Release Notes for ADH Release Plan 2017 Version 1.9a

Transcription

1 Release Notes for ADH Release Plan 2017 Version 1.9a November 2017

2 Document Information Contact Name Code Contact information Note Alexander Racher AR Revision Histor Version Status Date Editors Description 1.0 WIP AR First version with focus on ZSE XETRA launch 1.1 WIP AR Updated with ADH 4.0 functional changes 1.2 F AR Moved and updated Cp new from ADH 4.0 to new XETRA standard New chapter ZSE Block Trades added Updated chapter F JJ ZSE Block trades Trade ke explanation Cp behaviour details Updated chapter F JJ Chapter 2.1, point 4 timestamp changed to CET ZSE Removed Chapter 2.2 updated 1.5 F AR Chapter 2.2 Details on Migration added Updated chapter 2.4 Known Issues 1.6 F AR Updated chapter 2.4 Known Issues 1.7 F LMT, AR Deleted chapters on ZSE Xetra launch, new Xetra Standard and Xetra T7 launch for Vienna equities Updated ADH 4.0 release date changes WBAG Functional Specification APA MiFIDII Version 1.0 / /19

3 1.8 F AR Release date updated Chapter added 1.9 F AR Release date updated Chapter 2 (Block Trades and Negotiated Deals) added 1.9a F AR Added chapter New Xetra standard chapter added again incl. list of affected exchanges Legend: WIP: Work in progress R: To be reviewed F: Approved An changes to the previous version highlighted ellow. WBAG Functional Specification APA MiFIDII Version 1.0 / /19

4 Contents Revision Histor General Information ADH Major Release 4.0 MiFIDII December 14, Overview Availabilit of simulation environment for ADH Updated and New Functionalit Trade correction and cancellation Mapping of Source Feed Heartbeats to ADH output Time Zone MMT v3.04 on ADH MiFID II Trade Flags TradeTransparencWaiver TPw New XETRA Standard Comparison to current XETRA Classic data on ADH Orderbook OBk dissemination Market Phases (OKs message tpe with OSt codes) Trade Flags TradeTpe Tt New Values Introduction of ReportedTurnover Rt Block Trades Markets and Neg. Deals Markets Budapest Derivatives APA on ADH Vienna APA Vienna APA Setup on ADH Budapest APA Budapest APA and Derivatives Market Setup on ADH APA data on ADH APA trade s APA Deferred Publication, Cancellations and Amendments WBAG Functional Specification APA MiFIDII Version 1.0 / /19

5 1. General Information Due to the high project load in the whole industr Vienna SE decided to make public details on the upcoming ADH releases in 2017 as soon as possible. Within this living document we will add an updates as soon as the are available. An changes will be documented in this document s change histor. 2. ADH Major Release 4.0 MiFIDII December 14, Overview All new fields / updates to existing fields following MiFIDII (mainl RTS 1 and 2) and some further enhancements (like e.g. forwarding Heartbeat messages from source feeds to ADH so customers can check themselves if the source feed is down or just low market activit). Note all markets / exchanges available on ADH0 will be switched to UTC starting with ADH 4.0 release launch! New fields are provided with this newsletter (ma be opened b using push button write protected or similar). Note, some fields might still change, some fields ma still be added and some fields ma not be introduced. Latest version of new fields file will alwas be available in our closed user group Vendors Onl Updates are onl announced via Infoline for substantial changes! Please check the CUG regularl! ADH 4.0 will guarantee MiFIDII compliance for all EU-markets on ADH. 2.2 Availabilit of simulation environment for ADH 4.0 Following current schedule ADH 4.0 will be made available on customer test / simulation environment ADH4 on Nov 15 th, 2017 the latest. Please find a detailed schedule in the Roadmap sent in the same circular. 2.3 Updated and New Functionalit Trade correction and cancellation Trade cancellations shall be disseminated as follows: 1. New trade report with all original information + cancel (MiFID2 in addition to TClY) WBAG Functional Specification APA MiFIDII Version 1.0 / /19

6 Trade Corrections shall be disseminated as follows: 1. Original trade 2. New trade report with all original information + cancel as specified in Table 4 of Annex I 3. New trade report with all corrections + amendment Current Trade Correction behavior on ADH is as follows: 1. Original trade 2. New trade report with old (unchanged) price and old (changed) quantit + correction Mapping of Source Feed Heartbeats to ADH output With ADH 4.0 a new message tpe MarketAlive MARa will be introduced. Basicall this will use the same tags as standard ADH sstem message Hearbeat HBt with additional information for the source. MARa shall forward each source feeds heartbeat message to customers. With this customers can see the health of the source feed which is especiall important for low liquidit markets which do not update regularl. Used fields are documented in ADH 4.0 New Fields Excel file, tab new message tpe. Example for Banja Luka SE: MARa;SYd ;SYt090012;s5;ESiBDX Time Zone Starting with version 4.0, ADH will onl disseminate timestamps in UTC MMT v3.04 on ADH With ADH 4.0 WBAG will introduce the latest MMT model available as of end of Kindl note although all MMT fields are defined as char(4) we will onl use one character of those for the efficient coding option MiFID II Trade Flags ADH will support all of the trade s as mentioned in RTS 1 and 2, although it is not 100% clear which s will be available for Xetra Classic / Xetra T7 regulated market, negotiated trades and block trades. Currentl identified s are (note: this list will most probabl be updated in near future!): Xetra Classic / Xetra T7 regulated markets: ALGO, CANC, AMND BSE Negotiated Deals (TradeTpe Tt1009): NLIQ, OLIQ ZSE Block Trades (TradeTpe Tt1010): LRGS BSE Derivatives Market, PSE Block Trades and an further values tbc. Please find hereafter the complete list as available in MiFID II. ADH 4.0 field MiFID2TradeFlag MTf will be defined as Stringlist and subsequentl hold all applicable s separated b comma. Supplementar deferral WBAG Functional Specification APA MiFIDII Version 1.0 / /19

7 s as mentioned in the table in chapter will most probabl not be applicable to an regulated market data dissemination for Xetra Classic / T7. Flag Name Tpe of execution or publication venue Description RTS 1 equit RTS 2 nonequit Main s BENC Benchmark transaction Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price ACTX Agenc cross transactions RTS1: RTS1+2: Transactions where an investment firm has brought together clients orders with the purchase and the sale conducted as one transaction and involving the same volume and price NPTF Non-price forming transactions, OTF Transactions where the exchange of financial instruments is determined b factors other than the current market valuation of the financial instrument as listed in Art 13 TNCP Transactions not contributing to the price discover process (MiFIR Art 23) Transactions not contributing to the price discover process MiFIR Art 23 and as set out in RTS 1 Art 2 SDIV Special dividend Transactions that are either: Executed during ex-dividend period where the dividend or other form of distribution accrues to the buer instead of the seller (or vice versa in the cum-dividend period) LRGS Post-trade large in scale transaction OTF, Transactions that are large in scale compared with normal market size for which deferred publication is permitted under RTS 1 Art 14 RFPT Reference price transaction Transactions which are executed sstems operating in accordance with MiFIR Art 4(1)(a) WBAG Functional Specification APA MiFIDII Version 1.0 / /19

8 NLIQ Negotiated transactions in liquid financial instruments Transactions executed in accordance with MiFID Art 4(1)(b)(i) OLIQ Negotiated transactions in illiquid financial instruments Transactions executed in accordance with MiFID Art 4(1)(b)(ii) PRIQ Negotiated transactions subject to conditions other than the current market price Transactions executed in accordance with MiFID Art 4(1)(b)(iii) ALGO Algorithmic transaction Transactions executed as a result of an investment firm engaging in algorithmic trading as defined in MiFID Art 4(1)(39) SIZE Transactions above the standard market size RTS1+2:, RTS2: OTF Transactions executed on a sstematic internaliser where the size of the incoming order was above the standard market size RTS 1 Art 11 ILQD Illiquid instrument transaction RTS1+2:, RTS2: OTF Transactions in illiquid instruments as determined in accordance with Art 1-9 Commission Delegated Regulation executed on a sstematic internaliser RPRI Transactions which have received price improvement Transactions executed on a sstematic internaliser with a price improvement MiFIR Art 15 (2) TPAC Package transaction Package transactions which are not exchange for phsicals as defined in RTS 2 Art 1 XFPH Exchange for phsical transaction Exchange for phsicals as defined in RTS 2 Art 1 CANC AMND Cancellation Amendment OTF OTF,, When a previousl published transaction is cancelled When a previousl published transaction is amended WBAG Functional Specification APA MiFIDII Version 1.0 / /19

9 DUPL Duplicative trade reports APA When a transaction is reported to more than one APA in accordance with Art 17 (1) of Commission Delegated Regulation Supplementar deferral s (RTS 2 onl!!!) LMTF FULF Limited details Full details First report with publication of limited details in accordance with Art 11(1) (a) (i) Transaction for which limited details have been previousl published with Art. 11 (1) (a) (i) DATF Dail aggregated transaction Publication of dail aggregated transaction in accordance with Art 11 (1) (a) (ii) FULA Full details Individual transactions for which aggregated details have been previousl published in accordance with Art 11 (1) (a) (ii) VOLO FULV FWAF Volume omission Full details Four weeks aggregation Transactions for which limited details are published in accordance with Art 11 (1) (b) Transactions for which limited details have been previousl published in accordance with Art 11 (1) (b) Publication of aggregated transactions in accordance with Art 11(1) (c) FULJ Full details Individual transaction which have previousl benefited from aggregated publication in accordance with Art. 11 (1) (c) IDAF Indefinite aggregation Transactions for which the publication of several transactions in aggregated form for an Transactions for which the publication of several transactions in aggregated form for an indefinite period of time has been allowed in accordance with Article 11(1)(d). VOLW Volume omission Transaction for which limited details are published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time will be consecutivel allowed in accordance with Article 11(2)(c). WBAG Functional Specification APA MiFIDII Version 1.0 / /19

10 COAF Consecutive aggregation Transactions for which limited details have been previousl published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time has consecutivel been allowed in accordance with Article 11(2)(c) TradeTransparencWaiver TPw For XETRA (Classic and T7) following Trade Flags appl: Market TradeFlag Description valid for comment ALL? AGRB, AGRS Aggressor Bu or Sell side not RTS1/2 related tba if made available ALL CANC Cancellation Flag redundant to TRd:TCl (onl where market rules allows cancellations) ALL AMND Amendment (Correction) Flag redundant to TRd:COr (onl where market rules allows corrections) WBAG ALGO Algorithmic transaction Transactions executed as a result of an investment firm engaging in algorithmic trading as defined in MiFID Art 4(1)(39) BSE ALGO Algorithmic transaction Transactions executed as a result of an investment firm engaging in algorithmic trading as defined in MiFID Art 4(1)(39) BSE NLIQ Negotiated transaction in liquid financial instruments Transactions executed in accordance with MiFID Art 4(1)(b)(i) BSE OILQ Negotiated transaction in illiquid financial instruments Transactions executed in accordance with MiFID Art 4(1)(b)(ii) WBAG Functional Specification APA MiFIDII Version 1.0 / /19

11 BSE PRIC Negotiated transactions subject to conditions other than the current market price Transactions executed in accordance with MiFID Art 4(1)(b)(iii) PSE ALGO Algorithmic transaction Transactions executed as a result of an investment firm engaging in algorithmic trading as defined in MiFID Art 4(1)(39) PSE NLIQ Negotiated transaction in liquid financial instruments PSE Block Trades Transactions executed in accordance with MiFID Art 4(1)(b)(i) PSE OILQ Negotiated transaction in illiquid financial instruments PSE Block Trades Transactions executed in accordance with MiFID Art 4(1)(b)(ii) ZSE ALGO Algorithmic transaction Transactions executed as a result of an investment firm engaging in algorithmic trading as defined in MiFID Art 4(1)(39) ZSE LGRS Post-trade large in scale transaction Block Trades LJSE ALGO Algorithmic transaction Transactions executed as a result of an investment firm engaging in algorithmic trading as defined in MiFID Art 4(1)(39) LJSE LGRS (tbc) Post-trade large in scale transaction Block Trades The following is especiall relevant for APA data: Combinations of Trade Flags Equit RTS 1 Valid for: Equit or equit-like financial instruments (Annex III to RTS 1): SHRS ETFS DPRS CRFT OTHR shares ETFs depositar receipts certificates (funds, no structrured products as defined b WBAG) other equit-like financial instruments WBAG Functional Specification APA MiFIDII Version 1.0 / /19

12 All s applicable to TTR II (BENC, ACTX, TNCP, SDIV, LRGS, SIZE, ILQD, RPRI, CANC, AMND, DUPL) can be combined with each other. For details see below: BENC ACTX TNCP SDIV LRGS SIZE ILQD RPRI CANC AMND DUPL BENC x ACTX x TNCP x SDIV x LRGS x SIZE x ILQD x RPRI x CANC x AMND x DUPL x x combination not possible... combination possible For more details to Equit s, as specified in Table 7, please refer to the ESMA Q&A esma _qas_transparenc_issues. Hereafter a short abstract, with amendments for TTR II: 1. Descriptive s: BENC, ACTX, TNCP and SDIV. The can be combined with each other and with the s under 2., 3., 4., 5. and Post-trade : LRGS. The application of the deferred publication is an option and not an obligation, therefore the LRGS has to be used onl in case of the effective use of the deferred publication. It can be applied alone or in combination with the s under 1., 3., 4., 5. and Pre-trade waiver s: RFPT, NLIQ, OILQ and PRIC. Not applicable for TTR II. 4. Algorithmic trading : The ALGO Not applicable for TTR II. 5. Flags related to Sstematic Internalisers: SIZE, ILQD and RPRI. The can be combined among each other and with the s under 1., 2. and Flag related to reporting to APAs: DUPL. In accordance with Article 16(2) of RTS 1310 APAs should require reporting firms that intend to make public the transaction via more than one APA to the original report for publication with ORGN, and all consecutive duplicative reports concerning the same transaction sent to other APAs as DUPL. The ORGN is onl used for the communication between the investment firm and the APA that receives the original report. APAs are not expected to use ORGN when making a transaction public. However, in accordance with Article 16(1) of RTS 1 APAs should alwas use the DUPL where the published trade is a duplicate, that is the transaction was ged as DUPL when the reporting firm sent it to the APA for publication. The can be combined with the equit s under 1., 2. and 5. Combinations of Trade Flags Non-Equit RTS 2 Valid for: Non-equit financial instruments (Annex IV to RTS 2): SDRV SFPS BOND ETCS ETNS EMAL DERV Securitised derivatives Structured Finance Products (SFPs) Bonds ETCs ETNs Emission Allowances Derivative Combined usage of Trade Flags for RTS 2 / non-equit transactions is restricted to the rules set out hereafter: WBAG Functional Specification APA MiFIDII Version 1.0 / /19

13 BENC ACTX LRGS SIZE ILQD TPAC XFPH CANC AMND LMTF FULF DATF FULA VOLO FULV FWAF FULJ IDAF VOLW COAF BENC x x x x x x x x ACTX x x x x x x x x LRGS x x x x x x x x x SIZE x x x x x x x x x ILQD x x x x x x x x TPAC x x x x x x x x x XFPH x x x x x x x x x CANC x AMND x LMTF x x x x x x x x x x x x x x x x x x FULF x x x x x x x x x x x DATF x x x x x x x x x x x x x x x x x x FULA x x x x x x x x x x x VOLO x x x x x x x x x x x x x x x x x x FULV x x x x x x x x x x x FWAF x x x x x x x x x x x x x x x x x x FULJ x x x x x x x x x x x IDAF x x x x x x x x x x x x x x x x x x VOLW x x x x x x x x x x x x x x x x x x COAF x x x x x x x x x x x x x x x x x x x combination not possible... combination possible Non-equit s specified in Table 3 of Annex II of RTS 2 1. Descriptive s: BENC and ACTX. Descriptive s can be combined with each other, as well as with s under 2. and Post-trade deferral s: LRGS, ILIQ, SIZE, TPAC and XFPH. The application of the deferred publication is an option and not an obligation; therefore these s have to appear onl in case of the effective use of the deferred publication. In case of the use of supplementar deferrals under 4., these s should be used after the supplementar deferral period has lapsed and all the details of the transactions on an individual basis are published. The can be combined among each other, except LRGS + SIZE and TPAC + XFPH, and with s under Supplementar deferral s: LMTF, DATF, VOLO, FWAF, IDAF, VOLW and COAF. These s are mutuall exclusive. The cannot be combined with descriptive s, post-trade deferral s or full detail s. 4. Full details s: FULF, FULA, FULV and FULJ. The should be reported once the deferral time period lapses and all the details of the transactions on an individual basis are published. As the all cover a specific case, the full details s cannot be combined with each other. 2.4 New XETRA Standard Comparison to current XETRA Classic data on ADH With Dec 4, 2017 the remaining markets not et on the new XETRA Standard will be upgraded: Vienna Stock Exchange non-equities (Bonds, Warrants, Certificates (aka Securitized Derivatives following MiFID II)) Prague Stock Exchange Budapest Stock Exchange Ljubljana Stock Exchange Please find hereafter previousl available chapters describing the new XETRA standard added again (was available in Release Notes v1.6 for the last time) Orderbook OBk dissemination IndicativePrice IPr0 dissemination discontinued if no IPr is available (0-value currentl available on ADH0 prod) IPr (incl. IndicativeQuantit IQn) disseminated together with level information, not as separate OBk message an longer BoardName BNm and DateExcecuted Dx now populated for OBk WBAG Functional Specification APA MiFIDII Version 1.0 / /19

14 Example inkl. IPr: OBk;n257682;i38891;SiXVIE_AT ;s8;ESi1;MSiC1PRIME;Tx ; a10:1;na9:1;na8:1;na7:1;na6:1;na5:1;na4:1;na3:1;na2:1;na1:1;nb10:1;nb9:1;nb8:1;nb7:1;nb6:7;nb5:2;n b4:1;nb3:1;nb2:1;nb1:1;a10:109.7;a9:109.65;a8:108.5;a7:108.15;a6:107.1;a5:106.95;a4:106.9;a3:106.25;a2: 106;a1:105.95;b10:104.15;b9:104.5;b8:104.6;b7:104.65;b6:105;b5:105.1;b4:105.15;b3:105.35;b2:105.5;b1:0; Va10:1000;Va9:1000;Va8:155;Va7:100;Va6:100;Va5:150;Va4:93;Va3:50;Va2:6;Va1:100;Vb10:140;Vb9:50;Vb 8:80;Vb7:500;Vb6:490;Vb5:86;Vb4:28;Vb3:50;Vb2:42;Vb1:29;Dx ;BBMo1;IQn29;IPr105.95;BNm100 1;PTrWBAH; Market Phases (OKs message tpe with OSt codes) OSt32 (technicall open) available around 07:35 instead of 07:10 CET New, more detailed information from the trading sstem: o OSt1029 (Potential Volatilit Interruption) o OSt1030 (Frozen Volatilit Interruption) o OSt1031 (Market Order Interruption) o OSt1032 (Potential Market Order Interruption) Streamlined OSt dissemination for instruments traded in Continuous Auction trading model (Structured Products) OSt1021 PreTradeMass and OSt1022 TradeMass are discontinued / substituted b OSt2 PreTrade. See example below for details. OSt1027 Market Halt is discontinued. Old: OKs n70513 i SiXVIE_AT0000A1Q6Z9 s9 ESi1 MSiS1CE Tx OSt32 OKs n83748 i SiXVIE_AT0000A1Q6Z9 s9 ESi1 MSiS1CE Tx OSt1021 OKs n i SiXVIE_AT0000A1Q6Z9 s9 ESi1 MSiS1CE Tx OSt2 OKs n i SiXVIE_AT0000A1Q6Z9 s9 ESi1 MSiS1CE Tx OSt1022 OKs n i SiXVIE_AT0000A1Q6Z9 s9 ESi1 MSiS1CE Tx OSt1019 New: OKs n65459 i SiXVIE_AT0000A1Q6Z9 s9 ESi1 MSiS1CE Tx OSt32 OKs n82839 i SiXVIE_AT0000A1Q6Z9 s9 ESi1 MSiS1CE Tx OSt2 OKs n i SiXVIE_AT0000A1Q6Z9 s9 ESi1 MSiS1CE Tx OSt Trade Flags Old: TradeUpdatesHighLow Uh is set to Y for each individual traded price that actuall updates the price statistics (highest / lowest price of the da). All trades within the existing high and low prices are ged with UhN. New: TradeUpdatesHighLow Uh will be set to Y for all trades that can update the price statistics (high and low) following the market model. E.g. there are some markets that do disseminate Block Trades within the regular order books but excluded from an statistics UhN. WBAG Functional Specification APA MiFIDII Version 1.0 / /19

15 2.4.4 TradeTpe Tt New Values For instruments traded in Continuous Auction / Issuer Trading Model (certificates, warrants) a new trade tpe will be introduced in addition to existing Tt1008 (PWT Price Without Turnover): Tt1011 = Continuous Auction (an trade in this model that is not a PWT, currentl Tt1002 on production). For instruments traded in Continuous Trading Xetra sends a valuation price (as a trade, mapped to ADH s TRd message) after the closing auction if there was no matching during the closing auction. This TRd message onl holds a price value but no volume (similar to PWT for instruments traded in the Issuer Trading Model). Price statistics are affected. Note this ma not be available for all markets on Xetra. Details: Tt1012 = Reference Price (Valid for XETRA-classic, T7 and ZSE). Tt1012 can happen for Shares, ETFs and Bonds traded in Continuous Trading, when there was no trade in the closing auction and is calculated at the end of the closing auction as the arithmetic middle of Best Bid / Ask if these are within the dnamic and static price corridor (summar of our trading rules available on our website combined with Tt1012). This is then set as the official close and subsequentl the new reference price for the following trading da. BDSh, BDBo and BDEt deliver these reference prices in the morning anwa if applicable. Note this is NOT an actuall traded price Introduction of ReportedTurnover Rt Currentl Rt is onl available for internal purposes (marked for internal use onl ). We will open this tag for ADH customers to be able to transport individual trade turnover values where price * quantit does not deliver the correct turnover (e.g. as a conversion rate or pool factor has to be taken into account as well). 3. Block Trades Markets and Neg. Deals Markets PSE, LJSE and ZSE have Block Markets set up. BSE has Negotiated Deals currentl disseminated in the regular order book ged with TradeTpe Tt1009. For PSE the according market segment previousl sourced from FIX will be discontinued and replaced b a new Block Trades Main and Sub Market within the existing structure (underneath standard Prague Stock Exchange), see new fields Excel, new tab Block Markets Setup for details. For LJSE Block Trades and BSE Negotiated Deals the same is true although a final confirmation is still pending. We will update all customers accordingl asap. 4. Budapest Derivatives In the course of MiFID II Budapest will introduce an updated Derivatives Market data dissemination compliant to MiFID II. On ADH these will be set up as follows (all values will be in real-time messages as well if applicable, e.g. s5 will be in all BSE Derivatives Market or APA messages). See chapter for details on the market setup. BSE Derivatives Market will be using man of the new fields for ADH 4.0 as well. WBAG Functional Specification APA MiFIDII Version 1.0 / /19

16 5. APA on ADH 5.1 Vienna APA Vienna SE will appl for APA status under MiFID II, the service will be called TTR II. All reported pre- and post-trade OTC data will be made available via ADH as currentl the case for MiFID OTC Equit reporting (TTR). TTR II will forward OTC orders, quotes (via new OrderbookMBO MBo message tpe) and trades (via TRd message tpe) as entered b TTR II customers to ADH for publishing. Note with MiFID II investment firms are obliged to report an OTC trading activit in an instrument listed on an European trading venue. Accordingl not onl equit trades but trades in all asset classes will be available. Existing dissemination of Basics before the trade will be continued. As for current TTR / Vienna OTC TradeStatistics TSt messages shall be ignored / do not hold an official statistical value as the are disseminated due to the technical standard in ADH. From current perspective onl Austrian and Czech OTC data is to be expected from the Vienna APA. An APA data will onl be made available on ADH starting from Jan 3, Until then, existing OTC services (Vienna OTC via TTR or Budapest OTC, both following MiFID I) ma deliver equit OTC trades Vienna APA Setup on ADH In the course of the upgrade from TTR to TTR II note the following changes for ADH s exchange and market setup: BDx;n58528;i111;Si8;s14;Uc4;SYmVIE_OTC;NAmVienna OTC;CNAT; BDm;n58534;i327;x111;SiEQU;s14;ESi8;Uc4;NAmEquit Market;MKTt1; Future ADH 4.0 set up shall look like (SYm and MSi incl. NAm fields shall be re-named): BDx;n58528;i111;Si8;s14;Uc4;SYmVIE_APA;NAmVienna APA;CNAT; BDm;n58534;i327;x111;SiVIE_OTC;s14;ESi8;Uc4;NAmVienna OTC Pre- and Post-Trade;MKTt1; Vienna s APA will have MIC code APAW. 5.2 Budapest APA Budapest SE will appl for APA status as well. OTC data will be disseminated in the same wa as for Vienna APA. For details on the Budapest APA please contact vendor@bse.hu Budapest APA and Derivatives Market Setup on ADH BDx;SiBDX2;s5;SYmBSE;NAmBudapest Stock Exchange;CNHU;TOUt+0000; BDm;SiHU_APA_DERIV;s5;ESiBDX2;NAmBudpaest APA and Derivatives;MKTt1;TOUt+0000; BDm;SiHU_OTC;s5;ESiBDX2;NAmBudapest;APA OTC Pre- and Post- Trade;TOUt+0000;MKTt2;PSiHU_APA_DERIV WBAG Functional Specification APA MiFIDII Version 1.0 / /19

17 BDm;SiHU_DERIV;s5;ESiBDX2;NAmBudapest Derivatives;TOUt+0000;MKTt2;PSiHU_APA_DERIV 5.3 APA data on ADH In general man new fields as introduced in the new fields Excel for ADH 4.0 will be used for APA APA trade s Hereafter all valid trade s are summarized for APA data. Kindl note the main s will be made available in MiFID2TradeFlag MTf whereas supplementar deferral s will be sent in PostTradeTransparencWaiver TPw. Flag Name Tpe of execution or publication venue Description RTS 1 equit RTS 2 nonequit Main s BENC ACTX TNCP SDIV LRGS SIZE Benchmark transaction Agenc cross transactions Transactions not contributing to the price discover process (MiFIR Art 23) Special dividend Post-trade large in scale transaction Transactions above the standard market size RTS1: RTS1+2:, OTF RTS1+2:, RTS2: OTF Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price Transactions where an investment firm has brought together clients orders with the purchase and the sale conducted as one transaction and involving the same volume and price Transactions not contributing to the price discover process MiFIR Art 23 and as set out in RTS 1 Art 2 Transactions that are either: Executed during ex-dividend period where the dividend or other form of distribution accrues to the buer instead of the seller (or vice versa in the cum-dividend period) Transactions that are large in scale compared with normal market size for which deferred publication is permitted under RTS 1 Art 14 Transactions executed on a sstematic internaliser where the size of the incoming order was above the standard market size RTS 1 Art 11 WBAG Functional Specification APA MiFIDII Version 1.0 / /19

18 ILQD Illiquid instrument transaction RPRI TPAC XFPH CANC AMND DUPL Transactions which have received price improvement Package transaction Exchange for phsical transaction Cancellation Amendment Duplicative trade reports RTS1+2:, OTF, OTF APA Transactions in illiquid instruments as determined in accordance with Art 1-9 Commission Delegated Regulation executed on a sstematic internaliser Transactions executed on a sstematic internaliser with a price improvement MiFIR Art 15 (2) Package transactions which are not exchange for phsicals as defined in RTS 2 Art 1 Exchange for phsicals as defined in RTS 2 Art 1 When a previousl published transaction is cancelled When a previousl published transaction is amended When a transaction is reported to more than one APA in accordance with Art 17 (1) of Commission Delegated Regulation? Open question at ESMA Supplementar deferral s (RTS 2 onl) LMTF Limited details FULF Full details DATF Dail aggregated transaction FULA Full details VOLO Volume omission First report with publication of limited details in accordance with Art 11(1) (a) (i) Transaction for which limited details have been previousl published with Art. 11 (1) (a) (i) Publication of dail aggregated transaction in accordance with Art 11 (1) (a) (ii) Individual transactions for which aggregated details have been previousl published in accordance with Art 11 (1) (a) (ii) Transactions for which limited details are published in accordance with Art 11 (1) (b) WBAG Functional Specification APA MiFIDII Version 1.0 / /19

19 FULV Full details FWAF Four weeks aggregation FULJ Full details IDAF VOLW COAF Indefinite aggregation Volume omission Consecutive aggregation Transactions for which limited details have been previousl published in accordance with Art 11 (1) (b) Publication of aggregated transactions in accordance with Art 11(1) (c) Individual transaction which have previousl benefited from aggregated publication in accordance with Art. 11 (1) (c) Transactions for which the publication of several transactions in aggregated form for an Transactions for which the publication of several transactions in aggregated form for an indefinite period of time has been allowed in accordance with Article 11(1)(d). Transaction for which limited details are published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time will be consecutivel allowed in accordance with Article 11(2)(c). Transactions for which limited details have been previousl published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time has consecutivel been allowed in accordance with Article 11(2)(c). 5.4 APA Deferred Publication, Cancellations and Amendments Chapter in this document full applies to an APA cancellations or amendments. Following cases are possible: OTC trades can be reported for past das This shall be possible due to deferred publication following a post-trade transparenc waiver. OTC trades cancellation/amendment for past das OTC trades cancellation/amendment for toda OTC trades reported for past das, cancelled toda - This shall be possible, as there ma be a cancellation toda for a trade executed in the past but published (deferred) toda. There ma be trades in ETFs, where the price is not available at the time of execution. Initiall these will be disseminated without a price but with PricePending PRp set to PNDG. ESMA Q&A esma _qas_transparenc_issues requests the trade to be published amended / corrected as soon as the price becomes available. Although the same seems true for RTS 2 supplementar deferall s for full details (volume omitted in initial publication but sent later with full details ) RTS 2 the same ESMA Q&A states CANC or AMND shall not be used. WBAG has contacted ESMA on this for clarification. WBAG Functional Specification APA MiFIDII Version 1.0 / /19