Annex II, Point (1) · Commission Delegated Regulation (EU) 2023/945

Contents

(1)Table 2 is replaced by the following:‘Table 2List of details for the purpose of post-trade transparency^note^note#Field identifierFinancial instrumentsDescription and details to be publishedType of execution or publication venueFormat to be populated as defined in Table 11Trading date and timeFor all financial instrumentsDate 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 2 of Commission Delegated Regulation (EU) 2017/574^note.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, as specified in fields 31, 34 and 44 of 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 4 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}2Instrument identification codeFor all financial instrumentsCode used to identify the financial instrumentRM, MTF, OTF, APA, CTP{ISIN}.3PriceFor all financial instrumentsTraded price of the transaction excluding, where applicable, commission and accrued interest.The traded price shall be reported in accordance with standard market convention. The value provided in this field shall be consistent with the value provided in the field “Price Notation”.Where price is currently not available but pending (“PNDG”) or not applicable (“NOAP”), this field shall not be populated.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 points4Missing PriceFor all financial instrumentsWhere price is currently not available but pending, the value shall be “PNDG”.Where price is not applicable the value shall be “NOAP”.RM, MTF, OTF, APA, CTP“PNDG” in case the price is not available“NOAP” in case the price is not applicable5Price currencyFor all financial instrumentsMajor currency in which the price is expressed (applicable if the price is expressed as monetary value).RM, MTF, OTF, APA, CTP{CURRENCYCODE_3}6Price notationFor all financial instrumentsIndication as to whether the price is expressed in monetary value, in percentage, in basis points or in yieldThe price notation shall be reported in accordance with standard market convention.For credit default swaps, this field shall be populated with “BAPO”.For bonds (other than ETNs and ETCs) this field shall be populated with percentage (PERC) of the notional amount. Where a price in percentage is not the standard market convention, it shall be populated with YIEL, BAPO or MONE, in accordance with the standard market convention.The value provided in this field shall be consistent with the value provided in the field “Price”.Where the price is reported in monetary terms, it shall be provided in the major currency unit.Where the price is currently not available but pending (“PNDG”) or not applicable (“NOAP”), this field shall not be populated.RM, MTF, OTF, APA, CTP“MONE” — Monetary value“PERC” — Percentage “YIEL” — Yield“BAPO” — Basis points7QuantityFor all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation.For financial instruments traded in units, the number of units of the financial instrument. Empty otherwise.RM, MTF, OTF, APA, CTP{DECIMAL-18/17}8Quantity in measurement unitFor contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (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}9Notation of the quantity in measurement unitFor contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b) of this RegulationIndication of the notation in which the quantity in measurement unit is expressed.RM, MTF, OTF, APA, CTP“TOCD” — tonnes of carbon dioxide equivalent, for any contract related to emission allowances“TONE” — metric tonnes“MWHO” — megawatt hours“MBTU” — one million British thermal units“THMS” — Therms“DAYS”— daysor{ALPHANUM-4} otherwise10Notional amountFor all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation.This field shall be populated:

(i)for bonds (excluding ETCs and ETNs), with the face value, which is the amount repaid at redemption to the investor;

(ii)for ETCs and ETNs and securitised derivatives, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field;

(iii)for structured finance products (SFPs), with the nominal value per unit multiplied by the number of instruments at the time of the transaction;

(iv)for credit default swaps, with the notional amount for which the protection is acquired or disposed of;

(v)for options, swaptions, swaps other than those in (iv), futures and forwards, with the notional amount of the contract;

(vi)for emission allowances, with the resulting amount of the quantity at the relevant price set in the contract at the time of the transaction. Equivalently, with the price field multiplied by the quantity in measurement unit field;

(vii)for spread bets, with the monetary value wagered per point movement in the underlying financial instrument at the time of the transaction;

(viii)for contracts for difference, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field.

RM, MTF, OTF, APA, CTP{DECIMAL-18/5}11Notional currencyFor all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation.Major currency in which the notional amount is denominated.In the case of an FX derivative contract or a multi-currency swap or a swaption where the underlying swap is multi-currency or a currency CFD or spread-betting contract, this will be the notional currency of leg 1.RM, MTF, OTF, APA, CTP{CURRENCYCODE_3}12TypeFor emission allowances and emission allowance derivatives onlyThis 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” — Other13Venue of executionFor all financial instrumentsIdentification of the venue where the transaction was executed.Use the ISO 10383 segment MIC for transactions executed on an EU trading venue. Where the segment MIC does not exist, use the operating MIC.Use “SINT” for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser.Use MIC code “XOFF” for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is neither executed on an EU trading venue nor executed by a systematic internaliser. If the transaction is executed on an organised trading platform outside of the EU then in addition to “XOFF” also the population of the field “Third-country trading venue of execution” is required.RM, MTF, OTF, APA, CTP{MIC} – EU trading venues or“SINT” — systematic internaliser“XOFF” — otherwise14Third-country trading venue of executionFor all financial instrumentsIdentification of the third-country trading venue where the transaction was executed.Use the ISO 10383 segment MIC. Where the segment MIC does not exist, use the operating MIC.Where the transaction is not executed on a third-country trading venue, the field shall not be populated.APA, CTP{MIC}15Publication Date and TimeFor all financial instrumentsDate 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}16Venue of publicationFor all financial instrumentsCode used to identify the trading venue and APA publishing the transaction.CTPTrading venue: {MIC}APA: {MIC} where available. Otherwise, 4 character code as published in the list of data reporting services providers on ESMA's website.17Transaction Identification CodeFor all financial instrumentsAlphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580^note) 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 shall 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 maintainedRM, MTF, OTF, APA, CTP{ALPHANUMERICAL-52}18Transaction to be clearedFor derivativesCode to identify whether the transaction will be cleared.RM,MTF, OTF, APA, CTP“TRUE” — transaction to be cleared“FALSE” — transaction not to be cleared