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MiFIR reporting instructions

MiFIR reporting instructions and XML Schema

The Financial Instruments Reference Data System (FIRDS) covers the Markets in Financial Instruments Regulation (MiFIR) and Market Abuse Regulation (MAR) requirements for reference data collection and publication, collection and processing of additional data to support the MiFIR transparency regime and suspensions’ coordination.

 

MiFIR/ MAR reference data

The requirements of Article 27 of MiFIR, Article 4 of MAR and related technical standards oblige trading venues and systematic internalisers to submit reference data for the relevant financial instruments to ESMA for publication on its website.

As part of its on-going application improvement ESMA has updated, as of 22 June 2022, the XML Schema used for publishing data, to support the updated Swift’s MIC data set structure and format (v2.0). A new XML Schema for published DATMIC files has been introduced.

XML Schema v1.2.1, should be used to exchange data with ESMA’s Financial Instruments Reference Data System (FIRDS).

ESMA’s reporting instructions aim to specify the exchange of Reference Data information (RDI) between national competent authorities (NCAs), trading venues, systematic internalisers and the FIRDS.

  • Reporting Instructions can be found here
  • Validations based on the CFI ISO 10962:2015
  • Schemas.

In case of any question, please contact ESMA Support.

MiFIR transparency requirements

MiFIR introduces rules with respect to transparency obligations that require the publication of transparency thresholds applicable to each financial instrument.

The reporting instructions specify the provision of data necessary to support the MiFIR transparency regime describing the characteristics of information required for the uploading interface between Trading Venue or NCAs systems and the FIRDS for transparency.

  • Reporting Instructions; and
  • Schemas.

XML Schema v1.1.0 - Since 30 September 2019, the system is using XML Schema 1.1.0

Version 1.1.0 of the XML Schema can be found here.

XML Schema v1.2.0 - As part of upcoming system updates, ESMA will update the XML Schema in order to support distribution of sub-class level information within the non-equity results files: non-equity results files published by ESMA will make use of a new XML Schema (FULNCR). The other XML Schema remain unchanged. These XML Schema are published in advance so that to provide implementation lead time for entities using the data published by ESMA.

Version 1.2.0 of the XML Schema can be found here.

The testing phase for reporting entities to test with ESMA systems and the new version 1.2.0 of the XML Schema is ongoing in an environment dedicated to testing, separate from the production environment. The go-live with version 1.2.0 of the XML Schema in the production environment is planned for Q1 2022.

The new schema changes relate to the non-equity result files published on the Register of the Financial Instruments Transparency System (FITRS).

In case of any question, please contact ESMA Support.

MIFIR’s Double Volume Cap mechanism

In order to ensure that the use of waivers from pre-trade transparency does not unduly harm price formation, MiFIR introduces, in Article 5, a mechanism that caps the amount of trading as measured by the volume, carried out under:

  • systems matching orders based on a trading methodology by which the price is determined in accordance with a reference price; and
  • negotiated transactions in liquid instruments carried out under limb (i) of Article 4(1)(b) of MiFIR.

 The reporting instructions specify the mechanism for reporting entities to submit the Double Volume Cap data to the ESMA system for processing.

XML Schema v1.2.0  – Since 26 January 2022, the system is using XML Schema 1.2.0. 

From February 2022, ESMA will start publishing the double volume cap results file in XML format (DVCRES file) on the ESMA registers.

Version 1.2.0 of the XML Schema can be found here.

Download instructions specify how to access the double volume cap results in XML format. Version 2.0 refer to the updated DVCRES XML Schema version 1.2.0.

The use of the XML format will concern the Double Volume Cap monthly results files currently published in spreadsheet format. The Double Volume Cap suspensions file will continue being maintained and published in spreadsheet format as it currently is on the following page.

In case of any question, please contact ESMA Support.

Transaction Reporting Guidelines and Transaction Reporting Exchange Mechanism (TREM)

TREM covers the requirements for reporting of transactions to competent authorities under Article 26 of MiFIR and the related technical standards.

ESMA Guidelines specify the construction of transaction reports field by field for the various trading scenarios. Each of the scenarios is accompanied with an example of the XML text to be used to represent the specific reportable values.

  • Guidelines

The Guidelines are supplemented by the relevant technical documents specifying the mechanism for reporting entities to submit transaction reports to NCAs and the mechanism to be used by them to exchange such reports among themselves (TREM), including:

  • Validations;
  • Schemas; and
  • Technical Specifications.

XML Schema v1.1.0 - Since 23 September 2019, the system is using XML Schema 1.1.0

Version 1.1.0 of the XML Schema can be found here. The updated reporting instructions are available here. The updated validation rules are available here.

Timeframe

  • 3 January 2018

    MiFID II and MiFIR apply within Member States

  • 30 November 2017

    Transparency calculations, suspensions and restoration

  • 31 July 2017

    Transparency data collection, interface to support double volume cap

  • 01 June 2017

    Instrument reference data collection, provisions to NCAs and publication