EUROPEAN UNION: ESMA Updates MiFID II Q&A on Transparency

Thursday November 16 2017

On 15^th November 2017, European Securities and Markets Authority (ESMA) updated its MiFID II Q&A on Transparency.

Please see below update:

Question 2

1. a) How are the flags specified in Table 4 of Annex I of RTS 17 and Table 3 of Annex II of RTS 28 applied? Is it possible to combine flags?
2. b) How is the trade ID used in the case of aggregation of transactions?
3. c) Tables 3 and 4 of Annex I of RTS 1 and tables 2 and 3 of Annex II of RTS 2 require the publication of some information using text fields and 4-character codes that are not suitable for binary digital feeds. How should trading venues and investment firms/ Approved Publication Arrangements (APAs) ensure that transactions are published as close to real-time as technically possible? Is it possible to transport and publish the real-time data via digital feeds or does the data have to be transported and published in the reporting format defined in Annex I of RTS 1 and Annex II of RTS 2?

Answer 2

1. a) As a general approach, flags should only be applied in case the circumstances described in Table 4 of Annex 1 of RTS 1 or Table 3 of Annex II of RTS 2 apply. Where none of the specified circumstances apply, the transaction should be published without a flag.

The flags ‘CANC’ and ‘AMND’ apply in the same way for equity and non-equity instruments as specified in Article 12(2) and (3) of RTS 1 and in Article 7(2) and (3) of RTS 2. The flags Non-equity flags specified in Table 3 of Annex II of RTS 2

1. Descriptive flags: ‘BENC’, ‘ACTX’11 and ‘NPFT’. Descriptive flags can be combined with each other, with the exception of ACTX that cannot be combined with NPFT, as well as with flags under ii) and iv).
2. Post-trade deferral flags: LRGS’, ‘ILIQ’, ‘SIZE’. The application of the deferred publication is an option and not an obligation.; Post-trade deferral flags should only be used in case of the effective use of the deferred publication. In case of the use of supplementary deferrals under iv), these flags should be used after the supplementary deferral period has lapsed and all the details of the transactions on an individual basis are published. These flags can be combined among each other, except ‘LRGS’ + ‘SIZE’, and with flags under i), iii) and v).

iii. Package transaction flags: ‘TPAC’ and ‘XFPH’: These flags are mutually exclusive. In case of the use of supplementary deferral under iv), these flags should be used after the supplementary deferral period has lapsed and all the details of the transactions on an individual basis are published. These flags can be combined with flags under i), ii) and v).

1. Supplementary deferral flags: ‘LMTF’, ‘DATF’, ‘VOLO’, ‘FWAF’, ’IDAF’, ‘VOLW’ and ‘COAF’. These flags are mutually exclusive. They cannot be combined with flags under i), ii), iii) and v). For components of a package transactions, only the supplementary deferrals providing for volume omission under Article 11(3)(a) and (b) of MiFIR should be used. In case a package transaction benefitted from a deferral, all components should use the applicable flags under ii) and iv) (except DATV, FWAF and IDAF) regardless of whether those components would have qualified for such a deferral if they had been traded outside a package.
2. Full details flags: ‘FULF’, ‘FULA’, ‘FULV’ and ‘FULJ’. They should be reported once the deferral time period lapses and all the details of the transactions on an individual basis are published. These flags are mutually exclusive and should be combined with the post-trade deferral flags under ii). These flags can be combined with flags under i) and iii).

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