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MAR 11.1 Purpose and application

Purpose

MAR 11.1.1 G

1The purpose of this chapter is to set out the pre-trade and post-trade transparency rules applying to transparency instruments made by the FCA under articles 8, 9, 10, 11 and 21 of MiFIR. The transparency instruments to which this chapter applies are categorised as category 1 instruments or category 2 instruments.

Application

MAR 11.1.2 G
  1. (1)

    1This chapter applies to trading venue operators and transparency investment firms in respect of orders and transactions in transparency instruments.

  2. (2)

    MAR 11.2 contains pre-trade transparency requirements. These only apply to trading venue operators, in respect of all transparency instruments.

  3. (3)

    MAR 11.3 sets out the waivers from the pre-trade transparency requirements. MAR 11.3.1R sets out the waivers applying to all transparency instruments, and MAR 11.3.2R and MAR 11.3.3R contain the rules for the size waivers applying to category 1 instruments and category 2 instruments, respectively.

  4. (4)

    MAR 11.4 contains post-trade transparency requirements. These apply to trading venue operators in respect of all transparency instruments and to transparency investment firms in respect of category 1 instruments only.

  5. (5)

    MAR 11.5.1R sets out the deferrals applicable to category 1 instruments (relevant for all transparency firms). MAR 11.5.2R sets out the rules regarding deferrals for category 2 instruments (relevant for trading venue operators only).

Exceptions

MAR 11.1.3 R

1This chapter does not apply in respect of the following transactions:

  1. (1)

    transactions listed in article 2(5) of MiFID RTS 22; or

  2. (2)

    transactions where the counterparty is a relevant organisation, and where:

    1. (a)

      the transaction is entered into in the performance of monetary, foreign exchange and financial stability policy which the relevant organisation is legally empowered to pursue;

    2. (b)

      the relevant organisation has given prior notification to the transparency firm that the transaction is exempt; and

    3. (c)

      the transaction is not entered into by the relevant organisation for the performance of an investment operation connected with:

      1. (i)

        the management of its own funds;

      2. (ii)

        administrative purposes or for the staff of the member of the relevant organisation, including in the capacity of administrator of a pension scheme for its staff; or

      3. (iii)

        its investment portfolio pursuant to obligations under national law.

Suspension of transparency requirements

MAR 11.1.4 G
  1. (1)

    1The FCA has the power, under article 9(4) of MiFIR, to suspend the pre-trade transparency requirements in MAR 11.2, and under articles 11(3) and 21(8) of MiFIR, to suspend post-trade transparency requirements in MAR 11.4, either for a particular instrument or class of instruments. The FCA may only do this if it considers that it is necessary to do so to advance the FCA’s integrity objective (as defined in section 1D of the Act) and having regard to its consumer protection and competition objectives (under sections 1C and 1D of the Act, respectively).

  2. (2)

    Where the FCA decides to use this power, it must publish a notice identifying the relevant transparency instruments and specifying the period for which the suspension will have effect. The notice must be published in a manner best calculated to bring it to the attention of persons likely to be affected by it.

MAR 11.2 Pre-trade transparency (trading venue operators only)

Pre-trade transparency requirement

MAR 11.2.1 R

1A trading venue operator must publish the pre-trade transparency information in MAR 11.2.2R:

  1. (1)

    on a continuous basis during normal trading hours; an

  2. (2)

    in respect of transparency instruments traded on a trading venue it operates,

when operating a continuous order book, quote-driven or periodic auction trading system.

MAR 11.2.2 R

1Table: Pre-trade transparency information to be published, by reference to type of system

Type of system

Description of system

Information to be published

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 5 best bid and offer price levels.

Quote-driven trading system

A system where transactions are concluded on the basis of firm quotes, including actionable indications of interest 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 should be those that represent binding commitments to buy and sell the financial instruments and that 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.

MAR 11.3 Waivers from pre-trade transparency requirements

Waivers for all transparency instruments

MAR 11.3.1 R

1 MAR 11.2.2R does not apply in respect of orders relating to a transparency instrument held in an order management facility of the trading venue operator which:

  1. (1)

    are intended to be disclosed to the order book operated by the trading venue operator and are contingent on objective conditions that are predefined by the system’s protocol;

  2. (2)

    cannot interact with other trading interests prior to disclosure to the order book operated by the trading venue operator, except that where a portion of a quantity of an aggressive order has executed against the disclosed quantity of a reserve order and other disclosed orders in the order book, the non-disclosed quantity of the reserve order held in the order management facility is a type of order for which pre-trade disclosure is waived and which can be executed against the remainder of the quantity of the aggressive order; and

  3. (3)

    once disclosed to the order book, interacts with other orders in accordance with the rules applicable to orders of that kind at the time of disclosure.

Size waivers for category 1 instruments

MAR 11.3.2 R

1 MAR 11.2.2R does not apply to orders relating to a category 1 instrument which is larger than the size specified in the column G in the row corresponding to the particular instrument in MAR 11 Annex 1R.

Size waivers for category 2 instruments

MAR 11.3.3 R
  1. (1)

    1MAR 11.2.2R does not apply to orders or actionable indication of interest relating to a category 2 instrument which is larger than the size specified by the trading venue operator in accordance with MAR 11.3.4R.

  2. (2)

    A trading venue operator must establish, implement and maintain an internal process or rules for determining the size thresholds applicable to those orders or actionable indications of interest in category 2 instruments under (1) for which it will not publish pre-trade transparency information.

  3. (3)

    A trading venue operator must publish in its rulebook the rules or processes it adopts to fulfil (2) before it implements them.

  4. (4)

    A trading venue operator must promptly inform the FCA of any significant breaches of the process or rules in (3) which give rise to a material risk of price distortions in, or unfair valuations of, category 2 instruments.

MAR 11.3.4 R

1In determining the appropriate size thresholds and any other characteristics applicable to those orders or actionable indications of interest in category 2 instruments for which it will not publish pre-trade transparency information under MAR 11.3.3R(2), in compliance with the pre-trade transparency requirement in MAR 11.2.1R, the trading venue operator must have regard to at least the following factors:

  1. (1)

    the level of liquidity in the category 2 instrument, including whether there are ready and willing buyers and sellers on a continuous basis and the number, type and ratio of market participants active in the particular category 2 instrument;

  2. (2)

    any other characteristics of the category 2 instrument, including the extent to which it is traded in a standardised or frequent way and the average size of spreads, where available;

  3. (3)

    any disincentivising effect on those who wish to provide capital or otherwise to facilitate larger trades in the category 2 instrument;

  4. (4)

    any negative effect on the fair and orderly trading of the category 2 instrument on the trading venue operated by the trading venue operator; and

  5. (5)

    the nature and extent of public information that would assist firms to fulfil their best execution obligations in COBS 11.2 to COBS 11.2B, including the MiFID Org Regulation.

MAR 11.3.5 G

1The waivers in MAR 11.3.1R apply in respect of all transparency instruments regardless of size. MAR 11.3.2R contains the rules regarding size waivers for category 1 instruments and MAR 11.3.3R and 11.3.4R contain the rules regarding size waivers for category 2 instruments.

MAR 11.3.6 R

1A trading venue operator that is planning to use a waiver set out in MAR 11.3 must notify the FCA of this in advance.

Withdrawal of waivers

MAR 11.3.7 G

1If the FCA considers that any of the waivers in MAR 11.3 are being used in a way that deviates from its original purpose or to avoid the pre-trade transparency requirements in MAR 11.2, the FCA has the power under article 9(3) of MiFIR to withdraw the waiver by giving notice to the relevant person who the FCA considers to be misusing the waiver.

MAR 11.4 Post-trade transparency (all transparency firms)

Application

MAR 11.4.1 R
  1. (1)

    1The rules in MAR 11.4 apply in respect of:

    1. (a)

      transactions in transparency instruments executed by a trading venue operator on a trading venue that it operates; or

    2. (b)

      transactions in category 1 instruments concluded by a transparency investment firm acting in that capacity.

  2. (2)

    1The rules in MAR 11.4 do not apply in respect of the following types of transactions:

    1. (a)

      a transaction executed by a transparency investment firm when providing the investment service of portfolio management, which transfers the beneficial ownership of financial instruments from one fund to another and where no other investment firm is a party to the transaction other than for the sole purpose of providing arrangements for the execution of such non price-forming transactions;

    2. (b)

      a ‘give-up transaction’ or ‘give-in transaction’, which means:

      1. (i)

        a transaction where a transparency investment firm passes a client trade to, or receives a client trade from, another investment firm for the purpose of post-trade processing; or

      2. (ii)

        where a transparency investment firm executing a trade passes it to, or receives it from, another investment firm for the purpose of hedging the position that it has committed to enter into with a client; or

    3. (c)

      inter-affiliate transactions, which means transactions between entities within the same group carried out exclusively for intra-group risk management purposes.

Post-trade transparency requirements

MAR 11.4.2 R

1Where MAR 11.4.1R applies, a transparency firm must publish post-trade transparency information about the transaction, as close to real time as is technically possible:

  1. (1)

    in respect of a package transaction or a portfolio trade, having regard to the need to allocate prices to the relevant instruments and in any case within 15 minutes of execution of the relevant transaction; and

  2. (2)

    in respect of any other transactions, and in any case within 5 minutes of the execution of the relevant transaction.

MAR 11.4.3 G

1 Post-trade transparency information should only be published close to the prescribed maximum time limit in exceptional cases where it is not technically possible or the systems available do not allow for publication in a shorter period. Transparency firms should take reasonable steps to ensure their systems can support their MAR 11.4.2R obligation to publish as close to real time as possible.

MAR 11.4.4 R

1A transparency investment firm must:

  1. (1)

    where there are 2 matching trades entered at the same time and for the same price with a single party interposed, treat the 2 trades as a single transaction and take all reasonable steps to ensure that the post-trade transparency information relating to such trades is published as if they relate to a single transaction; and

  2. (2)

    publish post-trade transparency information once for each transaction, through a single APA.

MAR 11.4.5 R

1Where a transparency firm:

  1. (1)

    cancels a previously published trade report containing the post-trade transparency information, it must publish a new trade report containing all the details of the original trade report and the cancellation flag specified in MAR 11 Annex 2 Table 3;

  2. (2)

    amends a previously published trade report containing post-trade transparency information, it must publish:

    1. (a)

      a new trade report containing all the details of the original trade report and the cancellation flag specified in MAR 11 Annex 2 Table 3; and

    2. (b)

      a new trade report that contains the correct post-trade transparency information and the amendment flag as specified in MAR 11 Annex 2 Table 3.

MAR 11.4.6 R

1A transparency firm must give access, on reasonable commercial terms and on a non-discriminatory basis, to the arrangements they put in place for the publication of post-trade transparency information.

MAR 11.4.7 G

1 Trading venue operators and transparency investment firms which are systematic internalisers should refer to MAR 9A for the FCArules regarding access to trade data.

Which investment firm reports?

MAR 11.4.8 R
  1. (1)

    1Where 2 transparency investment firms conclude a transaction outside the rules of a trading venue, only the transparency investment firm that is registered as a designated reporter must publish details of the transaction in accordance with MAR 11.4.2R.

  2. (2)

    Where neither transparency investment firm party to the transaction is a designated reporter, only the transparency investment firm acting as the selling firm must publish details of the transaction in accordance with MAR 11.4.2R.

  3. (3)

    Where each transparency investment firm party to the transaction is registered as a designated reporter, only the transparency investment firm acting as the selling firm must publish details of the transaction in accordance with MAR 11.4.2R.

MAR 11.4.9 R

1The transparency investment firm that acts as the selling firm and is required by MAR 11.4.8R(3) to publish the MAR 11.4.2R information can fulfil this requirement by arranging for the buyer to publish the relevant details instead.

MAR 11.5 Post-trade transparency deferrals

Category 1 instruments – all transparency firms

MAR 11.5.1 R
  1. (1)

    1A transparency firm subject to MAR 11.4.2R may defer publication of post-trade transparency information for category 1 instruments, for the applicable maximum deferral duration periods, when the transaction is of a size larger than the one set out in the row corresponding to the particular instrument in MAR 11 Annex 1R.

  2. (2)

    Where a transaction fulfils the conditions for an applicable volume deferral in accordance with MAR 11.5.1R(1), the transparency firm must use the VOLO flag for the first trade report, omitting the relevant details, and use the FULV flag for the full trade report once it is published.

  3. (3)

    Where one or more of the components of a package transaction fulfils the conditions for an applicable deferral in accordance with MAR 11.5.1R(1) and (2), publication of the post-trade transparency information about all the components of the package transaction may be deferred until the applicable maximum deferral period has lapsed.

  4. (4)

    For the purposes of MAR 11.5.1R(3), where one or more of the components of a package transaction comprises a category 2 instrument, publication of post-trade transparency information about a category 1 instrument may be deferred until the end of the next day following execution.

Category 2 instruments – trading venue operators only

MAR 11.5.2 R
  1. (1)

    1A trading venue operator may defer the publication of post-trade transparency information relating to transactions in category 2 instruments where it considers such deferral to be necessary for the purposes of achieving efficient price formation and fair evaluation of such category 2 instruments.

  2. (2)

    A trading venue operator must have regard at least to the factors set out in MAR 11.3.4R(1) to (5) in considering whether it would be necessary for the purposes of achieving efficient price formation and the fair evaluation of category 2 instruments to:

    1. (a)

      defer the publication of post-trade transparency information and, if so, the duration of such deferral; or

    2. (b)

      apply size thresholds to such transactions and, if so, what the thresholds should be.

  3. (3)

    A trading venue operator must establish, implement and maintain an internal process or rules for determining the applicable deferral size thresholds, durations and type of post-trade transparency information, the publication of which it will defer, under (1), in respect of category 2 instruments.

  4. (4)

    A trading venue operator must publish in its rulebook the rules or processes it adopts to fulfil (3) before it implements them.

  5. (5)

    A trading venue operator must promptly inform the FCA of any significant breaches of the process or rules in (3) which give rise to a material risk of price distortions in, or unfair valuations of, category 2 instruments.

MAR 11 Annex 1 Category 1 instruments

MAR 11 Annex 1 R

1This is the table of category 1 instruments.

Note: The deferral periods shown in columns F, H and J end at 6pm on the day of publication.

Column A

Column B

Column C

Column D

Column E

Column F

Column G

Column H

Column I

Column J

Grouping

LiS Threshold 1

Deferral 1

LiS Threshold 2

Deferral 2

LiS Threshold 3

Deferral 3

Asset classes

Factor 1

Factor 2

Factor 3

Bond Type

Issuer

Issue Size

Maturity

Sovereign bonds (other than inflation linked or STRIPS)

UK, France, Germany, Italy, Spain or USA

≥ £2bn

≤ 5yr

£15m

1 day

£50m

2 weeks

£500m

3 months

5 - ≤15yr

£10m

£25m

£250m

> 15yr

£5m

£10m

£100m

Sovereign and Municipal bonds

All

≥ £2bn

All

£1m

£5m

£25m

< £2bn

All

£1m

£2.5m

£2.5m

Bond Type

Currency

Issuer Rating

Issue Size

Corporate, Covered, Convertible & Other bonds

GBP, EUR & USD

IG

≥ £500m

£1m

1 day

£5m

2 weeks

£25m

2 weeks

HY

≥ £500m

£1m

£2.5m

£25m

All other instrument

£500k

£5m

£25m

Derivative Type (Having the common attributes set out in note 1)

Settlement currency

Reference index

Maturity (greater than - less than or equal to)

Fixed-to-Float

EUR

EURIBOR 3M, EURIBOR 6M

27D–3M

€1,250m

End of day (1 day for non-benchmark tenors with maturity longer than 12 months - see note 3)

€1,750m

Price: end of day (1 day for non-benchmark tenors with maturity longer than 12 months - see note 3)

Volume: end of the following quarter

3M–6M

€750m

€1,500m

6M–1Y

€500m

€1,000m

1Y–2Y

€250m

€500m

2Y–5Y

€150m

€350m

5Y–10Y

€125m

€200m

10Y–20Y

€75m

€150m

20Y–30Y

€50m

€75m

OIS

USD

FEDFUNDS

6D–3M

$2,500m

$3,000m

SOFR

6D–3M

$500m

$1,000m

3M–6M

$250m

$500m

6M–1Y

$200m

$350m

1Y–2Y

$150m

$250m

2Y–5Y

$100m

$200m

5Y–10Y

$50m

$100m

10Y–20Y

$30m

$75m

20Y–30Y

$25m

$50m

GBP

SONIA

6D–3M

£1,800m

£2,500m

3M–6M

£250m

£400m

6M–1Y

£200m

£300m

1Y–2Y

£120m

£150m

2Y–5Y

£75m

£120m

5Y–10Y

£50m

£80m

10Y–20Y

£40m

£60m

20Y–30Y

£20m

£30m

30Y–50Y

£10m

£20m

EUR

ESTR

6D–3M

€1,500m

€2,000m

3M–6M

€300m

€500m

6M–1Y

€250m

€350m

1Y–2Y

€175m

€250m

2Y–5Y

€100m

€150m

Derivative Type / Underlying Type (Having the common attributes set out in note 2)

Settlement currency

Reference index

SWAP / Index CDS

EUR

iTraxx Europe Main

£50m

End of day

£70m

Price: end of day Volume: end of the following quarter

iTraxx Europe Crossover

£15m

£20m

Note 1: Common Attributes

Settlement currency type

Single currency

Optionality

No

Notional type

Constant or variable

CFI code

SRC(C/D/I/Y)S(C/P)

Asset class of the underlying

Interest rate

Contract type

SWAP

Note 2: Common Attributes

CFI code

SCIC(C/S/L)(C/P/A)

Sub-type

Untranched index

Geographical zone

Europe

Maturity

5Y

Asset class of the underlying

Credit

Contract type

Swaps

Series

On -the-run and first off-the-run

Note 3: Benchmark tenors are those that have standard maturities including, 3, 6 and 9 months, as well as 1 year and annual increments thereafter. The calculation should follow the current market convention where the tenor is calculated as the difference between the effective date after execution and the expiry date (or termination date). The effective date should be adjusted so that it always falls on a business day at the time of execution, while the expiry date is not (ie it applies regardless of whether it is on a business day or not).

Definition of terms

Term

Definition

CDE

carbon dioxide equivalent.

convertible bond

an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity.

corporate bond

a bond that is issued by:

(a)

a Societas Europaea established before IP completion day in accordance with Council Regulation (EC) No 2157/2001; or

(b)

a company incorporated in the UK with limited liability or equivalent in third countries.

covered bond

a bond issued by a credit institution which is subject by law to special public supervision designed to protect bondholders and, in particular, protection under which:

(a)

sums deriving from the issue of the bond must be invested in conformity with the law in assets;

(b)

during the whole period of validity of the bond, those sums are capable of covering claims attaching to the bond; and

(c)

in the event of failure of the issuer, those sums would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest.

EOD

by the end of the daily trading hours of the relevant trading venue.

fixed to float

a derivative of the type which is required to be cleared by a CCP in accordance with article 4(1) and (2) of EMIR (as listed in Table 2 of the Bank of England Public Register for the Clearing Obligation as at 24 April 2023).

For these purposes, a reference to a ‘financial counterparty’ also includes a third country investment firm when it carries on MiFID or equivalent third country business from an establishment in the United Kingdom.

HY

(a)

a bond rated below BBB/Baa or equivalent by any one credit rating agency chosen by a transparency firm for this purpose; or

(b)

a bond which is not rated by the credit rating agency, or agencies, chosen by a transparency firm for this purpose.

IG

a corporate bond that is not HY.

municipal bond

a bond issued by any of the following:

(a)

in the case of a federal state, a member of that federation;

(b)

a special purpose vehicle for several states;

(c)

an international financial institution established by 2 or more states that has the purpose of mobilising funding and providing financial assistance to the benefits of its members where they are experiencing or are threatened by severe financial problems;

(d)

the European Investment Bank;

(e)

the International Finance Corporation;

(f)

the International Monetary Fund; or

(g)

a public entity which is not an issuer of a sovereign bond as described below.

OIS

a derivative of the type which is required to be cleared by a CCP in accordance with article 4(1) and (2) of EMIR (as listed in Table 4 of the Bank of England Public Register for the Clearing Obligation as at 24 April 2023.

For these purposes, a reference to a ‘financial counterparty’ also includes a third country investment firm when it carries on MiFID or equivalent third country business from an establishment in the United Kingdom.

other bond

a bond that is not within the descriptions of any of the bond types described in this table.

sovereign bond

a bond issued by:

(a)

the EU;

(b)

the UK, including a government department, agency or special purpose vehicle of the UK;

(c)

a state other than the UK, including a government department, agency or special purpose vehicle of the state; or

(d)

any other sovereign entity not listed in (a) to (c) above.

swap/index CDS

a derivative of the type which is required to be cleared by a CCP in accordance with article 4(1) and (2) of EMIR (as listed in Table 5 of the Bank of England Public Register for the Clearing Obligation as at 24 April 2023).

For these purposes, a reference to a ‘financial counterparty’ also includes a third country investment firm when it carries on MiFID or equivalent third country business from an establishment in the United Kingdom.

MAR 11 Annex 2 Details of transactions to be made available to the public

MAR 11 Annex 2 R

Table 1 Symbol table for Table 2

SYMBOL

DATA TYPE

DEFINITION

{ALPHANUM-n}

Up to n alphanumerical characters

Free text field.

{CURRENCYCODE_3}

3 alphanumerical characters

3 letter currency code, as defined by ISO 4217 currency codes

{DATE_TIME_FORMAT}

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:

  • decimal 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

1{UPI}

UPI code

This field should use an ISO 4914 code

1{LEI}

20 alphanumerical characters

This field should use an ISO 17442 code

Table 2 List of details for the purpose of post-trade transparency

Details

Financial instruments

Description/Details to be published

Type of execution/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 3 of Commission Delegated Regulation (EU) 2017/574.

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 (in fields 31, 34 and 40 as specified in 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 5 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 type

For all financial instruments

Code type used to identify the financial instrument

RM, MTF, OTF

APA

CTP

'UPI’ = UPI-code, where UPI is available; or where it is not

‘ISIN’ = ISIN-code1

Instrument identification code

For all financial instruments

Code used to identify the financial instrument

RM, MTF, OTF

APA

CTP

{UPI}; or1

{ISIN}

1Effective date of the contract

For derivatives

Start date of the contract

RM, MTF, OTF

APA, CTP

{DATEFORMAT}

1Maturity date of the contract

For derivatives

Termination date of the financial instrument’s contract

RM, MTF, OTF

APA, CTP

{DATEFORMAT}

Price

For all financial instruments

Traded price of the transaction excluding, where applicable, commission and accrued interest.

In the case of option contracts, it shall be the premium of the derivative contract per underlying or index point.

In the case of spread bets it shall be the reference price of the underlying instrument.

For credit default swaps (CDS) it shall be the coupon in basis points.

Where price is reported in monetary terms, it shall be provided in the major currency unit.

Where price is currently not available but pending, the value should be "PNDG".

Where price is not applicable the field shall not be populated.

The information reported in this field shall be consistent with the value provided in field Quantity.

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

1

{DECIMAL-18/17} in case the price is expressed as basis points

1Price conditions

For all financial instruments

Where price is currently not available but pending, the value should be ‘PNDG’.

RM, MTF, OTF

APA, CTP

‘PDNG’ when price is currently not available but pending

‘NOAP’ where price is not applicable

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 a trading venue. Where the segment MIC does not exist, use the operating MIC.

Use MIC code "XOFF" for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue or systematic internaliser or organised trading platform outside of the UK.

Use SINT for financial instrument submitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser.

RM, MTF, OTF

APA

CTP

{MIC} -trading venues"SINT" — systematic internaliser

Price notation

For all financial instruments

Indication as to whether the price is expressed in monetary value, in percentage or in yield

RM, MTF, OTF

APA

CTP

"MONE" — Monetary value

"PERC" — Percentage

"YIEL" — Yield

"BAPO" — Basis points

Price Currency

For all financial instruments

Currency in which the price is expressed (applicable if the price is expressed as monetary value)

RM, MTF, OTF

APA

CTP

{CURRENCYCODE_3}

Notation of the quantity in measurement unit

For commodity derivatives, emission allowance derivatives and emission allowances except in certain cases1.

Indication of measurement units in which the quantity in measurement unit is expressed

RM, MTF, OTF

APA

CTP

"TOCD" — tons of carbon dioxide equivalent

Or

{ALPHANUM-25} otherwise

Quantity in measurement unit

For commodity derivatives, emission allowance derivatives and emission allowances except in certain cases1.

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

RM, MTF, OTF

APA

CTP

{DECIMAL-18/17}

Quantity

For all financial instruments except in certain cases1.

The number of units of the financial instrument, or the number of derivative contracts in the transaction.

Not to be populated for bonds.1

RM, MTF, OTF

APA

CTP

{DECIMAL-18/17}

Notional amount

For all financial instruments except in certain cases1.

Nominal amount multiplied by volume for (i) all bonds except ETCs and ETNs and (ii) structured finance products1

Price multiplied by the quantity field for ETCs and ETNs bond types, emission allowance derivatives and contracts for differences. 1

Notional amount, as applicable1

For spread bets, the notional amount shall be the monetary value wagered per point movement in the underlying financial instrument.

For credit default swaps, it shall be the notional amount for which the protection is acquired or disposed of.

The information reported in this field shall be consistent with the value provided in field Price

RM, MTF, OTF

APA

CTP

{DECIMAL-18/5}

Notional currency

For all financial instruments except in certain cases1.

Currency in which the notional is denominated.

This field should use an ISO 4217 currency code for a major currency. 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 (for derivatives only)

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 the FCA'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 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 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

RM, MTF, OTF

APA

CTP

{ALPHANUMERICAL-52}

1Spread

For derivatives

The spread on the floating leg.

RM, MTF, OTF

APA, CTP

{DECIMAL-11/10}

1Upfront payment

For derivatives

The upfront payment exchanged as part of CDS transactions.

RM, MTF, OTF

APA, CTP

{DECIMAL-18/13}

1LEI of clearing house

For derivatives

Clearing house through which the transaction will be cleared.

RM, MTF, OTF

APA, CTP

{LEI} if cleared

Table 3 List of flags for the purpose of post-trade transparency

Flag

Name of Flag

Type of execution/publication venue

Description

"BENC"

Benchmark transaction flag

RM, MTF, OTF

APA

CTP

All kinds of volume weighted average price transactions and all other trades where the price is calculated over multiple time instances according to a given benchmark.

1

"LRGS"

Post-trade LIS transaction flag

RM, MTF, OTF

APA

CTP

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

1“PORT”

Portfolio transaction flag

RM, MTF, OTF, APA, CTP

CTP

Portfolio transactions.

"TPAC"

Package transaction flag

RM, MTF, OTF

APA

CTP

Package transactions which are not exchange for physicals1.

"XFPH"

Exchange for physicals transaction flag

RM, MTF, OTF

APA

CTP

Exchange for physicals1.

"CANC"

Cancellation flag

RM, MTF, OTF

APA

CTP

When a previously published transaction is cancelled.

"AMND"

Amendment flag

RM, MTF, OTF

APA

CTP

When a previously published transaction is amended.

SUPPLEMENTARY DEFERRAL FLAGS

1

1 MAR 11.5.1R(2)

"VOLO"

Volume omission flag

RM, MTF, OTF

APA

CTP

Transaction for which limited details are published1.

"FULV"

Full details flag

RM, MTF, OTF

APA

CTP

Transaction for which limited details have been previously published1.

1

Table 4 Measure of volume

Type of instrument

Volume

All bonds except ETCs and ETNs and structured finance products

Nominal value per unit multiplied by the number of instruments at the time of the transaction1

ETCs and ETNs bond types and securitised derivatives1

Number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction (or the price field multiplied by the quantity field)1

1Structured finance products

Nominal value per unit multiplied by the number of instruments at the time of the transaction

Interest rate derivatives

Notional amount of traded contracts

Foreign Exchange Derivatives

Notional amount of traded contracts

Equity derivatives

Notional amount of traded contracts

Commodity derivatives

Notional amount of traded contracts

Credit derivatives

Notional amount for which the protection is acquired or disposed of1

Contract for differences

Notional amount of traded contracts

C10 derivatives

Resulting amount of the quantity at the relevant price set in the contract at the time of the transaction (or the price field multiplied by the quantity field)1

Emission allowance derivatives

Resulting amount of the quantity at the relevant price set in the contract at the time of the transaction (or the price field multiplied by the quantity field)1

Emission allowances

Tons of Carbon Dioxide equivalent