MiFID II Meeting

Transcription

1 MiFID II Meeting Presentation and Review of the proposed new VDF Structures Manuel Alonso

2 Agenda Introduction Proposed new structure technical explanation and examples Specific topics and discussion Outlook / road map for 2017 Varia / next working group meeting Page 2

3 Topics Pre / post trade transparency Reporting Listing life cycle Best trading venue BTV Page 3

4 Proposed new structures in VDF message type TKFSD for Pre / post trade transparency Branching diagram for VDF message type TKFSD New segments in VDF message type TKFSD Domain values for schemes and symbols Page 4

5 Branching Diagram for VDF message type TKFSD GR1 M 1 FSD M 1 A new group 7 / Segments 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 FSM M 1 M 1 M 1 M 1 FST FST FST FSP FSS FSU FSN C 10 C 10 C 10 C 20 C 2 C 10 C 100 Page 5

6 New Segments in VDF message type TKFSD GR7 C 100 FSM REPORTING / REGULATION CLASSIFICATION M 1 K991 SEGMENT- / ELEMENT-QUALIFIER M 0991 Segment-Qualifier segqual M an Element-Qualifier fieldqual C an Classification-Scheme mifidclassscheme M an Classification-Symbol mifidclasssymbol M an Applicability applictaxrep M n Valid from datefrom C an Valit 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-Details mifidtradeinfo M an..12 K816 Values / further Information 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 Pre- and Post-Trade Transparency RTS 1: Annex II: Orders large in scale compared with normal market size, standard market sizes and deferred publications and delays RTS 2: Annex III: Liquidity assessment, LIS and SSTI thresholds for non-equity financial instruments. Scheme Description Long Description ESMATRST ESMA Trading statistics Trading statistic figures as published by ESMA MIF2WAIV MiFID II Waiver MiFID II classification of waivers for trade reporting, calculated by SIX Page 7

8 Pre- and Post-Trade Transparency symbols per scheme and classification details - 1 Scheme Symbol Description Code Classification details Description ESMA-Trading-statistic ESMATRST ESMATSF ESMATRST ESMATSF ESMA-Tradingstatistic figures 1 ADNA-1 Quantitative liquidity criteria 1 ESMA-Tradingstatistic figures 2 ADNT-2 Quantitative liquidity criteria 2 ESMATRST ESMATSF ESMA-Tradingstatistic figures 3 PDTOP-3 Quantitative liquidity criteria 3 MiFID II Waiver MIF2WAIV MIF2WAIV MIF2WAIV PRTR PRTR PRTR Pre-Trading Classification Pre-Trading Classification Pre-Trading Classification 40 LIS Liquid pre trade Threshold floor 41 LIS pre trade percentile 42 LIS Illiquid pre trade Threshold value Large in scale liquidity threshold floor that applies to pre-trade transparency for that specific instrument - as defined by ESMA Large in scale (LIS) Percentile Transactions executed on Bonds (all bond types except ETCs and ETNs) following the exclusion of transactions as specified in Article 13(10) Large in scale illiquidity threshold value that applies to pre-trade transparency for that specific instrument - as defined by ESMA Page 8

9 Pre- and Post-Trade Transparency symbols per scheme and classification details - 2 Scheme Symbol Description MiFID II Waiver MIF2WAIV MIF2WAIV MIF2WAIV MIF2WAIV MIF2WAIV MIF2WAIV Page 9 PRTR PRTR PRTR PRTR PRTR PRTR Pre-Trading Classification Pre-Trading Classification Pre-Trading Classification Pre-Trading Classification Pre-Trading Classification Pre-Trading Classification Code Class details Description SSTI pre trade percentile SSTI Liquid pre trade Threshold floor SSTI Illiquid pre trade percentile Total volume of trading (per currency) Total volume of trading under Reference Price waiver Total volume of trading under Negotiated Transactions waiver Long Description Special Size to the Instrument (SSTI) Percentile Transactions executed on Bonds (all bond types except ETCs and ETNs) following the exclusion of transactions as specified in Article 13(10). Special Size to the Instrument (SSTI) Threshold value: Transactions executed on Bonds (ETC and ETN bond types). Special Size to the Instrument (SSTI) Percentile Transactions executed on Bonds (all bond types except ETCs and ETNs) following the exclusion of transactions as specified in Article 13(10) The total volume of trading in the financial instrument executed on that trading venue Total volume of trading under Reference Price waiver as de-fined under Article 4(1)(a) of MiFIR (per currency). Total volume of trading under Negotiated Transactions waiver as defined under Article 4(1)(b)(i) of MiFIR (per currency)

10 Pre- and Post-Trade Transparency symbols per scheme and classification details - 3 Scheme Symbol Description Code Classification details Description MiFID II Waiver MIF2WAIV MIF2WAIV MIF2WAIV MIF2WAIV MIF2WAIV MIF2WAIV POTR POTR POTR POTR POTR POTR Post-Trading Classification Post-Trading Classification Post-Trading Classification Post-Trading Classification Post-Trading Classification Post-Trading Classification Large scale order size 1/ delay 60 minutes Large scale order size 1/ delay 120 minutes Large scale order size 3/ End of the trading day LIS Liquid post trade - Volume percentile LIS Liquid post trade - Threshold floor LIS Illiquid post trade - Threshold floor Transaction size to qualify for a permitted delay of 60 minutes for publication Transaction size to qualify for a permitted delay of 120 minutes for publication Transaction size to qualify for a permitted delay for publication until the end of the trading day Large in scale liquidity threshold floor that applies to pre-trade transparency for that specific instrument - as defined by ESMA Large in scale liquidity threshold floor that applies to post-trade transparency and reporting for that specific instrument - as defined by ESMA Large in scale illiquidity threshold floor that applies to post-trade transparency and reporting for that specific instrument - as defined by ESMA. Threshold value: Transactions executed on Bonds (ETC and ETN bond types). Page 10

11 Pre- and Post-Trade Transparency symbols per scheme and classification details - 4 Scheme Symbol Description Code Classification details Description MiFID II Waiver MIF2WAIV MIF2WAIV MIF2WAIV MIF2WAIV MIF2WAIV POTR POTR POTR POTR POTR Post-Trading Classification Post-Trading Classification Post-Trading Classification Post-Trading Classification Post-Trading Classification 55 LIS post-trade percentile SSTI Liquid post trade percentile SSTI Liquid post trade - Threshold floor SSTI Illiquid post trade - Threshold floor 59 Min. size of orders Large in scale (LIS) Percentile Transactions executed on Bonds (all bond types except ETCs and ETNs) following the exclusion of transactions as specified in Article 13(10). Special Size to the Instrument (SSTI) Percentile Transactions executed on Bonds (all bond types except ETCs and ETNs) following the exclusion of transactions as specified in Article 13(10). Special Size to the Instrument (SSTI) Threshold value: Transactions executed on Bonds (ETC and ETN bond types). Special Size to the Instrument (SSTI) Threshold value: Transactions executed on Bonds (ETC and ETN bond types). Minimum size of orders qualifying as large in scale compared with normal market size in EUR Page 11

12 Transparency: the volume cap mechanism RTS 3, the volume cap mechanism and the provision of information for the purposes of transparency and other calculations Scheme Description Long Description MIF2VCM MiFID II Volume Cap Mechanism Page 12

13 Transparency Volume Cap Mechanism symbols per scheme and classification details Scheme Symbol Description Code Classification details Description MiFID II volume cap mechanism MIF2VCM MIF2VCM MIF2VCM RVCM RVCM RVCM Report for the purpose of the volume cap mechanism Report for the purpose of the volume cap mechanism Report for the purpose of the volume cap mechanism Total volume of trading (per currency) Total volume of trading under Reference Price waiver Total volume of trading under Negotiated Transactions waiver The total volume of trading in the financial instrument executed on that trading venue Total volume of trading under Reference Price waiver as de-fined under Article 4(1)(a) of MiFIR (per currency). Total volume of trading under Negotiated Transactions waiver as defined under Article 4(1)(b)(i) of MiFIR (per currency) Page 13

14 Transparency requirements for financial instruments RTS 3, the volume cap mechanism and the provision of information for the purposes of transparency and other calculations RTS 4: criteria for determining whether derivatives should be subject to the trading obligation (Article 32(6) of MiFIR) RTS 23 Annex, 3 Reference data to be provided for the purpose of transparency calculations ). Scheme Description Long Description MIF2INDI MiFID II Indicators Additional MiFID II Indicators Page 14

15 Transparency requirements for financial instruments (Indicators) Scheme Symbol Short Description MiFID II Indicators MIF2INDI MIF2INDI MIF2INDI MIF2INDI MIF2INDI MIF2INDI MIF2INDI MIF2INDI MIF2INDI ESMARFI ESMACDI ESMAFI ESMATROB ESMAVCPBAV ESMAVCPBSV ESMALIQD ESMAELIG ESMAOTHR ESMA reportable Instrument ESMA Commodity derivative indicator Instrument in ESMA database ESMA Trading Obligation Volume Cap breached - All venue Volume Cap breached - Single venue Liquidity indicator ESMA eligible instrument Other (Instrument identification code type) in the absence of an ISIN. Page 15

16 Market Data Reporting RTS 22: Reporting obligations under Article 26 of MiFIR Annex I, Table 1 (Legend for table 2) Scheme Description Long Description ESMARIND ESMAOPTP ESMAOPES ESMAOPDT ESMA Index Name ESMA transaction report Option Type ESMA transaction report Option exercise style ESMA transaction report Delivery Type ESMA Reporting Reference data under MiFIR: Option Type : Indication whether the derivative contract is a call (right to purchase a specific underlying asset) or a put (right to sell a specific underlying asset) or whether it cannot be determined whether it is a call or a put at the time of execution. ESMA Reporting Reference data under MiFIR: Option exercise style : Indication as to whether the option may be exercised only at a fixed date (European, and Asian style), a series of pre-specified dates (Ber-mudan) or at any time during the life of the contract (American style). This field is only applicable for options, warrants and enti-tlement certificates. ESMA Reporting Reference data under MiFIR: Delivery Type: Indication whether the transaction is settled physically or in cash. Where delivery type cannot be determined at time of execution, the value shall be OPTL The field is only applicable for derivatives Page 16

17 Market Data Reporting 1 Reporting obligations under Article 26 of MiFIR Annex I, Table 1 (Legend for table 2) Scheme Symbol Short Description ESMARIND ESMARIND EONA EONIA EONS,EURI,EUUS,EUCH,GCFR,ISDA,LIBI,LIBO,MAAA,PFAN, etc. ESMAOPTP PUTO PUTO = Put ESMAOPTP CALL CALL = Call ESMAOPTP OTHR OTHR = where it cannot be determined whether it is a call or a put ESMAOPES EURO EURO = European ESMAOPES AMER AMER = American ESMAOPES ASIA ASIA = Asian ESMAOPES BERM BERM = Bermudan ESMAOPES OTHR OTHR = Any other type Page 17

18 Market Data Reporting 2 Reporting obligations under Article 26 of MiFIR Annex I, Table 1 (Legend for table 2) Scheme Symbol Short Description ESMAOPDT PHYS PHYS = Physically settled ESMAOPDT CASH CASH = Cash settled ESMAOPDT OPTL OPTL = Optional for counterparty or when determined by a third party Page 18

19 Market Data Reporting 3 additional domain values MiFID II Attribute Description Long Description This data is already provided in VDF Issuer of the underlying bond Instrument identification code Trading venue LEI (ISO17442) ISIN (ISO6166) MIC (ISO10383) Field to be populated when the underlying type is a bond or a bond future with the legal entity identifier code (LEI) of the issuer of the direct or ultimate underlying bond applicable for negative target market Segment MIC for the trading venue or systematic internaliser, where available, otherwise operational MIC Country Code 2 Country code (ISO3166) 2 letter country code, as defined by ISO alpha-2 country code Classification of financial instrument Financial instrument short name CFI ISO10962 FISN ISO18774 Notional currency 1 Currency code (ISO4217) 3 letter currency code, as defined by ISO 4217 currency codes Underlying instrument code ISIN Underlying Index name INDEX according to ESMA or {ALPHANUM-25} - if the index name is not included in the {INDEX} list Instrument full name Full name of the financial instrument. Page 19

20 Market Data Reporting 4 additional domain values MiFID II Attribute Description Long Description This data is already provided in VDF Strike price Currency code (ISO4217) Strike price currency Maturity date Expiry date Price multiplier Predetermined price at which the holder will have to buy or sell the underlying instrument, or an indication that the price cannot be determined at the time of execution Date of maturity of the financial instrument Expiry date of the financial instrument. Field only applies to derivatives with a defined expiry date. Number of units of the underlying instruments represented by a single derivative contract (only ETDs) Page 20

21 Content, standards, form and format of reference data 1 RTS 23: financial instruments reference data under Article 27 of MiFIR, Annex Table 2 (Legend for table 3) Scheme Description Long Description Classification of commodity derivatives for Table 3 (Fields 35-37) ESMACMBP ESMACMST ESMACMFS ESMA Commodity Base Product ESMA Commodity Sub product ESMA Commodity Further sub product ESMA Reporting Reference data under MiFIR: Commodity Base product: First level of classification of Commodities as defined by ESMA. ESMA Reporting Reference data under MiFIR: Sub Product Second level of classification of Commodities as defined by ESMA. ESMA Reporting Reference data under MiFIR: Further Sub Product: Third level of classification of Commodities as defined by ESMA. Page 21

22 Content, standards, form and format of reference data 2 RTS 23: financial instruments reference data under Article 27 of MiFIR, Annex Table 2 (Legend for table 3) Scheme Symbol Short Description ESMACMBP AGRI Agricultural Commodity Base Product ESMACMST GROS Grains Oil Seeds Commodity Sub Product ESMACMFS FWHT Feed Wheat Commodity Further Sub Product Page 22

23 MiFIR Identifiers 1 (RTS 1, Annex III, 1 Symbol for 2, Annex IV,) (Details of the reference data to be provided for the purpose of transparency calculations) Scheme Description Long Description MIFREQ MIFRNEQ MIFRACUL MIFRCTP MiFIR equity products MiFIR Non-equity MiFIR Asset class of the underlying MiFIR Contract type ESMA Reporting Reference data under MiFIR: product type of equity financial instruments. Details of the reference data to be provided for the purpose of transparency calculations. Identification of equity financial instruments. ESMA Reporting Reference data under MiFIR: product type of Non-equity financial instruments. Details of the reference data to be provided for the purpose of transparency calculations. Identification of equity financial instruments. ESMA Reporting Reference data under MiFIR: the asset of the underlying instrument; to be populated when the underlying instrument is a securitized derivative or a derivative. ESMA Reporting Reference data under MiFIR: The Contract type of a derivative. To be populated when the MiFIR instrument is a derivative. MIFRBTP MiFIR Bond type ESMA Reporting Reference data under MiFIR: The Bond type as specified in 2.2 of Section 2 of Annex III. To be populated only when the MiFIR identifier is equal to bonds. (Bonds (all bond types except ETCs and ETNs)). Page 23

24 MiFIR Identifiers 2 (RTS 1, Annex III, 1 Symbol for 2, Annex IV,) (Details of the reference data to be provided for the purpose of transparency calculations) (RTS 28, Annex I (Classes of financial instruments)) Scheme Description Long Description MIFREMTP MIFRULTP ESMARBND MiFIR Emissions Allowances sub type MiFIR Underlying type ESMA Seniority of the bond ESMA Reporting Reference data under MiFIR: Emissions Allowances sub types to be populated for emission allowances (as defined in 13.1 of Section 13 of Annex III). ESMA Reporting Reference data under MiFIR: The underlying classification as defined by ESMA for interest rate derivatives (5.1 of Section 5 of Annex III). To be populated for Equity derivatives only as defined in 6.1 of Section 6 of Annex III. To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is neither swaps nor portfolio swaps, swaptions, futures on a swap or forwards on a swap. ESMA Reporting Reference data. The Seniority of bonds: senior debt, mezzanine, subordinated or junior. ESMAFICL Classes of financial instruments Information on the top five execution venues and quality of execution obtained Page 24

25 Examples in VDF message type TKFSD for target market According to proposed branching diagram, segments, schemes and symbols Examples Question Page 25

26 Pre- and Post-Trade Transparency Example 1 FSM REPORTING / REGULATION CLASSIFICATION C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7876 Classification-Scheme mifidclassscheme ESMATRST 7877 Classification-Symbol mifidclasssymbol ESMATSF-Trading-statistic figures 7863 Applicability applictaxrep Yes 2811 Valid from datefrom Valit to dateto 7850 Allocation type instringrpstatus ESMA FSN CLASSIFICATION DETAILS (Repeat 50) C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7878 Classification-Details mifidtradeinfo K816 Values / further Information Page 26 ADT ADNT AVT 0983 Currency-Scheme currschemeid T1 T1 T Currency Code curr Amount amt ' Unit unit 4812 Quotation Type quote 7850 Allocation type instringrpstatus ESMA ESMA ESMA 9998 Text descr

27 Pre- and Post-Trade Transparency Waivers Example 2 FSM REPORTING / REGULATION CLASSIFICATION C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7876 Classification-Scheme mifidclassscheme MIF2WAIV MIF2WAIV 7877 Classification-Symbol mifidclasssymbol PRTR (Pre-Trading class.) POTR (Post Trading classifcation) 7863 Applicability applictaxrep Yes Yes 2811 Valid from datefrom Valit to dateto 7850 Allocation type instringrpstatus SIX SIX SIX SIX FSN CLASSIFICATION DETAILS (Repeat 50) C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7878 Classification-Details mifidtradeinfo Code 40 = LIS Liquid pre trade Threshold floor K816 Values / further Information Page 27 Code 41 = LIS pre trade percentile Code 49 = Code 50 = Large scale Large scale order size 1/ order size 2/ delay 60 delay 120 minutes minutes Code 51 = Large scale order size 3/ End of trading day 0983 Currency-Scheme currschemeid T1 T1 T1 T1 T Currency Code curr Amount amt Unit unit 4812 Quotation Type quote 7850 Allocation type instringrpstatus SIX SIX SIX SIX SIX 9998 Text descr

28 Transparency requirements for financial instruments (Indicators) Example 3 FSM REPORTING / REGULATION CLASSIFICATION C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7876 Classification-Scheme mifidclassscheme MiFID II Indicators MiFID II Indicators MiFID II Indicators MiFID II Indicators 7877 Classification-Symbol mifidclasssymbol ESMARFI - ESMA reportable Instrument ESMAFI - Instrument in ESMA database ESMATROB - ESMA Trading Obligation ESMALIQD - Liquidity indicator 7863 Applicability applictaxrep Yes Yes Yes Yes 2811 Valid from datefrom 2812 Valit to dateto 7850 Allocation type instringrpstatus ESMA ESMA ESMA ESMA FSN CLASSIFICATION DETAILS (Repeat 50) C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7878 Classification-Details mifidtradeinfo 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 28

29 Content, standards, form and format of reference data Example 4 FSM REPORTING / REGULATION CLASSIFICATION C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual Base product Sub product Further sub product 7876 Classification-Scheme mifidclassscheme ESMACMBP ESMACMST ESMACMFS AGRI - GROS - FWHT - Feed Wheat 7877 Classification-Symbol mifidclasssymbol Agricultural Grains Oil Seed 7863 Applicability applictaxrep Yes Yes Yes 2811 Valid from datefrom 2812 Valit to dateto 7850 Allocation type instringrpstatus SIX SIX SIX FSN CLASSIFICATION DETAILS (Repeat 50) C100 K991 SEGMENT- / ELEMENT-QUALIFIER 0991 Segment-Qualifier segqual 0992 Element-Qualifier fieldqual 7878 Classification-Details mifidtradeinfo 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 29

30 Proposed new structures in VDF message type TKHXD New segments in VDF message type TKHXD Domain values Page 30

31 Technical explanation new segment in VDF message type TKHXD Page 31

32 Proposed new structures in VDF message type TKIAD New element in segment IAJ Domain values Page 32

33 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..5 new Status LEI new C an..24 Status LEI Indicates the status of the registration of the legal entity with an LOU. Page 33

34 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 34

35 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 35 2/6/2017

36 Next Meeting When? Scope? Page 36

37 Thank you for your attendance, we are looking forward working with you on the successful implementation of MiFID II Page 37

38 Disclaimer This material has been prepared by SIX Group Ltd, its subsidiaries, affiliates and/or their branches (together, "SIX") for the exclusive use of the persons to whom SIX delivers this material. This material or any of its content is not to be construed as a binding agreement, recommendation, investment advice, solicitation, invitation or offer to buy or sell financial information, products, solutions or services. It is solely for information purposes and is subject to change without notice at any time. SIX is under no obligation to update, revise or keep current the content of this material. No representation, warranty, guarantee or undertaking express or implied is or will be given by SIX as to the accuracy, completeness, sufficiency, suitability or reliability of the content of this material. Neither SIX nor any of its directors, officers, employees, representatives or agents accept any liability for any loss, damage or injury arising out of or in relation to this material. This material is property of SIX and may not be printed, copied, reproduced, published, passed on, disclosed or distributed in any form without the express prior written consent of SIX SIX Group Ltd. All rights reserved. Page 38

39 Backup slides Detail structures to MiFIR Identifiers 1 and 2 Page 39

40 Schema: MIFREQ Symbol SHRS ETFS DPRS CRFT OTHE Description SHRS = shares, Shares as referred to in Article 4(44)(a) of Directive 2014/65/EU ETFS = ETFs, ETF as defined in Article 4(46) of Directive 2014/65/EU DPRS = depositary receipts, Depositary receipts as defined in Article 4(45) of Directive 2014/65/EU CRFT = certificates, Certificates as defined in Article 2(1)(27) of Regulation (EU) No 600/2014; OTHE = other equity-like financial instrument, Other equity-like financial instrument is a transferable security which is an equity instrument similar to a share, ETF, depositary receipt or ertifycate but other than a share, ETF, depositary receipt or ertifycate. Page 40

41 Symbol DERV SDRV SFPS BOND ETCS ETNS EMAL Schema: MIFRNEQ Description DERV = Derivative as defined in Annex I, Section C (4) to (10) of Regulation (EU) No 600/ SDRV = Securitized derivatives as defined in 4.1 in Section 4 of Annex III Asset class Securitized Derivatives means a transferable security as defined in Article 4(1)(44)I of Directive 2014/65/EU different from structured finance products and should include at least:(a) plain vanilla covered warrants means securities giving the holder the right, but not the obligation, to purchase (sell), at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, the payment of the positive difference between the current market price (the strike price) and the strike price (the current market price);(b) leverage certificates means certificates that track the performance of the underlying asset with leverage effect;(c) exotic covered warrants means covered warrants whose main component is a combination of options;(d) negotiable rights;i investment certificates means certificates that track the performance of the underlying asset without leverage effect. SFPS = Structured Finance Products (SFPs) as defined in Article 2(1)(28) of Regulation (EU) No 600/2014 BOND = Bonds (for all bonds except ETCs and ETNs) as defined in Article 4(44)(b) of Directive 2014/65/EU ETCS = ETCs as defined in in Article 4(44)(b) of Directive 2014/65/EU and further specified in 2.4 of Section 2 of Annex III ETCS = Exchange Traded Commodities a debt instrument issued against a direct investment by the issuer in commodities or commodities derivative contracts. The price of an ETC is directly or indirectly linked to the performance of the underlying. An ETC passively tracks the performance of the commodity or commodity indices to which it refers. ETNS = ETNs as defined in in Article 4(44)(b) of Directive 2014/65/EU and further specified in 2.4 of Section 2 of Annex III ETNS = Exchange Traded Notes a debt instrument issued against a direct investment by the issuer in the underlying or underlying derivative contracts. The price of an ETN is directly or indirectly linked to the performance of the underlying. An ETN passively tracks the performance of the underlying to which it refers. EMAL = Emission allowances as defined in 12.1 of Section 12 of Annex III Page 41

42 Schema: MIFRACUL Symbol INTR EQUI COMM CRDT CURR Description INTR = Interest rate EQUI = Equity COMM = Commodity CRDT = Credit CURR = Currency Schema: MIFRCTP Symbol OPTN FUTR Description OPTN = Options FUTR = Futures Page 42

43 Schema: MIFRBTP Symbol Description EUSB OEPB CVTB CVDB CRPB OTHR EUSB = Sovereign Bond means a bond issued by a sovereign issuer which is either:(a) the Union; (b) a Member State Iing a government department, an agency or a special purpose vehicle of a Member State;(c) a sovereign entity which is not listed under points (a) and (b). OEPB = Other Public Bond means a bond issued by any of the following public issuers:(a) in the case of a federal Member State, a member of that federation; (b) a special purpose vehicle for several Member States; (c) an international financial institution established by two or more Member States which have the purpose of mobilizing funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems; CVTB = Convertible Bond means an instrument consisting of a bond or a securitized debt instrument with an embedded derivative, such as an option to buy the underlying equity CVDB = Covered Bond means bonds as referred to in Article 52(4) of Directive 2009/65/EC CRPB = Corporate Bond means a bond that is issued by a Societas Europaea established in accordance with Directive 2001/2157/EC or a type of company listed in Article 1 of Directive 2009/101/EC or equivalent in third countries smaller OTHR = Other bond that does not belong to any of the bond types (EUSB, OEPB, CVTB, CVDB or CRPB) is considered not to have a liquid market Page 43

44 Schema: MIFREMTP Symbol CERE ERUE EUAE EUAA OTHR Description CERE = CER Emission allowance derivatives whose underlying is of the type l(cer) a financial instrument relating to emission allowances of the type Certified Emission Reductions (CER) as defined in Section C(4) of Annex I of Directive 2014/65/EU (Carbon Dioxide) ERUE = ERU Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) a financial instrument relating to emission allowances of the type Emission Reduction Units (ERU) as defined in Section C(4) of Annex I of Directive 2014/65/EU (Carbon Dioxide) EUAE = EUA Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EU (Carbon Dioxide) EUAA = EUAA Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) a financial instrument relating to emission allowances of the type European Union Aviation Allowances (EUAA) as defined in Section C(4) of Annex I of Directive 2014/65/EU ((Carbon Dioxide) OTHR = Other Other Emission allowance derivatives an emission allowance derivative whose underlying is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU) (any other emission allowance derivative is considered not to have a liquid market) Page 44

45 Schema: MIFRULTP Symbol BOND EQUI CURR BNDF FTEQ OPEQ COMM INRT STIX SHAR DIVI DVSE BSKT ETFF VOLI OTHE OTHR Description BOND = Bonds EQUI = Equity CURR = Currency BNDF = Bond Futures FTEQ = Futures on an equity OPEG = Options on an equity COMM = Commodity INRT = Interest rate STIX = Stock Index SHAR = Share/Stock DIVI = Dividend Index DVSE = Stock dividend BSKT = Basket of shares resulting from a corporate action ETFF = ETFT VOLI = Volatility Index OTHE = Other (including depositary receipts, certificates and other equity like financial instrument) OTHR = Other Page 45

46 Schema: ESMAFICL Symbol Equities1 Equities2 Equities3 Debt1 Debt2 IntRatDer1 IntRatDer2 CredDer1 CredDer2 CurrDer1 CurrDer2 StrucFI EquiDer1 EquiDer2 SecuDer1 SecuDer2 ComDer1 ComDer2 ETProd EmAllowan Others Description Equities Shares & Depositary Receipts (i) Tick size liquidity bands 5 and 6 (from 2000 trades per day) Equities Shares & Depositary Receipts (ii) Tick size liquidity bands 3 and 4 (from 80 to 1999 trades per day) Equities Shares & Depositary Receipts (iii) Tick size liquidity band 1 and 2 (from 0 to 79 trades per day) Debt instruments (i) Bonds Debt instruments (ii) Money markets instruments Interest rates derivatives (i) Futures and options admitted to trading on a trading venue Interest rates derivatives (ii) Swaps, forwards, and other interest rates derivatives Credit derivatives (i) Futures and options admitted to trading on a trading venue Credit derivatives (ii) Other credit derivatives Currency derivatives (i) Futures and options admitted to trading on a trading venue Currency derivatives (ii) Swaps, forwards, and other currency derivatives (f) Structured finance instruments Equity Derivatives (i) Options and Futures admitted to trading on a trading venue Equity Derivatives (ii) Swaps and other equity derivatives Securitized Derivatives (i) Warrants and Certificate Derivatives Securitized Derivatives (ii) Other securitized derivatives Commodities Derivatives (i) Options and Futures admitted to trading on a trading venue Commodities Derivatives (ii) Other commodities derivatives (k) Exchange traded products (Exchange traded funds, exchange traded notes and exchange traded commodities) (l) Emission allowances (m) Other instruments Page 46