Article 4(1) of the Implementing Regulation No 1247/2012 as amended by the Commission Implementing Regulation of 19.10.2016 governing the "specification, identification, and classification of derivatives" for the purposes of EMIR reporting mandates that the EMIR report specifies a derivative on the basis of the asset class and the contract type.
Article 4(3) and the description of the Field 2 in the Table 2 (Common data ) of the said Implementing Regulation No 1247/2012 differentiate the following asset classes:
(a) commodities and emission allowances (CO);
(b) credit (CR);
(c) currency (CU);
(d) equity (EQ);
(e) interest rate (IR).
Where derivatives do not fall within one of the asset classes specified therein, the counterparties are required to specify in the report the asset class "most closely resembling the derivative" (Article 4(4) of the said Implementing Regulation No 1247/2012).
Both counterparties must specify the same asset class.
Article 4(3) of the Implementing Regulation No 1247/2012 as amended by the Commission Implementing Regulation of 19.10.2016
The derivative shall be specified in Field 2 of Table 2 of the Annex as one of the following asset classes:
(a) commodities and emission allowances;
(b) credit;
(c) currency;
(d) equity;
(e) interest rate.
Asset classes
Field 2 in the Table 2 (Common data) in the wording stipulated in the Annex to the Implementing Regulation No 1247/2012 as amended by the Commission Implementing Regulation of 19.10.2016
CO = Commodity and emission allowances
CR = Credit
CU = Currency
EQ = Equity
IR = Interest Rate
In turn, the MiFID II delegated act - Commission Delegated Regulation (EU) 2017/572 of 2 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards on the specification of the offering of pre-and post-trade data and the level of disaggregation of data - requires a market operator or investment firm operating a trading venue to make, upon request, the information published in accordance with Articles 3, 4 and 6 to 11 of the MiFIR available to the public by offering pre-trade and post-trade data disaggregated, among others, with the use of the criterion: "the nature of the asset class".
The said Regulation differentiates in this context that following asset classes:
(i) shares;
(ii) depositary receipts, ETFs, certificates and other similar financial instruments referred to in Article 3 of the MiFIR;
(iii) bonds and structured finance products;
(iv) emission allowances;
(v) derivatives.
The latter subcategory of derivatives is required to be further disaggregated in accordance with the following criteria:
(a) equity derivatives;
(b) interest rate derivatives;
(c) credit derivatives;
(d) foreign exchange derivatives;
(e) commodity and emission allowance derivatives;
(f) other derivatives.
The purpose of these provisions is the reduction of costs for market participants purchasing pre-and post-trade 'unbundled’ transparency data items.
Article 1(1) and (2) and Recitals 1-3 of the Commission Delegated Regulation (EU) 2017/572 of 2 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards on the specification of the offering of pre-and post-trade data and the level of disaggregation of data
Article 1
1. A market operator or investment firm operating a trading venue shall upon request make the information published in accordance with Articles 3, 4 and 6 to 11 of Regulation (EU) No 600/2014 available to the public by offering pre-trade and post-trade data disaggregated, in accordance with the following criteria:
(a) the nature of the asset class:
(i) shares;
(ii) depositary receipts, ETFs, certificates and other similar financial instruments referred to in Article 3 of Regulation (EU) No 600/2014;
(iii) bonds and structured finance products;
(iv) emission allowances;
(v) derivatives;
(b) the country of issue for shares and sovereign debt;
(c) the currency in which the financial instrument is traded;
(d) scheduled daily auctions as opposed to continuous trading.
2. Derivatives referred to in point (a)(v) shall be disaggregated in accordance with the following criteria:
(a) equity derivatives;
(b) interest rate derivatives;
(c) credit derivatives;
(d) foreign exchange derivatives;
(e) commodity and emission allowance derivatives;
(f) other derivatives.
3. The market operator or investment firm operating a trading venue shall determine which criteria a financial instrument or type of data meets where the disaggregation criteria in paragraphs 1 or 2 cannot be applied in an unambiguous manner.
Recitals 1 - 3
(1) In order to reduce costs for market participants when purchasing data, Regulation (EU) No 600/2014 provides for pre-trade and post-trade transparency data to be made available to the public in an ‘unbundled’ fashion for separate data items. It is necessary to specify the level of disaggregation by which venues should offer data. Taking into account the evidence of demand for such data from other stakeholders, market operators and investment firms operating a trading venue should disaggregate data by asset class, by country of issue, by the currency in which a financial instrument is traded, and according to whether data comes from scheduled daily auctions or from continuous trading.
(2) To ensure that pre-trade and post-trade data offered appropriately matches the demand from market participants, market operators and investment firms operating a trading venue should offer any combination of the disaggregation criteria on a reasonable commercial basis.
(3) For some financial instruments such as for derivatives it may not always be possible to determine unambiguously the particular asset class to which that instrument belongs since the determination of an asset class depends on which characteristics of the financial instruments are considered to be the decisive ones. Similarly, it may not always be possible to unambiguously determine which other criteria a type of data meets. To ensure that market participants purchasing data from a particular trading venue receive a consistent data set, it is necessary to require market operators or investment firms operating a trading venue to determine in those cases where the disaggregation criteria cannot be applied in an unambiguous manner which criteria a financial instrument or type of data should be deemed to meet.
Annex I to the Commission Delegated Regulation (EU) 2017/576 of 8 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the annual publication by investment firms of information on the identity of execution venues and on the quality of execution
Classes of financial instruments
(a) Equities — Shares & Depositary Receipts
(i) Tick size liquidity bands 5 and 6 (from 2 000 trades per day)
(ii) Tick size liquidity bands 3 and 4 (from 80 to 1 999 trades per day)
(iii) Tick size liquidity band 1 and 2 (from 0 to 79 trades per day)
(b) Debt instruments
(i) Bonds
(ii) Money markets instruments
(c) Interest rates derivatives
(i) Futures and options admitted to trading on a trading venue
(ii) Swaps, forwards, and other interest rates derivatives
(d) credit derivatives
(i) Futures and options admitted to trading on a trading venue
(ii) Other credit derivatives
(e) currency derivatives
(i) Futures and options admitted to trading on a trading venue
(ii) Swaps, forwards, and other currency derivatives
(f) Structured finance instruments
(g) Equity Derivatives
(i) Options and Futures admitted to trading on a trading venue
(ii) Swaps and other equity derivatives
(h) Securitized Derivatives
(i) Warrants and Certificate Derivatives
(ii) Other securitized derivatives
(i) Commodities derivatives and emission allowances Derivatives
(i) Options and Futures admitted to trading on a trading venue
(ii) Other commodities derivatives and emission allowances derivatives
(j) Contracts for difference
(k) Exchange traded products (Exchange traded funds, exchange traded notes and exchange traded commodities)
(l) Emission allowances
(m) Other instruments
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