11.1 is replaced by the following:
‘Table 11.1
CFDs – classes not having a liquid market
Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Qualitative liquidity criterion Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Currency CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = CURR a currency CFD sub-class is defined by the underlying currency pair defined as combination of the two currencies underlying the CFD/spread betting contract. RTS2#30 and RTS2#31 EUR 50 000 000 100 Commodity CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = COMM a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract RTS23#35 and RTS23#36 and RTS23#37 EUR 50 000 000 100 Equity CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = EQUI an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract RTS23#26 an equity CFD sub-class is considered to have a liquid market if the underlying is an equity security for which there is a liquid market as determined in accordance with Article 2(1)(17)(b) of Regulation (EU) No 600/2014 Bond CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = BOND a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract RTS23#26 a bond CFD sub-class is considered to have a liquid market if the underlying is a bond or bond future for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). CFDs on an equity future/for- ward RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = FTEQ a CFD on an equity future/forward sub-class is defined by the underlying future/forward on an equity of the CFD/spread betting contract RTS23#26 a CFD on an equity future/forward sub-class is considered to have a liquid market if the underlying is an equity future/forward for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). CFDs on an equity option RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = OPEQ a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract RTS23#26 a CFD on an equity option sub-class is considered to have a liquid market if the underlying is an equity option for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). Asset class – Financial contracts for differences (CFDs) Asset class – Financial contracts for differences (CFDs) Asset class – Financial contracts for differences (CFDs) Asset class – Financial contracts for differences (CFDs) Asset class – Financial contracts for differences (CFDs) Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Other CFDs a CFD/spread betting that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = OTHR any other CFD/spread betting is considered not to have a liquid market’ any other CFD/spread betting is considered not to have a liquid market’ any other CFD/spread betting is considered not to have a liquid market’ any other CFD/spread betting is considered not to have a liquid market’
- (13) Table 12.1 is replaced by the following:
‘Table 12.1
Emission allowances — classes not having a liquid market
Asset class — Emission Allowances Asset class — Emission Allowances Asset class — Emission Allowances Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Sub-asset class Average Daily Amount (ADA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] European Union Allowances (EUA) any unit recognised for compliance with the requirements of Directive 2003/87/EC of the European Parliament and of the Council8 (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = EUAE 150 000 tonnes of Carbon Dioxide Equivalent 5 European Union Aviation Allowances (EUAA) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of car- bon dioxide equivalent (tCO2e) from aviation RTS2#3 = EMAL and RTS2#11 = EUAA 150 000 tonnes of Carbon Dioxide Equivalent 5 Certified Emission Reductions (CER) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = CERE 150 000 tonnes of Carbon Dioxide Equivalent 5 Emission Reduction Units (ERU) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = ERUE 150 000 tonnes of Carbon Dioxide Equivalent 5 Other Emission Allowances an emission allowance which is an emission allowance recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) or an Emission Reduction Units (ERU) RTS2#3 = EMAL and RTS2#11 = OTHR any other emission allowances is considered not to have a liquid market any other emission allowances is considered not to have a liquid market
- (14) Table 13.1 is replaced by the following:
‘Table 13.1
Emission allowance derivatives — classes not having a liquid market
Asset class — Emission Allowance Derivatives Asset class — Emission Allowance Derivatives Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Sub-asset class Average Daily Amount (ADA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAE 150 000 tonnes of Carbon Dioxide Equivalent 5 Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) a financial instrument relating to emission allowances of the type European Union Aviation Allowances (EUAA) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAA 150 000 tonnes of Carbon Dioxide Equivalent 5 Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) a financial instrument relating to emission allowances of the type Certified Emission Reductions (CER) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = CERE 150 000 tonnes of Carbon Dioxide Equivalent 5 Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) a financial instrument relating to emission allowances of the type Emission Reduction Units (ERU) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = ERUE 150 000 tonnes of Carbon Dioxide Equivalent 5 Other Emission allowance derivatives an emission allowance derivative whose underlying is an emission allowances recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU) RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = OTHR any other emission allowance derivative is considered not to have a liquid market’ any other emission allowance derivative is considered not to have a liquid market’
[^ntr1-L_2023131EN.01003301-E0001]: 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).
[^ntr2-L_2023131EN.01003301-E0002]: 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).’
8
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. |
| {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); — the number may be prefixed with “-” (minus) to indicate negative numbers. Where applicable, values shall be rounded and not truncated. |
| {COUNTRYCODE_2} | 2 alphanumerical characters | 2 letter country code, as defined by ISO 3166-1 alpha-2 country code |
| {CURRENCYCODE_3} | 3 alphanumerical characters | 3 letter currency code, as defined by ISO 4217 currency codes |
| {DATEFORMAT} | ISO 8601 date format | Dates shall be formatted by the following format: YYYY-MM-DD. |
| {ISIN} | 12 alphanumerical characters | ISIN code, as defined in ISO 6166 |
| {LEI} | 20 alphanumerical characters | Legal entity identifier as defined in ISO 17442 |
| {MIC} | 4 alphanumerical characters | Market identifier as defined in ISO 10383 |
| {EIC} | 16 alphanumerical characters | an EIC code pertaining to a delivery point within or outside the European Union |
| {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 |
| Transactions with a size between 0 and 1,000,000 (excluded) | [100,000 – 100,000] | Transactions with a trade size equal to EUR 100,000 |
| Transactions with a size between 0 and 1,000,000 (excluded) | ]100,000 – 200,000[ | Transactions with a trade size greater than EUR 100,000 and smaller than EUR 200,000 |
| Transactions with a size between 0 and 1,000,000 (excluded) | [200,000 – 300,000[ | Transactions with a trade size greater than or equal to EUR 200,000 and smaller than EUR 300,000 |
| Transactions with a size between 0 and 1,000,000 (excluded) | [300,000 – 400,000[ | Transactions with a trade size greater than or equal to EUR 300,000 and smaller than EUR 400,000 |
| Transactions with a size between 0 and 1,000,000 (excluded) | [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) |
| Transactions with a size between 0 and 1,000,000 (excluded) | [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 |
| Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) | [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 |
| Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) | [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) |
| Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) | [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 |
| Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) | [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 |
| Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) | [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) |
| Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) | [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 |
| Transactions with a size greater than or equal to 100,000,000 | [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 |
| Transactions with a size greater than or equal to 100,000,000 | [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) |
| Transactions with a size between 0 and 1,000,000 (excluded) | [100,000 – 100,000] | Transactions with a trade size equal to 100,000 tCO2e |
| Transactions with a size between 0 and 1,000,000 (excluded) | ]100,000 – 200,000[ | Transactions with a trade size greater than 100,000 tCO2e and smaller than 200,000 tCO2e |
| Transactions with a size between 0 and 1,000,000 (excluded) | [200,000 – 300,000[ | Transactions with a trade size greater than or equal to 200,000 tCO2e and smaller than 300,000 tCO2e |
| Transactions with a size between 0 and 1,000,000 (excluded) | [300,000 – 400,000[ | Transactions with a trade size greater than or equal to 300,000 tCO2e and smaller than 400,000 tCO2e |
| Transactions with a size between 0 and 1,000,000 (excluded) | [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) |
| Transactions with a size between 0 and 1,000,000 (excluded) | [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 |
| Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) | [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 |
| Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) | [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) |
| Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) | [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 |
| Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) | [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 |
| Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) | [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) |
| Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) | [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 |
| Transactions with a size greater than or equal to 100,000,000 | [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 |
| Transactions with a size greater than or equal to 100,000,000 | [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) |
| … | … | …’ |
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