ESMA: Consultation 2: RTS 2 and draft RTS on RCB and RTS 23
30 August 2024
This consultation focuses on changes brought by revised MIFIR including in relation to:
Bond Type | Liquidity Threshold |
Sovereign and other public bonds | >= EUR 1Bn |
Corporate, convertible and other bonds | >= EUR 500Mn |
Covered bonds | >= EUR 250Mn |
Category | Issuance Size | Size | Price Deferral | Volume Deferral |
N/A | Any | < 5 Mn | Real Time | |
1 | >= 1 Bn | [5Mn – 15Mn] | 15 Minutes | |
2 | < 1 Bn | [5Mn – 15Mn] | End of Trading day | |
3 | >= 1 Bn | [15Mn – 50Mn] | End of trading day | One week |
4 | < 1 Bn | [15Mn – 50Mn] | End of trading day | Two Week |
5 | Any | >= 50Mn | Four Weeks |
Category | Issuance Size | Size | Price Deferral | Volume Deferral |
N/A | Any | <1 Mn | Real Time | |
1 | >= 500 Mn | [1Mn - 5Mn] | 15 Minutes | |
2 | < 500 Mn | [1Mn - 5Mn] | End of Trading day | |
3 | >= 500 Mn | [5Mn – 15Mn] | End of Trading Day | One week |
4 | < 500 Mn | [5Mn – 15Mn] | End of Trading Day | Two week |
5 | Any | >= 15 Mln | Four Weeks |
Category | Issuance Size | Size | Price Deferral | Volume Deferral |
N/A | Any | < 5 Mn | Real Time | |
1 | >= 250 Mn | [5Mn – 15Mn] | 15 Minutes | |
2 | < 250 Mn | [5Mn – 15Mn] | End of Trading Day | |
3 | >= 250 Mn | [15Mn - 50Mn] | End of Trading Day | One week |
4 | < 250 Mn | [15Mn - 50Mn] | End of Trading Day | Two Week |
5 | Any | >= 50Mn | Four Weeks |
Asset Class | Bond Type | LIS pre-trade (pre MiFIR review based on the 2023 caluclation) | LIS pre-trade (post MiFIR review) |
Bonds (all bond types except ETCs and ETNs) | Sovereign Bond | 4,000,000 | 5,000,000 |
Bonds (all bond types except ETCs and ETNs) | Other Public Bond | 4,500,000 | |
Bonds (all bond types except ETCs and ETNs) | Convertible Bond | 1,500,000 | 1,000,000 |
Bonds (all bond types except ETCs and ETNs) | Corporate Bond | 1,500,000 | |
Bonds (all bond types except ETCs and ETNs) | Other Bonds | 1,500,000 | - |
Bonds (all bond types except ETCs and ETNs) | Covered Bond | 2,500,000 | 5,000,000 |
A number of consequential changes are proposed in respect of RTS 23 to reflect updates to be made to RTS 1 and RTS 2. These relate to (among other things): the reference data needed to perform calculations in line with the revised rules related to transparency calculations; and change on scope of derivatives subject to transparency on the type of transparency reference data needed.
ESMA sets out proposed changes to be made to RTS 23 depending on what approach the EC adopts in respect of an OTC derivatives identifier: ISO 4914 UPI complemented by additional attributes used as identifying reference data; or a modified ISO 6166 ISIN.
Reference data is to be adapted for the use for publications under CSDR.
New fields in Table 3 of Annex of RTS 23 (e.g. such as minimum trading value; LEI of fund manager; LEI of the DPE; new field to help indicate whether the reporting venue is the regulated market where the financial instrument was first admitted to trading) are proposed.
Further detail is provided on reporting by DPEs under Article 27 of Updated MiFIR and in particular that ESMA will establish a register of DPEs containing the classes of financial instrument for which they are DPEs. ESMA proposes that categorisation be based on broad categories of financial instruments. ESMA notes that certain venue related fields (fields 6 and 8-10 in the current RTS 23) will not be applicable for the instruments reported by the DPEs and that references to SI in RTS 23 will need to be replaced with DPEs.
The information provided is not intended to be a comprehensive review of all developments in the law and practice, or to cover all aspects of those referred to.
Readers should take legal advice before applying it to specific issues or transactions.