Guidelines ESMA









ECMAScript® 2019 Internationalization API Specification

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Guidelines ESMA

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ECMAScript® 2020 Internationalization API Specification

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217549 Guidelines ESMA

10 October 2016 | ESMA/2016/1452

Corrected on 07/08/2017

Guidelines

Transaction reporting, order record keeping and clock synchronisation under MiFID II

ESMA REGULAR USE

2

ESMA REGULAR USE

3

Contents

Contents ................................................................................................................................ 3

Executive Summary .............................................................................................................. 9

1 Scope ............................................................................................................................10

2 Definitions .....................................................................................................................10

3 Purpose .........................................................................................................................10

4 Compliance and reporting obligations ............................................................................11

5 Guidelines on transaction reporting ...............................................................................11

Part I General principles ..............................................................................................14

5.1 General approach to reporting ................................................................................14

5.2 Trading capacity .....................................................................................................15

5.2.1 Dealing on own account (DEAL) .....................................................................15

5.2.2 Trading in a matched principal trading capacity (MTCH) .................................18

5.2.3 .......................................................20

5.2.4 Restrictions on trading capacities ....................................................................21

5.3 Chains and transmission ........................................................................................21

5.3.1 General ...........................................................................................................21

5.3.2 Chain where a Firm is dealing on own account or on a matched principal basis

22

5.3.3 Transmission ...................................................................................................22

5.4 Execution of a transaction on a Trading Venue ......................................................23

5.4.1 Trading venue transaction identification code (Field 3) ....................................24

5.4.2 Reporting of the Venue Field for chains (Field 36) ...........................................24

5.5 Identifiers for parties ...............................................................................................24

5.5.1 Procedure to generate CONCAT .....................................................................25

5.5.2 First name(s) and surname(s) .........................................................................27

5.6 Meaning of transaction ...........................................................................................27

5.6.1 Acquisitions and disposals ..............................................................................27

5.6.2 Exclusions from reporting ................................................................................28

5.7 Mechanics for reporting ..........................................................................................32

5.7.1 Non applicable fields and population of instrument reference data fields .........32

5.7.2 Submission of transaction reports ...................................................................33

Part II- Blocks ..................................................................................................................34

ESMA REGULAR USE

4

5.8 Block 1: Buyer/Seller identification .........................................................................34

5.8.1 Buyer/Seller that is eligible for a LEI ................................................................34

5.8.2 Buyer/Seller is a natural person ......................................................................35

5.9 Block 2: Decision maker for Buyer/Seller ................................................................38

5.9.1 Decision maker is the Buyer/Seller ..................................................................39

5.9.2 Decision maker is a third party with power of representation for the Buyer/Seller

40

5.10 Block 3 (combination of 1 and 2): Buyer/Seller and decision maker specific scenarios

41

5.10.1 Buyer/Seller is a joint account .........................................................................42

5.10.2 Seller is deceased ...........................................................................................43

5.11 Block 4: Investment decision within the firm Field ...................................................43

5.11.1 Investment decision within the firm Field .........................................................43

5.11.2 Investment decision made outside the Firm (the client makes the investment

basis) 44

5.12 Block 5: Execution within the firm field....................................................................45

5.12.1 Person has the primary responsibility for execution .........................................45

5.12.2 Algorithm has the primary responsibility for execution .....................................46

5.13 Block 6: Trading date time ......................................................................................46

5.14 Block 7: Venue .......................................................................................................46

5.14.1 Executing a transaction on a Trading Venue in an anonymous order book .....47

5.14.2 Executing a transaction on a trading platform outside the Union in a non-

anonymous order book ..................................................................................................48

5.14.3 Executing a transaction on a Trading Venue by hitting its own order on an

anonymous order book ..................................................................................................49

5.14.4 A Systematic internaliser executing a transaction ............................................50

5.15 Block 8: Short selling flag .......................................................................................51

5.15.1 Client of Investment Firm X is selling short (information known to Firm X) .......52

5.15.2 Investment Firm X is selling short on its own behalf ........................................52

5.16 Block 9: Waiver, OTC post-trade and commodity derivative indicators ...................54

5.16.1 Waiver indicator and OTC post-trade indicator ................................................54

5.16.2 Post trade indicator where an Investment Firm is matching two client orders over

the counter ....................................................................................................................57

5.16.3 Commodity derivative indicator .......................................................................58

5.17 Block 10: Branches ................................................................................................59

ESMA REGULAR USE

5

5.17.1 Transaction executed on behalf of a client ......................................................59

5.17.2 Transaction executed on own account ............................................................61

5.17.3 Transaction executed by EEA branches of non EEA Firms .............................62

5.18 Block 11: Status of transaction reports and corrections ..........................................64

5.18.1 Intra-day cancellations and amendments ........................................................64

5.18.2 Submitting a new transaction report ................................................................65

5.18.3 Submitting a cancellation ................................................................................65

5.18.4 Correcting the information in a transaction report ............................................66

5.19 Block 12: Change in notional ..................................................................................68

5.19.1 Increase in notional .........................................................................................68

5.19.2 Decrease in notional........................................................................................71

5.19.3 Full early termination .......................................................................................73

Part III - Trading scenarios .............................................................................................73

5.20 Transfer of securities ..............................................................................................73

5.20.1 Transferring between clients within the same firm ...........................................73

5.20.2 Transferring between clients of two separate Investment Firms ......................74

5.20.3 Firms acting over the counter to match two client orders .................................76

5.21 Investment Firm introducing without interposing .....................................................78

5.21.1 Investment Firm matching two orders from clients without interposing itself ....78

5.21.2 Investment Firm introducing its client to another Investment Firm without

interposing itself ............................................................................................................79

5.22 One order for one client executed in multiple transactions......................................80

5.22.1

............................................................................80

5.22.2

instruments to the client from the Inv ......................................83

5.23 Grouping orders .....................................................................................................85

5.23.1 One market fill for several clients.....................................................................85

5.23.2 Several market fills for several clients .............................................................89

5.24 OTF acting on a matched principal basis .............................................................. 103

5.25 Value based transactions with a balancing unit .................................................... 107

5.26 Chains and transmission ...................................................................................... 110

5.26.1 Chains where the conditions in Article 4(1)(a) and (b) are not met ................ 111

5.26.2 Chains where the conditions in Article 4(1)(a) and (b) are met but not all the other

conditions set out in Article 4 are met .......................................................................... 115

ESMA REGULAR USE

6

5.26.3 Chains where the conditions set out in Article 4 of Commission Delegated

Regulation (EU) 2017/590 are met by all Investment Firms ......................................... 123

5.26.4 Chains where the conditions set out in Article 4 of Commission Delegated

Regulation (EU) 2017/590 are met by some Investment Firms in the chain ................. 131

5.27 Investment Firm acting under a discretionary mandate for multiple clients ........... 143

10 October 2016 | ESMA/2016/1452

Corrected on 07/08/2017

Guidelines

Transaction reporting, order record keeping and clock synchronisation under MiFID II

ESMA REGULAR USE

2

ESMA REGULAR USE

3

Contents

Contents ................................................................................................................................ 3

Executive Summary .............................................................................................................. 9

1 Scope ............................................................................................................................10

2 Definitions .....................................................................................................................10

3 Purpose .........................................................................................................................10

4 Compliance and reporting obligations ............................................................................11

5 Guidelines on transaction reporting ...............................................................................11

Part I General principles ..............................................................................................14

5.1 General approach to reporting ................................................................................14

5.2 Trading capacity .....................................................................................................15

5.2.1 Dealing on own account (DEAL) .....................................................................15

5.2.2 Trading in a matched principal trading capacity (MTCH) .................................18

5.2.3 .......................................................20

5.2.4 Restrictions on trading capacities ....................................................................21

5.3 Chains and transmission ........................................................................................21

5.3.1 General ...........................................................................................................21

5.3.2 Chain where a Firm is dealing on own account or on a matched principal basis

22

5.3.3 Transmission ...................................................................................................22

5.4 Execution of a transaction on a Trading Venue ......................................................23

5.4.1 Trading venue transaction identification code (Field 3) ....................................24

5.4.2 Reporting of the Venue Field for chains (Field 36) ...........................................24

5.5 Identifiers for parties ...............................................................................................24

5.5.1 Procedure to generate CONCAT .....................................................................25

5.5.2 First name(s) and surname(s) .........................................................................27

5.6 Meaning of transaction ...........................................................................................27

5.6.1 Acquisitions and disposals ..............................................................................27

5.6.2 Exclusions from reporting ................................................................................28

5.7 Mechanics for reporting ..........................................................................................32

5.7.1 Non applicable fields and population of instrument reference data fields .........32

5.7.2 Submission of transaction reports ...................................................................33

Part II- Blocks ..................................................................................................................34

ESMA REGULAR USE

4

5.8 Block 1: Buyer/Seller identification .........................................................................34

5.8.1 Buyer/Seller that is eligible for a LEI ................................................................34

5.8.2 Buyer/Seller is a natural person ......................................................................35

5.9 Block 2: Decision maker for Buyer/Seller ................................................................38

5.9.1 Decision maker is the Buyer/Seller ..................................................................39

5.9.2 Decision maker is a third party with power of representation for the Buyer/Seller

40

5.10 Block 3 (combination of 1 and 2): Buyer/Seller and decision maker specific scenarios

41

5.10.1 Buyer/Seller is a joint account .........................................................................42

5.10.2 Seller is deceased ...........................................................................................43

5.11 Block 4: Investment decision within the firm Field ...................................................43

5.11.1 Investment decision within the firm Field .........................................................43

5.11.2 Investment decision made outside the Firm (the client makes the investment

basis) 44

5.12 Block 5: Execution within the firm field....................................................................45

5.12.1 Person has the primary responsibility for execution .........................................45

5.12.2 Algorithm has the primary responsibility for execution .....................................46

5.13 Block 6: Trading date time ......................................................................................46

5.14 Block 7: Venue .......................................................................................................46

5.14.1 Executing a transaction on a Trading Venue in an anonymous order book .....47

5.14.2 Executing a transaction on a trading platform outside the Union in a non-

anonymous order book ..................................................................................................48

5.14.3 Executing a transaction on a Trading Venue by hitting its own order on an

anonymous order book ..................................................................................................49

5.14.4 A Systematic internaliser executing a transaction ............................................50

5.15 Block 8: Short selling flag .......................................................................................51

5.15.1 Client of Investment Firm X is selling short (information known to Firm X) .......52

5.15.2 Investment Firm X is selling short on its own behalf ........................................52

5.16 Block 9: Waiver, OTC post-trade and commodity derivative indicators ...................54

5.16.1 Waiver indicator and OTC post-trade indicator ................................................54

5.16.2 Post trade indicator where an Investment Firm is matching two client orders over

the counter ....................................................................................................................57

5.16.3 Commodity derivative indicator .......................................................................58

5.17 Block 10: Branches ................................................................................................59

ESMA REGULAR USE

5

5.17.1 Transaction executed on behalf of a client ......................................................59

5.17.2 Transaction executed on own account ............................................................61

5.17.3 Transaction executed by EEA branches of non EEA Firms .............................62

5.18 Block 11: Status of transaction reports and corrections ..........................................64

5.18.1 Intra-day cancellations and amendments ........................................................64

5.18.2 Submitting a new transaction report ................................................................65

5.18.3 Submitting a cancellation ................................................................................65

5.18.4 Correcting the information in a transaction report ............................................66

5.19 Block 12: Change in notional ..................................................................................68

5.19.1 Increase in notional .........................................................................................68

5.19.2 Decrease in notional........................................................................................71

5.19.3 Full early termination .......................................................................................73

Part III - Trading scenarios .............................................................................................73

5.20 Transfer of securities ..............................................................................................73

5.20.1 Transferring between clients within the same firm ...........................................73

5.20.2 Transferring between clients of two separate Investment Firms ......................74

5.20.3 Firms acting over the counter to match two client orders .................................76

5.21 Investment Firm introducing without interposing .....................................................78

5.21.1 Investment Firm matching two orders from clients without interposing itself ....78

5.21.2 Investment Firm introducing its client to another Investment Firm without

interposing itself ............................................................................................................79

5.22 One order for one client executed in multiple transactions......................................80

5.22.1

............................................................................80

5.22.2

instruments to the client from the Inv ......................................83

5.23 Grouping orders .....................................................................................................85

5.23.1 One market fill for several clients.....................................................................85

5.23.2 Several market fills for several clients .............................................................89

5.24 OTF acting on a matched principal basis .............................................................. 103

5.25 Value based transactions with a balancing unit .................................................... 107

5.26 Chains and transmission ...................................................................................... 110

5.26.1 Chains where the conditions in Article 4(1)(a) and (b) are not met ................ 111

5.26.2 Chains where the conditions in Article 4(1)(a) and (b) are met but not all the other

conditions set out in Article 4 are met .......................................................................... 115

ESMA REGULAR USE

6

5.26.3 Chains where the conditions set out in Article 4 of Commission Delegated

Regulation (EU) 2017/590 are met by all Investment Firms ......................................... 123

5.26.4 Chains where the conditions set out in Article 4 of Commission Delegated

Regulation (EU) 2017/590 are met by some Investment Firms in the chain ................. 131

5.27 Investment Firm acting under a discretionary mandate for multiple clients ........... 143


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