Final Report MiFIR review report on the obligations to report transactions and reference data 23 March 2021 | ESMA74-362-1013 ESMA REGULAR USE Table of Contents 1 Legislative references and abbreviations .......................................................................... 6 2 Executive Summary .......................................................................................................... 9 3 Introduction ..................................................................................................................... 11 3.1 Scope of the Report ................................................................................................. 11 3.2 General feedback to the Consultation ...................................................................... 12 4 Entities subject to transaction reporting and arrangements for sharing reports (Article 26(1), Article 26(5) and Article 26(8) MiFIR) .......................................................................... 17 4.1 AIFMD and UCITS firms .......................................................................................... 17 4.1.1 Legal framework ............................................................................................... 17 4.1.2 ESMA’s proposal in the CP .............................................................................. 18 4.1.3 Feedback to the consultation ............................................................................ 19 4.1.4 ESMA’s assessment and recommendations .................................................... 19 4.2 Reference to ‘members/participants/users’ of Trading Venues ............................... 20 4.2.1 Legal framework ............................................................................................... 20 4.2.2 ESMA’s proposal in the CP .............................................................................. 21 4.2.3 Feedback to the consultation ............................................................................ 22 4.2.4 ESMA’s assessment and recommendations .................................................... 22 4.3 Branches of EEA Entities ......................................................................................... 23 4.3.1 Legal framework ............................................................................................... 23 4.3.2 ESMA’s proposal in the CP .............................................................................. 23 4.3.3 Feedback to the consultation ............................................................................ 24 4.3.4 ESMA’s assessment and recommendations .................................................... 24 4.4 Arrangements for sharing reports ............................................................................ 24 4.4.1 Legal framework ............................................................................................... 24 4.4.2 ESMA’s proposal in the CP .............................................................................. 25 4.4.3 Feedback to the consultation ............................................................................ 25 4.4.4 ESMA’s assessment and recommendations .................................................... 25 5 Scope of instruments subject to reporting obligations (Articles 26(2) and 27(1)) ............ 26 5.1.1 Legal framework ............................................................................................... 26 5.2 Concept of Traded on a Trading Venue (ToTV) ...................................................... 27 5.2.1 Legal framework ............................................................................................... 27 5.2.2 ESMA’s proposal in the CP .............................................................................. 29 1 ESMA REGULAR USE 5.2.3 Feedback to the consultation ............................................................................ 31 5.2.4 ESMA’s assessment and recommendations .................................................... 32 5.3 Transaction reporting indices under Article 26(2)(c) ................................................ 35 5.3.1 Legal framework ............................................................................................... 35 5.3.2 ESMA’s proposal in the CP .............................................................................. 36 5.3.3 Feedback to the consultation ............................................................................ 37 5.3.4 ESMA’s assessment and recommendations .................................................... 38 5.4 Scope of reference data: merging Article 4 of MAR into Article 27 of MiFIR ........... 40 5.4.1 Instrument listed on a MTF ............................................................................... 40 5.4.1.1 Legal framework ............................................................................................ 40 5.4.1.2 ESMA’s proposal in the CP ........................................................................... 41 5.4.1.3 Feedback to the consultation ........................................................................ 41 5.4.1.4 ESMA’s assessment and recommendations ................................................. 41 5.4.2 Approval of trading on an MTF or OTF ............................................................. 42 5.4.2.1 General approach and legal framework ........................................................ 42 5.4.2.2 ESMA’s proposal in the CP ........................................................................... 42 5.4.2.3 Feedback to the consultation ........................................................................ 42 5.4.2.4 ESMA’s assessment and recommendations ................................................. 42 5.4.3 Request for admission to trading ...................................................................... 43 5.4.3.1 Legal framework ............................................................................................ 43 5.4.3.2 ESMA’s proposal in the CP ........................................................................... 43 5.4.3.3 Feedback to the consultation ........................................................................ 44 5.4.3.4 ESMA’s assessment and recommendations ................................................. 44 5.4.4 Frequency of updates to instrument reference data (defined list) .................... 44 5.4.4.1 Legal framework ............................................................................................ 44 5.4.4.2 ESMA’s proposal in the CP ........................................................................... 45 5.4.4.3 Feedback to the consultation ........................................................................ 46 5.4.4.4 ESMA’s assessment and recommendations ................................................. 46 5.4.5 Reference to Articles on transparency requirements ........................................ 47 5.4.5.1 Legal framework ............................................................................................ 47 5.4.5.2 ESMA’s proposal in the CP ........................................................................... 47 5.4.5.3 Feedback to the consultation ........................................................................ 47 5.4.5.4 ESMA’s assessment and recommendations ................................................. 47 5.4.6 Deletion of Article 4 MAR .................................................................................. 48 5.4.6.1 ESMA’s proposal in the CP ........................................................................... 48 2 ESMA REGULAR USE 5.4.6.2 Feedback to the consultation ........................................................................ 48 5.4.6.3 ESMA’s assessment and recommendations ................................................. 48 6 Details to be reported (Article 26(3)): Trading Venue Transaction Identification; chain of transactions. ........................................................................................................................... 49 6.1 Legal framework ...................................................................................................... 49 6.2 ESMA’s proposal in the CP ...................................................................................... 49 6.3 Feedback to the consultation ................................................................................... 50 6.4 ESMA’s assessment and recommendations ........................................................... 51 7 Details to be reported: the identifiers to be used for parties (Articles 26(3) and 26(6)). .. 52 7.1 Legal Framework ..................................................................................................... 52 7.2 ESMA’s proposal in the CP ...................................................................................... 53 7.3 Feedback to the consultation ................................................................................... 54 7.4 ESMA’s assessment and recommendations ........................................................... 54 8 Details to be reported (Article 26(3)): a designation to identify the computer algorithms and a short sale; ............................................................................................................................ 55 8.1 Algo ID ..................................................................................................................... 55 8.1.1 Legal framework ..............................................................................................