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ESMA Q&A 1693 — Q&A — Reference Data for financial instruments [Answer Published]

Financial servicesLevel 3Q&AMiFIRAnsweredOfficial source

Reference Data for financial instruments

Question

What information trading venues need to provide with respect to reference data reported under Commission Delegated Regulation (EU) 2017/585 for bonds where the coupon is calculated based on a complex formula involving several indices?

Answer

[ESMA 70-1861941480-56 MiFIR data reporting Q&A, Q&A 13.1]

In case of bonds for which the coupon is calculated based on a complex formula that involves several indices, trading venues should provide the reference data using the following default values:

Field 18 (“Fixed Rate”) and Field 19 (“Identifier of the index / benchmark of a floating rate bond”) should be left blank;

Field 20 (“Name of the index / benchmark of a floating rate bond”) should be populated with the expression “FORMULA”;

Field 21 (“Term of index / benchmark of a floating rate bond”) should be populated with “0 ‘DAYS’”;

Source: ESMA original document