The European Securities and Markets Authority (ESMA) has published FAQs regarding the publication of the MiFID II transitional transparency calculations (TTC) for all non-equity instruments in accordance with Commission Delegated Regulation 2017/583 of 14 July 2016 supplementing MiFIR with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (RTS 2).

The FAQs cover the following general topics:

  • What are the MiFID II TTCs?
  • What are the implications of being a liquid or non-liquid instrument?
  • What are asset-class, sub-asset class and sub-classes?
  • What do LIS and SSTI mean?
  • Shall I already trade under the transparency requirements described in the interim transparency calculations?
  • When will the outcomes of the TTC be valid?

In terms of data availability the FAQs cover:

  • Why can I not find information on a particular equity instrument or bond in the files?
  • Why can I not find a specific ISIN/sub-class in the TTC files?
  • Why there is no data available (marked with NA) for some fields included in the TTC files?

In terms of files structure the FAQs cover:

  • How are the TTC files structured?

In terms of file content the FAQs cover:

  • What data are included in the TTC files?
  • Why do not all asset classes specified in RTS 2, have a downloadable TTC file?
  • Why have the originally published TTC results for the asset class ‘Credit Derivatives’ been modified?
  • Why have the originally published TTC results for the asset class ‘Equity Derivatives I’ been modified?
  • What is the meaning of two ISINs, separated by pipes, reported as ISIN of the underlying instrument for Equity Derivatives I?

View FAQs on MiFID II – Interim transparency calculations, 18 October 2017