ANNEX IISupplementary provisions
ANNEX II Regulatory data and post-trade core market data to be transmitted to and disseminated by the CTP for bonds, and the CTP for shares and ETFS according to Articles 5, 6, 7 and 8 Table 1 Symbols used in Tables 2, 3, 4, 5, 6 and 7 Symbol Data Type Definition {DATE_TIME_FORMAT} ISO 8601 date and time format Date and time in the following format: YYYY-MM-DDThh:mm:ss.ddddddZ. — ‘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. {ISIN} 12 alphanumerical characters ISIN code, as defined in ISO 6166 {MIC} 4 alphanumerical characters Market identifier as defined in ISO 10383 {CURRENCYCODE_3} 3 alphanumerical characters 3-letter currency code, as defined by ISO 4217 currency codes Table 2 Regulatory data for bonds, per instrument # Field identifier Description Format Equivalent formats can be used, depending on the syntax used for data transmission Input/Output data field 1 Instrument identification code Code used to identify the financial instrument. {ISIN} Both 2 Instrument status start date and time Date and time from which the instrument status is valid. The level of granularity shall be in accordance with the requirements set out in Article 12. {DATE_TIME_FORMAT} Both 3 Currency Major currency in which the instrument is traded. {CURRENCYCODE_3} Both 4 Dissemination date and time Date and time when the instrument status is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. {DATE_TIME_FORMAT} Output 5 Instrument status Description of the status of the financial instrument. The status of the financial instrument shall be one of the following: (1) suspended from trading, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 32 and 52 of Directive 2014/65/EU; (2) removed from trading, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 32 and 52 of Directive 2014/65/EU; (3) subject to a trading halt, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU; (4) available for trading after a suspension, removal or halt. ‘SUSP’ – the instrument is suspended ‘RMOV’ – the instrument is removed ‘HALT’ – the instrument is subject to a trading halt ‘ACTV ” – the instrument is available for trading after a suspension, removal or halt Both 6 Trading venue Identification of the trading venue on which the instrument status is valid (segment MIC where available, otherwise operating MIC). The trading venue is a regulated market, an MTF or an OTF. {MIC} Both 7 Trading system Type of trading system on which the instrument is traded ‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ Request for Quotes ‘VOIC’ – Voice trading system ‘HYBR’ – Hybrid System ‘OTHR’ – Other Both Table 3 Regulatory data for bonds, per order matching system # Field identifier Description Format Equivalent formats can be used, depending on the syntax used for data transmission Input/Output data field 1 Trading venue Identification of the trading venue on which the order matching system status is valid (segment MIC, where available, otherwise operating MIC). The trading venue is a regulated market, an MTF or an OTF. {MIC} Both 2 Trading system Type of trading system on which the system status is provided ‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ – Request for Quotes ‘VOIC’ – Voice trading system ‘HYBR’ – Hybrid System ‘OTHR’ – Other Both 3 System status start date and time Date and time from which the system status is valid The level of granularity shall be in accordance with the requirements set out in Article 12. {DATE_TIME_FORMAT} Both 4 Dissemination date and time Date and time on which the system status is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. {DATE_TIME_FORMAT} Output 5 Trading system status Status of the trading system on which the instrument is traded. ‘ACTV’ – Active System ‘OTAG’ – Outage of the trading system ‘POTG’ – Partial outage of the trading system Both Table 4 Regulatory data for shares and ETFs, per instrument # Field identifier Description Format Equivalent formats can be used, depending on the syntax used for data transmission Input/Output data field 1 Instrument identification code Code used to identify the financial instrument. {ISIN} Both 2 Instrument status start date and time Date and time from which the instrument status is valid. The level of granularity shall be in accordance with the requirements set out in Article 12. {DATE_TIME_FORMAT} Both 3 Currency Major currency in which the instrument trades. {CURRENCYCODE_3} Both 4 Dissemination date and time Date and time on which the regulatory data is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. {DATE_TIME_FORMAT} Output 5 Instrument status Description of the status of the financial instrument. The status of the financial instrument shall be one of the following: (1) suspended from trading, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 32 and 52 of Directive 2014/65/EU; (2) removed from trading, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 32 and 52 of Directive 2014/65/EU; (3) subject to a trading halt, on the trading venue identified in the field ‘Trading venue’, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU; (4) available for trading after a suspension, removal or halt. ‘SUSP’ – the instrument is suspended ‘RMOV’ – the instrument is removed ‘HALT’ – the instrument is subject to a trading halt ‘ACTV ’ – the instrument is available for trading after a suspension, removal or halt Both 6 Trading venue Identification of the trading venue on which the instrument status is valid (segment MIC where available, otherwise operating MIC). The trading venue is a regulated market or an MTF. {MIC} Both 7 Trading system Type of trading system on which the instrument is traded. ‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ – Request for Quotes ‘HYBR’ – Hybrid System ‘OTHR’ – Other Both 8 Trading system phase Type of trading phase of the trading system on which the instrument is traded. ‘UDUC’ – Undefined Auction ‘SOAU’ – Scheduled Opening Auction ‘SCAU’ – Scheduled Closing Auction ‘SIAU’ – Scheduled Intraday Auction ‘UAUC’ – Unscheduled Auction ‘ODAU’ – On Demand Auction (Frequent Batch Auction) ‘COTR’ – Continuous Trading ‘MACT’ – At Market Close Trading ‘OMST’– Out of Main Session Trading ‘TROE’ – Trade Reporting (On Exchange) ‘TROF’ – Trade Reporting (Off Exchange) ‘TRSI’ – Trade Reporting (Systematic Internaliser) ‘OTSP’ – Other Both 9 Most Relevant Market in terms of liquidity Whether the trading venue in Field 6 is the most relevant market in terms of liquidity. TRUE – Yes FALSE – No Output Table 5 Regulatory data for shares and ETFs, per order matching system # Field identifier Description Format Equivalent formats can be used, depending on the syntax used for data transmission Input/Output data field 1 Trading venue Identification of the trading venue on which the order matching system status is valid (segment MIC where available, otherwise operating MIC). The trading venue is a regulated market or an MTF. {MIC} Both 2 Trading system Type of trading system on which the system status is provided. ‘CLOB’ – Central Limit Order Book ‘QDTS’ – Quote Driven Market ‘PATS’ – Periodic Auction ‘RFQT’ – Request for Quotes ‘HYBR’ – Hybrid System ‘OTHR’ – Other Both 3 System status start date and time Date and time from which the system status is valid. The level of granularity shall be in accordance with the requirements set out in Article 12. {DATE_TIME_FORMAT} Both 4 System status dissemination date and time Date and time on which the system status is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. {DATE_TIME_FORMAT} Output 5 Trading system status Status of the trading system. ‘ACTV’ – Active System ‘OTAG’ – Outage of the trading system ‘POTG’ – Partial outage of the trading system Both Table 6 Post-trade core market data for bonds # Field identifier Description and details to be published Type of execution or publication venue Format to be populated as defined in Table 1 Equivalent formats can be used, depending on the syntax used for data transmission Input/Output data field 1 Trading date and time Table 2, Field 1, of Annex II to Delegated Regulation (EU) 2017/583. Both 2 Instrument identification code Table 2, Field 2, of Annex II to Delegated Regulation (EU) 2017/583. Both 3 Price Table 2, Field 3, of Annex II to Delegated Regulation (EU) 2017/583. Both 4 Missing Price Table 2, Field 4, of Annex II to Delegated Regulation (EU) 2017/583. Both 5 Price currency Table 2, Field 5, of Annex II to Delegated Regulation (EU) 2017/583. Both 6 Price notation Table 2, Field 6, of Annex II to Delegated Regulation (EU) 2017/583. Both 7 Notional amount Table 2, Field 10, of Annex II to Delegated Regulation (EU) 2017/583. Both 8 Notional currency Table 2, Field 11, of Annex II to Delegated Regulation (EU) 2017/583. Both 9 Venue of execution Table 2, Field 13, of Annex II to Delegated Regulation (EU) 2017/583. Both 10 Third-country trading venue of execution Table 2, Field 14, of Annex II to Delegated Regulation (EU) 2017/583. Both 11 Date and Time when the data contributor received the data Date and time when the transaction report was received by an APA. The level of granularity shall be in accordance with the requirements set out in Article 15. APA {DATE_TIME_ FORMAT} Input 12 Date and Time when the data contributor published the transaction Table 2, Field 15, of Annex II to Delegated Regulation (EU) 2017/583. Both 13 Venue of publication Table 2, Field 16, of Annex II to Delegated Regulation (EU) 2017/583. Both 14 Transaction Identification Code Table 2, Field 17, of Annex II to Delegated Regulation (EU) 2017/583. Both 15 Date and Time of reception by the CTP Date and time when the transaction was received by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. CTP {DATE_TIME_ FORMAT} Output 16 Date and Time of publication by the CTP Date and time when the transaction was published by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. CTP {DATE_TIME_ FORMAT} Output 17 Flags Table 2, Field 19, of Annex II to Delegated Regulation (EU) 2017/583. Both 18 Suspicious Data Flag Data quality flag to be populated by the CTP when the APA or the CTP have identified trades that, in their view, might be subject to data quality issues. CTP TRUE or FALSE Output 19 Trading System Type Table 2, Field 20, of Annex II to Delegated Regulation (EU) 2017/583. Both 20 Number of transactions Table 2, Field 21, of Annex II to Delegated Regulation (EU) 2017/583. Both Table 7 Post-trade core market data for shares and ETFs # Field identifier Description and details to be published Type of execution or publication venue Format to be populated as defined in Table 1 Equivalent formats can be used, depending on the syntax used for data transmission Input/ Output data field 1 Trading date and time Table 3, Field 1, of Annex I to Delegated Regulation (EU) 2017/587. Both 2 Instrument identification code Table 3, Field 2, of Annex I to Delegated Regulation (EU) 2017/587. Both 3 Price Table 3, Field 3, of Annex I to Delegated Regulation (EU) 2017/587. Both 4 Missing Price Table 3, Field 4, of Annex I to Delegated Regulation (EU) 2017/587. Both 5 Price currency Table 3, Field 5, of Annex I to Delegated Regulation (EU) 2017/587. Both 6 Quantity Table 3, Field 7, of Annex I to Delegated Regulation (EU) 2017/587. Both 7 Venue of execution Table 3, Field 8, of Annex I to Delegated Regulation (EU) 2017/587. Both 8 Third-country trading venue of execution Table 3, Field 9, of Annex I to Delegated Regulation (EU) 2017/587. Both 9 Date and Time when the data contributor received the data Date and time when the transaction report was received by an APA. The level of granularity shall be in accordance with the requirements set out in Article 15. APA {DATE_TIME_ FORMAT} Input 10 Trading system Table 3, Field 10, of Annex I to Delegated Regulation (EU) 2017/587. Both 11 Date and Time when the data contributor published the transaction Table 3, Field 11, of Annex I to Delegated Regulation (EU) 2017/587. Both 12 Venue of Publication Table 3, Field 12, of Annex I to Delegated Regulation (EU) 2017/587. Both 13 Transaction identification code Table 3, Field 13, of Annex I to Delegated Regulation (EU) 2017/587. Both 14 Date and Time of reception by the CTP Date and time when the transaction was received by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. CTP {DATE_TIME_ FORMAT} Output 15 Date and Time of publication by the CTP Date and time when the transaction was published by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 15. CTP {DATE_TIME_ FORMAT} Output 16 Flags This field shall be populated with the list of all applicable flags set out in Table 4 of Annex I to Delegated Regulation (EU) 2017/587. Where none of the specified circumstances apply, the transaction shall be published without a flag. RM, MTF, APA As per Table 4 of Annex I to Delegated Regulation (EU) 2017/587 Both 17 Suspicious Data Flag Data quality flag to be populated by the CTP when the APA or the CTP have identified trades that, in their view, might be subject to data quality issues. CTP TRUE or FALSE Output