Circular 1/2015 of the National Securities Market Commission on Data and Statistical Information of Market Infrastructures

BOLETÍN OFICIAL DEL ESTADO Núm. 154 Monday, June 29, 2015 Sec. I. Page 53150 I. GENERAL PROVISIONS COMISIÓN NACIONAL DEL MERCADO DE VALORES 7185 Circular 1/2015, of June 23, of the National Securities Market Commission, on data and statistical information of market infrastructures.

EXPLANATION OF MOTIVES Article 86.2 of Law 24/1988, of July 28, on the Securities Market (hereinafter LMV), empowers the Minister of Economy and Competitiveness and, with his express authorization, the National Securities Market Commission (hereinafter CNMV), to regulate the registers, internal or statistical databases, and documents that entities included in its Article 84.1 must maintain.

In exercise of the aforementioned legal authorization, Order ECC/2515/2013, of December 26, was issued, which develops Article 86.2 of Law 24/1988, of July 28, on the Securities Market. In Article 1.1 of said Order, the Minister of Economy and Competitiveness expressly authorizes the CNMV to establish, modify, and regulate, in relation to the entities mentioned in the previous paragraph, the registers, internal or statistical databases, and documents that must be maintained. Likewise, in Article 3.2 of the same Order, the CNMV is authorized to establish, in relation to those entities, the form and minimum content to which such information must adhere, specifying the characteristics, formats, frequencies, deadlines, and systems for the transmission or submission of data to the CNMV and other technical requirements thereof.

Letters a) and b) of Article 84.1 of the LMV list the entities that regulate, manage, administer, or control market infrastructures, whose activity data are the subject of this Circular. These entities are, specifically, trading market infrastructures such as the governing bodies of the various official secondary markets and the various existing multilateral trading systems, and post-trade infrastructures such as the societies that administer central counterparty systems and those that manage clearing, settlement, and registration systems; provided that those markets or those systems or their governing, administering, or managing societies are subject to compliance with the provisions contained in the LMV and its implementing regulations, as well as the rules of European Union law containing provisions specifically referring to them. This Circular, secondly, extends to the Sociedad de Bolsas and the society or societies that control the governing, administering, or managing societies mentioned above. The Bank of Spain is excluded from the scope of this Circular.

This Circular consists of five provisions, a repealing provision, a final provision, and an annex which is an integral part of it.

The purpose of the Annex of the Circular is to establish, compile, and detail the data sets considered as statistical information that must be captured, stored, and made available to the CNMV by the entities within its scope of application, in order to be used in recurrent supervisory tasks attributed to the CNMV regarding the structure and operations of those entities, as well as the activities performed on financial instruments, where applicable, within them. The aforementioned Annex is structured by specific blocks for each of those entities, in which each data set is numbered with a specific cardinal number and identified with a name, along with a brief description of its content or utility. Likewise, for each data set, there is an indication of its "type" according to the classification a), b), c), or d) provided in the Third Provision, as well as specifications regarding the "periodicity", "mode", and "deadline" for delivery to which the making available or the CNMV's access to said data sets must adhere.

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In virtue thereof, the Council of the National Securities Market Commission, after the report of the Advisory Committee, in its meeting of June 23, 2015, has ordered the following:

First Provision. Object and scope of application.

1. This Circular aims to establish and regulate the registers, internal or statistical databases, and documents that reflect and must contain information regarding the structure and operations and activities on financial instruments performed, where applicable, in the entities included in letters a) and b) of Article 84.1 of the LMV, and which must be captured and stored by those entities to be made available to the CNMV for the exercise of its supervisory functions, including tasks of verification or reconciliation of such information.

The accounting or financial nature records and information of the governing, managing, or administering societies of the aforementioned market infrastructures, even if they are associated with or result from the structure, operations, or activities carried out in these societies, are not the subject of this Circular.

2. The provisions of this Circular shall apply to the following entities: a) The governing bodies of official secondary markets, the governing entities of multilateral trading systems, central counterparty entities, and central securities depositories. The Bank of Spain is excluded. b) The Sociedad de Bolsas and the societies that hold all the shares or a participation that grants direct or indirect control of the entities provided for in the previous letter.

3. Hereinafter, unless a specific market infrastructure is identified concretely: a) The term "Trading Infrastructure" will be used in relation to any of the official secondary markets and any of the multilateral trading systems included in letter a) of paragraph 2 above. Likewise, these terms will be applied with reference to the Sociedad de Bolsas cited in letter b) of said paragraph 2. b) The generic term "Post-Trade Infrastructure" will be used in relation to any central counterparty entity and any central securities depository included in letter a) of paragraph 2 above.

4. Hereinafter, unless each entity or society is identified concretely, the generic term "Society" and its plural "Societies" will be used in relation to any of the societies or entities included in paragraph 2 or to all of them.

Second Provision. Characteristics of the regulated statistical information.

1. The statistical information subject to this circular will consist of data arranged appropriately for automated treatment that will reflect the events that constitute the "sequence of services" provided by the various market infrastructures. Such information may include aggregated or compiled data, including reports, instructions, notices, and text or mixed messages, data, and texts that can be associated with or are dependent on the aforementioned sequence of services.

2. The "sequence of services" comprises the events, and the milestones of their occurrence, from the moment an order is introduced into the systems of the corresponding infrastructure by an intermediary member thereof until the moment the final result, whatever it may be, is reflected in the accounts of the infrastructure in question. For the purposes of this paragraph, an order will be understood as an instruction issued by an investor to alienate financial instruments owned by them or to acquire them.

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3. The data to be captured and stored will be the following: a) All dynamic data regarding the flow of each order or instruction throughout the sequence of services in each of the trading and post-trade infrastructures involved in it.

Dynamic or flow data are understood to be those that are not predetermined and vary with each order as they are specific to each one (among others, the number or quantity of financial instruments of each order, the identification code of the order, its nominal or actual amount, the date and time of its execution, the identification code of the execution, its price, or the instruction that includes its settlement).

b) All static or position data that the Markets and post-trade infrastructures associate with each order they process in their itinerary throughout the sequence of services in which they are involved.

Static or position data are understood to be those preset prior to issuing an order in each Market and in each post-trade infrastructure for their association with each order or transaction they process. This is the case, among others, of the codes or identities of the market infrastructures themselves or of the financial instrument traded or susceptible of clearing, settlement, or registration in them, or of their members and participants.

4. The flow data and position data that make up the statistical information to which this Circular applies will be stored on a secure, stable, and durable medium by the Society responsible for their capture for at least ten years.

Third Provision. Making statistical information and related data available to the CNMV.

1. The statistical information that, in application of what is provided in the First and Second Provisions, must be made available to the CNMV will be subject to structuring into sets. These data sets may have their origin and will be classified, for the purposes of this Circular, in one of the following four categories or types: a) Data originating from platforms for the dissemination of statistical information of trading infrastructures in real time, such as those contained in the so-called "Data feeds" of those same trading infrastructures. b) Data originating from or extractable from online terminals of trading infrastructures. c) Data, organized in computer files, originating from information systems required for the control of activities taking place in post-trade infrastructures. d) Data, whatever its origin, including data from the previous categories, organized, compiled, or in the form requested by the CNMV in computer files.

2. The data sets listed in the annex will be made available to the CNMV in the form and with the periodicity determined in said annex.

For data sets or files for which no periodicity has been established, they will be prepared and made available to the CNMV in the form and deadline that, in each case, the CNMV requires from the societies. In any case, the delivery deadline stated in the annex of this Circular for each data set will be understood as the maximum.

3. The computer fields that collect the flow data and position data that make up each of the data sets categorized as type c) and d) related in the annex of this Circular, and specifically their formats, lengths, positions, and other technical specifications will be reflected in the so-called "technical specification files".

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Such "technical specification files" will be accessible only to the Societies that must make them available to the CNMV in the corresponding reserved area of the Electronic Headquarters of said Body.

Societies belonging to the same group must coordinate so that the different static or position data that are common to several computer files when they identify the same information or concept (same financial instrument, same issuer, same member or participant entity, or same securities or cash account, etc.) all have the same common content and an identical format and length in the data field corresponding to that information or concept.

Fourth Provision. Update of data sets and modification of the content of computer files.

1. The changes that the Societies foresee introducing in the data sets of type a) or b) of paragraph 1 of the Third Provision must be brought to the knowledge of the CNMV prior to their effective date and with sufficient advance notice to allow the evaluation of the effects on the information processing systems and, where applicable, supervision schemes of the operations of those Societies.

2. The Societies may also propose modifications in the data fields or in the formats of the computer data files of type c) and d) of paragraph 1 of the Third Provision listed in the annex of this Circular. The CNMV may oppose such modifications when they harm the supervision processes carried out through those files. In case of acceptance, the CNMV will determine the deadlines for the implementation of the relevant changes.

Fifth Provision. Other provisions regarding the data sets of statistical information.

1. Each Society will establish the necessary control mechanisms and systems to guarantee the accuracy, quality, and sufficiency of the statistical information and compliance with the formats and deadlines for making it available to the CNMV.

2. When the same type of dynamic or flow or statistical or position data may appear in several data sets referring to the same period and Society, the latter will ensure that they do not differ, or, if they do, it will explain the reason for the eventual difference and point it out.

3. The Societies may not modify the computer files, based on data of type c) and d) of paragraph 1 of the Third Provision, that must be accessible or made available to the CNMV, nor suppress or fail to report on any of the data they must contain.

Furthermore, when any of said files is not available within the deadline, or if it has empty fields or erroneous or deficient data for computer purposes, the responsible Society will be obliged to immediately remedy the incident and repeat, correctly, the making available of the file in question.

4. Generally, the CNMV may require the Societies to provide as many clarifications as necessary regarding the content of the data sets listed in the annex of this Circular and regarding the details of their capture, storage, or frequency of access and deadlines for making them available.

5. The statistical information and related data contained in the data sets related in the annex of this Circular that the Societies make public for any reason will not differ in content from those that would have been made available to the CNMV.

6. The statistical information and related data to which the CNMV has accessed or that has been made available to it through the data sets referred to in the Third Provision will have a reserved character and will only be used in supervisory tasks and verification or reconciliation of data or, where applicable, for statistical purposes, subject to what is provided in Article 90 of the LMV.

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Single Repealing Provision. The following provisions are repealed: – The 4th Provision of Circular 2/1992, of July 15, of the National Securities Market Commission, on accounting standards, reserved and public models of financial statements, statistical information, and annual accounts of public character of the governing societies of the official futures and options markets. – The 4th Provision of Circular 4/1992, of October 21, of the National Securities Market Commission, on accounting standards, reserved and public models of financial statements, models of supplementary statements, and annual accounts of public character of the Clearing and Settlement Service of Securities. – Circular 4/1990, of June 13, of the National Securities Market Commission, on statistical information of the Governing Societies of the Stock Exchanges. – The 4th Provision of Circular 3/1990, of May 23, of the National Securities Market Commission, on accounting standards, reserved and public models of financial statements, models of supplementary statements, annual accounts of public character, and audit of the Sociedad de Bolsas. – The additional provision of Circular 1/2003, of January 22, of the National Securities Market Commission, which develops the special requirements applicable to industrial members of the official secondary markets for futures and options on olive oil and regulates the accounting and statistical information required from the governing societies of these markets.

Single Final Provision. Entry into force. The provisions of this Circular will enter into force the day following its publication in the "Boletín Oficial del Estado". Madrid, June 23, 2015.–The President of the National Securities Market Commission, María Elvira Rodríguez Herrer.

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ANNEX The tables comprising this annex, in relation to the market infrastructures administered, governed, or managed by each of the Societies within the scope of this Circular, detail the data sets that configure the statistical information that must be made available to the CNMV on a recurrent 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 governing society or managed infrastructure, consecutive from 1 onwards within each group and without repetition of the ordinal identifier of each data set in this annex. The "Data Type" column refers to the categories or types in which the data are classified according to the Third Provision 3.1 letters a), b), c), and d) of this Circular. In the "Periodicity" column, the acronyms used have the following meaning: TR= Real Time; D= Daily; S= Weekly; M= Monthly; SM= Semi-annual; AD= Ad-hoc, understood as either when an event or circumstance occurs, or upon prior request of 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); 1BHS= first business day of the following week; 3BHM= third business day of the following month; 4BHTQ= fourth business day of the following quarter; 5BHS= fifth business day of the following semester; 10BDC= ten business days from occurrence of the circumstance or receipt of the request; 30ND= thirty natural days following the close of the natural semester.

I. Data sets of statistical information originating from Sociedad de Bolsas ID Name Description Data Type Periodicity Delivery Mode Delivery Deadline I-01 Market Data Feed (Stock Exchanges) Data originating from the Group's real-time information dissemination platform (BME Data Feed) which consolidates in a single format multiple contents generated by the various Regulated Markets and Multilateral Trading Systems of the BME Group. It must provide the following contents: All trade records including time, volume, price, identification of buyer and seller members, and buy and sell orders; Records of IBEX indices disseminated; Information on all buy-sell order books of all securities with information on volumes associated with buy and sell prices (in auction, volumes associated with the equilibrium price in the auction); Information on the 5 best buy and sell prices and associated volumes; Identification data of all securities (i.e., all fields related to ISIN identification) and trading status. a) TR To be agreed with Market TR I-02 Warrants: Compliance of specialists Summary by issuer with the total number of non-compliances, the 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 3BHM

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BOLETÍN OFICIAL DEL ESTADO Núm. 154 Monday, June 29, 2015 Sec. I. Page 53156 ID Name Description Data Type Periodicity Delivery Mode Delivery Deadline I-03 Market Members File listing the members of the 4 stock exchanges, MERF, MAB, and Latibex, and according to their status: registered, deregistered, modified, or unchanged. d) D FTP CS I-04 File progress of share issuers' rates in exchanges trading in SIBE 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 societies admitted to the Exchanges that trade in SIBE. d) First and third quarter FTP 30NDTR I-05 Rates of share issuers in exchanges trading in SIBE obliged to remit information to CNMV File expressing the market capitalization calculated with reference to the last session of each semester for the various share-issuing societies admitted to the Exchanges that trade in SIBE. d) SM FTP 30DNSM

II. Data sets of statistical information originating from the Stock Exchanges of Barcelona, Bilbao, Madrid, and Valencia to be submitted by each of them ID Name Description Data Type Periodicity Delivery Mode Delivery Deadline II-01 File progress verification of the base for the supervision of the activity of members Progress file to verify the correctness of the information collected from each member in each exchange regarding the number of buy and sell operations and the total actual or nominal amount of operations subject to stock exchange fees for variable and fixed income securities, excluding public debt, grouping those operations subject to fees based on their actual or nominal amount according to the tranches specified in article 66, paragraphs