RTS 28 Annex II - specifics about completing templates

1

Annex II describes the template to be completed for the Top 5 report. But in practice this template must be completed multiple times – 1 template * each instrument class * retail / professional / SFT * market or broker.

This means a couple of hundred templates if all were applicable.

Now my question relates to the terminology in the template of the type “Proportion of volume traded as a percentage of total in that class”. I would like to know if the “total in that class” really refers to the total for the instrument class or should be seen in the context of the template being currently completed.

For example, if the template under completion referred to orders executed for Retail Clients via Brokers for the instrument class Bonds, would the “Total in that class” refer to the total for all bonds, or to the total Bonds for Retail Clients via Brokers?

Same question, I guess, for “Notification if <1 average trade…”, is that within the context of the template under completion, or for the instrument class?

I hope the question is clear. I know this isn’t directly FIX related, so I hope you don’t mind me posting it here.

Many thanks,

David McKinney.

2

Hi David,

I raised the same question some time ago in the following post.

RTS 28 definition of “total in that class”

There was not a definitive conclusion to the discussion, but in our implementation, we have interpreted the requirement such that all metrics in the template are within the context of the template. So for your example, the metrics will be relative to all Bond orders for Retail Clients via Brokers.

Regards,

Mark

3

Hi, we understand it according the entity view;

Retail + Professinial + Top 5 Broker + Top Venue = Total in that class

Best Regards

Adis

4

Hi Mark, Adis,

Thanks very much for your contributions. Shame there is apparently not consensus. But reassuring perhaps that it’s not just me that finds this wholly unclear.

Adis…out of curiosity, do you have a view on SFTs? Do they also form part of the total in your interpretation?

Mark…thanks for the link to the other thread. Reading it, I realise that I’d come across it previously. Again no real conclusion was reached.

Any idea what needs to happen in order to have ESMA consider the question, and issue some clarificaiton?

Alternatively I guess we just need to take a position, and explain the detail of the calculation on the webpage.

Thanks again,

David.

5

A follow-up question on the “<1 average trades”. OK, so we don’t yet know the scope for the count of trades, but are we agreed that this concerns trades involving the Reporting institution, and that this is not some market level figure? i.e. It depends on whether or not the bank which is doing the reporting has placed <1 avg. daily trades, and not all banks (as would be the case for the ADNT.)

Thanks.

6

Yes “<1 average trades” is the bank’s trades.

7

Thanks Mark…I was 99% sure of that one…but I know also from experience that this doesn’t always make me right!