MiFID II / MiFIR post-trade reporting requirements

MiFID II / MiFIR post-trade

reporting requirements

Understanding bank and investor obligations

September 2017

Association for Financial Markets in Europe

www.afme.eu

Disclaimer

The AFME “MiFID II / MiFIR post-trade reporting requirements: Understanding bank and investor obligations” (the

“Report”) is intended for general information only, and is not intended to be and should not be relied upon as being legal,

















September 2017

MiFID II / MiFIR post-trade reporting requirements

Page 1

Contents

Executive Summary 4

Glossary of Terms 5

1. Background 8

2. Who needs to report what, when and where? 12

3. Regulatory reporting options 22

4. Further challenges 28

5. AFME’s competition law statement 32

6. Appendix 34

MiFID II / MiFIR post-trade reporting requirements

Page 2

Executive summary

MiFID II / MiFIR post-trade reporting requirements

Page 4

Executive summary

Executive Summary

             







will

 

 The data required to be reported

 

 

 

 



will not 

 

 







MiFID II / MiFIR post-trade reporting requirements

Page 5

Executive summary

Glossary of Terms



 

ANNA 

AOR Automated order router

 Consolidated tape provider

DVC 

 

 

 

 

ETF 

FIX 

QIF





 

MIFID I 

MiFID II 

MiFIR 

MTF









NCA 

OTC 

OTF









 

Q&A 

QIF 

 

MiFID II / MiFIR post-trade reporting requirements

Page 6

Executive summary





























 

RM Regulated market

 









 

TR 

TV 

1. Background

MiFID II / MiFIR post-trade reporting requirements

Page 8

Background

1. Background

MIFID I



                

European Union (EU)



• 

• 

• 

MiFID II











to equities:

Equity (RTS 1)

• 

• 

• 

• 

• 

Non-equity (RTS 2)

• 

• 

• 

• Derivatives



               



               











                 



1 http:\eur-lex.europa.eu\legal-content\EN\TXT\?uri=CELEX:32014R0600

2 http:\eur-lex.europa.eu\legal-content\EN\TXT\?uri=CELEX:32014R0600

MiFID II / MiFIR post-trade reporting requirements

Page 9

Background

An overview of the role of transparency reporting within MIFID II / MiFIR:

Investor Protection

• New requirements for best execution

and conlicts of interest – More

disclosure required

• Product governance requirements

• Costs and charges unbundling (incl.

packaged products

• Inducements, monetary beneits,

non-monetary beneits

• Key changes on giving advice, assessing

suitability and appropriateness

• Local Authorities – Considered retail

clients by default

• TCF to be applied for structured

products

Transparency

• Pre and post trade extended to new

products (debt, OTC) and venues (Sis

OTFs).

• Data submitted to new Approved

Transaction Reporting

• Covers all asset classes in scope

• Increases to 65 data ields including

many derived and new types

• Reportable data extends beyond

economic ields and into HR/personal

data

Microstructural Issues

• Algo library

• Clock sync

• Testing and controls (incl. real-time and

preventative) to ensure

resilience/stability

• Deinition of independent signiicant and

HFT

• Venue testing environments

Commodity Derivation

• Position reporting and limits regime (net

by end user)

• Trading houses subject to MFID for

client business

• End user identiication is an issue

Market infrastructure, Trading and

cleaning

• Eligible contracts to be centrality traded

• STP for trading, cleaning, margin and

collateral

• Indirect cleaning arragements

uthorisation, Branches and

Passporting (EU and Third Country)

• Member States to determine if third

country FI must establish branch to

solicit business with retail/professional

clients

• AIFMD to be changed to allow

passporting

• Initial capital required for branches

Data Publication and Access (CCPs,

Trading Venues & Benchmarks (EU &

Third Country)

• Enhanced governance requirements for

trading venues, creation of OTF and new

deinitions for MTF

• Transparency and non-discriminatory

access fees must be fair and

non-discriminatory

• Co-Io to be fair and non-discriminatory

• Third country trading venue can access

CPOO subject to equivalence assessment

• Licence requirement for bencmarks

Governance

• Roles of directors of irms to be speciied

by ESMA incl. limits on directorships

Governance

Market

infrastructure,

Trading and

cleaning

Transparency

pre- and post-

trade)

Investor

Protection

Authorisation

Branches and

Passport

Data

Publication &

Access (CCPs,

Trading Venues

& Benchmarks)

MiFD II/

MiFIR

Microstructure

Issues

(HFT/DMA)

Commodity

Derivatives

Transaction

Reporting

MiFID II / MiFIR post-trade reporting requirements

Page 10

Background

2. Who needs to report

what, when and where?

MiFID II / MiFIR post-trade reporting requirements

Page 12

Who needs to report what, when and where?

2. Who needs to report what, when and where?

2.1 Who needs to report?





                  













   











 OTF is a multilateral















                





               







2.2 What do you need to report?







                   





                 





MiFID II / MiFIR post-trade reporting requirements

Page 13

Who needs to report what, when and where?

Table A











Trading date and time 





  

 Notation of the quantity in measurement unit 

 Quantity in measurement unit

 Notional amount

Quantity 

 Type

 

 Type

Q&A on MiFIR data reporting





























3 https://www.esma.europa.eu/sites/default/ﬁles/library/esma70-1861941480-56_qas_miﬁr_data_reporting.pdf)

4 http://www.anna-web.org/standards/about-identiﬁcation-standards/

5 https://www.esma.europa.eu/sites/default/ﬁles/library/esma70-156-117_miﬁr_opinion_on_totv.pdf

MiFID II / MiFIR post-trade reporting requirements

Page 14

Who needs to report what, when and where?

2.3 When do you need to report?







2.4 Where do you need to report?













               







               



2.5 Summary

Key Points

• 





• 





• 



Summary of the purpose and key requirements of MIFID II post-trade transparency:



Price Transparency:









Timing: 











MiFID II / MiFIR post-trade reporting requirements

Page 15

Who needs to report what, when and where?

An overview of SI and OTC post-trade transparency hierarchy:



BUYER

  



   

MIFID II QIF   QIF

Non-MIFID II QIF  QIF N/A

2.6 Trade reporting scenarios







• 

• 

• 

• 



• 

• 

• 

MiFID II / MiFIR post-trade reporting requirements

Page 16

Who needs to report what, when and where?



• 

• 

• 

• 

• : Regulated Market

• : RM or MTF or OTF

• 

under MiFID II / MiFIR

• 



2.6.1 OTC scenarios

       



Reporting PartySeller Buyer

SI SI

Seller SI reports

QIF SI

SI reports

Non IF SI

SI reports

SI QIF

Seller SI reports

SI Non QIF

Seller SI reports

QIF QIF

Seller QIF reports

QIF Non QIF

QIF reports

Non QIF QIF

QIF reports

Non QIF Non QIF

Out of scope of reporting obligation

MiFID II / MiFIR post-trade reporting requirements

Page 17

Who needs to report what, when and where?

2.6.2 On venue scenarios









2.6.3 Further resources









2.7 Deferrals





2.7.1 Equity deferrals













later than at the end of the relevant period, provided that:









6 http://www.fsa.gov.uk/pubs/newsletters/mw_newsletter32.pdf

7 http://www.ﬁxtradingcommunity.org/pg/workinggroup/2471080/miﬁd-transparency-subgroup/

QIF RM

QIF MTF

QIF OTF

QIF Trading Venue X

QIF Trading Venue E

QIF reports

Recognised venue reports

Reporting PartySeller Buyer

RM reports

MTF reports

OTF reports

MiFID II / MiFIR post-trade reporting requirements

Page 18

Who needs to report what, when and where?



                 



Standard deferrals:



LIQUID & ILLIQUID









2.7.2 Non-equity deferrals



         





• 

•                 



Deferrals can be provided for trades where:

• 

• 

• 







   



Standard deferrals:



LIQUID  Real-time

ILLIQUID  

LIQUID & ILLIQUID  

           

               

possibilities



8 http://www.ﬁxtradingcommunity.org/pg/ﬁle/fplpo/read/3962811/rts2-tree

MiFID II / MiFIR post-trade reporting requirements

Page 19

Who needs to report what, when and where?

2.8 Overview of post-trade transparency

Simpliﬁed decision tree illustrating the assignment of responsibility of the trade reporting obligation:

EU Trading Venue

Non-EU Trading Venue

Regulated

Market

(RM)

Multilateral

Trading

Facility

MTF

Organised

Trading

Facility

(OTF)

Post-trade transparency obligation applies – venue reports

Systematic

Internaliser

(SI)

Over The

Counter (OTC)

Is a MIFID II Investment Firm

one of the counterparties?

Is Counterparty a

MIFID II investment-

Firm?

Is trade between

two SIs?

Are you an SI?

Are you selling?

Yes

Trade Executed – Where has it been executed?

PTT report

Are you selling?

No PTT

obligation

PTT report

Yes

PTT Report

No PTT

obligation

Not

recognised

by ESMA

Recognised

by ESMA

No PTT

obligation

Yes

No PTT

obligation

MiFID II / MiFIR post-trade reporting requirements

Page 20

Who needs to report what, when and where?





Simpliﬁed decision tree illustrating the determination of the applicability of a deferral in the case of OTC trades

only:

Trade Report

Trade > LIS Threshold?

Liquid Market?

Trade > SSTI?

Equity and Equity like Instrument

Trade >= minimum qualifying

Trade Reported as close to real time as possible

Deferred

Publication

Yes

Non -Equity Instrument

Deferred

Publication

Deferred

Publication

Deferred

Publication

3. Regulatory

reporting options

MiFID II / MiFIR post-trade reporting requirements

Page 22

Regulatory reporting options

3. Regulatory reporting options



• 

• 

• 

• 

   









          



 

 

 

 

 Utilise an assisted reporting arrangement

                 















Trade reporting and retention of responsibility matrix:

 Assisted reporting option

  

Responsibility of trade report  







MiFID II / MiFIR post-trade reporting requirements

Page 23

Regulatory reporting options

3.1 Self-reporting





IT:

• 



• 



• 

• 



Trading:

• 

• 

Operations:

• 

• 





3.2 Assisted reporting















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

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



Qualifying

Investment Firm

Approved Publication

Arrangement (APA)

Post-Trade

Transparency Report

MiFID II / MiFIR post-trade reporting requirements

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• 

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• 

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





   





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

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









3.2.1 Assisted reporting – the common APA model





• 

• 



• 



• 



MiFID II / MiFIR post-trade reporting requirements

Page 25

Regulatory reporting options

• 



• 

Common APA process:

           







Common APA reporting model:

Client On Boards with

same APA

Links to APA

Broker publishes all

activity through APA

Testing Phase

Client monitors the

reporting process

Assisting QIF

Assisted QIF

APA – publishes trades

Reports

Monitor

MiFID II / MiFIR post-trade reporting requirements

Page 26

Regulatory reporting options

3.2.2 Assisted reporting – the different APA model

















Different APA reporting model:

The Assisted QIF APA is connected

to the Assisting QIF APA that

allows it to see trades published by

other APAs

APA – Assisting

QIF preferred

Assisting QIF

Assisted QIF

Trade

Monitor

Assisted QIF preferred

APA as long as routing

supported

Reports

APA – Assisting

QIF preferred

4. Further challenges

MiFID II / MiFIR post-trade reporting requirements

Page 28

Further challenges

4. Further challenges







4.1 ToTV

ToTV (Traded on a Trading venue)

              





                  











11.

opinion





             

























9 https://www.esma.europa.eu/sites/default/ﬁles/library/esma70-156-117_miﬁr_opinion_on_totv.pdf

10 http://www.anna-web.org/derivatives-service-bureau-achieves-funding-goal/

11 https://github.com/ANNA-DSB/ToTV-uToTV

12 https://www.esma.europa.eu/press-news/esma-news/esma-clariﬁes-traded-trading-venue-under-miﬁd-ii

13 https://www.esma.europa.eu/sites/default/ﬁles/library/esma70-154-165_smsc_opinion_transparency_third_countries.pdf.

MiFID II / MiFIR post-trade reporting requirements

Page 29

Further challenges

4.2 Information transfer and data availability









• 

• 





After trade reporting:

• 

• 

• 



•      



4.3 Amendments











The regulatory framework for amendments

               



 



 



MiFID II / MiFIR post-trade reporting requirements

Page 30

Further challenges

                 



Amendment / cancellation initiated and actioned by assisted qualifying investment ﬁrm





Amendment / cancellation initiated by the assisted qualifying investment ﬁrm and actioned by the assisting

qualifying investment ﬁrm:





4.4 Package transactions





As per RTS 2, Annex 2, table 3:

















• 

• 

• 





• 

Trade

Published

through APA

Assisted IF amends

or cancels trade in

APA monitor

Notiication

message sent to

assisting IF

Assisting IF

reconciles

Report sent to APA

for publication

Trade

Published

through APA

Assisted IF

contacts assisting

IF to amend or

cancel trade

Assisting IF

amends/cancels

trade

Message sent to

APA for publication

MiFID II / MiFIR post-trade reporting requirements

Page 31

Further challenges

4.5 Novations







            





• 





• 



 









MiFID II / MiFIR post-trade reporting requirements

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AFME’s competition law statement

5. AFME’s competition law statement











 





6. Appendix

MiFID II / MiFIR post-trade reporting requirements

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Appendix

6. Appendix

6.1 Data ﬁelds and ﬂags





















14 https://www.esma.europa.eu/sites/default/ﬁles/library/esma70-872942901-35_qas_transparency_issues.pdf

MiFID II / MiFIR post-trade reporting requirements

Page 35

Appendix

6.1.1 Reportable ﬁelds

6.1.1.1 Reporting ﬁelds for equity and equity-like Instruments (RTS 1, table 3)

 









Trading date and time 





venue, the level of granularity shall be

































reported shall be granular to at least the





















Regulated Market (RM),

Multilateral Trading









Consolidated tape provider



{DATE_TIME_FORMAT}

 

instrument







Price 





































available

 











MiFID II / MiFIR post-trade reporting requirements

Page 36

Appendix

 









 



The nominal or monetary value of the

















of units





or nominal value

 













instruments admitted to trading or traded







or organised trading platform outside of the



admitted to trading or traded on a trading















 





venue, the level of granularity shall be





























reported shall be granular to at least the



results from an order transmitted by the

















{DATE_TIME_FORMAT}

 Code used to identify the trading venue or



 











MiFID II / MiFIR post-trade reporting requirements

Page 37

Appendix

 









 

























persistent per operating MIC per trading



















maintained







MiFID II / MiFIR post-trade reporting requirements

Page 38

Appendix

6.1.1.2 Reporting ﬁelds for non-equity instruments (RTS 2, table 2)



















Trading date and

time



instruments,





























venue the time reported shall be granular to at least

















Regulated Market

(RM), Multilateral



MTF) ,Organised



(OTF)

Approved



Arrangement



Consolidated tape



{DATE_TIME_FORMA T}





code type



instruments,

 













code



instruments,

 





Where Instrument







instrument based on the











the grouping of derivative

instruments as set out in



MiFID II / MiFIR post-trade reporting requirements

Page 39

Appendix



















Price 

instruments,











































as monetary value









not available







instruments,











admitted to trading or traded on a trading venue,





Internaliser or organised trading platform outside of











 

Price notation 

instruments





yield











 

instruments





















derivatives,



derivatives

and emission









letters (a) and (b)



















MiFID II / MiFIR post-trade reporting requirements

Page 40

Appendix



























derivatives,



derivatives

and emission









letters (a) and (b)













 

instruments







letters (a) and (b)













 

instruments







letters (a) and (b)



Nominal amount or notional amount

For spread bets, the notional amount shall be the





















 

instruments







letters (a) and (b)



 





 For emission





derivatives only

 









subsequent trading

periods)

Type For emission





derivatives only







MiFID II / MiFIR post-trade reporting requirements

Page 41

Appendix





















and Time



instruments































venue the time reported shall be granular to at least





















{DATE_TIME_FORMA T}







instruments





 Trading venue: {MIC}





as published in the list of







Transaction







instruments





































is maintained







Transaction to be

cleared

For derivatives 















MiFID II / MiFIR post-trade reporting requirements

Page 42

Appendix

6.1.2 Reportable ﬂags









   Who 

 









Venue & OTC 

















Venue & OTC 











Venue & OTC 



Illiquid instrument









Venue & OTC 











Venue & OTC 

 







Venue & OTC 







 Venue & OTC 

 





Venue & OTC 

 





Venue & OTC 



 







Venue & OTC 

MiFID II / MiFIR post-trade reporting requirements

Page 43

Appendix

   Who 

 







Venue & OTC 



Daily aggregated







Venue & OTC 

 



details have been previously published in



Venue & OTC 

 







Venue & OTC 

 







Venue & OTC 

 





Venue & OTC 

 









Venue & OTC 

 









Venue & OTC 

 













Venue & OTC 







for sovereign debt

instruments)















Venue & OTC 

MiFID II / MiFIR post-trade reporting requirements

Page 44

Appendix

6.2 Deﬁnition of the seller





                    











                   



Basis swaps























For an increase in notional



For a decrease in notional



15 http://ec.europa.eu/ﬁnance/securities/docs/isd/miﬁd/rts/160728-rts-22_en.pdf

MiFID II / MiFIR post-trade reporting requirements

Page 45

Appendix

6.3 Supplementary deferrals

Transaction is above US, SSTI or in

illiquid instrument standard

deferral allowed by NCA – details

published no later than 19:00 T+2

NCAs may wish to impose further

conditions on the deferral at their

discretion

NCAs may require some

transparency within T+2

timeframe

If more than 5 transactions executed

within a day: details published before

09:00 T+1 (with volume aggregate)

If less than 5 transactions: no details

published before 19:00 T+2

All details of the transaction

published except volume (volume

published no later than 19:00 T+2)

If sovereign debt instrument NCA has

option to have, after 4 weeks, details

of several transactions executed over

one week published on an

aggregated basis before 09:00

following Tuesday (volume weighted

average price, aggregated volume),

for indeinite period of time.

If sovereign debt instrument

Transaction executed within a week

published in aggregated form

(volume weighted average price,

aggregated volume) before 09:00

the next Tuesday. Individual

volumes not published

All details of transaction

published no later than 19:00T+2

except volume; volume of

individual transaction published

after 4 weeks (before 09:00 next

working day after period lapses

Transaction executed within a week

published in aggregated form

(volume weighted average price,

aggregated volume) before 09:00 the

next Tuesday. Individual details of

transactions (including volume)

published after 4 weeks

NCA may wish to allow an

enhanced deferral

MiFID II / MiFIR post-trade reporting requirements

Page 46

Appendix

6.4 Links to sources for regulatory texts and other relevant information

• MIFIR

• MIFID II

• Q&A on Data Reporting

• 

• 

• 

• 

• 

• 

• 

• 

• 

• 

• 

•  

and 

16 http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32014R0600

17 http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32014L0065

18 https://www.esma.europa.eu/sites/default/ﬁles/library/2016-1680_qas_miﬁr_data_reporting.pdf

19 https://www.esma.europa.eu/sites/default/ﬁles/library/miﬁd_ii_miﬁr_qa_on_transparency_topics.pdf

20 http://ec.europa.eu/ﬁnance/securities/docs/isd/miﬁd/rts/160714-rts-1_en.pdf

21 http://ec.europa.eu/ﬁnance/securities/docs/isd/miﬁd/rts/160714-rts-1-annex_en.pdf

22 http://ec.europa.eu/ﬁnance/securities/docs/isd/miﬁd/rts/160714-rts-2_en.pdf

23 http://ec.europa.eu/ﬁnance/securities/docs/isd/miﬁd/rts/160714-rts-2-annex_en.pdf

24 https://www.esma.europa.eu/sites/default/ﬁles/library/esma70-156-117_miﬁr_opinion_on_totv.pdf

25 https://github.com/ANNA-DSB/ToTV-uToTV

26 https://www.esma.europa.eu/sites/default/ﬁles/library/esma70-154-165_smsc_opinion_transparency_third_countries.pdf

27 http://ec.europa.eu/ﬁnance/securities/docs/isd/miﬁd/rts/160728-rts-22_en.pdf

28 http://ec.europa.eu/ﬁnance/securities/docs/isd/miﬁd/rts/160714-rts-23_en.pdf

29 http://www.fsa.gov.uk/pubs/newsletters/mw_newsletter32.pdf

30 http://www.ﬁxtradingcommunity.org/pg/ﬁle/fplpo/read/3962806/rts1-tree

31 http://www.ﬁxtradingcommunity.org/pg/ﬁle/fplpo/read/3962811/rts2-tree

MiFID II / MiFIR post-trade reporting requirements

Page 47

Notes

MiFID II / MiFIR post-trade reporting requirements

Page 48

Notes

About AFME























Focus



Expertise



Strong relationships



Breadth

broad global and European membership

Pan-European



Global reach



Association for Financial Markets in Europe

www.afme.eu

London Ofﬁce







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

Press enquiries

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European Media Relations Manager

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

Brussels Ofﬁce









Membership

Elena Travaglini







Frankfurt Ofﬁce





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