The Global Technical Committee has reviewed and preliminarily approved the MiFID II RTS 2 and RTS 23 Gap Analysis. The purpose of this document is to specifically address the data standard and formats for financial instrument reference data.
The document now enters a public comment period in which public review and feedback is encouraged. Once the public comment period closes, the Global Technical Governance Board will meet to review public comments before final approval.
Please post feedback, comments, and questions as replies to this discussion thread.
A link to the proposal can be found at: https://www.fixtrading.org/packages/fix-protocol-ga-esma-rts-2-rts-23-extensions/
The public comment period ends on September 1, 2017.
Some corrections needed:
In Section 2.4 Table 4 and Appendix E CodeList Asset_Type the description for ‘FFMC’ should be ‘Float to Float Mutli-Currency’. Also the code ‘IFSC’ - Inflation Single-Currency is missing in both tables.
Potential addition:
RTS 2 Annex III “Liquidity assessment, LIS and SSTI Thresholds” is not addressed in the GA but presents some challenges in identifying the instrument attributes referenced in the tables - not only the asset segmentation criteria but also the top level criteria. The exercise to map these to FIX is likely to identify new security types and other fields not yet supported in the standard.
Taxonomy conflict:
- RTS 23 Annex I Table 2 (mapped in GA Section 2.3 Table 3) under Freight: Container Ship appears at the same taxonomy level as Dry and Wet. Dry Bulk Carrier and Tanker are defined at the next lower taxonomy level.
- RTS 2 Annex III Section 10 Table 10.1 (not shown in the GA) defines the Segmentation Criteria for Freight Derivatives thus:
Segmentation criterion 2 - freight type: wet freight, dry freight
Segmentation criterion 3 - freight subtype: dry bulk carriers, tanker, containership
The hierarchy implied in RTS 2 seems more consistent and I propose moving Container Ship into the next lower taxonomy level along with Dry Bulk Carrier and Tanker.
CME would like to propose the addition of an enumeration to the Seniority field in RTS 23 Annex I Table 3 which would identify a new seniority class known as ‘Senior Non-preferred’.
This new seniority class is being introduced to the industry by the ISDA Credit Market Infrastructure Group which has agreed to adopt a new trading standard to address the trading of CDS based on Non-Preferred senior bonds – bonds issued by European Financials that constitute a new layer of debt, ranking below the bank’s normal senior debt but above the bank’s normal Tier 2 subordinated debt.
Inclusion of this new seniority class would allow CME and other users to extend their use of the FIX standard to support this new behavior in credit markets