MiFID II Working Group VDF Structures per 09.03€¦ · MiFID II Working Group VDF Structures per 09.03.2017 Update of the proposed new structures for VDF release 01/2017 . Page Financial

Manuel Alonso, V2.1, 09.03.2017

MiFID II Working Group

VDF Structures per 09.03.2017 Update of the proposed new structures for VDF release 01/2017

Financial Information Page

• This update shows the latest version of the structural changes related to

MiFID II and planned to be implemented with VDF release 01/2017

• Proposed new structure – technical explanation and examples

• Specific topics

• Outlook / road map for 2017

• Varia / next working group meeting

Agenda

13/03/2017 2


• Pre / post trade transparency

• Reporting

• Listing life cycle

13/03/2017

Specific topics

3


• Branching diagram for VDF message type TKFSD

• New segments in VDF message type TKFSD

• Domain values for schemes and symbols

Proposed new structures in VDF message type TKFSD for

Pre / post trade transparency

13/03/2017 4

Financial Information Page 13/03/2017 5 13/03/2017

Branching Diagram for VDF message type TKFSD

5

New groups 7 & 8 / Segments FSL, FSM & FSN will be added after group 6

M 1

M 1

M 1

M 1

C 2 C 6 C 500 C 12 C 40 C 2

M 1

C 20 C 20 C 50 C 100 C 50

M 1 M 1 M 1 M 1

C 10 C 10 C 10 C 20 C 2 C 10 C 100

M 1

C 100

FSM

FSN

FSE FSF FSR

GR6

FSUFST FSP FSSFST FST

TIGGR7

LRI

TXN

GR4 GR5

TQU TKO

GR1

GR2

FSL

GR8

FSD

VAI

MGA VAK GR3

Financial Information Page 13/03/2017

New Segments in VDF message type TKFSD

6

GR7 C 100

FSL REPORTING / REGULATION CLASSIFICATION M 1

K991 SEGMENT- / ELEMENT-QUALIFIER M

0991 Segment-Qualifier segQual M an..1

0992 Element-Qualifier fieldQual C an..50

7908 Classification Level 1 ClassLevel1 M an..8

GR8 C 100

FSM REPORT / REG CLASSIFICATION Level 2 M 1





7863 Applicability applicTaxRep C n..5

7864 Classification Object objectTaxRep C n..5

2811 Valid from dateFrom C an..8

2812 Valid to dateTo C an..8

7850 Allocation type instrInGrpStatus C n..5

FSN CLASSIFICATION DETAILS C 100





K816 Values for publication duty C

0983 Currency-Scheme currSchemeID C an..8

6804 Currency Code curr C an..3

5833 Amount amt C n..21

4802 Unit unit C n..3

4812 Quotation Type quote C n..3


9998 Text descr C an…240


Code Description Long Description

E14 ESMA Trading statistics Trading statistic figures as published by ESMA

M08 MiFID II Waiver MiFID II classification of waivers for trade reporting,

calculated by SIX

13/03/2017

Pre- and Post-Trade Transparency RTS 1: Annex II: Orders large in scale compared with normal market size, standard market sizes and deferred publications and delays

RTS 2: Annex III: Liquidity assessment, LIS and SSTI thresholds for non-equity financial instruments.

7


Code

(Level 1)

Code

(Level 2) Description

Code

(Level 3)

Description

Long Description

ESMA-Trading-statistic

E14 E14S01 ESMA-Trading-

statistic figures E14S0101

ADNA Average

Daily Notional

Amount

Quantitative liquidity criteria 1


statistic figures

E14S0102

ADNTAverage

Daily Number of

Trades



statistic figures E14S0103

Percentage of

Days Traded Over

the Period



statistic figures E14S0104 ADT Average Daily Turnover (ADT)


statistic figures E14S0105 AVT Average Value of Transaction (AVT)

MiFID II Waiver

M08 M08P01 Pre-Trading

Waivers M08P0101

LIS Liquid pre

trade – Threshold

floor

Large in scale liquidity threshold floor that

applies to pre-trade transparency for that

specific instrument - as defined by ESMA


Waivers M08P0102

LIS pre trade

percentile

Large in scale (LIS) Percentile Transactions

executed on Bonds (all bond types except

ETCs and ETNs) following the exclusion of

transactions as specified in Article 13(10)


Waivers M08P0103

LIS Illiquid pre

trade – Threshold

value

Large in scale illiquidity threshold value that



13/03/2017

Pre- and Post-Trade Transparency (Level 1,2,3) /1

8


Code

(Level 1)

Code


Code

(Level 3)

Description

Long Description

MiFID II Waiver


Waivers M08P0104

SSTI pre trade

percentile

Special Size to the Instrument (SSTI)

Percentile Transactions executed on Bonds

(all bond types except ETCs and ETNs)

following the exclusion of transactions as

specified in Article 13(10).


Waivers M08P0105

SSTI Liquid pre trade

– Threshold floor


Threshold value: Transactions executed on

Bonds (ETC and ETN bond types).


Waivers M08P0106

SSTI Illiquid pre trade

– percentile





specified in Article 13(10)

13/03/2017

Pre- Trade Transparency (Level 1,2,3) /2

9


Code

(Level 1)

Code


Code

(Level 3) Description Long Description

MiFID II Waiver

M08 M08P02 Post-Trading

Deferrals M08P0201

Large scale

order size 1/

delay 60 minutes

Transaction size to qualify for a permitted

delay of 60 minutes for publication


Deferrals M08P0202

Large scale

order size 1/

delay 120

minutes


delay of 120 minutes for publication


Deferrals M08P0203

Large scale

order size 3/ End

of the trading

day


delay for publication until the end of the

trading day


Deferrals M08P0204

LIS Liquid post

trade - Volume

percentile





Deferrals M08P0205

LIS Liquid post

trade - Threshold

floor


applies to post-trade transparency and

reporting for that specific instrument - as

defined by ESMA


Deferrals M08P0206

LIS Illiquid post

trade - Threshold

floor

Large in scale illiquidity threshold floor that

applies to post-trade transparency and

reporting for that specific instrument - as

defined by ESMA. Threshold value:

Transactions executed on Bonds (ETC and

ETN bond types).

13/03/2017


10


Code

(Level 1)

Code


Code


MiFID II Waiver


Deferrals M08P0207

LIS post-trade

percentile

Large in scale (LIS) Percentile Transactions

executed on Bonds (all bond types except

ETCs and ETNs) following the exclusion of

transactions as specified in Article 13(10).


Deferrals M08P0208

SSTI Liquid post

trade percentile





specified in Article 13(10).


Deferrals M08P0209

SSTI Liquid post

trade - Threshold

floor





Deferrals M08P0210

SSTI Illiquid post

trade - Threshold

floor





Deferrals M08P0211 Min. size of orders

Minimum size of orders qualifying as large in

scale compared with normal market size in

EUR


Deferrals M08P0213 SMS Standard market size (SMS)

13/03/2017


11


Code


M13 MiFID II Volume Cap Report for the purpose of the volume cap mechanism

13/03/2017

Transparency: the volume cap mechanism RTS 3, the volume cap mechanism and the provision of information for the purposes of transparency and other calculations

12

Code

(Level 1)

Code


Code


MiFID II volume cap

M13 M13V01

Report for the

purpose of the

volume cap

mechanism

M13V0101 Total volume

of trading (per

currency)

The total volume of trading in the financial instrument

executed on that trading venue

M13 M13V01

Report for the

purpose of the

volume cap

mechanism

M13V0102

Total volume

of trading

under

Reference

Price waiver

Total volume of trading under Reference Price waiver

as de-fined under Article 4(1)(a) of MiFIR (per

currency).

M13 M13V01

Report for the

purpose of the

volume cap

mechanism

M13V0103

Total volume

of trading

under

Negotiated

Trans-actions

waiver

Total volume of trading under Negotiated

Transactions waiver as defined under Article 4(1)(b)(i)

of MiFIR (per currency)


Code


M11 MiFID II Indicators Additional MiFID II Indicators

13/03/2017

Transparency requirements for financial instruments RTS 3, the volume cap mechanism and the provision of information for the purposes of transparency and other calculations

RTS 4: criteria for determining whether derivatives should be subject to the trading obligation (Article 32(6) of MiFIR)

RTS 23 Annex, 3 “Reference data to be provided for the purpose of transparency calculations”).

13


Code

(Level 1)

Code


MiFID II Indicators

M11

M11I01 Leveraged Instrument Indicator

M11 M11I02

Reportable Instrument

M11 M11I03

Commodity derivative indicator

M11 M11I04

Instrument in ESMA database

M11 M11I05

Trading Obligation

M11 M11I06

Volume Cap breached - All venue

M11 M11I07

Volume Cap breached - Single venue

M11 M11I08

Liquidity indicator

M11 M11I09

Eligible instrument

13/03/2017

Transparency requirements for financial instruments

(Indicators)

14


Market Data Reporting RTS 22: Reporting obligations under Article 26 of MiFIR Annex I, Table 1 (Legend for table 2)

15

Code

(Level 1) Description Long description

E03 ESMA Index Name

E04 ESMA transaction report Option Type

ESMA Reporting Reference data under MiFIR: Option

Type : Indication whether the derivative contract is a call

(right to purchase a specific underlying asset) or a put

(right to sell a specific underlying asset) or whether it

cannot be determined whether it is a call or a put at the

time of execution.

E05 ESMA transaction report Option exercise style

ESMA Reporting Reference data under MiFIR: Option

exercise style : Indication as to whether the option may be

exercised only at a fixed date (European, and Asian style),

a series of pre-specified dates (Ber-mudan) or at any time

during the life of the contract (American style). This field is

only applicable for options, warrants and enti-tlement

certificates.

E06 ESMA transaction report Delivery Type

ESMA Reporting Reference data under MiFIR: Delivery

Type: Indication whether the transaction is settled

physically or in cash. Where delivery type cannot be de-

termined at time of execution, the value shall be ’OPTL’

The field is only applicable for derivatives


Code

(Level 1)

Code


ESMA Index Name

E03 E03-EONA

EONIA

E03 EONS,EURI,EUUS,EUCH,GCFR,ISDA,LIBI,LIBO,MAAA,PFAN, etc.

ESMA transaction report Option Type

E04 E04-PUTO

PUTO = Put

E04 E04-CALL

CALL = Call

E04 E04-OTHR

OTHR = where it cannot be determined whether it is a call or a put

ESMA transaction report Option exercise style

E05 E05-EURO EURO = European

E05 E05-AMER AMER = American

E05 E05-ASIA ASIA = Asian

E05 E05-BERM BERM = Bermudan

E05 E05-OTHR OTHR = Any other type

13/03/2017

Market Data Reporting 1 Reporting obligations under Article 26 of MiFIR Annex I, Table 1 (Legend for table 2)

16


Code

(Level 1)

Code


ESMA transaction report Delivery Type

E06 E06-PHYS PHYS = Physically settled

E06 E06-CASH CASH = Cash settled

E06 E06-OPTL OPTL = Optional for counterparty or when determined by a third party

13/03/2017

Market Data Reporting 2 Reporting obligations under Article 26 of MiFIR Annex I, Table 1 (Legend for table 2)

17


MiFID II Attribute Description Long Description

This data is already provided in VDF

Issuer of the underlying

bond LEI (ISO17442)

Field 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

Instrument identification

code ISIN (ISO6166)

Trading venue MIC (ISO10383) Segment MIC for the trading venue or systematic internaliser, where available,

otherwise operational MIC

Country Code 2 Country code (ISO3166) 2 letter country code, as defined by ISO 3166-1 alpha-2 country code

Classification of financial

instrument CFI ISO10962

Financial instrument

short name FISN ISO18774

Notional currency 1 Currency code (ISO4217) 3 letter currency code, as defined by ISO 4217 currency codes

Underlying instrument

code ISIN, Swiss Valor, other identification numbers

Underlying Index name INDEX according to ESMA or {ALPHANUM-25} - if the index name is not included in the {INDEX} list

Instrument full name Full name of the financial instrument.

13/03/2017

Market Data Reporting 3 additional domain values

18


MiFID II Attribute Description Long Description

This data is already provided in VDF

Strike price

Predetermined price at which the holder will have to buy or sell the underlying

instrument, or an indication that the price cannot be determined at the time of

execution

Strike price currency Currency code (ISO4217)

Maturity date Date of maturity of the financial instrument

Expiry date Expiry date of the financial instrument. Field only applies to derivatives with a

defined expiry date.

Price multiplier Number of units of the underlying instruments represented by a single derivative

contract (only ETDs)

13/03/2017

Market Data Reporting 4 additional domain values

19


Code (Level 1) Description Long Description

Classification of commodity derivatives for Table 3 (Fields 35-37)

E07

ESMA Commodity

Base Product

ESMA Reporting Reference data under MiFIR: Commodity Base product:

First level of classification of Commodities as defined by ESMA.

E08

ESMA Commodity Sub

product

ESMA Reporting Reference data under MiFIR: Sub Product Second level

of classification of Commodities as defined by ESMA.

E09

ESMA Commodity

Further sub product

ESMA Reporting Reference data under MiFIR: Further Sub Product:

Third level of classification of Commodities as defined by ESMA.

13/03/2017 20

Content, standards, form and format of reference data 1 RTS 23: financial instruments reference data under Article 27 of MiFIR, Annex Table 2 (Legend for table 3)


Content, standards, form and format of reference data 2 RTS 23: financial instruments reference data under Article 27 of MiFIR, Annex Table 2 (Legend for table 3)

21

Code

(Level 1)

Code

(Level 2)

Short

Description

E07

E07-AGRI

Agricultural

Commodity Base Product

E08

E08-GROS Grains Oil Seeds Commodity Sub Product

E09

E09-FWHT Feed Wheat Commodity Further Sub Product


Scheme Description Long Description

M01

MiFIR equity products

ESMA Reporting Reference data under MiFIR: product type of equity

financial instruments. Details of the reference data to be provided for the

purpose of transparency calculations. Identification of equity financial

instruments.

M02

MiFIR Non-equity

ESMA Reporting Reference data under MiFIR: product type of Non-

equity financial instruments. Details of the reference data to be provided

for the purpose of transparency calculations. Identification of equity

financial instruments.

M03

MiFIR Asset class of the underlying

ESMA Reporting Reference data under MiFIR: the asset of the

underlying instrument; to be populated when the underlying instrument

is a securitized derivative or a derivative.

M04

MiFIR Contract type

ESMA Reporting Reference data under MiFIR: The Contract type of a

derivative. To be populated when the MiFIR instrument is a derivative.

M05

MiFIR Bond type

ESMA Reporting Reference data under MiFIR: The Bond type as

specified in 2.2 of Section 2 of Annex III. To be populated only when the

MiFIR identifier is equal to bonds. (Bonds (all bond types except ETCs

and ETNs)).

13/03/2017 22

MiFIR Identifiers 1 (RTS 1, Annex III, 1 Symbol for 2, Annex IV,) (Details of the reference data to be provided for

the purpose of transparency calculations)


Scheme Description Long Description

M06

MiFIR Emissions Allowances sub type

ESMA Reporting Reference data under MiFIR: Emissions Allowances

sub types to be populated for emission allowances (as defined in 13.1

of Section 13 of Annex III).

M07

MiFIR Underlying type

ESMA Reporting Reference data under MiFIR: The underlying

classification as defined by ESMA for interest rate derivatives (5.1 of

Section 5 of Annex III).

To be populated for Equity derivatives only as defined in 6.1 of Section

6 of Annex III. 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, swaptions, futures on a swap or

forwards on a swap.

E02

ESMA Seniority of the bond

ESMA Reporting Reference data. The Seniority of bonds: senior debt,

mezzanine, subordinated or junior.

E13

Classes of financial instruments

Information on the top five execution venues and quality of execution

obtained

13/03/2017 23

MiFIR Identifiers 2 (RTS 1, Annex III, 1 Symbol for 2, Annex IV,) (Details of the reference data to be provided for

the purpose of transparency calculations) (RTS 28, Annex I (Classes of financial instruments))


According to proposed branching diagram, segments, schemes and

symbols

• Examples

• Question

Examples in VDF message type TKFSD for target market

13/03/2017 24


Pre- and Post-Trade Transparency Example 1/1

25

FSL

REPORTING /

REGULATION

CLASSIFICATION

C100

K991SEGMENT- / ELEMENT-

QUALIFIER

0991 Segment-Qualifier segQual

0992 Element-Qualifier fieldQual

7876 Classifcation Level 1 ClassLevel1E14 = ESMA-Trading-statistics

FSM

Report/Reg

Classification Level 2

(Repeat 50)

C100


QUALIFIER



7877 Classifcation Level 2 ClassLevel2E14S01

= ESMA-Trading-statistic figures

E14S01


E14S01


7863 Applicability applicTaxRep 16 = yes 16 = yes 16 = yes

7864 Classification Object objectTaxRep

2811 Valid from dateFrom 23.02.17 23.02.17 23.02.17

2812 Valit to dateTo

7850 Allocation type instrInGrpStatus 6 = ESMA 6 = ESMA 6 = ESMA

7908

7908

Financial Information Page 13/03/2017 26

Pre- and Post-Trade Transparency Example 1/2

FSNCLASSIFICATION

DETAILS (Repeat 50)C100


QUALIFIER



7878 Classifcation Level 3 ClassLevel3E14S0104 = ADT

E14S0102

= ADNT E14S0105 = AVT

K816Values / further

Information

0983 Currency-Scheme currSchemeID T1

6804 Currency Code curr 815 = EUR 815 = EUR

5833 Amount amt 49000 850 7119

4802 Unit unit 2 = piece

4812 Quotation Type quote

7850 Allocation type instrInGrpStatus 6 = ESMA 6 = ESMA 6 = ESMA

7910


Pre- and Post-Trade Transparency Waivers / Deferrals Example 2/1

27

FSL

REPORTING /

REGULATION

CLASSIFICATION

C100


QUALIFIER



7876 Classifcation Level 1 ClassLevel1

FSM

Report/Reg


(Repeat 50)

C100


QUALIFIER



7877 Classifcation Level 2 ClassLevel2M08P01 = Pre-Trading

Waivers

M08P02 = Post-Trading

Defferals


Defferals


Defferals

7863 Applicability applicTaxRep 16 = yes 16 = yes 16 = yes 16 = yes


2811 Valid from dateFrom 23.02.17 23.02.17 23.02.17 23.02.17


7850 Allocation type instrInGrpStatus 4 = SIX 4 = SIX 4 = SIX 4 = SIX

M08 = MiFID II Waiver


Pre- and Post-Trade Transparency Waivers / Deferrals Example 2/2

28

FSNCLASSIFICATION

DETAILS (Repeat 50)C100


QUALIFIER



7878 Classifcation Level 3 ClassLevel3

M08P0101= LIS Liquid pre

trade – Threshold floor

M08P0201= Large scale

order size 1/ delay 60

minutes

M08P0202 = Large scale

order size 1/ delay 120

minutes

M08P0203 = Large scale

order size 3/ End of the

trading day

K816Values / further

Information

0983 Currency-Scheme currSchemeID T1 T1 T1 T1

6804 Currency Code curr 814 = EUR 814 = EUR 814 = EUR 814 = EUR

5833 Amount amt 1000000 1000000 15000 50000

4802 Unit unit

4812 Quotation Type quote

7850 Allocation type instrInGrpStatus 4 = SIX 4 = SIX 4 = SIX 4 = SIX

9998 Text descr


Transparency requirements for financial instruments (Indicators) Example 1

29

FSL

REPORTING /

REGULATION

CLASSIFICATION

C100


QUALIFIER



7876 Classifcation Level 1 ClassLevel1M11 = MiFID II Indicators M11 = MiFID II Indicators M11 = MiFID II Indicators M11 = MiFID II Indicators

FSM

Report/Reg


(Repeat 50)

C100


QUALIFIER



7877 Classifcation Level 2 ClassLevel2M11I02 = Reportable

Instrument

M11I03 = Commodity

derivative indicator

M11I04 = Instrument in ESMA

database

M11I05 = Trading Obligation

7863 Applicability applicTaxRep 16 = yes 16 = yes 16 = yes 17 = yes


2811 Valid from dateFrom 23.02.17 23.02.17 23.02.17 23.02.17


7850 Allocation type instrInGrpStatus 4 = SIX 4 = SIX 6 = ESMA 4 = SIX

7909


Content, standards, form and format of reference data Example 4

30

FSL

REPORTING /

REGULATION

CLASSIFICATION

C100


QUALIFIER



7876 Classifcation Level 1 ClassLevel1E07 = ESMA Commodity

Base Product

E08 = ESMA Commodity Sub

product

E09 = ESMA Commodity

Further sub product

FSM

Report/Reg


(Repeat 50)

C100


QUALIFIER



7877 Classifcation Level 2 ClassLevel2E07-AGRI E08-GROS E09-FWHT

7863 Applicability applicTaxRep 16 = YES 16 = YES 16 = YES


2811 Valid from dateFrom 23.02.17 23.02.17 23.02.17


7850 Allocation type instrInGrpStatus 4 = SIX 4 = SIX 4 = SIX

7909


• New segments in VDF message type TKHXD

• Domain values

Proposed new structures in VDF message type TKHXD

13/03/2017 31


Technical explanation – new segment in VDF message type TKHXD

32

HXB ADDITIONAL LISTING DATES C 50




4894 Date type lastMonDateType M n..5

2801 Date (from) (DDMMYYYY) Date C an..8

2802 Time (from) (HHMMSSTTT) Time C an..9

2812 Date to (DDMMYYYY) DateTo C an..8

2822 Time to (HHMMSSTTT) TimeTo C an..9

2862 Date / -Time of transmission (DDMMYYYYHHMMSSTTTMMM) DateTransmiss C an..20


• New element "ISO exchange name" in segment IAI

• New scheme / symbol in segment IAI to distinguish between operational

MIC and segment MIC

Proposed new structures in VDF message type TKIHD

13/03/2017 33


Technical explanation - new element in VDF message type TKIHD

34

9998 ISO-Exchange Name

institution description according to officially published list ISO10383 - Market Identifier Code (MIC)

IAI MISCELLANEOUS INSTITUTION IDENTIFICATIONS C 40

K991 SEGMENT / ELEMENT QUALIFIER M

0991 Segment qualifier segQual M an..1

0992 Element qualifier fieldQual C an..50

0985 Institution scheme instiIDSchemeID M an..8

3801 Institution ID instiSym C an..12

3810 Institution ID status instiSymStatus M n..5

9998 ISO-Exchange Name descr C an..240


Technical explanation - new schemes in VDF message type TKIHD

35

new institution schemes in element 0985

Code Description Long Description

MICOPR D: Operationeller MIC

E: Operational MIC

D: Operationeller MIC gemäss ISO 10383 E: Operational MIC according to ISO 10383

MICSEG D: Segment MIC

E: Segment MIC

D: Segment MIC gemäss ISO 10383 E: Segment MIC according to ISO 10383

IAI MISCELLANEOUS INSTITUTION IDENTIFICATIONS C 40






3810 Institution ID status instiSymStatus M n..5


• New element in segment IAJ

• Domain values

Proposed new structures in VDF message type TKIAD

13/03/2017 36


Technical explanation - new element in VDF message type TKIAD

37

Status LEI

Indicates the status of the registration of the legal entity with an LOU.

IAJ MISCELLANEOUS INSTITUTION IDENTIFICATIONS IAJ C 100






2811 Valid from dateFrom C an..8

2812 Valid until dateTo C an..8


7899 Status LEI StatusLEI C n..5


Code Description Long Description (extract)

1 Pending Validation An application for an LEI that has been submitted and which is being processed and validated.

…..

2 Issued An LEI Registration that has been validated and issued, and which identifies an entity that was an operating

legal entity as of the last update.

3 Duplicate An LEI Registration that has been determined to be a duplicate registration of the same legal entity as

another LEI Registration; the DUPLICATE status is assigned to the non-surviving. .....

4 Lapsed An LEI registration that has not been renewed and has exceeded any allowed grace period for renewal. …..

5 Merged An LEI registration for an entity that has been merged into another legal entity, such that this legal entity no

longer exists as an operating entity. …..

6 Retired An LEI registration for an entity that has ceased operation, without having been merged into another entity.

…..

7 Annulled An LEI registration that was marked as erroneous or invalid after it was issued.

8 Cancelled An LEI registration that was abandoned prior to issuance of an LEI. A record in this state is not published,

but may be exchanged inter-LOU.

9 Transferred An LEI registration that has been transferred to a different LOU as the managing LOU. A record in this state

is not published, but may be used internally by the prior LOU for audit trail purposes.

10 Pending Transfer An LEI registration that has been requested to be transferred to another LOU. …..

11 Pending Archival An LEI registration is about to be transferred to a different LOU, after which its registration status will revert

to a non-pending status. The PENDING_ARCHIVAL status serves to inform recipients of LOU-provided data files that an LEI record will be removed from that LOU’s published file after the transfer is complete.

13/03/2017

Status LEI: domain values

38


MiFID II - road map 2017

3/13/2017 39

28.02.2017

Structures fixed

VDF Release 01/2017

01

.01

.20

18

MiF

ID II liv

e

31.07.2017

Structures fixed

VDF Release 02/2017

05.09.2017

Client Information

VDF Release 02/2017

02.07.2017

Going live

VDF Release 01/2017

02.05.2017

Client Information

VDF Release 01/2017

05.11.2017

Going live

VDF Release 02/2017

05.11.2017 Ruleset Implementations


What will happen to the MIFID I data?

• Updates for MIFID I will be stopped in January 2018

• The MIFID I data will remain in the system

MIFID I

13/03/2017 40


Thank you for your attendance, we are looking

forward working with you on the successful

implementation of MiFID II

13/03/2017 41


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© 2016 SIX Group Ltd. All rights reserved.

13/03/2017

Disclaimer

42


• Detail structures to MiFIR Identifiers 1 and 2

Backup slides

13/03/2017 43


MiFIR equity products

44

Code Short description

Long description

M01-SHRS SHRS SHRS = shares, Shares as referred to in Article 4(44)(a) of

Directive 2014/65/EU

M01-ETFS ETFS ETFS = ETFs, ETF ‘as defined in Article 4(46) of Directive

2014/65/EU

M01-DPRS DPRS DPRS = depositary receipts, Depositary receipts as defined

in Article 4(45) of Directive 2014/65/EU

M01-CRFT CRFT CRFT = certificates, Certificates as defined in Article 2(1)(27)

of Regulation (EU) No 600/2014;

M01-OTHE

OTHE OTHE = other equity-like financial instrument, Other equity-like financial instrument is a transferable security which is an equity instrument similar to a share, ETF, depositary receipt or certificate but other than a share, ETF, depositary receipt or certificate.


MiFIR non-equity

45


MiFIR asset class of the underlying

46

MiFIR contract type

Code Short description

Long description

M03-INTR INTR INTR = Interest rate

M03-EQUI EQUI EQUI = Equity

M03-COMM COMM COMM = Commodity

M03-CRDT CRDT CRDT = Credit

M03-CURR CURR CURR = Currency

Code Symbol Description

M04-OPTN OPTN OPTN = Options

M04-FUTR FUTR FUTR = Futures


MiFIR bond type

47

Code Description

M05-EUSB

EUSB = Sovereign Bond means a bond issued by a sovereign issuer which is either:(a) the Union; (b)

a Member State Iing a government department, an agency or a special purpose vehicle of a Member

State;(c) a sovereign entity which is not listed under points (a) and (b).

M05-OEPB

OEPB = Other Public Bond means a bond issued by any of the following public issuers:(a) in the case

of a federal Member State, a member of that federation; (b) a special purpose vehicle for several

Member States; (c) an international financial institution established by two or more Member States

which have the purpose of mobilizing funding and providing financial assistance to the benefit of its

members that are experiencing or are threatened by severe financial problems;

M05-CVTB

CVTB = Convertible Bond means an instrument consisting of a bond or a securitized debt instrument

with an embedded derivative, such as an option to buy the underlying equity

M05-CVDB CVDB = Covered Bond means bonds as referred to in Article 52(4) of Directive 2009/65/EC

M05-CRPB

CRPB = Corporate Bond means a bond that is issued by a Societas Europaea established in

accordance with Directive 2001/2157/EC or a type of company listed in Article 1 of Directive

2009/101/EC or equivalent in third countries smaller

M05-OTHR

OTHR = Other bond that does not belong to any of the bond types (EUSB, OEPB, CVTB, CVDB or

CRPB) is considered not to have a liquid market


MiFIR emissions allowances sub type

48

Code Description

M06-CERE

CERE = CER

Emission allowance derivatives whose underlying is of the type l(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 (Carbon Dioxide)

M06-ERUE

ERUE = ERU

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 (Carbon Dioxide)

M06-EUAE

EUAE = EUA

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 (Carbon Dioxide)

M06-EUAA

EUAA = EUAA

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 ((Carbon Dioxide)

M06-OTHR

OTHR = Other

Other Emission allowance derivatives an emission allowance derivative whose underlying is not a European Union

Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an

Emission Reduction Units (ERU) (any other emission allowance derivative is considered not to have a liquid market)


MiFIR underlying type

49

Code Description

M07-BOND BOND = Bonds

M07-EQUI EQUI = Equity

M07-CURR CURR = Currency

M07-BNDF BNDF = Bond Futures

M07-FTEQ FTEQ = Futures on an equity

M07-OPEQ OPEG = Options on an equity

M07-COMM COMM = Commodity

M07-INRT INRT = Interest rate

M07-STIX STIX = Stock Index

M07-SHAR SHAR = Share/Stock

M07-DIVI DIVI = Dividend Index

M07-DVSE DVSE = Stock dividend

M07-BSKT BSKT = Basket of shares resulting from a corporate action

M07-ETFF ETFF = ETFT

M07-VOLI VOLI = Volatility Index

M07-OTHE

OTHE = Other (including depositary receipts, certificates and

other equity like financial instrument)

M07-OTHR OTHR = Other

Financial Information Page 13/03/2017 50

Classes of financial instruments (RTS 28)

Code Short

description Long description

E13E01 Equities1

Equities – Shares & Depositary Receipts (i) Tick size liquidity bands 5 and 6 (from 2000

trades per day)

E13E02 Equities2

Equities – Shares & Depositary Receipts (ii) Tick size liquidity bands 3 and 4 (from 80 to

1999 trades per day)

E13E03 Equities3

Equities – Shares & Depositary Receipts (iii) Tick size liquidity band 1 and 2 (from 0 to 79

trades per day)

E13M01 Debt1 Debt instruments (i) Bonds

E13M02 Debt2

Debt instruments (ii) Money markets instruments

E13M03 IntRatDer1 Interest rates derivatives (i) Futures and options admitted to trading on a trading venue

E13M04 IntRatDer2 Interest rates derivatives (ii) Swaps, forwards, and other interest rates derivatives

E13M05 CredDer1 Credit derivatives (i) Futures and options admitted to trading on a trading venue

E13M06 CredDer2 Credit derivatives (ii) Other credit derivatives

E13M07 CurrDer1 Currency derivatives (i) Futures and options admitted to trading on a trading venue

E13E04 CurrDer2 Currency derivatives (ii) Swaps, forwards, and other currency derivatives

E13E05 StrucFI (f) Structured finance instruments

E13E06 EquiDer1 Equity Derivatives (i) Options and Futures admitted to trading on a trading venue

E13E07 EquiDer2 Equity Derivatives (ii) Swaps and other equity derivatives

E13E08 SecuDer1 Securitized Derivatives (i) Warrants and Certificate Derivatives

E13E09 SecuDer2 Securitized Derivatives (ii) Other securitized derivatives

E13E10 ComDer1 Commodities Derivatives (i) Options and Futures admitted to trading on a trading venue

E13E11 ComDer2 Commodities Derivatives (ii) Other commodities derivatives

E13E12 ETProd

(k) Exchange traded products (Exchange traded funds, exchange traded notes and exchange

traded commodities)

E13E13 EmAllowan (l) Emission allowances

E13E14 Others (m) Other instruments

Documents

MiFID II Working Group VDF Structures per 09.03€¦ · MiFID II Working Group VDF Structures per 09.03.2017 Update of the proposed new structures for VDF release 01/2017 . Page Financial