Ana səhifə

Committee of European Securities Regulators

Yüklə 435.09 Kb.
ölçüsü435.09 Kb.
  1   2   3   4   5   6   7   8   9

Date: June 2010

Ref.: CESR/10-661

Guidance to report transactions on OTC derivative instruments
Table of contents

Glossary 3

I. Introduction 5

a. Transaction reporting in Europe 5

b. The Transaction Reporting Exchange Mechanism 5

c. CESR work on the field of transaction reporting on OTC derivative instruments 5

d. Scope of Transaction Reporting on OTC derivative instruments 5

e. The transaction reporting fields 7

f. Population of fields per type of derivative 10

g. Reportable changes and events 11

II. OTC options 11

III. OTC Warrants 13

IV. OTC Futures / Forwards 14

V. Contracts for Difference (CfDs) 15

VI. Spread Bets 18

VII. Equity and Debt Swaps 22

VIII. Credit Default Swaps 29

IX. Complex derivatives 32



The Transaction Reporting Exchange Mechanism that allows CESR members to exchange transaction reports.


Market Abuse Directive (2003/6/EC), OJ L 96/16 12.4.2003


Markets in Financial Instruments Directive (2004/39/EC), OJ L 145, 30.4.2004, p.1.

MiFID Level 2 Regulation

Commission Regulation (EC) No. 1287/2006 of 10 August 2006 implementing Directive 2004/39/EC of the European Parliament and the Council as regards record-keeping obligations for investment firms, transaction reporting, market transparency, admission of financial instruments to trading, and defined terms for the purpose of that Directive, OJ L 241, 2.9.2006, p.1,


A Multilateral Trading Facility as defined in Article 4 (15) of MiFID.

It is a multilateral system, operated by an investment firm or market operator, which brings together multiple third-parties buying and selling interests in financial instruments.

OTC derivative

A derivative instrument which is traded over-the-counter where the value of the instrument is derived from or otherwise dependent on the value of a debt or equity security instrument or instruments that are admitted to trading on a regulated market.

Regulated market or RM

A Regulated Market as defined in Article 4 (14) of MiFID.


Classification of Financial Instruments - ISO standard 10962

The CFI code is a 6 characters code that classifies an instrument. The official CFI code of the instrument can only be allocated by a National Numbering Agency. However, it is authorized to use the standard to generate “unofficial” CFI codes for instruments.


Alternative Instrument Identifier

This identifier is used to identify exchange traded derivatives on certain markets where those markets have elected to identify the instruments admitted to trading on their markets using the AII code rather than the ISIN code (see below). The code is composed of six characteristics or data fields of the contract: market code, exchange product code, strike price, expiration date, derivative type, put/call.


International Securities Identification Numbers - ISO standard 6166

The ISIN code is a 12 alphanumeric code that identifies uniquely a single instrument. ISIN codes are allocated, in each country, by a National Numbering Agency (NNA).


National Numbering Agency

The NNA of a country is in charge of allocating CFI and ISIN codes to instruments according to the relevant ISO standards.


Association of National Numbering Agency

The ANNA is the international body that coordinates the work of the National Numbering Agencies (NNA).


    1. Transaction reporting in Europe

Competent authorities (“CAs”) throughout the European Economic Area are committed to detecting market abuse and maintaining the integrity of their markets. The receipt and examination of transaction reports are essential elements in enabling CAs to detect market abuse and the Market in Financial Instrument Directive (MiFID) gives CAs the power and obligation to collect transaction reports on instruments admitted to trading on regulated markets. However, many CAs have noted that there are a range of OTC (over the counter) financial instruments that mirror instruments admitted to trading on regulated markets that can equally be used for the purposes of market abuse. Some CAs extended the collection of transaction reports to include OTC instruments whose value is derived from instruments admitted to trading on a regulated market to enhance their ability to detect suspicious activity and maintain the integrity of their markets. Many other competent authorities are currently investigating this option as well.

  1   2   3   4   5   6   7   8   9

Verilənlər bazası müəlliflik hüququ ilə müdafiə olunur © 2016
rəhbərliyinə müraciət