ESMA70-1861941480-56 — Q&A on MiFIR data reporting

Q&A on MiFIR data reporting

Authority	ESMA
Reference	ESMA70-1861941480-56
Legal basis	MiFIR (data reporting)
Status	In force
Published	31 March 2023
Source	ESMA landing page
Documents	Guideline PDF

Questions and Answers

On MiFIR data reporting

Please note that this document is not updated after 31 December 2023. For Q&As issued from 1 January 2024, please search in the ESMA Q&A IT-tool.

ESMA · 201-203 rue de Bercy · CS 80910 · 75589 Paris Cedex 12 · France · Tel. [phone] · www.esma.europa.eu

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ESMA70-1861941480-56

Table of Contents

Table of questions.................................................................................................................	Table of questions.................................................................................................................

Full table: see document.

Acronyms and definitions used

LEI	ISO 17 442 Legal Entity Identifier

Full table: see document.

Table of questions

		Topic of the Question	Level issue	1/Level	Last Updated
LEI of the issuer	1	LEI of the issuer	MiFIR RTS 23 1	MiFIR RTS 23 1	20/12/2016
LEI of the issuer	2	LEI of an operator of a trading venue or a systematic analyser	MiFIR RTS 23	MiFIR RTS 23	20/12/2016
LEI of the issuer	3	Issuer LEI vs Ultimate Parent LEI	MiFIR RTS 23	MiFIR RTS 23	20/12/2016
LEI of the issuer	4	LEI annual maintenance	MiFIR RTS 23	MiFIR RTS 23	20/12/2016
LEI of the issuer	5	LEI of the branch	MiFIR RTS 23	MiFIR RTS 23	04/02/2019
LEI of the issuer	6	LEI of funds	MiFIR RTS 23	MiFIR RTS 23	19/07/2021
LEI of the issuer	7	Issuer of depositary receipts	MiFIR RTS 23	MiFIR RTS 23	25/03/2022
LEI of the issuer	8	*new LEI of sovereign issuer	MiFIR RTS 23	MiFIR RTS 23	31/03/2023
Date and time of the request of admission and admission	1	Date and time of the request and of the admission of instruments in the past	MiFIR RTS 23	MiFIR RTS 23	20/12/2016
Date and time of the request of admission and admission	2	Unknown time of the request and of the admission	MiFIR RTS 23	MiFIR RTS 23	20/12/2016
Date and time of the request of admission and admission	3	Coinciding date and time of the request and of the admission	MiFIR RTS 23	MiFIR RTS 23	20/12/2016
Date and time of the request of admission and admission	4	Date of request for admission to trading	MiFIR RTS 23	MiFIR RTS 23	02/02/2017
Date and time of the request of admission and admission	5	Date of admission to trading or date of first trade	MiFIR RTS 23	MiFIR RTS 23	02/02/2017
Date and time of the request of admission and admission	6	Unknown date of admission	MiFIR RTS 23	MiFIR RTS 23	14/12/2017
Instrument identification code and Underlying	1	ISIN, CFI and FISN	MiFIR RTS 23	MiFIR RTS 23	02/02/2017
instrument code	2	Timeline to obtain ISINs	MiFIR RTS 23	MiFIR RTS 23	25/03/2022

Table

Column 1	3	Underlying Instrument Code for future contracts on sovereign bonds	MiFIR RTS 23	02/02/2017

Full table: see document.

FX Swaps reporting	1	Reference data and transaction reporting scenarios	MiFIR RTS 23 and 22	26/09/2018
Interest Rate Swaps reporting	1	Field 41	MiFIR RTS 23	26/09/2018
Interest Rate Swaps reporting	2	Reference data and transaction reporting scenarios	MiFIR RTS 23 and 22	26/09/2018
FX Forward reporting	1	Reference data and transaction reporting scenarios	MiFIR RTS 23 and 22	07/10/2019
Reporting of reference rates not included in RTS 23 and 22	1	Reference data and transaction reporting scenarios	MiFIR RTS 23 and 22	21/05/2021
Reporting of Emission Allowances	1	Reference data and order record keeping	MiFIR RTS 23 and 24	11/07/2022
Complex trades	1	Complex trades and reporting of instrument reference data for instruments where the execution results in a complex trade	MiFIR RTS 23 and 22	04/02/2019
FIRDS fields 8 to 11	1	Population of field 8 to field 11	MiFIR RTS 23	26/09/2018
Reporting of Nominal value per unit and minimum traded value	1	Population of field 17	MiFIR RTS 23	25/03/2022
Defined List of Instruments	1	Reference data reporting	MiFIR RTS 23	08/04/2019
	1	Price not available at the time of execution	MiFIR RTS 22	03/04/2017
	2	National client identifiers for natural persons	MiFIR RTS 22	28/09/2020
	3	Circumstances where the buyer and seller in a transaction under Art. 26 of MiFIR are the same	MiFIR RTS 22	07/07/2017

Table

Column 1	4	Population of Field 30 - Quantity	MiFIR RTS 22	07/07/2017

Full table: see document.

1 Introduction

Background

The final legislative texts of Directive 2014/65/EU (MiFID II) and Regulation (EU) No 600/2014 (MiFIR) were approved by the European Parliament on 15 April 20 and by the European Council on 13 May 20. The two texts were published in the Official Journal on 12 June 20 and entered into force on the twentieth day following this publication - i.e. 2 July 20.

Many of the obligations under MiFID II and MiFIR were further specified in the Commission Delegated Directive and two Commission Delegated Regulations 5 6 , as well as regulatory and implementing technical standards developed by the European Securities and Markets Authority (ESMA).

MiFID II and MiFIR, together with the Commission delegated acts as well as regulatory and implementing technical standards will be applicable from 3 January 2018.

Purpose

The purpose of this document is to promote common supervisory approaches and practices in the application of MiFID II and MiFIR in relation to regulatory data reporting topics. It provides responses to questions posed by the general public, market participants and competent authorities in relation to the practical application of MiFID II and MiFIR.

The content of this document is aimed at competent authorities and firms by providing clarity on the application of the MiFID II and MiFIR requirements.

The content of this document is not exhaustive and it does not constitute new policy.

Status

5 Commission Delegated Regulation of 25.4.2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council as regards organisational requirements and operating conditions for investment firms and defined terms for the purposes of that Directive. The Commission Delegated Regulation was published on 25 April 201 and no objection has been expressed by the European Parliament or the Council on the MiFID II Delegate Directive and Delegated Regulation within the period set in Article 89 of MiFID II.

The question and answer (Q&A) mechanism is a practical convergence tool used to promote common supervisory approaches and practices under Article 29(2) of the ESMA Regulation.

Due to the nature of Q&As, formal consultation on the draft answers is considered unnecessary. However, even if Q&As are not formally consulted on, ESMA may check them with representatives of ESMA's Securities and Markets Stakeholder Group, the relevant Standing Committees' Consultative Working Group or, where specific expertise is needed, with other external parties.

ESMA will periodically review these Q&As on a regular basis to update them where required and to identify if, in a certain area, there is a need to convert some of the material into ESMA Guidelines and recommendations. In such cases, the procedures foreseen under Article 16 of the ESMA Regulation will be followed.

Questions and answers

This document is intended to be continually edited and updated as and when new questions are received. The date on which each section was last amended is included for ease of reference.

2 LEI of the issuer [Last update: 31/03/2023]

Question 1 [Last update: 20/12/2016] Q&A 1669

What action should be taken by the operator of the trading venue or the systematic internaliser in the cases where the LEI of the issuer cannot be obtained?

Answer 1

Operators of trading venues and systematic internalisers are advised to inform the issuers pertaining to the financial instruments concerned of their obligation to obtain the LEI of the issuer of every financial instrument in order to comply with the requirements under Article 3(2) of the MiFIR RTS, Article 1 of the MAR RTS and Article 2 of the MAR ITS. Trading venues and systematic internalisers are advised that the GLEIF has introduced the concept of 'Registration Agent'. This facility will enable trading venues and systematic internalisers to assist the issuer applying for the LEI to access the network of LEI issuing organisations. For more information on the 'Registration Agent' arrangements please refer to the following link https://www.gleif.org/en/lei-focus/how-to-get-an-lei-find-lei-issuing-organizations/registrationagents.

Question 2 [Last update: 20/12/2016] Q&A 1670

When can an operator of trading venue(s) and systematic internaliser(s) populate field 5 of Table 3 of the Annex to RTS 23 and related MAR RTS and ITS 12 with its own LEI?

Answer 2

Operators of trading venues and systematic internalisers can populate field 5 of Table 3 of the Annex to RTS 23 with their own LEI only where they create or issue themselves the financial instrument to be reported under the MiFIR and MAR obligations to supply reference data.

12 See footnote 8 and 9 respectively.

Question 3 [Last update: 20/12/2016] Q&A 1671

In case the Issuer LEI code is missing but the Ultimate Parent Code LEI is available, can the latter one be used at least for a to-be-specified grace period?

Answer 3

No, it cannot. The information about the LEI of the issuer of the financial instrument is essential to determine the relevant competent authority pursuant to Article 16 of RTS 22. For this reason, it is essential that the LEI pertaining to the issuer of the financial instrument and not that of the ultimate parent of the issuer is provided.

In general, issuers should be aware of a number of existing EU obligations that already require the LEI of the issuers to be provided (e.g. MAR, EMIR and Transparency Directive 14 ). Under MAR, the LEI of the issuer, in addition to being used in the context of providing reference data, is part of the mandatory information to be included in the notifications by persons discharging managerial responsibilities and by all persons closely associated with them 15 . Under EMIR, the LEI is mandatory for the identification of all legal entities involved in the derivative contract to be reported to the EU Trade Repositories, including financial and non-financial counterparties that enter into derivative contracts, the beneficiary of derivative contracts, the broking entity and the clearing member. Under the Transparency Directive Officially Appointed Mechanisms are obliged to obtain the LEI of the issuer of financial instruments admitted to trading on regulated markets.

Question 4 [Last update: 20/12/2016] Q&A 1672

In the case where the issuer does not pay the annual fees for maintaining its LEI to the Local Operating Unit, what is the responsibility of operators of trading venues and systematic internalisers and what measures should be taken?

Answer 4

While issuers of financial instruments should ensure that their LEI is renewed according to the terms of any of the accredited Local Operating Units of the Global Entity Identifier System, under Article 3(2) of RTS 23 operators of trading venues and systematic internalisers are not expected to ensure that the LEI pertaining to the issuer of the financial instrument has been renewed.

Question 5 [Last update: 04/02/2019] Q&A 1501

How should operators of trading venue(s) and systematic internaliser(s) populate field 5 (issuer or operator of the trading venue identifier) of Table 3 of the Annex to RTS 23 and related MAR RTS and ITS where the issuer of the instrument has a branch(es) that have a LEI?

Answer 5

Field 5 should be populated with the LEI of the firm's head office, even if the branch may be considered eligible for a LEI in some cases.

Question 6 [Last update: 19/07/2021] Q&A 1502

• (a) In case of a financial instrument issued by an Alternative Investment Fund (AIF) or; an undertakings for collective investment in transferable securities (CIUUCITS), which LEI code should be reported in the field 5 (Issuer or operator of the trading venue identifier) of RTS 23 and related RTS and ITS under MAR Article 4?
• (b) In case of a financial instrument issued by an umbrella fund that is an AIF or an UCITS, which LEI code should be reported in the field 5 (Issuer or operator of the trading venue identifier) of RTS 23 and related RTS and ITS under MAR Article 4?

Answer 6

• (a) The LEI of the fund should be reported in field 5 of RTS 23 and related RTS and ITS under MAR Article 4.
• (b) If sub-funds are part of the umbrella fund structure, then the LEI of the sub-fund should be reported in field 5 of RTS 23.

Question 7 [Last update: 25/03/2022] Q&A 1503

How should operators of trading venue(s) and systematic internaliser(s) populate field 5 (issuer or operator of the trading venue identifier) of Table 3 of the Annex to RTS 23 and related MAR RTS and ITS in case of depository receipts?

Answer 7

Field 5 should be populated with the LEI of the issuer of the financial instrument represented by the depository receipt in line with MAR Article 3 (1) (21) 19 .

*new Question 8 Q&A 740

What LEI should be used to report in FIRDS the issuer of sovereign bonds issued by an EEA member state?

Answer 8

Reporting entities should refer to the list maintained by GLEIF, available at: https://search.gleif.org/#/search/ and report the LEI pertaining to the sovereign entities included in the below list:

Table

Country	GLEIF Name	LEI

Full table: see document.

Estonia	Eesti Vabariigi Rahandusministeerium	254900EIG0O7C6C9R437
Estonia	Eesti Pank	6YJ6OTG0PYO45FO7Q425
Finland	Republic of Finland, Bonds / Suomen valtio JVK:t	743700M6Y2OQRVSBRD14
France	Direction Generale du Tresor	969500KCGF3SUYJHPV70
Germany	Bundesrepublik Deutschland	529900AQBND3S6YJLY83
Greece	Trapeza Tis Ellados	529900SL3K21WAN6X611
Greece	Hellenic Republic-Ministry of Finance	2138003EKTMKZ5598902
Hungary	Government Debt Management Agency Pte.	5299008DH62LEB10JK83
Iceland	Central Bank of Iceland	549300K5GD3JPA2LLG98
Ireland	National Treasury Management Agency	549300KXBEJAOJ9OVF93
Italy	Repubblica Italiana	815600DE60799F5A9309
Latvia	Latvijas Republikas Valsts kase	25490002QDEB2KTLNK39
Lithuania	Lietuvos bankas	5299002QI7G5XEIYAO60
Lithuania	Ministry of Finance (State Treasury Department)	529900F7Y171QF1RSU09
Luxembourg	Grand Duchy of Luxembourg	22210065LIUFB00MNF63
Malta	Republic of Malta	549300CZVZYSMSGX6X78
Netherlands	De Staat der Nederlanden	254900G14ALGVKORFN62
Norway	Finansdepartementet	549300L0BT3FJTN9MX24
Poland	Skarb Państwa Rzeczypospolitej Polskiej	259400R9L8QEP0TPXS31
Portugal	República Portuguesa (Republic of Portugal)	549300P6U1FJ3IMP7K42
Romania	Ministerul Finantelor Publice	315700IASY927EDWBK92
Slovakia	Ministerstvo financií Slovenskej republiky	097900BHFM0000074794
Slovenia	Republika Slovenija	485100000LWQHIX4XX88
Spain	Secretaría General del Tesoro y Financiación Internacional	9598007A56S18711AH60
Sweden	Riksgäldskontoret	ERE94C0BSULG2RM19605

3

Date and time of the request of admission and admission [Last update: 14/12/2017]

Question 1 [Last update: 20/12/2016] Q&A 1673

What should be populated in field 10 (Date of request for admission to trading) and field 11 (Date of admission to trading or date of first trade) in the cases where the instrument was listed far in the past, e.g. when the MIFID I rules were not yet applicable and the concept of Regulated Market had not yet been introduced?

Answer 1

If the dates and times to be provided in fields 10 and 11 are known, those dates and times should be provided even if the request for admission and the admission occurred at a time where MiFID I did not yet apply. Otherwise, either the date of establishment of the given trading venue or systematic internaliser or the application date of MiFID I (i.e. 01 November 2007) should be used, whichever date is more recent.

Question 2 [Last update: 20/12/2016] Q&A 1674

In some cases, the time of the request and of the admission is not known, e.g. when the instrument was listed far in the past or when the request was submitted by postal service. In such cases, would it be possible to populate fields 10 and 11 with a default time?

Answer 2

When the time is not available, the default time of midnight (00:00:00) should be provided.

Question 3 [Last update: 20/12/2016] Q&A 1675

Can both fields 10 and 11 be populated with the same value where the request for admission to trading and the admission to trading takes place on the same day?

Answer 3

Yes.

Question 4 [Last update: 02/02/2017] Q&A 1676

Which date and time should be populated by a trading venue in Field 10 (Date of request for admission to trading) in case it receives more than one request for admission to trading of a specific financial instrument on a given day?

Answer 4

In case more than one request for admission to trading of a specific financial instrument is received by a trading venue on a given day, Field 10 (Date of request for admission to trading) should be populated with the date and time of the first request for admission to trading.

Question 5 [Last update: 02/02/2017] Q&A 1677

Which date should be populated in Field 11 (Date of admission to trading or date of first trade) - the date and time of the admission to trading or the date and time of the first trade, order or quote?

Answer 5

Field 11 (Date of admission to trading or date of first trade) should be populated with the date and time of the event which takes place first.

Question 6 [Last update: 14/12/2017] Q&A 1678

What date should be populated in RTS 23Annex Table 3 Field 11 (Date of admission to trading or date of first trade) where the actual date is still unknown and the issuer makes the request for admission to trading (Field 8)?

Answer 6

If Field 11 (Date of admission to trading or date of first trade) is not known at the time of submission of reference data for FIRDS it should be reported with the default value of 999912-31T00:00:00, unless the financial instrument has a maturity/termination date, in which case that date should be used. As soon as date of admission to trading or date of first trade is known the FIRDS reference data should be amended with the actual date.

4 Instrument identification code and Underlying instrument code [Last update: 25/03/2022]

Question 1 [Last update: 25/03/2022] Q&A 1504

What ISINs, CFI codes and FISNs can be used to identify financial instruments?

Answer 1

For the purpose of reporting reference data under the requirements of MiFIR Article 22 & 27, ISO 6166 ISINs, ISO 10962 CFI codes and ISO 18774 FISNs issued by the relevant National Numbering Agency (NNA) should be used. For further information please refer to the following link: http://www.anna-web.org/standards/about-identification-standards/.

Question 2 [Last update: 02/02/2017] Q&A 1679

By when do ISINs have to be obtained for financial instruments submission of reference data for which is triggered by an order, quote or trade taking place?

Answer 2

For financial instruments for which submission of reference data is triggered by an order, quote or trade taking place, the ISINs have to be allocated in time to be included in the submission of reference data required under Article 2 of RTS 23.

Question 3 [Last update: 02/02/2017] Q&A 1680

How should Field 26 (Underlying instrument code) be populated in the case of a futures contract on sovereign bonds?

Answer 3

In case of a futures contract on sovereign bonds, field 26 (Underlying instrument code) should be populated with the ISIN of the cheapest-to-deliver bond. If this is unknown, this field should be populated with the ISIN of any of the bonds issued by the issuer. This concept also applies to transaction reports under Article 26 MIFIR for OTC derivatives where the underlying deliverable bond can be chosen from several bonds issued by the same issuer.

5 Maturity Date, expiry date and termination date [Last update: 04/02/2019]

Question 1 [Last update: 04/02/2017] Q&A 1681

What date should be populated in Field 15 (Maturity date) for perpetual debt financial instruments?

Answer 1

For perpetual debt financial instruments field 15 (Maturity date) should be populated with the value 9999-12-31 (in accordance with the ISO format).

Question 2 [Last update: 04/02/2019] Q&A 1682

How should Field 15 (Maturity date) of Table 3 of the Annex to RTS 23 and related MAR RTS and ITS be populated in case of trading in bonds after their originally intended maturity date?

Answer 2

For bonds that were not paid out on the originally intended maturity date (and therefore have not expired, because, for example, they defaulted), the maturity date should be set to 999912-31 (in accordance with the ISO format, like for perpetual debt financial instruments) until they are finally paid out, in which case the maturity date should be updated with the actual date of redemption'.

Question 3 [Last update: 04/02/2019] Q&A 1683

How should field 15 (maturity date) and field 24 (expiry date) of Table 3 of the Annex to RTS 23 and related MAR RTS and ITS be populated, if these dates are non-trading dates, e.g. a weekend or a bank holiday?

Answer 3

The maturity date/expiry date defined by the issuer or the prospectus of the financial instrument should be used. No adjustment should be made to the next or previous working day for the purpose of instrument reference data reporting.

Question 4 [Last update: 04/02/2019] Q&A 1684

When should an instrument be terminated in FIRDS?

Answer 4

When field 12 (termination date) of Table 3 of the Annex to RTS 23 and related MAR RTS and ITS is initially left empty, the reporting entity is expected to fill it in when the instrument is going to be terminated. This also includes the cases when the given instrument has matured/expired, i.e. where fields 15 (maturity date) or 24 (expiry date) are applicable to the given instrument and are populated in the report.

The termination date should be earlier than or equal to the maturity/expiry date in the cases where the maturity/expiry date is populated.

Question 5 [Last update: 29/07/2019] Q&A 1685

What date should be populated in Field 24 (Expiry date) of RTS 23 for financial instruments without a defined expiry date [e.g. perpetual FX Rolling Spot Futures] for which the population of Field 24 is mandatory according to the CFI validation rules?

Answer 5

For instruments without a defined expiry date for which the population of Field 24 (Expiry date) is mandatory according to the CFI validation rules [e.g. perpetual FX Rolling Spot Futures] Field 24 should be populated with the value 9999-12-31 (in accordance with the ISO format). In case the expiry date becomes determined during the life cycle of the financial instrument Field 24 should be updated accordingly.

6 Classification of Financial Instruments (CFI) and Financial Instrument Short Name (FISN) [Last update: 02/02/2017]

Question 1 [Last update: 02/02/2017] Q&A 1686

Which version of the CFI is applicable for the purposes of the Commission Delegated Regulation [RTS 23]?

Answer 1

For the purposes of reporting reference data under the requirements of the RTS 23, the ISO 10962:2015 CFI code is applicable.

7 Request for admission to trading by issuer [Last update: 02/02/2017]

Question 1 [Last update: 02/02/2017] Q&A 1687

How should Field 8 (Request for admission to trading by issuer) be populated?

Answer 1

Field 8 (Request for admission to trading by issuer) should be populated with 'true' if the request for admission to trading was received from the issuer or the trading venue is aware of the issuer's approval for admission of its financial instrument to trading. Otherwise it should be populated with 'false'.

8 Base Point Spread of the index/benchmark of a floating rate bond [Last update: 02/02/2017]

Question 1 [Last update: 02/02/2017] Q&A 1688

In case of a decimal field with insufficient granularity to accommodate the complete actual value how should the field be populated, for example in the case of a base point spread with a 0.5 base point, how should the value be reported in Field 22 (Base Point Spread of the index/benchmark of a floating rate bond)?

Answer 1

In case of a decimal field with insufficient granularity to accommodate the complete actual value, the value has to be rounded up/down to the next integer. For the given example of base point spread with a 0.5 base point, the base point spread would be populated with a value of 1.

9 Field 23 - Seniority of the Bond [Last update: 03/04/2017]

Question 1 [Last update: 03/04/2017] Q&A 1689

Do the same standards apply to the character denoting seniority of a bond in field 3 and the attributes listed in field 23 (seniority of the bond) of RTS 23 of MiFIR?

Answer 1

No, different standards apply to field 3 and field 23 of RTS 23. Field 3 is populated for all instruments with the ISO 10962:2015 CFI code while field 23 is populated according to ISO 20022 standard and only applies to debt instruments. There is no validation rule in place that compares the value in field 3 with that populated in field 23.

10 Business Case: Inflation Indexed bond [Last update:

03/04/2017]

Question 1 [Last update: 03/04/2017] Q&A 1690

How should transactions on 'inflation indexed bonds' be reported under RTS 22?

Answer 1

Example of transaction report on 'inflation indexed bonds':

An investment firm acquires a DBRI 0.1% 04/15/2026 (ISIN Code DE0001030567) by trading over the counter at 110.00%. The nominal value of the transaction is 1000000 EUR.

The net amount for this transaction is 1111274.01 EUR.

Considering that for the purpose of this example:

The static characteristics (as defined upon the issue of the financial instrument) are:

• -Maturity Date: April 15 th 2026
• -Coupon frequency: Annual
• -Day Count Convention: ACT/ACT
• -Day to Settle Convention: 2 business days after the trade date

The variables (dynamic characteristics depending on the market conditions) are:

• -Trade Date: July 25 th 2016
• -Settlement Date: July 27 th 2016 (as per the Day to Settle Convention)
• -Last Coupon Date: April 15 th 2016
• -Next Coupon Date: April 15 th 2017
• -Accrued number of days: 103 (i.e., the number of days between the Last Coupon Date and the Settlement Date)
• -Period basis: 365 (i.e., the total number of days between the Last Coupon Date and the Next Coupon Date)
• -Quantity: 1000000 (i.e., the nominal or monetary value of the transaction)
• -Clean price: 110.00
• -Index ratio: 1.009990
• -Accrued interest: 0.02821918 (i.e., 𝑁𝑜𝑚𝑖𝑛𝑎𝑙 𝐶𝑜𝑢𝑝𝑜𝑛 𝐴𝑛𝑛𝑢𝑎𝑙 𝐶𝑜𝑢𝑝𝑜𝑛 𝐹𝑟𝑒𝑞𝑢𝑒𝑛𝑐𝑦 x 𝐴𝑐𝑐𝑟𝑢𝑒𝑑 𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝐷𝑎𝑦𝑠 𝑃𝑒𝑟𝑖𝑜𝑑 𝑏𝑎𝑠𝑖𝑠 = 0.1 1 x 103 365 )

The net amount will be calculated as follows (pursuant to the formula provided in field 35 of RTS 22):

Net amount 22 = [(Clean price x Nominal value) + (Accrued coupons x Nominal value)] x Index ratio i.e. [(( 110 100 x 1000000 EUR) + ( 0.02821918 100 x 1000000 EUR))] x 1.009990 =1111274.01 EUR.

N	Field name	Values	XML representation
30	Quantity	'1000000'	... ... 1000000 110.00 1111274.01 XOFF

11 Field 14 and Field 17 - Total issued nominal amount [Last update: 26/09/2018]

Question 1 Q&A 1691

In the case of Bonds or other forms of securitised debt, what should be reported in Commission Delegated Regulation (EU) 2017/585 Annex Table 3 Field 14 (Total issued nominal amount) if the total nominal amount changes? Similarly, what should be reported in Commission Delegated Regulation (EU) 2017/585 Annex Table 3 Field 17 (Nominal value per unit/minimum traded value) if nominal value per unit/minimum traded value changes?

Answer 1

In the case of Bonds or other forms of securitised debt, a trading venue should update Field 14 (Total issued nominal amount) accordingly if the total nominal amount changes (increasing or decreasing). The same approach should be applied to Field 17 (Nominal value per unit/minimum traded value). Trading venues are not expected to report under Field 14 the total size of the issuance programme (i.e. the total nominal amount that can be issued under this programme) under which the specific instruments have been issued but only the nominal amount effectively issued for the specific ISIN being reported (and taking into account the tap issuances and buy-backs that might occur for this specific ISIN).

12 Field 30 - Quantity [Last update: 07/07/2017]

Question 1 Q&A 1692

How shall Field 30 (Quantity) in Commission Delegated Regulation (EU) 2017/590 Annex I Table 2 be reported for a transaction where there have previously been acquisitions or disposals that are excluded from the meaning of a transaction? For example, a decrease in notional amount in a financial instrument which has previously had pre-determined contractual down payments exempted from transaction reporting under Commission Delegated Regulation (EU) 2017/590 Article 2(5)(j)?

Answer 1

Competent authorities require an accurate and holistic view of transactions that are within the scope of reporting requirements under Article 26 of MiFIR. Therefore, Article 15(5) of Commission Delegated Regulation (EU) 2017/590 obliges an Investment Firm to ensure that a collective view of the transaction reports reported by the Investment Firm as the executing entity accurately reflects all changes in its position and in the position of its clients that arise from reportable transactions.

It should be noted that the reporting requirements are not intended to capture the Investment Firm's or the Investment Firm's client's actual position. What is of interest to competent authorities is the change of position resulting from reportable transactions. Therefore only acquisitions or disposals that are reportable transactions under Article 2 of Commission Delegated Regulation (EU) 2017/590 are reported and only the amount of the acquisition or disposal that takes place at the date time of the execution of the reportable transaction should be reported in field 30.

Scenario: Decrease in notional amount of a financial instrument originally reported with a notional amount of EUR 10 mill. The instrument has an ongoing amortisation cash flow and after 2 years, the contract has a remaining notional of EUR 8.5 million due to amortisations, i.e. contractually pre-determined payments that have not been reported due to the exemptions under Article 2(5)(j) of Commission Delegated Regulation (EU) 2017/590. The contract is then terminated, i.e. the notional amount is decreased to zero, in a transaction that was not contractually pre-determined to take place.

Field 30 (Quantity) shall be populated with 8.5 mill. This corresponds to the actual decrease of notional and it reflects the change in position of the investment firm resulting from a reportable transaction at the point of execution.

13 Reference Data for financial instruments [Last update: 07/07/2017]

Question 1 Q&A 1693

What information trading venues need to provide with respect to reference data reported under Commission Delegated Regulation (EU) 2017/585 for bonds where the coupon is calculated based on a complex formula involving several indices?

Answer 1

In case of bonds for which the coupon is calculated based on a complex formula that involves several indices, trading venues should provide the reference data using the following default values:

• -Field 18 ('Fixed Rate') and Field 19 ('Identifier of the index / benchmark of a floating rate bond') should be left blank ;
• -Field 20 ('Name of the index / benchmark of a floating rate bond') should be populated with the expression 'FORMULA';
• -Field 21 ('Term of index / benchmark of a floating rate bond') should be populated with '0 'DAYS'';

14 Financial instruments' volatile attributes [Last update: 05/10/2017]

Question 1 [Last update: 05/10/2017] Q&A 1694

• (a) How to complete reference data and transaction reports for financial instruments with a fixed rate that is a volatile attribute.
• (b) How to complete reference data and transaction reports for financial instruments with a strike price that is a volatile attribute.

Answer 1

• (a) Where a swap rate or forward rate financial contract is quoted as the fixed rate and it is considered to be an attribute of the transaction rather than an attribute of the financial instrument, the respective reports should be completed as follows:

Transaction report - the price (field 33) of the transaction should be populated with the fixed rate value. The upfront payment (field 38) should be populated with a value of zero.

Reference data report - the relevant fixed rate leg (field 43 or 44) of the financial contract should not be populated

The above is applicable to the financial instruments with specific CFI codes for which the fixed rate is considered as a volatile attribute. The CFI validation document will be kept up to date to reflect that the fixed rate related fields should be non-applicable for the relevant CFI codes.

• (b) Where the strike price of a financial contract is considered to be an attribute of the transaction rather than an attribute of the instrument then the respective reports shall be completed as follows:

Transaction report - the price (field 33) of the transaction shall be populated with the strike price value. The upfront payment (field 38) shall be populated with the value of the option premium.

Reference data - the strike price field shall not be populated.

The above is applicable to the financial instruments with specific CFI codes for which the strike price is considered as a volatile attribute. The CFI validation document will be kept up to date to reflect that this field should be non-applicable for these codes.

If the trading model deviates from (a) and (b) above then the transaction report shall be completed in line with ESMA's published guidelines for transaction reporting, order record keeping and clock synchronisation under MiFID II. In all cases transaction reports must be reported consistently with reference data.

15 FX Swaps reporting [Last update: 26/09/2018]

Question 1 Q&A 1695

How should a transaction in an FX swap admitted to trading on a trading venue or traded on a trading venue be reported under Article 26 and Article 27 of MiFIR?

Answer 1

If the instrument executed on a trading venue was an FX swap, it should be reported as an executed FX swap based on the requirement of Article 26(1) and in accordance with this Q&A. The same principle will apply to trading carried out outside of the trading venue.

If the instrument executed on a trading venue was an FX forward, it should be reported as an executed FX forward based on the requirement of Article 26(1). The same principle will apply to trading carried out outside of the trading venue.

If the instrument admitted to trading or traded on a trading venue was an FX swap, it should be reported as an FX swap based on the requirement of Article 27(1) and in accordance with this Q&A.

If the instrument admitted to trading or traded on a trading venue was an FX forward, it should be reported as an FX forward based on the requirement of Article 27(1).

Examples

On March 13th 2018, investment firms A and B enter in a EUR/GBP (the currency mentioned first is the 'base' currency. The other currency is the 'terms' or 'quote' currency) spot-forward swap or a forward starting swap instrument on a trading venue regardless of how the instrument has been subsequently confirmed or settled. The instrument has the following characteristics:

• -notional of the instrument: 1M€;
• -maturity date of the instrument: September 15th 2018;
• -the tenor of this instrument is 6 months
• -ISIN code of the financial instrument: EZ0123456789;
• -the price of the instrument is given in 5 swap points26 expressed in units of terms currency per unit of base currency according to the market convention for the currency pair which is this example is 0.0001£ per 1€;
• -The EURGBP FX spot rate reference is 0.8200.

The counterparty 27 that for the far leg (which is closer to the maturity date) is delivering the currency which is first when sorted alphabetically by ISO 4217 standard should be identified as seller. Therefore, the party which, on the near leg, delivers the currency which is first when sorted alphabetically should be identified as buyer.

In our example, investment firm B who will (in 6 months) receive the GBP and deliver the EUR is the seller of the FX Swap. Investment firm A who will (in 6 months) deliver the GBP and receive the EUR is the buyer of the FX swap.

The relevant fields in the transaction reporting as per article 26 of MIFIR should look like:

26 The swap points are the difference between the rate for the near leg and the rate for the far leg

27 As per Article 9 EMIR, and Question 24 of the Q&A No 648/2012 on OTC derivatives

#	Field	Reporting of IF A	Reporting of IF B
7	Buyer	LEI of IF A	LEI of IF A
16	Seller	LEI of IF B	LEI of IF B
28	Trade date time	2018-03- 13:Thh:mm:ss:ddddddZ	2018-03- 13:Thh:mm:ss:ddddddZ
30	quantity	1,000,000	1,000,000
31	quantity currency	EUR	EUR
33	price	0.0005	0.0005
34	Price currency	GBP	GBP
36 28	Venue	{MIC}	{MIC}
41	instrument identification code	EZ0123456789	EZ0123456789

The price should be populated with the swap points and the monetary value XML tag should be used 29 .

In the quantity field #30 the executing entity (buyer and seller) should report the amount of the FX SWAP in the base currency for the front (near) leg.

In the quantity currency field #31, the executing entity (buyer and seller) should report the base currency of the FX SWAP.

The price currency field should be populated with the terms currency i.e. GBP in this example.

The below table shows how the transaction reports would change if the amount or currency of the notional differed. The fields 13 and 47 (see next page) in the reference data (RTS 23) will remain unchanged.

Scenario 1 (example above) EURGBP; Notional amount: EUR 1 million	Scenario 2 EURGBP; Notional amount: GBP 1 million

	Firm A: 'I want a EURGBP FX Swap. The notional amount is EUR 1 million.' Firm B: 'My offer is 5 (swap points). The EURGBP FX spot rate reference is 0.8200.'	Firm A: 'I want a EURGBP FX Swap. The notional amount is GBP 1 million.' Firm B: 'My offer is 5 (swap points). The EURGBP FX spot rate reference is 0.8200.'
FX spot rate reference (applies to front leg)	0.8200	0.8200
Swap points	0.0005	0.0005
FX forward rate reference (applies to far leg)	0.8205	0.8205
Cash flows 30
Front leg (EUR payment)	-1,000,000	-1,219,512
Front leg (GBP payment)	820,000	1,000,000
Far leg (EUR payment)	1,000,000	1,218,769
Far leg (GBP payment)	-820,500	-1,000,000
Transaction report
Field 4 executing entity identification code firm	LEI of IF A	LEI of IF A
Field 7 Buyer	LEI of IF A	LEI of IF A
Field 16 Seller	LEI of IF B	LEI of IF B
Field 30 quantity	1,000,000	1,219,512
Field 31 Quantity currency	EUR	EUR
Field 33 Price (monetary value)	0.0005	0.0005
Field 34 Price currency	GBP	GBP
Field 41 instrument identification code	EZ0123456789	EZ0123456789

The quantity in field 30 in the transaction report is always shown as positive.

The examples show the reports of firm A but the reports of firm B would be identical.

As per article 27 of MiFIR, the trading venue or SI admitting to trade or trading this instrument shall report it in FIRDS. The following table shows the expected reporting of the instrument reference data by trading venues or SI (only the relevant fields are displayed):

#	Field	Value
1	Instrument identification code	EZ0123456789

3	Instrument classification	SFA*** or SFC*** 31
13	Notional currency 1	EUR
24	Expiry date	2018-09-15
34	Delivery type	'PHYS' 32
47	Notional currency 2	GBP

Notional currency 1 should be populated with the 1st currency when sorted alphabetically by ISO 4217 standard.

Notional currency 2 should be populated with the second currency when sorted alphabetically by ISO 4217 standard.

16 Interest Rate Swaps reporting [Last update: 26/09/2018]

Question 1 Q&A 1696

What is the relationship between the interest rate term of the interest rate swap contract (tenor) field 41 33 and expiry date and the ISIN?

Answer 1

If the expiry date and the interest rate term of the contract (tenor) are the same and the other fields in the reference data are the same then the instrument will have the same ISIN. So, for example, a forward starting contract that has the same expiry date and tenor and the same other characteristics as a contract starting immediately will have the same ISIN (see Examples 1-3 in the table below) and if the tenor and/or expiry of two instruments that otherwise share the same characteristics differ then they will have a different ISIN (see Examples 3-7 in the table below).

Examples

Scenari o	Trading date	Amount of forward start/effectiv e from date Field (IR of	41 term	Expiry date

			contract) 34
1	28/02/201 8	2 years (28/02/2020)	8 YEARS	28/02/2028 (28/02/2018 + 2 Y + 8Y)	EZ000000000 1
2	28/02/201 9	1 year (28/02/2020)	8 YEARS	28/02/2028 (28/02/2019+1Y+8 Y)	EZ000000000 1
3	28/02/202 0	None (28/02/2020)	8 YEARS	28/02/2028 (28/02/2020+8Y)	EZ000000000 1
4	26/02/201 8	2 years (26/02/2020)	8 YEARS	26/02/2028 (26/02/2018+2Y+8 Y)	EZ000000000 2
5	28/02/201 8	5 years (28/02/2023)	5 YEARS	28/02/2028 (28/02/2018+5Y+5 Y)	EZ000000000 3
6	28/02/201 8	6 years (28/02/2024)	4 YEARS	28/02/2028 (28/02/2018+6Y+4 Y)	EZ000000000 4
7	28/02/202 0	2 years (28/02/2022)	8 YEARS	28/02/2030 (28/02/2018+ 2Y+8Y)	EZ000000000 5

The instrument reference data would be as follows:

Rules for population of fields	Field no.	Field Name
	1	Instrument identification code
	3	Instrument classification
The currency of leg 1 35	13	Notional currency 1
	24	Expiry date
	25	Price multiplier
the floating rate in case of a fixed/floating IRS or the floating rate of leg 1 36 in a floating/floating IRS	28	Underlying index name
the floating rate in case of a fixed/floating IRS or the floating rate of leg 1 36 in a floating/floating IRS	29	Term of the underlying index

Table

The value P - Physical is to be used when an interest rate swap is Deliverable where Deliverable means that the settlement, i.e. payment, currency amounts are paid in the respective reference currency for each leg of the swap for which the payments are being made. The value C - Cash is to be used when an interest rate swap is Non-Deliverable where Non-Deliverable means that the settlement, i.e. payment, currency amounts are paid in a currency other than the respective reference currency for each leg of the swap for which the payments are being made.	34	Delivery type

Full table: see document.

Example: A contract has a term of 19 years 11 months and 6 days = 19*12 + 11 months with remainder of 6 days, which is rounded down. Therefore, the term is 239 months.

39 It is a volatile element and will therefore not be populated.

	44 40	Fixed rate of leg 2
The information of the floating rate of leg 2 (the other leg) in floating/floating IRS	45	Floating rate of leg 2
The information of the floating rate of leg 2 (the other leg) in floating/floating IRS	46	IR Term of contract of leg 2

Question 2 Q&A 1697

How should a transaction in an interest rate swap admitted to trading on a trading venue or traded on a trading venue be reported under Article 26 and Article 27 of MiFIR?

Answer 2

Example 1: CFI code SRCS fixed-floating with single currency

The principles for reporting of a fixed-floating swap are covered in the ESMA Q&A 1 in section 14 on financial instruments' volatile attributes.

10 Years 3% EUR VS EURIBOR 6 MONTHS

Investment Firm X buys an interest rate swap (ISIN EZ0000000006) from Investment Firm Y at a notional amount of EUR 100,000,000 on Trading Venue M on 26 February 2018 at 12:05:41:567 UTC. The expiry date of the swap is 28 February 2028.

Firm X pays 3% while Firm Y pays EURIBOR 6 Months

Transaction report would be as follows:

N	Field	Values Report Investment Firm X	Values Report Investment Firm Y
4	Executing entity identification code	{LEI} of Investment Firm X	{LEI} of Investment Firm Y
7	Buyer identification code	{LEI} of Investment Firm X	{LEI} of Investment Firm X
16	Seller identification code	{LEI} of Investment Firm Y	{LEI} of Investment Firm Y

28	Trading date time	2018-02- 26T12:05:41:56 7	2018-02- 26T12:05:41:56 7
30	Quantity '100000000'		'100000000'
31