to that established by Regulation (EU) No. xx/xxxx [RTS on Art 27 MiFIR data]. For the purpose of the determination of the sub-classes of financial instruments not having a liquid market for the asset-class of foreign exchange derivatives, the lack of data allowing a comprehensive analysis of the entire market permitted the definition of the qualitative liquidity criteria to be considered for the segmentation of the asset class but prevented the determination of the liquidity thresholds. As a result, until data of better quality is available, the asset class of foreign exchange derivatives should be considered not to have a liquid market. The new legislation of the European Parliament and of the Council on markets in financial instruments set out in Directive 2014/65/EU and Regulation (EU) No 600/2014 applies from 3 January 2017. To ensure consistency and certainty, this Regulation should apply from the same date. However, to ensure that the new transparency regulatory regime can operate effectively from 3 January 2017, and that market participants have sufficient time to implement the new requirements by that date, it is necessary for certain transitional provisions to apply from the date of entry into force of this Regulation. These transitional provisions should enable the collection of data on a best effort basis for the transparency purposes and provide for an earlier publication of instruments or classes of instruments for which there is not a liquid market and of the thresholds for pre-trade waivers and deferrals to post-trade transparency. This Regulation is based on the draft regulatory technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission. 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 opinion of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council3, HAS ADOPTED THIS REGULATION: CHAPTER I Article 1 3 Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84). — Reference
* * Annex II: Details of transactions to be made available to the public 1 Symbol table for Table 2 SYMBOL DATA TYPE DEFINITION {ALPHANUM-n} Up to n alphanumerical characters Free text field. } 3 alphanumerical characters 3 letter currency code, as defined by ISO 4217 currency codes {DATE_TIME_FORM AT} ISO 8601 date and time format Date and time in the following format: YYYY-MM-DDThh:mm:ss.ddddddZ. Where ': - 'YYYY' is the year; - `MM' is the month; - `DD' is the day; - 'T' means that the letter 'T' shall be used - 'hh' is the hour; - `mm' is the minute; - `ss.dddddd' is the second and its fraction of a second; - Z is UTC time. Dates and times shall be reported in UTC. {DECIMAL-n/m} Decimal number of up to n digits in total of which up to m digits can be fraction digits Numerical field for both positive and negative values: - deecimal separator is '.' (full stop); - negative numbers are prefixed with '-' (minus). Where applicable, values shall be rounded and not truncated. {ISIN} 12 alphanumerical characters ISIN code, as defined in ISO 6166 {MIC} 4 alphanumerical characters Market identifier as defined in ISO 10383 2 List of details for the purpose of post-trade transparency Details Financial Description/Details to be published Type of execution/publication 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 3 of [RTS 25 on clock synchronization under article 50 of Directive 2014/65/EU]. For transactions not executed on a trading venue, the date and time shall be when the parties agree the Regulated Market (RM), Multilateral ( Trading FacilityMTF) ,Organised Trading Facility (OTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP) {DATE JIME_FORMA T} instrument
reference to the specific trade. The transaction identification code shall be unique, consistent and persistent per 1S010383 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 should 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 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
Article 11(1)(b) NOLO' Volume omission flag RM, MTF, OTF APA CTP Transaction for which limited details are published in accordance with Article 11(1)(b). `FULV' Full details flag RM, MTF, OTF APA CTP Transaction for limited details have been previously published in accordance with Article 11(1)(b) Article 11(1)(c TWAF' Four weeks aggregation flag RM, MTF, OTF APA CTP Publication of aggregated transactions in accordance with Article 11(1)(c). 'FULJ' Full details flag RM, MTF, OTF APA CTP Individual transactions have previously benefited from aggregated publication in accordance with Article 11(1)(c). Article 11(1)(d) `IDAF' Indefinite aggregation flag RM, MTF, OTF APA CTP Transactions for the publication of several transactions in aggregated form for an indefinite period of time has been allowed in accordance with Article 11(1)(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)(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)(c). Table 4 Measure of volume Type of instrument Volume All bonds except ETCs and ETNs and structured finance products nominal value of debt instruments traded ETCs and ETNs bond types Number of units traded * price per unit Securitised derivatives Number of traded * price per unit Interest rate derivatives Notional amount of traded contracts Foreign Exchange Derivatives Notional amount of traded contracts
Asset class - Interest Rate Derivatives Sub-asset class Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market Transactions to be considered for the calculations of the thresholds SSTI LIS pre-trade SSD post-trade LIS post-trade - percentile 'Threshold floor Trade - percentile 'Threshold Trade - percentile Volume - percentile 'Threshold floor - percentile Volume - percentile 'Threshold floor Float-to-Float 'multi currency swaps' or `cross-currency swaps' and futures/forwards on Float-to-Float 'multi currency swaps' or 'cross-currency swaps' calculation of thresholds should be performed for each sub-class of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Fixed-to-Fixed 'multi currency swaps' or `cross-currency swaps' and futures/forwards on Fixed-to-Fixed 'multi currency swaps' or 'cross-currency swaps' calculation of thresholds should be performed for each sub-class of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Overnight Swap (OIS) 'multi currency swaps' or 'cross- currency swaps' and futures/forwards on Overnight Index Swap (OIS) 'multi currency swaps' or 'cross- currency swaps' calculation of thresholds should be performed for each sub-class of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000
Asset class - Interest Rate Derivatives Sub-asset class Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market Transactions to be considered for the calculations of the thresholds SSTI pre-trade LIS pre-trade SSD LIS - percentile 'Threshold Trade - percentile Threshold floor Trade - percentile Volume - percentile 'Threshold floor Trade - percentile Volume - percentile 'Threshold floor Inflation 'multi currency swaps' or `cross-currency swaps' and futures/forwards on Inflation 'multi currency swaps' or `cross-currency swaps' calculation of thresholds should be performed for each of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 'single currency swaps' and futures/forwards on Fixed-to-Float 'single currency swaps' calculation of thresholds should be performed for each sub-class of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Float-to-Float 'single currency swaps' and futures/forwards on Float-to-Float 'single currency swaps' calculation of thresholds should be performed for each sub-class of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000
Asset class - Interest Rate Derivatives Sub-asset class Percentiles and threshold floors to be applied for the calculation of the and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market Transactions to be considered for the calculations of the thresholds SSTI LIS pre-trade SSD post-trade LIS post-trade - percentile 'Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile 'Threshold floor Trade - percentile Volume - percentile 'Threshold floor Fixed-to-Fixed 'single currency swaps' and futures/forwards on Fixed-to-Fixed 'single currency swaps' calculation of thresholds should be performed for each sub-class of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Overnight Index Swap (OIS) 'single currency swaps' and futures/forwards on Overnight Index Swap (OIS) 'single currency swaps' calculation of thresholds should be performed for each sub-class of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Inflation 'single currency and futures/forwards on Inflation 'single currency swaps' calculation of thresholds should be performed for each sub-class of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000
Price return basic performance parameter Maturity bucket 1 : 0 < time to maturity < 1 month Maturity bucket 2: 1 month < time to maturity < 3 months Maturity bucket 3: 3 months < time to maturity < 6 months Maturity bucket 4: 6 months < time to maturity < 1 year Maturity bucket 5: 1 year < time to maturity < 2 years Maturity bucket 6: 2 years < time to maturity < 3 years … Maturity bucket m: (n-1) years < n years Parameter return variance/volatility Maturity bucket 1 : 0 < time to maturity < 3 months Maturity bucket 2: 3 month2 < time to maturity < 6 mon6hs Maturity bucket 3: 3 months < time to maturity < 1 year Maturity bucket 4: 1 year < time to maturity < 2 years Maturity bucket 5: 2 years < time to maturity < 3 years … Maturity bucket m: < years Parameter return dividend Maturity bucket 1 : 0 < time to maturity < 1 year Maturity bucket 2: 1 year < time to maturity < 2 years Maturity bucket 3: 2 years < time to maturity < 3 years … Maturity bucket m: (n-1) years < n years Portfolio a swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying type: single name, index, basket Segmentation criterion 2 - underlying single name, index, basket Segmentation criterion 3 - parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 – time to maturity bucket of the swap defined as follows: Calculation of thresholds should be performed for each considering the transactions executed on financial instruments belonging to the EUR 50m < ADNA < EUR 100m EUR 250,000 EUR 300,000 EUR 1,250,000 EUR 1,500,000 EUR 100m < ADNA < EUR 200m EUR 500,000 EUR 550,000 EUR 2,500,000 EUR 3,000,000 ADNA > EUR 200m EUR 1,00,000 EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 class
Asset class - Credit Derivatives class Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSD and LIS thresholds for the sub-classes determined to have a liquid market Transactions to be considered for the calculations of the thresholds SSD pre-trade LIS pre-trade SS TI post-trade LIS post-trade Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold Trade - percentile Volume - percentile Threshold floor CDS index options calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 EUR 10,000,000 Single name CDS options calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 EUR 10,000,000
Asset class - Emission Allowance Derivatives Sub-asset class Transactions to be considered for the calculation of the thresholds Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSD and LIS thresholds for the sub-asset classes determined to have a liquid market SSTI pre-trade LIS pre-trade SSTI LIS post-trade Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Threshold floor Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) transactions executed on all emission allowance derivatives whose60 underlying is of the type Certified Emission Reductions (CER) 20,000 tons of Carbon Dioxide 70 25,000 tons of Carbon Dioxide 80 40,000 tons of Carbon Dioxide 90 50,000 tons of Carbon Dioxide Emission allowance derivatives whose underlying is of the type Emission Reduction Units (FRU) transactions executed on all emission allowance derivatives whose60 underlying is of the type Emission Reduction Units (ERU) 20,000 tons of Carbon Dioxide 70 25,000 tons of Carbon Dioxide 80 40,000 tons of Carbon Dioxide 90 50,000 tons of Carbon Dioxide