2023/945 - amending the regulatory technical standards laid down in

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

Instrument

Commission Delegated Regulation (EU) 2023/945 (RTS)

Drafted by

ESMA

Legal basis

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 MiFIR

Status

Machine-verified; awaiting MiFIR Level-2 family sample approval

Source

EUR-Lex

Recitals

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.
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.
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.
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.
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.
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.
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.
Delegated Regulation (EU) 2017/583 should therefore be amended accordingly.
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.
This Regulation is based on the draft regulatory technical standards submitted to the Commission by ESMA.
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),

Article 1 — Amendments to Delegated Regulation (EU) 2017/583

Delegated Regulation (EU) 2017/583 is amended as follows:\

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.’;\
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).\
Article 13 is amended as follows: a) in paragraph 5, the following subparagraph is added: ‘The data referred to in the first subparagraph shall be collected in accordance with Annex V.’; b) paragraphs 17 and 18 are replaced by the following: ‘17. Competent authorities shall ensure the publication of the results of the calculations referred to under paragraph 5 for each financial instrument and class of financial instrument by 30 April of the year following the date of application of Regulation (EU) No 600/2014 and by 30 April of each year thereafter. The results of the calculations shall apply from the first Monday of June each year following publication until the day before the first Monday of June of the subsequent year. 18. For the purposes of the calculations referred to in paragraph 1, point (b)(i) and by way of derogation from paragraphs 7, 15 and 17, competent authorities shall, in respect of bonds except ETCs and ETNs, ensure the publication of the calculations referred to under paragraph 5, point (a) on a quarterly basis, on the first Monday of February, May, August and November following the date of application of Regulation (EU) No 600/2014 and on the first Monday of February, May, August and November each year thereafter. The calculations shall include transactions executed in the Union during the preceding calendar quarter and shall apply from the third Monday of February, May, August and November each year until the calculations of the subsequent quarterly period apply.’;\
Annex I is replaced by the text in Annex I to this Regulation;\
Annex II is amended in accordance with Annex II to this Regulation;\
Annex III is amended in accordance with Annex III to this Regulation;\
Annex IV is amended in accordance with Annex IV to this Regulation;\
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.

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:\

Table 2 is replaced by the following: ‘ Table 2 List of details for the purpose of post-trade transparency

Field identifier

Financial instruments

Description and details to be published

Type of execution or publication venue

Format to be populated as defined in Table 1

Trading date and time

For all financial instruments

Date and time when the transaction was executed. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Commission Delegated Regulation (EU) 2017/574 (1). For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies, as specified in fields 31, 34 and 44 of Table 2 of Annex I of Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 4 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission.

Regulated Market (RM) Multilateral Trading Facility (MTF), Organised Trading Facility (OTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP)

{DATE_TIME_FORMAT}

Instrument identification code

For all financial instruments

Code used to identify the financial instrument

RM, MTF, OTF, APA, CTP

{ISIN}.

Price

For all financial instruments

Traded price of the transaction excluding, where applicable, commission and accrued interest. The traded price shall be reported in accordance with standard market convention. The value provided in this field shall be consistent with the value provided in the field “Price Notation”. Where price is currently not available but pending (“PNDG”) or not applicable (“NOAP”), this field shall not be populated.

RM, MTF, OTF, APA, CTP

{DECIMAL-18/13} in case the price is expressed as monetary value {DECIMAL-11/10} in case the price is expressed as percentage or yield {DECIMAL-18/17} in case the price is expressed as basis points

Missing Price

For all financial instruments

Where price is currently not available but pending, the value shall be “PNDG”. Where price is not applicable the value shall be “NOAP”.

RM, MTF, OTF, APA, CTP

“PNDG” in case the price is not available “NOAP” in case the price is not applicable

Price currency

For all financial instruments

Major currency in which the price is expressed (applicable if the price is expressed as monetary value).

RM, MTF, OTF, APA, CTP

{CURRENCYCODE_3}

Price notation

For all financial instruments

Indication as to whether the price is expressed in monetary value, in percentage, in basis points or in yield The price notation shall be reported in accordance with standard market convention. For credit default swaps, this field shall be populated with “BAPO”. For bonds (other than ETNs and ETCs) this field shall be populated with percentage (PERC) of the notional amount. Where a price in percentage is not the standard market convention, it shall be populated with YIEL, BAPO or MONE, in accordance with the standard market convention. The value provided in this field shall be consistent with the value provided in the field “Price”. Where the price is reported in monetary terms, it shall be provided in the major currency unit. Where the price is currently not available but pending (“PNDG”) or not applicable (“NOAP”), this field shall not be populated.

RM, MTF, OTF, APA, CTP

“MONE” — Monetary value “PERC” — Percentage “YIEL” — Yield “BAPO” — Basis points

Quantity

For all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation.

For financial instruments traded in units, the number of units of the financial instrument. Empty otherwise.

RM, MTF, OTF, APA, CTP

{DECIMAL-18/17}

Quantity in measurement unit

For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b) of this Regulation.

The equivalent amount of commodity or emission allowance traded expressed in measurement unit.

RM, MTF, OTF, APA, CTP

{DECIMAL-18/17}

Notation of the quantity in measurement unit

Indication of the notation in which the quantity in measurement unit is expressed.

RM, MTF, OTF, APA, CTP

“TOCD” — tonnes of carbon dioxide equivalent, for any contract related to emission allowances “TONE” — metric tonnes “MWHO” — megawatt hours “MBTU” — one million British thermal units “THMS” — Therms “DAYS”— days or {ALPHANUM-4} otherwise

Notional amount

For all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation.

This field shall be populated: (i) / for bonds (excluding ETCs and ETNs), with the face value, which is the amount repaid at redemption to the investor; (ii) / for ETCs and ETNs and securitised derivatives, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field; (iii) / for structured finance products (SFPs), with the nominal value per unit multiplied by the number of instruments at the time of the transaction; (iv) / for credit default swaps, with the notional amount for which the protection is acquired or disposed of; (v) / for options, swaptions, swaps other than those in (iv), futures and forwards, with the notional amount of the contract; (vi) / for emission allowances, with the resulting amount of the quantity at the relevant price set in the contract at the time of the transaction. Equivalently, with the price field multiplied by the quantity in measurement unit field; (vii) / for spread bets, with the monetary value wagered per point movement in the underlying financial instrument at the time of the transaction; (viii) / for contracts for difference, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field.

RM, MTF, OTF, APA, CTP

{DECIMAL-18/5}

Notional currency

For all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation.

Major currency in which the notional amount is denominated. In the case of an FX derivative contract or a multi-currency swap or a swaption where the underlying swap is multi-currency or a currency CFD or spread-betting contract, this will be the notional currency of leg 1.

RM, MTF, OTF, APA, CTP

{CURRENCYCODE_3}

Type

For emission allowances and emission allowance derivatives only

This field is only applicable for emission allowances and emission allowance derivatives.

RM, MTF, OTF, APA, CTP

“EUAE” — EUA “CERE” — CER “ERUE” — ERU “EUAA” — EUAA “OTHR” — Other

Venue of execution

For all financial instruments

Identification of the venue where the transaction was executed. Use the ISO 10383 segment MIC for transactions executed on an EU trading venue. Where the segment MIC does not exist, use the operating MIC. Use “SINT” for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser. Use MIC code “XOFF” for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is neither executed on an EU trading venue nor executed by a systematic internaliser. If the transaction is executed on an organised trading platform outside of the EU then in addition to “XOFF” also the population of the field “Third-country trading venue of execution” is required.

RM, MTF, OTF, APA, CTP

{MIC} – EU trading venues or “SINT” — systematic internaliser “XOFF” — otherwise

Third-country trading venue of execution

For all financial instruments

Identification of the third-country trading venue where the transaction was executed. Use the ISO 10383 segment MIC. Where the segment MIC does not exist, use the operating MIC. Where the transaction is not executed on a third-country trading venue, the field shall not be populated.

APA, CTP

{MIC}

Publication Date and Time

For all financial instruments

Date and time when the transaction was published by a trading venue or APA. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Delegated Regulation (EU) 2017/574. For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second.

RM, MTF, OTF, APA, CTP

{DATE_TIME_FORMAT}

Venue of publication

For all financial instruments

Code used to identify the trading venue and APA publishing the transaction.

CTP

Trading venue: {MIC} APA: {MIC} where available. Otherwise, 4 character code as published in the list of data reporting services providers on ESMA's website.

Transaction Identification Code

For all financial instruments

Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580 (2)) and APAs and used in any subsequent reference to the specific trade. The transaction identification code shall be unique, consistent and persistent per ISO 10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day. Where the APA does not use MICs, it shall be unique, consistent and persistent per 4-character code used to identify the APA per trading day. The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained

RM, MTF, OTF, APA, CTP

{ALPHANUMERICAL-52}

Transaction to be cleared

For derivatives

Code to identify whether the transaction will be cleared.

RM,MTF, OTF, APA, CTP

“TRUE” — transaction to be cleared “FALSE” — transaction not to be cleared

Table 3 is replaced by the following: ‘ Table 3 List of flags for the purpose of post-trade transparency

Flag

Name

Type of execution or publication venue

Description

“BENC”

Benchmark transaction flag

RM, MTF, OTF, APA, CTP

Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price.

“ACTX”

Agency cross transaction flag

APA, CTP

Transactions where an investment firm has brought together two clients’ orders with the purchase and the sale conducted as one transaction and involving the same volume and price.

“NPFT”

Non-price forming transaction flag

RM, MTF, OTF, CTP

Non-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590.

“LRGS”

Post-trade LIS transaction flag

RM, MTF, OTF APA CTP

Transactions executed under the post-trade large in scale deferral.

“ILQD”

Illiquid instrument transaction flag

RM, MTF, OTF, APA, CTP

Transactions executed under the deferral for instruments for which there is not a liquid market.

“SIZE”

Post-trade SSTI transaction flag

RM, MTF, OTF APA, CTP

Transactions executed under the post-trade size specific to the instrument deferral.

“TPAC”

Package transaction flag

RM, MTF, OTF, APA, CTP

Package transactions which are not exchange for physicals as defined in Article 1.

“XFPH”

Exchange for physicals transaction flag

RM, MTF, OTF, APA, CTP

Exchange for physicals as defined in Article 1.

“CANC”

Cancellation flag

RM, MTF, APA, CTP

When a previously published transaction is cancelled.

“AMND”

Amendment flag

RM, MTF, APA, CTP

When a previously published transaction is amended.

“PORT”

Portfolio trade flag

RM, MTF, APA, CTP

Transaction in five or more different financial instruments where those transactions are traded at the same time by the same client and against a single lot price and that is not a “package transaction” as referred to in Article 1(1).

SUPPLEMENTARY DEFERRAL FLAGS

Article 11(1)(a)(i).

“LMTF”

Limited details flag

RM, MTF, OTF, APA, CTP

First report with publication of limited details in accordance with Article 11(1), point (a)(i).

“FULF”

Full details flag

Transaction for which limited details have been previously published in accordance with Article 11(1), point (a)(i).

Article 11(1)(a)(ii).

“DATF”

Daily aggregated transaction flag

RM, MTF, OTF, APA, CTP

Publication of daily aggregated transaction in accordance with Article 11(1), point (a)(ii).

“FULA”

Full details flag

RM, MTF, OTF, APA, CTP

Individual transactions for which aggregated details have been previously published in accordance with Article 11(1), point (a)(ii).

Article 11(1)(b)

“VOLO”

Volume omission flag

RM, MTF, OTF, APA, CTP

Transaction for which limited details are published in accordance with Article 11(1), point (b).

“FULV”

Full details flag

RM, MTF, OTF, APA, CTP

Transaction for which limited details have been previously published in accordance with Article 11(1), point (b)

Article 11(1)(c)

“FWAF”

Four weeks aggregation flag

RM, MTF, OTF, APA, CTP

Publication of aggregated transactions in accordance with Article 11(1), point (c).

“FULJ”

Full details flag

RM, MTF, OTF, APA, CTP

Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1), point (c).

Article 11(1)(d)

“IDAF”

Indefinite aggregation flag

RM, MTF, OTF, APA, CTP

Transactions for which the publication of several transactions in aggregated form for an in definite period of time has been allowed in accordance with Article 11(1), point (d).

Consecutive use of Article 11(1)(b) and Article 11(2)(c) for sovereign debt instruments

“VOLW”

Volume omission flag

RM, MTF, OTF, APA, CTP

Transaction for which limited are published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time will be consecutively allowed in accordance with Article 11(2), point (c).

“COAF”

Consecutive aggregation flag (post volume omission for sovereign debt instruments)

RM, MTF, OTF, APA, CTP

Transactions for which limited details have been previously published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time has consecutively been allowed in accordance with Article 11(2), point (c).’

Table 4 is replaced by the following: ‘ Table 4 Measure of volume

Type of instrument

Volume

All bonds except ETCs and ETNs and structured finance products