ESMA Q&A 1680 — Q&A — Instrument identification code and Underlying [Answer Published]

Instrument identification code and Underlying instrument code

Question

How should Field 26 (Underlying instrument code) be populated in the case of a futures contract on sovereign bonds?

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Answer

[ESMA 70-1861941480-56 MiFIR data reporting Q&A, Q&A 4.3]

In case of a futures contract on sovereign bonds, field 26 (Underlying instrument code) should be populated with the ISIN of the cheapest-to-deliver bond. If this is unknown, this field should be populated with the ISIN of any of the bonds issued by the issuer. This concept also applies to transaction reports under Article 26 MIFIR for OTC derivatives where the underlying deliverable bond can be chosen from several bonds issued by the same issuer.

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Source: ESMA original document