Circular 6/2015 of the CNMV Modifying Circular 1/2015 on Market Infrastructure Statistical Data and Information

OFFICIAL STATE GAZETTE No. 309 Saturday, December 26, 2015 Sec. I. Page 122128

I. GENERAL PROVISIONS NATIONAL SECURITIES MARKET COMMISSION 14117 Circular 6/2015, of December 15, of the National Securities Market Commission, amending Circular 1/2015, of June 23, on statistical data and information of market infrastructures.

Circular 1/2015, of June 23, of the National Securities Market Commission, on statistical data and information of market infrastructures, aims to establish and regulate the records, internal or statistical databases, and documents that reflect and must contain information regarding the structure and operations and activities on financial instruments carried out, where applicable, by the entities subject to it. These are those included in paragraphs 1 and 2 of Article 233.1.a) of the consolidated text of the Securities Market Law, approved by Legislative Royal Decree 4/2015, of October 23, and which must be captured and stored by these entities to be made available to the National Securities Market Commission (hereinafter, CNMV) for the exercise of its supervisory functions, including tasks of verification or reconciliation of such information.

In order to enhance competitiveness and achieve a certain homogenization of Spanish post-trade activities with the structures of other European countries, the need to reform the Spanish system for the clearing, settlement, and registration of securities was identified in 2011. In this regard, Law 32/2011, of October 4, amending Law 24/1988, of July 28, on the Securities Market, marked the beginning of this reform process, which was completed with the first final provision of Law 11/2015, of June 18, on the recovery and resolution of credit institutions and investment firms.

Subsequently, Royal Decree 878/2015, of October 2, on the clearing, settlement, and registration of negotiable securities represented by book entries, on the legal regime of central securities depositories and central counterparties, and on the transparency requirements of issuers of securities admitted to trading on an official secondary market, has developed and specified the elements on which the new system for the clearing, settlement, and registration of securities is based.

One of the main pillars of the reform of the clearing, settlement, and registration system (hereinafter, the reform) is the elimination of the current equity securities registration system based on registration references, moving to a system based exclusively on securities balances, establishing alternative control procedures. This entails, on the one hand, that a significant portion of the files currently received by the CNMV from market infrastructures will not be received in the future, and on the other hand, that it is necessary to include files based on the new operations and new procedures arising from the implementation of the first phase of the reform, which will affect all equity operations.

Therefore, it is necessary to modify Circular 1/2015, of June 23, specifically its annex, in order to update the list of records, internal or statistical databases, and documents that must be captured and stored by the subject entities to be made available to the CNMV.

On the other hand, in order to maintain the same level of supervision by the CNMV, access to registration references, and achieve complete traceability of operations prior to the entry into operation of the new clearing, settlement, and registration system, it is necessary to continue relying on the communication of ownership held by the Sociedad de Sistemas (Sociedad de Bolsas) to the CNMV upon request, which is part of procedure X-52, for four years, and to mandate the retention of data corresponding to the operations and processes necessary during that period, all without prejudice to the obligation of entities to retain information related to their activities during the period provided for in higher-ranking regulatory provisions.

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This Circular consists of a single provision amending the annex of Circular 1/2015, of June 23, a transitional provision, a final provision, and an annex that is an integral part thereof.

Article 241 of the consolidated text of the Securities Market Law (formerly Article 86.2 of Law 24/1988, of July 28, on the Securities Market) empowers the Minister of Economy and Competitiveness and, with his express authorization, the CNMV to regulate the records, internal or statistical databases, and documents that must be kept by the entities included in Article 233.1.a), paragraphs 1 and 2. Order ECC/2515/2013, of December 26, developing Article 86.2 of Law 24/1988, of July 28, on the Securities Market, incorporated the authorization to the CNMV.

The Council of the National Securities Market Commission, after receiving the report of its Advisory Committee, in its meeting of December 15, 2015, has decided as follows:

Single Provision. Amendment of Circular 1/2015, of June 23, of the National Securities Market Commission, on statistical data and information of market infrastructures.

The annex of Circular 1/2015, of June 23, of the National Securities Market Commission, on statistical data and information of market infrastructures, is replaced by the annex of this Circular, which includes the list of records, internal or statistical databases, and documents that must be captured and stored by the entities included in paragraphs 1 and 2 of Article 233.1.a) of the consolidated text of the Securities Market Law approved by Legislative Royal Decree 4/2015, of October 23, to be made available to the CNMV.

Single Transitional Provision. Procedure X-52 for the transmission of ownership with Registration Reference.

From the date of entry into force of this Circular, the central securities depository will keep procedure X-52 in use for four years and will retain during that period the data corresponding to the operations and processes necessary, which may be requested through the data set with identification number ID IV-11 bis of the annex of this Circular, all without prejudice to the obligation of entities to retain information related to their activities during the period provided for in higher-ranking regulatory provisions.

Single Final Provision. Entry into force.

This Circular shall enter into force on February 3, 2016.

Madrid, December 15, 2015.–The President of the National Securities Market Commission, María Elvira Rodríguez Herrer.

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ANNEX

The tables comprising this annex, relating to the market infrastructures administered, governed, or managed by each of the Societies within the scope of this Circular, detail the data sets that constitute the statistical information that must be made available to the CNMV on a recurring basis, as well as other information in text format that, under certain circumstances or upon request, must be sent to the CNMV. The numbering used for these data sets is grouped according to the managed infrastructure, consecutive from 1 onwards within each group, without repetition of the ordinal identifier of each data set in this annex.

The column "Data Type" refers to the categories or types in which the data are classified according to Rule 3.1 letters a), b), c), and d) of this Circular.

In the "Frequency" column, the acronyms used have the following meaning: TR = Real Time; D = Daily; S = Weekly; M = Monthly; SM = Semi-annual; A = Annual; AD = Ad-hoc, understood as either when an event or circumstance occurs, or upon prior request by the CNMV.

In the "Delivery Mode" column, the acronyms used have the following meaning: FTP: "File Transfer Protocol"; E.M.: Email.

In the "Delivery Deadline" column, the acronyms used have the following meaning: TR = Real time; CS = at the close of the session (at the limit before the opening of the next session); 1DHS = first business day of the following week; 3DHM = third business day of the following month; 4DHTR = fourth business day of the following quarter; 5DHSM = fifth business day of the following half-year; 3DHCR = three business days from the occurrence of the circumstance or receipt of the request; 10DHCR = ten business days from the occurrence of the circumstance or receipt of the request; 30DNTR = thirty calendar days following the close of the natural quarter; 30DNSM = thirty calendar days following the close of the natural half-year; 20DNA = 20 calendar days following the close of the natural year.

I. Statistical information data sets from Sociedad de Bolsas

ID Name Description Data Type Frequency Delivery Mode Delivery Deadline I-01 Market Data Feed (Stock Exchanges). Data originating from the real-time information dissemination platform of the Bolsas y Mercados Españoles Group (BME Data Feed) which consolidates in a single format multiple contents generated by the various Official Secondary Markets and Multilateral Trading Facilities of the BME Group. It must provide the following contents: All trade records including time, volume, price, identification of buying and selling members, and buy and sell orders; Records of IBEX indices disseminated; Information on all buy-sell order books for all securities with information on volumes associated with buy and sell prices (in auctions, volumes associated with the equilibrium price in the auction); Information on the 5 best buy and sell prices and associated volumes; Identification data for all securities (i.e., all fields related to ISIN identification) and trading status. a) TR To be agreed with Market TR

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ID Name Description Data Type Frequency Delivery Mode Delivery Deadline I-02 Warrants: Compliance of specialists. Summary by issuer with the total number of non-compliances, total minutes of non-compliance, and the reason for non-compliances, in accordance with the specifications of Operational Instructions 39/2003 and 77/2012 of Sociedad de Bolsas, which set the parameters for the presence of specialists in the warrants, certificates, and other products segment. d) M FTP 3DHM I-03 Market members. File containing the list of members of the 4 Stock Exchanges, MERF, MAB, and Latibex, and their status: registration, deregistration, modification, or no change. d) D FTP CS I-04 File progress of share issuers in Exchanges trading in SIB obliged to remit information to CNMV. Progress file expressing the market capitalization calculated with reference to the last session of the corresponding quarter for the various share-issuing companies admitted to the Exchanges trading in the SIB. d) First and third quarters FTP 30DNTR I-05 Share issuer rates in Exchanges trading in SIB obliged to remit information to CNMV. File expressing the market capitalization calculated with reference to the last session of each half-year for the various share-issuing companies admitted to the Exchanges trading in the SIB. d) SM FTP 30DNSM

II. Statistical information data sets from the Barcelona, Bilbao, Madrid, and Valencia Stock Exchanges to be submitted by each of them

ID Name Description Data Type Frequency Delivery Mode Delivery Deadline II-01 File progress for verification of the base of the supervision fee for member activity. Progress file to verify the correctness of the information collected from each member in each Stock Exchange regarding the number of buy and sell operations and the total effective or nominal amount of operations subject to stock exchange levy for equity and fixed-income securities, excluding public debt, grouping those operations subject to levy based on their effective or nominal amount according to the brackets specified in Article 66, paragraph 1 of Law 16/2014, of September 30, regulating the fees of the National Securities Market Commission. d) First and third quarters FTP 30DNTR II-02 Verification of the base of the supervision fee for member activity. File to verify the correctness of the information collected from each member in each Stock Exchange regarding the number of buy and sell operations and the total effective or nominal amount of operations subject to stock exchange levy for equity and fixed-income securities, excluding public debt, grouping those operations subject to levy based on their effective or nominal amount according to the brackets specified in Article 66, paragraph 1 of Law 16/2014, of September 30, regulating the fees of the National Securities Market Commission. d) SM FTP 30DNSM II-03 Fee for supervision of governing societies. File with the effective value of equity securities and the nominal value of fixed-income securities, except public debt, traded in each half-year. d) SM FTP 30DNSM

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ID Name Description Data Type Frequency Delivery Mode Delivery Deadline II-04 Share issuer rates for shares admitted to each Exchange not trading in SIB obliged to remit information to CNMV. File expressing the market capitalization calculated with reference to the last session of each half-year for the various share-issuing companies admitted to each Exchange not trading in the SIB. d) SM FTP 30DNSM II-05 Definitive Trading: From the definitive trading communicated on the day to the Exchange, the following data will be supplied: II-05.1 Total purchases and sales. Trades executed on the day and trades with backdated settlement communicated on the day (detailing effective amount and number of securities or number of UMCs). In fixed income, it will include trading related to Public Debt in Book Entries. All of this for each member and for each ISIN with trading. d) D FTP CS II-05.2 Total purchases and sales special operations. Purchases and sales by each type of special operation on the day and trades with backdated settlement communicated on the day (detailing effective amount and number of securities or number of UMCs). All of this for each member and for each ISIN with trading. d) D FTP CS II-05.3 Prices. For each ISIN, the closing, high, low, weighted average, and last prices (with-coupon for Fixed Income securities), expressed in euros with six decimal places, as well as the accrued coupon (Fixed Income) and the position (paper or money) of the cited ISIN. The prices of securities belonging to the Stock Exchange Interconnection System or the Fixed Income Electronic Market will refer to the entire Market. In Fixed Income, prices of Public Debt in Book Entries will also be included. d) D FTP CS II-06 Provisional Trading: From the provisional trading carried out on the day, the following data will be supplied: d) D FTP each day after 16:00 (after 2nd Auction) Prices. For each ISIN with trading not belonging to the Stock Exchange Interconnection System, the closing, high, low, weighted average, and last prices (with-coupon for Fixed Income securities), expressed in euros with six decimal places, as well as the accrued coupon (Fixed Income) and the position (paper or money) of the cited ISIN. II-07 Modifications on security data. File with modifications to data on securities. d) D FTP CS

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III. Statistical information data sets from the Multilateral Trading Facilities MAB and Latibex

ID Name Description Data Type Frequency Delivery Mode Delivery Deadline III-01 Market Data Feed (MAB MTN and Latibex MTN). Data originating from the real-time information dissemination platform of the Bolsas y Mercados Españoles Group (BME Data Feed) which consolidates in a single format multiple contents generated by the various Official Secondary Markets and Multilateral Trading Facilities of the BME Group. It must provide the following contents referring to MAB and Latibex: All trade records including time, volume, price, identification of buying and selling members, and buy and sell orders; Information on all buy-sell order books for all securities with information on volumes associated with buy and sell prices (in auctions, volumes associated with the equilibrium price in the auction); Information on the 5 best buy and sell prices and associated volumes; Identification data for all securities (i.e., all fields related to ISIN identification) and trading status. a) TR To be agreed with Markets TR III-02 Verification of the base of the supervision fee for member activity. File to verify the correctness of the information collected from each member of these multilateral trading facilities regarding the number of buy and sell operations and the total effective or nominal amount of operations subject to stock exchange levy for equity and fixed-income securities, excluding public debt, grouping those operations subject to levy based on their effective or nominal amount according to the brackets specified in Article 66, paragraph 1 of Law 16/2014, of September 30, regulating the fees of the CNMV. d) SM FTP 30DNSM III-03 Fee for supervision of governing societies. File with the effective value of equity securities and the nominal value of fixed-income securities, except public debt, traded in each half-year. d) SM FTP 30DNSM III-04 Definitive Trading (with details equivalent to files II-05.1 to II-05.3). The definitive trading communicated on the day for the corresponding MTN. The same data and details as in files II-05.1 to II-05.3 applicable with reference to the MAB and Latibex MTNs will be supplied. d) D FTP CS

IV. Statistical information data sets from Sociedad de Sistemas

ID Name Description Data Type Frequency Delivery Mode Delivery Deadline IV-01 File progress for verification of the base of the supervision fee for participant entity activity. Progress file to verify the correctness of the information collected from each participant in the Sociedad de Sistemas regarding the effective value of the equity balance and the nominal value of the fixed-income balance, excluding public debt, held by each of them, on their own account and for third parties, on the last day of each month of the corresponding quarter. d) First and third quarters FTP 30DNTR

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ID Name Description Data Type Frequency Delivery Mode Delivery Deadline IV-02 Verification of the base of the supervision fee for participant entity activity. File to verify the correctness of the information collected from each participant in the Sociedad de Sistemas regarding the effective value of the equity balance and the nominal value of the fixed-income balance, excluding public debt, held by each of them, on their own account and for third parties, on the last day of each month of the half-year. d) SM FTP 30DNSM IV-03 Fee for supervision of entities authorized to manage securities registration or settlement systems. File indicating whether the entity provides securities registration or settlement services for equity on the accrual date, and whether it provides securities registration or settlement services for fixed income on the accrual date. d) SM FTP 30DNSM IV-04 Communication of balance positions. File in which the balance positions registered by participating entities in Iberclear are communicated. d) D FTP CS IV-05 Registered securities and communications. File with information regarding securities registered accountingly in Iberclear, whether admitted to trading on official secondary markets or not. This communication will be of all securities in the initial load; subsequently, securities that undergo any modification will be communicated. d) AD FTP CS in initial load and in each modification IV-06 Participating entities. File with information regarding the Participating Entities registered in Iberclear. This communication will be of all entities in the initial load; subsequently, entities that undergo any modification will be communicated. d) AD FTP CS in initial load and in each modification IV-07 Operations in fixed-income securities in AIAF and CADE. File with the record of Fixed Income operations of the day. d) D FTP CS IV-08 Balances by entity and fixed-income security of AIAF and CADE registered by participant. File in which Iberclear communicates the valuation of the deposit that each participating entity has registered in the fixed-income securities system operating in the AIAF and DEUDA markets. d) D FTP CS IV-09 Operations in AIAF and CADE securities carried out by Managers with their third parties. File in which Iberclear communicates the third-party declarations made on fixed-income securities in the AIAF and DEUDA markets. d) D FTP CS IV-10 Third-party registry. File of Valuation of manager entity activity. d) M FTP 3DHM IV-11 Ownership information of operations. Communication from Iberclear to the CNMV, and upon request by the latter, of the required ownerships, or only the operations, depending on the option requested. d) AD FTP 3DHCR IV-11 bis Ownership information of operations via RR. Communication from Iberclear to the CNMV, and upon request by the latter, of the required ownerships at the registration reference level (procedure X-52). For operations prior to the entry into force of this