MiFID II Working Group VDF Structures per

Transcription

1 MiFID II Working Group VDF Structures per Update of the proposed new structures for VDF release 01/2017 Dirk Henkels, V2.1,

2 Update of the proposed structure This update shows the latest version of the structural changes related to MiFID II and planned to be implemented with VDF release 01/2017. Page 2

3 Topics out of scope The following topics are part of MiFID II but not in scope of this presentation (separate slides in due course): Best trading venue BTV Pre / post trade transparency Reporting Listing life cycle Page 3

4 Proposed new structures in VDF message type TKFSD for investor protection Branching diagram for VDF message type TKFSD New segments in VDF message type TKFSD Domain values Page 4

5 Branching Diagram for VDF message type TKFSD GR1 M 1 FSD M 1 New groups 7 & 8 / Segments FSL, FSM & FSN will be added after group 6 GR2 M 1 VAI M 1 MGA VAK GR3 TXN TQU TKO C 2 C 6 C 500 C 12 C 40 C 2 LRI M 1 GR4 GR5 GR6 GR7 TIG C 20 C 20 C 50 C 100 C 50 FSE FSF FSR FSL M 1 M 1 M 1 M 1 FST FST FST FSP FSS FSU GR8 C 10 C 10 C 10 C 20 C 2 C 10 C 100 FSM M 1 FSN C 100 Page 5

6 New Segments in VDF message type TKFSD GR7 C 100 FSL REPORTING / REGULATION CLASSIFICATION M 1 K991 SEGMENT- / ELEMENT-QUALIFIER M 0991 Segment-Qualifier segqual M an Element-Qualifier fieldqual C an Classification Level 1 ClassLevel1 M an..8 GR8 C 100 FSM REPORT / REG CLASSIFICATION Level 2 M 1 K991 SEGMENT- / ELEMENT-QUALIFIER M 0991 Segment-Qualifier segqual M an Element-Qualifier fieldqual C an Classification Level 2 ClassLevel2 M an Applicability applictaxrep C n Classification Object objecttaxrep C n Valid from datefrom C an Valid to dateto C an Allocation type instringrpstatus C n..5 FSN CLASSIFICATION DETAILS C 100 K991 SEGMENT- / ELEMENT-QUALIFIER M 0991 Segment-Qualifier segqual M an Element-Qualifier fieldqual C an Classification Level 3 ClassLevel3 M an..16 K816 Values for publication duty C 0983 Currency-Scheme currschemeid C an Currency Code curr C an Amount amt C n Unit unit C n Quotation Type quote C n Allocation type instringrpstatus C n Text descr C an 240 Page 6

7 Investor protection level 1 Code Description Long Description M21 MiFID II Target Market Client Type Client type for which the instrument is designed for M22 MiFID II Target Market Knowledge and Experience Required know how and experience to understand the instrument M23 MiFID II Target Market - Ability to bear losses Ability and willingness to bear losses or require protection M24 MiFID II Target Market - Risk / reward profile Risk indicators and classification M25 MiFID II Target Market - Investment Objectives Client's Investment Objectives M26 MiFID II Target Market - Client's needs >tbd< M27 M10 MiFID II Target Market - Distribution Strategy MiFID II Complex / Non Complex Distribution Strategy / Distribution Channel as defined by manufacturer Classification of financial instruments into "complex / non complex" according to MiFID II M11 MiFID II Indicators Additional indicators / classifications like leverage Page 7

8 Investor protection level 2-1 Code Description Long Description Target Market Client Type M21T01 Retail Clients instrument suitable for retail clients and professionals M21T02 Professional Clients instrument suitable for professional clients only Target Market Knowledge and Experience M22T01 Basic instrument requires basic knowledge and experience M22T02 Intermediate instrument requires intermediate knowledge and experience M22T03 Expert instrument requires expert knowledge and experience Target Market - Distribution Strategy M27T01 execution only can be sold online or without advisory M27T02 advised can be sold with investment advisory only M27T03 discretionary portfolio management possible Page 8

9 Investor protection level 2-2 Code Description Long Description Target Market - Risk / reward profile M24T01 conservative Profile with low risk and corresponding expected return M24T02 balanced Profile with medium risk and corresponding expected return M24T03 speculative Profile with higher risk and corresponding expected return M24T04 M24T05 M24T06 SRI of PRIIPs SRRI of UCITS Target Market - Client's needs Manufacturer provided risk factor M26T01 Client's needs >tbd< Risk indicator defined by PRIIPs regulation, covering structured products, funds, ETDs, specific Bonds for retail clients (range from low risk = 1 to high risk = 7) Risk indicator defined by UCITS regulation, covering only funds for retail clients (range from low risk = 1 to high risk = 7) Manufacturers can provide their own risk factor, which is per se not comparable with other classifications. Page 9

10 Investor protection level 2-3 Code Description Long Description Target Market - Investment Objectives M25T01 short term maturity or next call/put date <= 3Y M25T02 medium term maturity or next call/put date > 3Y & < 5Y M25T03 long term maturity or next call/put date >= 5Y M25T04 cash liquidity supply Investment must be easy to liquidate to provide cash liquidity M25T05 retirement provision Investment shall provide current or future retirement income M25T06 capital preservation M25T07 income Investment shall pay an income M25T08 growth Invested capital shall grow Strategy should preserve the invested capital from losses, no granted protection M25T09 long term growth with greater risk In the long run higher risk should yield in substantial capital growth M25T10 hedging of capital Specific risks are hedged in this investment M25T11 leveraged exposure Investment is leveraged, some risks are magnified Page 10

11 Investor protection level 2-4 Scheme Description Long Description Target Market - Ability to bear losses M23T01 fully protected capital no loss of invested capital, 100% protected M23T02 partially protected capital partial loss of capital possible, protection between 0% and 100% M23T03 not protected capital total loss of invested capital possible, protection against further losses M23T04 loss of more than capital Losses larger than invested capital possible, no protection at all Complex / Non Complex M10C01 Complex Instrument M10C02 Non Complex Instrument Indicators M11I01 Leveraged Instrument Indicator Investors classified as 'non-professional' will require consulting and in-depth information on this instrument from the securities trading company (investor protection), according to MiFID II. Investors classified as 'non-professional' will require less consulting and information on this instrument (in contrast to a complex instrument) from the securities trading company (investor protection), according to MiFID II. If applicability is set to yes, SIX recommends this instrument to be evaluated for being a Leveraged Instrument according to MiFID II. Page 11

12 Investor protection: additional domain values Code Description Long Description 7864 Classification Object 41 positive applicable for positive target market 42 negative applicable for negative target market 43 positive & negative applicable for positive and negative target market The above cases are marked with 7863 Applicability = "yes" The case "not relevant for target market" is marked with 7863 Applicability = "no" and has no corresponding 7864 classification object Page 12

13 Examples in VDF message type TKFSD for target market and complex / non-complex According to proposed branching diagram, segments and domain values for investor protection Examples Page 13

14 FSL Target market: example REPORTING / REGULATION CLASSIFICATION C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7908 Classifcation Level 1 ClassLevel1 M21 = TM Client Type M24 TM Risk / reward profile FSM Report/Reg Classification Level 2 (Repeat C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7909 Classifcation Level 2 ClassLevel2 M21T01 = retail M21T02 = professional M24T01 = conservative M24T02 = balanced M24T03 = speculative M24T04 = SRI M24T05 = SRRI M24T06 = MF risk 7863 Applicability applictaxrep 16 = yes 16 = yes 16 = yes 16 = yes 16 = yes 17 = no 17 = no 17 = no 7864 Classification Object objecttaxrep 41 = pos 42 = neg 41 = pos 43 = both 42 = neg 2811 Valid from datefrom Valit to dateto Allocation type instringrpstatus 5 = by issuer 5 = by issuer 5 = by issuer 5 = by issuer 5 = by issuer 5 = by issuer 5 = by issuer 5 = by issuer FSN CLASSIFICATION DETAILS (Repeat 50) C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7910 Classifcation Level 3 ClassLevel3 M24T04V1 = Value SRI M24T05V1 = Value SRRI M24T06V1 = Value MF RI K816 Values / further Information 0983 Currency-Scheme currschemeid 6804 Currency Code curr 5833 Amount amt Unit unit 2=Piece/unit 2=Piece/unit 2=Piece/unit 4812 Quotation Type quote 1=No 1=No 1=No conversion conversion conversion 7850 Allocation type instringrpstatus 9998 Text descr Page 14

15 Complex / Non-Complex example FSL REPORTING / REGULATION CLASSIFICATION C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7908 Classifcation Level 1 ClassLevel1 M10 = Complexity M11 = Indicators FSM Report/Reg Classification Level 2 (Repeat C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7909 Classifcation Level 2 ClassLevel2 M10C01 = complex M11I01 = Leveraged Instrument 7863 Applicability applictaxrep 16 = yes 17 = no 7864 Classification Object objecttaxrep 2811 Valid from datefrom Valit to dateto 7850 Allocation type instringrpstatus I4 = by SIX 4 = by SIX FSN CLASSIFICATION DETAILS (Repeat 50) C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7910 Classifcation Level 3 ClassLevel3 K816 Values / further Information 0983 Currency-Scheme currschemeid 6804 Currency Code curr 5833 Amount amt 4802 Unit unit 4812 Quotation Type quote 7850 Allocation type instringrpstatus 9998 Text descr Page 15

16 Proposed new structures in VDF message type TKHXD New segments in VDF message type TKHXD Domain values Page 16

17 Technical explanation new segment in VDF message type TKHXD HXB ADDITIONAL LISTING DATES C 50 K991 SEGMENT- / ELEMENT-QUALIFIER M 0991 Segment-Qualifier segqual M an Element-Qualifier fieldqual C an Date type lastmondatetype M n Date (from) (DDMMYYYY) Date C an Time (from) (HHMMSSTTT) Time C an Date to (DDMMYYYY) DateTo C an Time to (HHMMSSTTT) TimeTo C an Date / -Time of transmission (DDMMYYYYHHMMSSTTTMMM) DateTransmiss C an..20 Page 17

18 Proposed new structures in VDF message type TKIHD New element "ISO exchange name" in segment IAI New scheme / symbol in segment IAI to distinguish between operational MIC and segment MIC Page 18

19 Technical explanation - new element in VDF message type TKIHD IAI MISCELLANEOUS INSTITUTION IDENTIFICATIONS C 40 K991 SEGMENT / ELEMENT QUALIFIER M 0991 Segment qualifier segqual M an Element qualifier fieldqual C an Institution scheme instiidschemeid M an Institution ID instisym C an Institution ID status instisymstatus M n ISO-Exchange Name descr C an ISO-Exchange Name institution description according to officially published list ISO Market Identifier Code (MIC) Page 19

20 Technical explanation - new schemes in VDF message type TKIHD IAI MISCELLANEOUS INSTITUTION IDENTIFICATIONS C 40 K991 SEGMENT / ELEMENT QUALIFIER M 0991 Segment qualifier segqual M an Element qualifier fieldqual C an Institution scheme instiidschemeid M an Institution ID instisym C an Institution ID status instisymstatus M n..5 new institution schemes in element 0985 Code Description Long Description MICOPR MICSEG D: Operationeller MIC E: Operational MIC D: Segment MIC E: Segment MIC D: Operationeller MIC gemäss ISO E: Operational MIC according to ISO D: Segment MIC gemäss ISO E: Segment MIC according to ISO Page 20

21 Proposed new structures in VDF message type TKIAD New element in segment IAJ Domain values Page 21

22 Technical explanation - new element in VDF message type TKIAD IAJ MISCELLANEOUS INSTITUTION IDENTIFICATIONS IAJ C 100 K991 SEGMENT / ELEMENT QUALIFIER M 0991 Segment qualifier segqual M an Element qualifier fieldqual C an Institution scheme instiidschemeid M an Institution ID instisym C an Valid from datefrom C an Valid until dateto C an Allocation type instringrpstatus C n Status LEI StatusLEI C n..5 Status LEI Indicates the status of the registration of the legal entity with an LOU. Page 22

23 Status LEI: domain values Code Description Long Description (extract) 1 Pending Validation An application for an LEI that has been submitted and which is being processed and validated... 2 Issued An LEI Registration that has been validated and issued, and which identifies an entity that was an operating legal entity as of the last update. 3 Duplicate An LEI Registration that has been determined to be a duplicate registration of the same legal entity as another LEI Registration; the DUPLICATE status is assigned to the non-surviving Lapsed An LEI registration that has not been renewed and has exceeded any allowed grace period for renewal... 5 Merged An LEI registration for an entity that has been merged into another legal entity, such that this legal entity no longer exists as an operating entity... 6 Retired An LEI registration for an entity that has ceased operation, without having been merged into another entity... 7 Annulled An LEI registration that was marked as erroneous or invalid after it was issued. 8 Cancelled An LEI registration that was abandoned prior to issuance of an LEI. A record in this state is not published, but may be exchanged inter-lou. 9 Transferred An LEI registration that has been transferred to a different LOU as the managing LOU. A record in this state is not published, but may be used internally by the prior LOU for audit trail purposes. 10 Pending Transfer An LEI registration that has been requested to be transferred to another LOU Pending Archival An LEI registration is about to be transferred to a different LOU, after which its registration status will revert to a non-pending status. The PENDING_ARCHIVAL status serves to inform recipients of LOU-provided data files that an LEI record will be removed from that LOU s published file after the transfer is complete. Page 23

24 MiFID II - road map Ruleset Implementations Structures fixed VDF Release 01/ Client Information VDF Release 01/ Structures fixed VDF Release 02/ Client Information VDF Release 02/ MiFID II live Going live VDF Release 01/ Going live VDF Release 02/2017 Page 24 3/15/2017

25 MIFID I What will happen to the MIFID I data? Updates for MIFID I will be stopped in January 2018 The MIFID I data will remain in the system Page 25

26 Next Meeting of the Working Group If ESMA releases new relevant regulations, a meeting will be scheduled to discuss the impact. In case of substantial changes in the structure, a meeting will be scheduled to discuss the details. If requested, a meeting will be scheduled in the second quarter of 2017 Page 26

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