Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

ANNEX II Details of transactions to be made available to the public

Table 1 Symbol table for Table 2

SYMBOL

DATA TYPE

DEFINITION

{ALPHANUM-n}

Up to n alphanumerical characters

Free text field.

{CURRENCYCODE_3}

3 alphanumerical characters

3 letter currency code, as defined by ISO 4217 currency codes

{DATE_TIME_FORMAT}

ISO 8601 date and time format

Date and time in the following format:YYYY-MM-DDThh:mm:ss.ddddddZ.Where:

  • "YYYY" is the year;

  • "MM" is the month;

  • "DD" is the day;

  • "T" — means that the letter "T" shall be used

  • "hh" is the hour;

  • "mm" is the minute;

  • "ss.dddddd" is the second and its fraction of a second;

  • Z is UTC time.

Dates and times shall be reported in UTC.

{DECIMAL-n/m}

Decimal number of up to n digits in total of which up to m digits can be fraction digits

Numerical field for both positive and negative values:

  • decimal separator is "." (full stop);

  • negative numbers are prefixed with "-" (minus).

Where applicable, values shall be rounded and not truncated.

{ISIN}

12 alphanumerical characters

ISIN code, as defined in ISO 6166

{MIC}

4 alphanumerical characters

Market identifier as defined in ISO 10383

Table 2 List of details for the purpose of post-trade transparency

Details

Financial instruments

Description/Details to be published

Type of execution/publication venue

Format to be populated as defined in Table 1

Trading date and time

For all financial instruments

Date and time when the transaction was executed.

For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 3 of Commission Delegated Regulation (EU) 2017/574.

For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies (in fields 31, 34 and 40 as specified in Table 2 of Annex I of Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second.

Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 5 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission.

Regulated Market (RM), Multilateral Trading Facility (MTF), Organised Trading Facility (OTF)

Approved Publication Arrangement (APA)

Consolidated tape provider (CTP)

{DATE_TIME_FORMAT}

Instrument identification code type

For all financial instruments

Code type used to identify the financial instrument

RM, MTF, OTF

APA

CTP

"ISIN" = ISIN-code, where ISIN is available

"OTHR" = other identifier

Instrument identification code

For all financial instruments

Code used to identify the financial instrument

RM, MTF, OTF

APA

CTP

{ISIN}

Where Instrument identification code is not an ISIN, an identifier that identifies the derivative instrument based on the fields 3 to 5, 7 and 8 and 12 to 42 as specified in Annex IV and fields 13 and 24 to 48 as specified in the Annex of Delegated Regulation (EU) 2017/585 and the grouping of derivative instruments as set out in Annex III.

Price

For all financial instruments

Traded price of the transaction excluding, where applicable, commission and accrued interest.

In the case of option contracts, it shall be the premium of the derivative contract per underlying or index point.

In the case of spread bets it shall be the reference price of the underlying instrument.

For credit default swaps (CDS) it shall be the coupon in basis points.

Where price is reported in monetary terms, it shall be provided in the major currency unit.

Where price is currently not available but pending, the value should be "PNDG".

Where price is not applicable the field shall not be populated.

The information reported in this field shall be consistent with the value provided in field Quantity.

RM, MTF, OTF

APA

CTP

{DECIMAL-18/13} in case the price is expressed as monetary value

{DECIMAL-11/10} in case the price is expressed as percentage or yield

"PNDG" in case the price is not available

{DECIMAL-18/17} in case the price is expressed as basis points

Venue of execution

For all financial instruments

Identification of the venue where the transaction was executed.

Use the ISO 10383 segment MIC for transactions executed on a trading venue. Where the segment MIC does not exist, use the operating MIC.

Use MIC code "XOFF" for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue or systematic internaliser or organised trading platform outside of the UK.

Use SINT for financial instrument submitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser.

RM, MTF, OTF

APA

CTP

{MIC} -trading venues"SINT" — systematic internaliser

Price notation

For all financial instruments

Indication as to whether the price is expressed in monetary value, in percentage or in yield

RM, MTF, OTF

APA

CTP

"MONE" — Monetary value

"PERC" — Percentage

"YIEL" — Yield

"BAPO" — Basis points

Price Currency

For all financial instruments

Currency in which the price is expressed (applicable if the price is expressed as monetary value)

RM, MTF, OTF

APA

CTP

{CURRENCYCODE_3}

Notation of the quantity in measurement unit

For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation.

Indication of measurement units in which the quantity in measurement unit is expressed

RM, MTF, OTF

APA

CTP

"TOCD" — tons of carbon dioxide equivalent

Or

{ALPHANUM-25} otherwise

Quantity in measurement unit

For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation.

The equivalent amount of commodity or emission allowance traded expressed in measurement unit

RM, MTF, OTF

APA

CTP

{DECIMAL-18/17}

Quantity

For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation.

The number of units of the financial instrument, or the number of derivative contracts in the transaction.

RM, MTF, OTF

APA

CTP

{DECIMAL-18/17}

Notional amount

For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation.

Nominal amount or notional amount

For spread bets, the notional amount shall be the monetary value wagered per point movement in the underlying financial instrument.

For credit default swaps, it shall be the notional amount for which the protection is acquired or disposed of.

The information reported in this field shall be consistent with the value provided in field Price

RM, MTF, OTF

APA

CTP

{DECIMAL-18/5}

Notional currency

For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of the Regulation.

Currency in which the notional is denominated

RM, MTF, OTF

APA

CTP

{CURRENCYCODE_3}

Type

For emission allowances and emission allowance derivatives only

This field is only applicable for emission allowances and emission allowance derivatives.

RM, MTF, OTF

APA

CTP

"EUAE" — EUA

"CERE" — CER

"ERUE" — ERU

"EUAA" — EUAA

"OTHR" — Other (for derivatives only)

Publication Date and Time

For all financial instruments

Date and time when the transaction was published by a trading venue or APA.

For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Delegated Regulation (EU) 2017/574.

For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second.

RM, MTF, OTF

APA

CTP

{DATE_TIME_FORMAT}

Venue of publication

For all financial instruments

Code used to identify the trading venue and APA publishing the transaction.

CTP

Trading venue: {MIC}

APA: {MIC} where available. Otherwise, 4 character code as published in the list of data reporting services providers on the FCA's website.

Transaction Identification Code

For all financial instruments

Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580 and APAs and used in any subsequent reference to the specific trade.

The transaction identification code shall be unique, consistent and persistent per ISO 10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day.

Where the APA does not use MICs, it should be unique, consistent and persistent per 4-character code used to identify the APA per trading day.

The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained

RM, MTF, OTF

APA

CTP

{ALPHANUMERICAL-52}

Transaction to be cleared

For derivatives

Code to identify whether the transaction will be cleared.

RM, MTF, OTF

APA

CTP

"true" — transaction to be cleared

"false" — transaction not to be cleared

Table 3 List of flags for the purpose of post-trade transparency

Flag

Name of Flag

Type of execution/publication venue

Description

"BENC"

Benchmark transaction flag

RM, MTF, OTF

APA

CTP

All kinds of volume weighted average price transactions and all other trades where the price is calculated over multiple time instances according to a given benchmark.

"ACTX"

Agency cross transaction flag

APA

CTP

Transactions where an investment firm has brought together two clients' orders with the purchase and the sale conducted as one transaction and involving the same volume and price.

"NPFT"

Non-price forming transaction flag

RM, MTF, OTF

CTP

All types of transactions listed under Article 12 of this Regulation and which do not contribute to the price formation.

"LRGS"

Post-trade LIS transaction flag

RM, MTF, OTF

APA

CTP

Transactions executed under the post-trade large in scale deferral.

"ILQD"

Illiquid instrument transaction flag

RM, MTF, OTF

APA

CTP

Transactions executed under the deferral for instruments for which there is not a liquid market.

"SIZE"

Post-trade SSTI transaction flag

RM, MTF, OTF

APA

CTP

Transactions executed under the post-trade size specific to the instrument deferral.

"TPAC"

Package transaction flag

RM, MTF, OTF

APA

CTP

Package transactions which are not exchange for physicals as defined in Article 1.

"XFPH"

Exchange for physicals transaction flag

RM, MTF, OTF

APA

CTP

Exchange for physicals as defined in Article 1

"CANC"

Cancellation flag

RM, MTF, OTF

APA

CTP

When a previously published transaction is cancelled.

"AMND"

Amendment flag

RM, MTF, OTF

APA

CTP

When a previously published transaction is amended.

SUPPLEMENTARY DEFERRAL FLAGS

Article 11(1)(a)(i).

"LMTF"

Limited details flag

RM, MTF, OTF

APA

CTP

First report with publication of limited details in accordance with Article 11(1)(a)(i).

"FULF"

Full details flag

Transaction for which limited details have been previously published in accordance with Article 11(1)(a)(i).

Article 11(1)(a)(ii).

"DATF"

Daily aggregated transaction flag

RM, MTF, OTF

APA

CTP

Publication of daily aggregated transaction in accordance with Article 11(1)(a)(ii).

"FULA"

Full details flag

RM, MTF, OTF

APA

CTP

Individual transactions for which aggregated details have been previously published in accordance with Article 11(1)(a)(ii).

Article 11(1)(b)

"VOLO"

Volume omission flag

RM, MTF, OTF

APA

CTP

Transaction for which limited details are published in accordance with Article 11(1)(b).

"FULV"

Full details flag

RM, MTF, OTF

APA

CTP

Transaction for which limited details have been previously published in accordance with Article 11(1)(b)

Article 11(1)(c)

"FWAF"

Four weeks aggregation flag

RM, MTF, OTF

APA

CTP

Publication of aggregated transactions in accordance with Article 11(1)(c).

"FULJ"

Full details flag

RM, MTF, OTF

APA

CTP

Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1)(c).

Article 11(1)(d)

"IDAF"

Indefinite aggregation flag

RM, MTF, OTF

APA

CTP

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).

Consecutive use of Article 11(1)(b) and Article 11(2)(c) for sovereign debt instruments

"VOLW"

Volume omission flag

RM, MTF, OTF

APA

CTP

Transaction for which limited 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 consecutively allowed in accordance with Article 11(2)(c).

"COAF"

Consecutive aggregation flag (post volume omission for sovereign debt instruments)

RM, MTF, OTF

APA

CTP

Transactions for which limited details have been previously 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 consecutively been allowed in accordance with Article 11(2)(c).

Table 4 Measure of volume

Type of instrument

Volume

All bonds except ETCs and ETNs and structured finance products

Total nominal value of debt instruments traded

ETCs and ETNs bond types

Number of units traded

Securitised derivatives

Number of units traded

Interest rate derivatives

Notional amount of traded contracts

Foreign Exchange Derivatives

Notional amount of traded contracts

Equity derivatives

Notional amount of traded contracts

Commodity derivatives

Notional amount of traded contracts

Credit derivatives

Notional amount of traded contracts

Contract for differences

Notional amount of traded contracts

C10 derivatives

Notional amount of traded contracts

Emission allowance derivatives

Tons of Carbon Dioxide equivalent

Emission allowances

Tons of Carbon Dioxide equivalent