MIFIR II - FIELD BY FILED ANALYSIS -instrument details has increased from MiFID I to MiFIR ( 24 to 65)

MIFIR II -  FIELD BY FILED ANALYSIS

The number of fields covering transaction and instrument details has increased from MiFID I to MiFIR ( 24 to 65). The new fields include:

+ Derivative notional increase/decrease

+ Country of the branch membership

+ Up-front payment amount and currency

+ Complex trade component ID

+ Option exercise style

+ Delivery type

General Fields

1. Report status

2. Transaction reference number (TRN)

3. Trading venue transaction ID code

4. Executing entity ID code

5. Investment firm covered by Directive

2004/39/EC or Directive 2014/65/EU

6. Submitting entity ID code

Buyer

7. Buyer ID code

8. Country of branch

9. First name

10. Surname

11. Date of birth

Buyer Decision Maker

12. Buyer decision maker code

13. First name

14. Surname

15. Date of birth

Transmission Details

25. Transmission of order indicator

26. Transmitting firm ID code (buyer)

27. Transmitting firm ID code (seller)

Transaction Details

28. Trading date and time

29. Trading capacity

30. Quantity

31. Quantity currency

32. Derivative notional increase/decrease

33. Price

34. Price currency

35. Net amount

36. Venue

37. Country of branch membership

38. Up-front payment

39. Up-front payment currency

40. Complex trade component ID

Instrument Details

41. Instrument ID code

42. Instrument full name

43. Instrument classification

44. Notional currency 1

45. Notional currency 2

46. Price multiplier

47. Underlying instrument

48. Underlying index

49. Term of underlying index

50. Option type

51. Strike price

52. Strike price currency

53. Option exercise style

54. Maturity date

55. Expiry date

56. Delivery type

Investment Decision Maker and Executor

57. Investment decision within firm

58. Country of branch responsible for decision maker

59. Execution within firm

60. Country of branch supervising execution

Flags

61. Waiver indicator

62. Short selling indicator

63. OTC post-trade indicator

64. Commodity derivative indicator

65. Securities financing transaction indicator

Furthermore, several other new fields’ & some cases modified will be reported using Different types of identifiers, for example:§  Underlying Instrument Code, Instrument Classification

§  Trading Venue, International Securities, Identification Number (ISIN)

§  International Securities, Identification Number (ISIN)

§  Classification of Financial ,Instrument (CFI) and Market Identifier Code (MIC)

And also Investment decision maker and executor new to MiFIR reporting is the identification of the traders or algorithms involved in the decision and execution process of a transaction. Seriously, reconciliation controls need to be set up to ensure all this data remains accurate and consistent

Short selling indicator: Used to indicate a short sell where the seller is the reporting firm or its client. Also indicates whether the short sale was undertaken under an exemption from disclosure obligations as defined by the Short Selling Regulation (SSR)or

·         SESH : Short sale with no exemption

·         SSEX  :Short sale with exemption

·         NC :Benchmark transactions

·         ACTX :Agency cross transactions

·         NPFT :Non-price forming transactions

·         LRGS :Post-trade large-in-scale transactions

·         ILQD :Illiquid instrument transaction

·         SIZE :Above specific size transaction

·         CANC :Cancellations

·         AMND :Amendments

·         SDIV :Special dividend transactions

·         RFPT :Reference price transactions

·         NLIQ :Negotiated transactions in liquid financial instruments

·         OILQ :Negotiated transactions in illiquid financial instruments

·         PRIC :Negotiated transactions subject to conditions other

·         than the current market price

·         ALGO -Algorithmic transactions

·         RPRI -Transactions which have received price improvement

·         DUPL -Duplicative trade reports

·         TNCP -Transactions not contributing to the price discovery

·         process

·         T PA-Package transaction

·         XFPH -Exchange for physical transaction

Reference Data standards

In the buyer and seller fields, Buyers and sellers can either be reported as legal entities  (i.e. investment firms or legal persons), or natural persons. As above, where the buyer or seller is a legal entity, they need to be identified using an LEI, which needs to be reconciled against the global LEI database before engaging in any reportable transactions. This is particularly important when an investment firm is trading on behalf of its clients, as the firm will need to collect and verify the LEIs provided by its clients in advance of any trading. Where the buyer or seller is a natural person, their first name, surname and date of birth are required in the report. Firms will need to gather and normalise this information from HR databases, before compiling transaction reports. To ensure best practice, they should also reconcile any responses from the reporting venues to make sure the data is accurate. Additionally, under MiFIR, firms will need to identify the person or entity that made the decision to buy or sell the instrument in the first place. This will require considerable work to record the relevant data in front-end systems, and then robust data controls to ensure it remains accurate throughout the lifecycle of the trade. Whether an individual or a group of people make the decision to trade, the firm must report the one person considered to have primary responsibility for the transaction. This person needs to be identified by their ID number, passport number, tax or national insurance number depending on their nationality. Or, in the absence of these, by a concatenated code consisting ++

The main executor of the transaction must also be identified – using the same system. Where the decision to trade, or the execution of a transaction, is carried out by an algorithm, that algorithm must be identified using a unique, consistent and persistent code. This enables regulators to track all transactions carried out under a particular strategy, and also ties in with other areas of MiFID II which stipulate that firms must have controls in place to ensure the auditability and resilience of their algorithms. These extra identifiers will require new data to be captured at the point of execution, and then passed to middle and back office

Systems to ensure consistency of reporting

What is the penalty for transaction reporting non-compliance, it has increased since 1st Regime.  While the delay to MiFID II and MiFIR’s implementation date may seem like a blessing, it could well make regulators less inclined to forgive early mistakes