| 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:
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:
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 |
| {UPI} | UPI code | This field should use an ISO 4914 code |
| {LEI} | 20 alphanumerical characters | This field should use an ISO 17442 code |
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 | 'UPI’ = UPI-code, where UPI is available; or where it is not ‘ISIN’ = ISIN-code |
| Instrument identification code | For all financial instruments | Code used to identify the financial instrument | RM, MTF, OTF APA CTP | {UPI}; or {ISIN} |
| Effective date of the contract | For derivatives | Start date of the contract | RM, MTF, OTF APA, CTP | {DATEFORMAT} |
| Maturity date of the contract | For derivatives | Termination date of the financial instrument’s contract | RM, MTF, OTF APA, CTP | {DATEFORMAT} |
| 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
{DECIMAL-18/17} in case the price is expressed as basis points |
| Price conditions | For all financial instruments | Where price is currently not available but pending, the value should be ‘PNDG’. | RM, MTF, OTF APA, CTP | ‘PDNG’ when price is currently not available but pending ‘NOAP’ where price is not applicable |
| 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 certain cases. | 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 certain cases. | 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 certain cases. | The number of units of the financial instrument, or the number of derivative contracts in the transaction. Not to be populated for bonds. | RM, MTF, OTF APA CTP | {DECIMAL-18/17} |
| Notional amount | For all financial instruments except in certain cases. | Nominal amount multiplied by volume for (i) all bonds except ETCs and ETNs and (ii) structured finance products Price multiplied by the quantity field for ETCs and ETNs bond types, emission allowance derivatives and contracts for differences. Notional amount, as applicable 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 certain cases. | Currency in which the notional is denominated. This field should use an ISO 4217 currency code for a major currency. | 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} |
| Spread | For derivatives | The spread on the floating leg. | RM, MTF, OTF APA, CTP | {DECIMAL-11/10} |
| Upfront payment | For derivatives | The upfront payment exchanged as part of CDS transactions. | RM, MTF, OTF APA, CTP | {DECIMAL-18/13} |
| LEI of clearing house | For derivatives | Clearing house through which the transaction will be cleared. | RM, MTF, OTF APA, CTP | {LEI} if 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. | |
| "LRGS" | Post-trade LIS transaction flag | RM, MTF, OTF APA CTP | Transactions executed under the post-trade large in scale deferral. | |
| “PORT” | Portfolio transaction flag | RM, MTF, OTF, APA, CTP CTP | Portfolio transactions. | |
| "TPAC" | Package transaction flag | RM, MTF, OTF APA CTP | Package transactions which are not exchange for physicals. | |
| "XFPH" | Exchange for physicals transaction flag | RM, MTF, OTF APA CTP | Exchange for physicals. | |
| "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 | ||||
| MAR 11.5.1R(2) | "VOLO" | Volume omission flag | RM, MTF, OTF APA CTP | Transaction for which limited details are published. |
| "FULV" | Full details flag | RM, MTF, OTF APA CTP | Transaction for which limited details have been previously published. | |
Table 4 Measure of volume
| Type of instrument | Volume |
|---|---|
| All bonds except ETCs and ETNs and structured finance products | Nominal value per unit multiplied by the number of instruments at the time of the transaction |
| ETCs and ETNs bond types and securitised derivatives | Number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction (or the price field multiplied by the quantity field) |
| Structured finance products | Nominal value per unit multiplied by the number of instruments at the time of the transaction |
| 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 for which the protection is acquired or disposed of |
| Contract for differences | Notional amount of traded contracts |
| C10 derivatives | Resulting amount of the quantity at the relevant price set in the contract at the time of the transaction (or the price field multiplied by the quantity field) |
| Emission allowance derivatives | Resulting amount of the quantity at the relevant price set in the contract at the time of the transaction (or the price field multiplied by the quantity field) |
| Emission allowances | Tons of Carbon Dioxide equivalent |