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Document 02017R0587-20230605
Commission Delegated Regulation (EU) 2017/587 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of shares, depositary receipts, exchange-traded funds, certificates and other similar financial instruments and on transaction execution obligations in respect of certain shares on a trading venue or by a systematic internaliser (Text with EEA relevance)Text with EEA relevance
Consolidated text: Commission Delegated Regulation (EU) 2017/587 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of shares, depositary receipts, exchange-traded funds, certificates and other similar financial instruments and on transaction execution obligations in respect of certain shares on a trading venue or by a systematic internaliser (Text with EEA relevance)Text with EEA relevance
Commission Delegated Regulation (EU) 2017/587 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of shares, depositary receipts, exchange-traded funds, certificates and other similar financial instruments and on transaction execution obligations in respect of certain shares on a trading venue or by a systematic internaliser (Text with EEA relevance)Text with EEA relevance
02017R0587 — EN — 05.06.2023 — 002.001
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COMMISSION DELEGATED REGULATION (EU) 2017/587 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of shares, depositary receipts, exchange-traded funds, certificates and other similar financial instruments and on transaction execution obligations in respect of certain shares on a trading venue or by a systematic internaliser (OJ L 087 31.3.2017, p. 387) |
Amended by:
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Official Journal |
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No |
page |
date |
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COMMISSION DELEGATED REGULATION (EU) 2019/442 of 12 December 2018 |
L 77 |
56 |
20.3.2019 |
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COMMISSION DELEGATED REGULATION (EU) 2023/944 of 17 January 2023 |
L 131 |
1 |
16.5.2023 |
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COMMISSION DELEGATED REGULATION (EU) 2017/587
of 14 July 2016
supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of shares, depositary receipts, exchange-traded funds, certificates and other similar financial instruments and on transaction execution obligations in respect of certain shares on a trading venue or by a systematic internaliser
(Text with EEA relevance)
CHAPTER I
GENERAL
Article 1
Definitions
For the purposes of this Regulation, the following definitions apply:
‘portfolio trade’ means transactions in five or more different financial instruments where those transactions are traded at the same time by the same client and as a single lot against a specific reference price;
▼M2 —————
‘systematic internaliser’ means an investment firm as defined in Article 4(1)(20) of Directive 2014/65/EU of the European Parliament and of the Council ( 1 ).
Article 2
Transactions not contributing to the price discovery process
(Article 23(1) of Regulation (EU) No 600/2014)
A transaction in shares does not contribute to the price discovery process where any of the following circumstances apply:
the transaction is executed by reference to a price that is calculated over multiple time instances according to a given benchmark, including transactions executed by reference to a volume-weighted average price or a time-weighted average price;
the transaction is part of a portfolio trade which includes five or more different shares;
the transaction is contingent on the purchase, sale, creation or redemption of a derivative contract or other financial instrument where all the components of the trade are to be executed only as a single lot;
the transaction is executed by a management company as defined in Article 2(1)(b) of Directive 2009/65/EC of the European Parliament and of the Council ( 2 ), or an alternative investment fund manager as defined in Article 4(1)(b) of Directive 2011/61/EU of the European Parliament and of the Council ( 3 ), which transfers the beneficial ownership of shares from one collective investment undertaking to another and where no investment firm is a party to the transaction;
the transaction is a give-up transaction or a give-in transaction;
the purpose of the transaction is to transfer shares as collateral in bilateral transactions or in the context of central counterparty (CCP) margin or collateral requirements or as part of the default management process of a CCP;
the transaction results in the delivery of shares in the context of the exercise of convertible bonds, options, covered warrants or other similar derivatives;
▼M1 —————
the transaction is carried out under the rules or procedures of a trading venue, a CCP or a central securities depository to effect a buy-in of unsettled transactions in accordance with Regulation (EU) No 909/2014 of the European Parliament and of the Council ( 4 ).
CHAPTER II
PRE-TRADE TRANSPARENCY
Section 1
Pre-trade transparency for trading venues
Article 3
Pre-trade transparency obligations
(Article 3(1) and (2) of Regulation (EU) No 600/2014)
Article 4
Most relevant market in terms of liquidity
(Article 4(1)(a) of Regulation (EU) No 600/2014)
The calculation referred to in paragraph 2 shall have the following characteristics:
it shall include, for each trading venue, transactions executed under the rules of that trading venue excluding reference price and negotiated transactions flagged as set out in Table 4 of Annex I and transactions executed on the basis of at least one order that has benefitted from a large-in-scale waiver and where the transaction size is above the applicable large-in-scale threshold as determined in accordance with Article 7;
it shall cover either the preceding calendar year or, where applicable, the period of the preceding calendar year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
Article 5
Specific characteristics of negotiated transactions
(Article 4(1)(b) of Regulation (EU) No 600/2014)
A negotiated transaction in shares, depositary receipts, ETF, certificates or other similar financial instruments shall be considered to be a transaction which is negotiated privately but reported under the rules of a trading venue and where any of the following circumstances applies:
two members or participants of that trading venue are involved in any of the following capacities:
one is dealing on own account when the other is acting on behalf of a client;
both are dealing on own account;
both are acting on behalf of a client;
one member or participant of that trading venue is either of the following:
acting on behalf of both the buyer and seller;
dealing on own account against a client order.
Article 6
Negotiated transactions subject to conditions other than the current market price
(Article 4(1)(b) of Regulation (EU) No 600/2014)
A negotiated transaction in shares, depositary receipts, ETFs, certificates and other similar financial instruments shall be subject to conditions other than the current market price of the financial instrument where any of the following circumstances applies:
the transaction is executed in reference to a price that is calculated over multiple time instances according to a given benchmark, including transactions executed by reference to a volume-weighted average price or a time-weighted average price;
the transaction is part of a portfolio trade;
the transaction is contingent on the purchase, sale, creation or redemption of a derivative contract or other financial instrument where all the components of the trade are meant to be executed as a single lot;
the transaction is executed by a management company as defined in Article 2(1)(b) of Directive 2009/65/EC or an alternative investment fund manager as defined in Article 4(1)(b) of Directive 2011/61/EU which transfers the beneficial ownership of financial instruments from one collective investment undertaking to another and where no investment firm is a party to the transaction;
the transaction is a give-up transaction or a give-in transaction;
the transaction has as its purpose the transferring of financial instruments as collateral in bilateral transactions or in the context of a CCP margin or collateral requirements or as part of the default management process of a CCP;
the transaction results in the delivery of financial instruments in the context of the exercise of convertible bonds, options, covered warrants or other similar financial derivative;
▼M1 —————
the transaction is carried out under the rules or procedures of a trading venue, a CCP or a central securities depository to effect buy-in of unsettled transactions in accordance with Regulation (EU) No 909/2014;
any other transaction equivalent to one of those described in points (a) to (i) in that it is contingent on technical characteristics which are unrelated to the current market valuation of the financial instrument traded.
Article 7
Orders that are large in scale
(Article 4(1)(c) of Regulation (EU) No 600/2014)
The calculation referred to in paragraph 3 shall have the following characteristics:
it shall include transactions executed in the Union in respect of the financial instrument, whether traded on or outside a trading venue;
it shall cover the period beginning on 1 January of the preceding calendar year and ending on 31 December of the preceding calendar year or, where applicable, that part of the calendar year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
Paragraphs 3 and 4 shall not apply to shares, depositary receipts, certificates and other similar financial instruments first admitted to trading or first traded on a trading venue four weeks or less before the end of the preceding calendar year.
Article 8
Type and minimum size of orders held in an order management facility
(Article 4(1)(d) of Regulation (EU) No 600/2014)
The type of order held in an order management facility of a trading venue pending disclosure for which pre-trade transparency obligations may be waived is an order which:
is intended to be disclosed to the order book operated by the trading venue and is contingent on objective conditions that are pre-defined by the system's protocol;
cannot interact with other trading interests prior to disclosure to the order book operated by the trading venue;
once disclosed to the order book, interacts with other orders in accordance with the rules applicable to orders of that kind at the time of disclosure.
Orders held in an order management facility of a trading venue pending disclosure for which pre-trade transparency obligations may be waived shall, at the point of entry and following any amendment, have one of the following sizes:
in the case of a reserve order, a size that is greater than or equal to EUR 10 000 ;
for all other orders, a size that is greater than or equal to the minimum tradable quantity set in advance by the system operator under its rules and protocols.
Section 2
Pre-trade transparency for systematic internalisers and investment firms trading outside a trading venue
Article 9
Arrangements for the publication of a firm quote
(Article 14(1) of Regulation (EU) No 600/2014)
Any arrangement that a systematic internaliser adopts in order to comply with the obligation to make public firm quotes shall satisfy the following conditions:
the arrangement includes all reasonable steps necessary to ensure that the information to be published is reliable, monitored continuously for errors, and corrected as soon as errors are detected;
the arrangement complies with technical arrangements equivalent to those specified for approved publication arrangements (APAs) in Article 14 of Delegated Regulation (EU) 2017/571 that facilitate the consolidation of the data with similar data from other sources;
the arrangement makes the information available to the public on a non-discriminatory basis;
the arrangement includes the publication of the time the quotes have been entered or amended in accordance with Article 50 of Directive 2014/65/EU as specified in Commission Delegated Regulation (EU) 2017/574 ( 5 ).
Article 10
Prices reflecting prevailing market conditions
(Article 14(3) of Regulation (EU) No 600/2014)
The prices published by a systematic internaliser shall be deemed to reflect prevailing market conditions where they are close in price, at the time of publication, to quotes of equivalent sizes for the same financial instrument on the most relevant market in terms of liquidity as determined in accordance with Article 4 for that financial instrument.
However, the prices published by a systematic internaliser in respect of shares and depositary receipts shall be deemed to reflect prevailing market conditions only where those prices meet the requirements set out in the first paragraph of this Article and respect minimum price increments corresponding to the tick sizes specified in Article 2 of Commission Delegated Regulation (EU) No 2017/588 ( 6 ).
Article 11
Standard market size
(Article 14(2) and (4) of Regulation (EU) No 600/2014)
The calculation referred to in paragraph 2 shall have the following characteristics:
it shall take into account the transactions executed in the Union in respect of the financial instrument concerned whether executed on or outside a trading venue;
it shall cover either the preceding calendar year or, where applicable, the period of the preceding calendar year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading;
it shall exclude post-trade large-in-scale transactions as set out in Table 4 of Annex I.
Paragraphs 2 and 3 shall not apply to shares, depositary receipts, ETFs, certificates and other similar financial instruments first admitted to trading or first traded on a trading venue four weeks or less before the end of the preceding calendar year.
CHAPTER III
POST-TRADE TRANSPARENCY FOR TRADING VENUES AND INVESTMENT FIRMS TRADING OUTSIDE A TRADING VENUE
Article 12
Post-trade transparency obligations
(Article 6(1) and Article 20(1) and (2) of Regulation (EU) No 600/2014)
Where a previously published trade report is amended, market operators and investment firms operating a trading venue and investment firms trading outside a trading venue shall make the following information public:
a new trade report that contains all the details of the original trade report and the cancellation flag specified in Table 4 of Annex I;
a new trade report that contains all the details of the original trade report with all necessary details corrected and the amendment flag specified in Table 4 of Annex I.
Article 13
Application of post-trade transparency to certain types of transactions executed outside a trading venue
(Article 20(1) of Regulation (EU) No 600/2014)
The obligation in Article 20(1) of Regulation (EU) No 600/2014 shall not apply to the following:
excluded transactions listed under Article 2(5) of Commission Delegated Regulation (EU) 2017/590 ( 7 ) where applicable;
transactions executed by a management company as defined in Article 2(1)(b) of Directive 2009/65/EC or an alternative investment fund manager as defined in Article 4(1)(b) of Directive 2011/61/EU which transfers the beneficial ownership of financial instruments from one collective investment undertaking to another and where no investment firm is a party to the transaction;
give-up transactions and give-in transactions;
transfers of financial instruments as collateral in bilateral transactions or in the context of a CCP margin or collateral requirements or as part of the default management process of a CCP.
Article 14
Real time publication of transactions
(Article 6(1) of Regulation (EU) No 600/2014)
For transactions that take place on a given trading venue, post-trade information shall be made public in the following circumstances:
where the transaction takes place during the daily trading hours of the trading venue, as close to real-time as is technically possible and in any case within one minute of the relevant transaction;
where the transaction takes place outside the daily trading hours of the trading venue, before the opening of the next trading day for that trading venue.
For transactions that take place outside a trading venue, post-trade information shall be made public in the following circumstances:
where the transaction takes place during the daily trading hours of the most relevant market in terms of liquidity determined in accordance with Article 4 for the share, depositary receipt, ETF, certificate or other similar financial instrument concerned, or during the investment firm's daily trading hours, as close to real-time as is technically possible and in any case within one minute of the relevant transaction;
where the transaction takes place in any case not covered by point (a), immediately upon the commencement of the investment firm's daily trading hours and at the latest before the opening of the next trading day of the most relevant market in terms of liquidity determined in accordance with Article 4.
Article 15
Deferred publication of transactions
(Article 7(1) and 20(1) and (2) of Regulation (EU) No 600/2014)
Where a competent authority authorises the deferred publication of the details of transactions pursuant to Article 7(1) of Regulation (EU) No 600/2014, market operators and investment firms operating a trading venue and investment firms trading outside a trading venue shall make public each transaction no later than at the end of the relevant period set out in Tables 4, 5 and 6 of Annex II provided that the following criteria are satisfied:
the transaction is between an investment firm dealing on own account other than through matched principal trading and another counterparty;
the size of the transaction is equal to or exceeds the relevant minimum qualifying size specified in Tables 4, 5 or 6 of Annex II, as appropriate.
For transactions for which deferred publication is permitted until the end of the trading day as specified in Tables 4, 5 and 6 of Annex II, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public the details of those transactions either:
as close to real-time as possible after the end of the trading day which includes the closing auction, where applicable, for transactions executed more than two hours before the end of the trading day;
no later than the opening of the next trading day of the most relevant market in terms of liquidity for transactions not covered in point (a).
For transactions that take place outside a trading venue, references to trading days and closing auctions shall be those of the most relevant market in terms of liquidity as determined in accordance with Article 4.
Article 16
References to trading day and daily trading hours
CHAPTER IV
PROVISIONS COMMON TO PRE-TRADE AND POST-TRADE TRANSPARENCY CALCULATIONS
Article 17
Methodology, date of publication and date of application of the transparency calculations
(Article 22(1) of Regulation (EU) No 600/2014)
At the latest 14 months after the date of the entry into application of Regulation (EU) No 600/2014 and by 1 March of each year thereafter, competent authorities shall, in relation to each financial instrument for which they are the competent authority, collect the data, calculate and ensure publication of the following information:
the trading venue which is the most relevant market in terms of liquidity as set out in Article 4(2);
the average daily turnover for the purpose of identifying the size of orders that are large in scale as set out in Article 7(3);
the average value of transactions for the purpose of determining the standard market size as set out in Article 11(2).
Article 18
Reference to competent authorities
(Article 22(1) of Regulation (EU) No 600/2014)
The competent authority for a specific financial instrument responsible for performing the calculations and ensuring the publication of the information referred to in Articles 4, 7, 11 and 17 shall be the competent authority of the most relevant market in terms of liquidity in Article 26 of Regulation (EU) No 600/2014 and specified in Article 16 of Delegated Regulation (EU) 2017/590.
Article 19
Transitional provisions
By way of derogation from Article 17(1), competent authorities shall collect the data, calculate and ensure publication immediately upon their completion in accordance with the following timeframe:
where the date on which financial instruments are traded for the first time on a trading venue within the Union is a date not less than 10 weeks prior to the date of application of Regulation (EU) No 600/2014, competent authorities shall publish the result of the calculations no later than four weeks prior to the date of application of Regulation (EU) No 600/2014;
where the date on which financial instruments are traded for the first time on a trading venue within the Union is a date falling within the period commencing 10 weeks prior to the date of application of Regulation (EU) No 600/2014 and ending on the day preceding the date of application of Regulation (EU) No 600/2014, competent authorities shall publish the result of the calculations no later than the date of application of Regulation (EU) No 600/2014.
The calculations referred to in paragraph 1 shall be performed as follows:
where the date on which financial instruments are traded for the first time on a trading venue within the Union is a date not less than 16 weeks prior to the date of application of Regulation (EU) No 600/2014, the calculations shall be based on data available for a 40-week reference period commencing 52 weeks prior to the date of application of Regulation (EU) No 600/2014;
where the date on which financial instruments are traded for the first time on a trading venue within the Union is a date within the period commencing 16 weeks prior to the date of application of Regulation (EU) No 600/2014 and ending 10 weeks prior to the date of application of Regulation (EU) No 600/2014, the calculations shall be based on data available for the first four week trading period of that financial instrument;
where the date on which financial instruments are traded for the first time on a trading venue within the Union is a date falling within the period commencing 10 weeks prior to the date of application of Regulation (EU) No 600/2014 and ending on the day preceding the date of application of Regulation (EU) No 600/2014, the calculations shall be based on the previous trading history of those financial instruments or other financial instruments considered to have similar characteristics to those financial instruments.
During the period referred to in paragraph 3, competent authorities shall ensure the following with regard to the financial instruments referred to in points (b) and (c) of paragraph 2:
that the information published in accordance with paragraph 1 remains appropriate for the purposes of points (a) and (c) of Article 4(1) and paragraphs 2 and 4 of Article 14 of Regulation (EU) No 600/2014;
that the information published in accordance with paragraph 1 is updated on the basis of a longer trading period and a more comprehensive trading history, where necessary.
Article 20
Entry into force and application
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 3 January 2018.
However Article 19 shall apply from the date of entry into force of this Regulation.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
ANNEX I
Information to be made public
Table 1
Description of the type of trading systems and the related information to be made public in accordance with Article 3
|
Type of trading system |
Description of the trading system |
Information to be made public |
|
Continuous auction order book trading system |
A system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis. |
The aggregate number of orders and the shares, depositary receipts, ETFs, certificates and other similar financial instruments that they represent at each price level for at least the five best bid and offer price levels. |
|
Quote-driven trading system |
A system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself. |
The best bid and offer by price of each market maker in shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on the trading system, together with the volumes attaching to those prices. The quotes made public shall be those that represent binding commitments to buy and sell the financial instruments and which indicate the price and volume of financial instruments in which the registered market makers are prepared to buy or sell. In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time. |
|
Periodic auction trading system |
A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention. |
The price at which the auction trading system would best satisfy its trading algorithm in respect of shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on the trading system and the volume that would potentially be executable at that price by participants in that system. |
|
Request for quote trading system |
A trading system where a quote or quotes are provided in response to a request for quote submitted by one or more members or participants. The quote is executable exclusively by the requesting member or participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request. |
The quotes and the attached volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable. |
|
Any other trading system |
Any other type of trading system, including a hybrid system falling into two or more of the types of trading systems referred to in this table. |
Adequate information as to the level of orders or quotes and of trading interest in respect of shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on the trading system; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in that instrument, if the characteristics of the price discovery mechanism so permit. |
Table 2
Symbol table for Table 3
|
Symbol |
Data type |
Definition |
|
{ALPHANUM-n} |
Up to n alphanumerical characters |
Free text field. |
|
{CURRENCYCODE_3} |
3 alphanumerical characters |
3-letter currency code, as defined by ISO 4217 currency codes |
|
{DATE_TIME_FORMAT} |
ISO 8601 date and time format |
Date and time in the following format: YYYY-MM-DDThh:mm:ss.ddddddZ. — ‘YYYY’ is the year; — ‘MM’ is the month; — ‘DD’ is the day; — ‘T’ — means that the letter ‘T’ shall be used — ‘hh’ is the hour; — ‘mm’ is the minute; — ‘ss.dddddd’ is the second and its fraction of a second; — Z is UTC time. Dates and times shall be reported in UTC. |
|
{DECIMAL-n/m} |
Decimal number of up to n digits in total of which up to m digits can be fraction digits |
Numerical field for both positive and negative values. — decimal separator is ‘.’ (full stop); — negative numbers are prefixed with ‘–’ (minus); Where applicable, values shall be rounded and not truncated. |
|
{ISIN} |
12 alphanumerical characters |
ISIN code, as defined in ISO 6166 |
|
{MIC} |
4 alphanumerical characters |
Market identifier as defined in ISO 10383 |
Table 3
List of details for the purpose of post-trade transparency
|
Field identifier |
Description and details to be published |
Type of execution or publication venue |
Format to be populated as defined in Table 2 |
|
Trading date and time |
Date and time when the transaction was executed. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Delegated Regulation (EU) 2017/574. For transactions not executed on a trading venue, the date and time when the parties agree the content of the following fields: quantity, price, currencies in fields 31, 34 and 44 as specified in Table 2 of Annex 1 of Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 4 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission. |
Regulated Market (RM), Multilateral Trading Facility (MTF), Organised Trading Facility (OTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP) |
{DATE_TIME_FORMAT} |
|
Instrument identification code |
Code used to identify the financial instrument |
RM, MTF APA CTP |
{ISIN} |
|
Price |
Traded price of the transaction excluding, where applicable, commission and accrued interest. Where price is reported in monetary terms, it shall be provided in the major currency unit. Where price is currently not available but pending, the value should be ‘PNDG’. Where price is not applicable the field shall not be populated. The information reported in this field shall be consistent with the values provided in field Quantity. |
RM, MTF APA CTP |
{DECIMAL-18/13} in case the price is expressed as monetary value {DECIMAL-11/10} in case the price is expressed as percentage or yield ‘PNDG’ in case the price is not available |
|
Price currency |
Currency in which the price is expressed (applicable if the price is expressed as monetary value). |
RM, MTF APA CTP |
{CURRENCYCODE_3} |
|
Quantity |
Number of units of the financial instruments. The nominal or monetary value of the financial instrument. The information reported in this field shall be consistent with the values provided in field Price. |
RM, MTF APA CTP |
{DECIMAL-18/17} in case the quantity is expressed as number of units {DECIMAL-18/5} in case the quantity is expressed as monetary or nominal value |
|
Venue of execution |
Identification of the venue where the transaction was executed. Use the ISO 10383 segment MIC for transactions executed on a trading venue,. Where the segment MIC does not exist, use the operating MIC. Use MIC code ‘XOFF’ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue, systematic internaliser or organised trading platform outside of the Union. Use SINT for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser. |
RM, MTF APA CTP |
trading venues: {MIC} Systematic internalisers: ‘SINT’ |
|
Publication date and time |
Date and time when the transaction was published by a trading venue or APA. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Delegated Regulation (EU) 2017/574. For transactions not executed on a trading venue, the date and time shall be granular to at least the nearest second. |
RM, MTF APA CTP |
{DATE_TIME_FORMAT} |
|
Venue of Publication |
Code used to identify the trading venue or APA publishing the transaction. |
CTP |
trading venue: {MIC} APA: ISO 10383 segment MIC (4 characters) where available. Otherwise, 4-character code as published in the list of data reporting services providers on ESMA's website. |
|
Transaction identification code |
Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580 (1)) and APAs and used in any subsequent reference to the specific trade. The transaction identification code shall be unique, consistent and persistent per ISO 10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day. Where the APA does not use MICs, it should be unique, consistent and persistent per 4-character code used to identify the APA per trading day. The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained |
RM, MTF APA CTP |
{ALPHANUM-52} |
|
(1)
Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (see page 193 of this Official Journal). |
|||
Table 4
List of flags for the purpose of post-trade transparency
|
Flag |
Name |
Type of execution or publication venue |
Description |
|
‘BENC’ |
Benchmark transactions flag |
RM, MTF APA CTP |
Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price. |
|
‘ACTX’ |
Agency cross transactions flag |
APA CTP |
Transactions where an investment firm has brought together clients' orders with the purchase and the sale conducted as one transaction and involving the same volume and price. |
|
‘NPFT’ |
Non-price forming transactions flag |
RM, MTF CTP |
Transactions where the exchange of financial instruments is determined by factors other than the current market valuation of the financial instrument as listed under Article 13. |
|
‘TNCP’ |
Transactions not contributing to the price discovery process for the purposes of Article 23 of Regulation (EU) No 600/2014 flag |
RM, MTF APA CTP |
Transaction not contributing to the price discovery process for the purposes of Article 23 of Regulation (EU) No 600/2014 and as set out in Article 2. |
|
‘SDIV’ |
Special dividend transaction flag |
RM, MTF APA CTP |
Transactions that are either: executed during the ex-dividend period where the dividend or other form of distribution accrues to the buyer instead of the seller; or executed during the cum-dividend period where the dividend or other form of distribution accrues to the seller instead of the buyer. |
|
‘LRGS’ |
Post-trade large in scale transaction flag |
RM, MTF APA CTP |
Transactions that are large in scale compared with normal market size for which deferred publication is permitted under Article 15. |
|
‘RFPT’ |
Reference price transaction flag |
RM, MTF CTP |
Transactions which are executed under systems operating in accordance with Article 4(1)(a) of Regulation (EU) No 600/2014. |
|
‘NLIQ’ |
Negotiated transaction in liquid financial instruments flag |
RM, MTF CTP |
Transactions executed in accordance with Article 4(1)(b)(i) of Regulation (EU) No 600/2014. |
|
‘OILQ’ |
Negotiated transaction in illiquid financial instruments flag |
RM, MTF CTP |
Transactions executed in accordance with Article 4(1)(b)(ii) of Regulation (EU) No 600/2014. |
|
‘PRIC’ |
Negotiated transaction subject to conditions other than the current market price flag |
RM, MTF CTP |
Transactions executed in accordance with Article 4(1)(b)(iii) of Regulation (EU) No 600/2014 and as set out in Article 6. |
|
‘ALGO’ |
Algorithmic transaction flag |
RM, MTF CTP |
Transactions executed as a result of an investment firm engaging in algorithmic trading as defined in Article 4(1)(39) of Directive 2014/65/EU. |
|
‘SIZE’ |
Transaction above the standard market size flag |
APA CTP |
Transactions executed on a systematic internaliser where the size of the incoming order was above the standard market size as determined in accordance with Article 11. |
|
‘ILQD’ |
Illiquid instrument transaction flag |
APA CTP |
Transactions in illiquid instruments as determined in accordance with Articles 1 to 9 of Commission Delegated Regulation (EU) 2017/567 (1) executed on a systematic internaliser. |
|
‘RPRI’ |
Transactions which have received price improvement flag |
APA CTP |
Transactions executed on a systematic internaliser with a price improvement in accordance with Article 15(2) of Regulation (EU) No 600/2014. |
|
‘CANC’ |
Cancellation flag |
RM, MTF APA CTP |
When a previously published transaction is cancelled. |
|
‘AMND’ |
Amendment flag |
RM, MTF APA CTP |
When a previously published transaction is amended. |
|
‘DUPL’ |
Duplicative trade reports flag |
APA |
When a transaction is reported to more than one APA in accordance with Article 17(1) of Delegated Regulation (EU) 2017/571. |
|
(1)
Commission Delegated Regulation (EU) 2017/567 of 18 May 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to definitions, transparency, portfolio compression and supervisory measures on product intervention and positions (see page 90 of this Official Journal). |
|||
ANNEX II
Orders large in scale compared with normal market size, standard market sizes and deferred publications and delays
Table 1
Orders large in scale compared with normal market size for shares and depositary receipts
|
Average daily turnover (ADT) in EUR |
ADT < 50 000 |
50 000 ≤ ADT < 100 000 |
100 000 ≤ ADT < 500 000 |
500 000 ≤ ADT < 1 000 000 |
1 000 000 ≤ ADT < 5 000 000 |
5 000 000 ≤ ADT < 25 000 000 |
25 000 000 ≤ ADT < 50 000 000 |
50 000 000 ≤ ADT < 100 000 000 |
ADT ≥ 100 000 000 |
|
Minimum size of orders qualifying as large in scale compared with normal market size in EUR |
15 000 |
30 000 |
60 000 |
100 000 |
200 000 |
300 000 |
400 000 |
500 000 |
650 000 |
Table 2
Orders large in scale compared with normal market size certificates and other similar financial instruments
|
Average daily turnover (ADT) in EUR |
ADT < 50 000 |
ADT ≥ 50 000 |
|
Minimum size of orders qualifying as large in scale compared with normal market size in EUR |
15 000 |
30 000 |
Table 3
Standard market sizes
|
Average value of transactions (AVT) in EUR |
AVT < 20 000 |
20 000 ≤ AVT < 40 000 |
40 000 ≤ AVT < 60 000 |
60 000 ≤ AVT < 80 000 |
80 000 ≤ AVT < 100 000 |
100 000 ≤ AVT < 120 000 |
120 000 ≤ AVT < 140 000 |
Etc. |
|
Standard market size |
10 000 |
30 000 |
50 000 |
70 000 |
90 000 |
110 000 |
130 000 |
Etc. |
Table 4
Deferred publication thresholds and delays for shares and depositary receipts
|
Average daily turnover (ADT) in EUR |
Minimum qualifying size of transaction for permitted delay in EUR |
Timing of publication after the transaction |
|
> 100 m |
10 000 000 |
60 minutes |
|
20 000 000 |
120 minutes |
|
|
35 000 000 |
End of the trading day |
|
|
50 m-100 m |
7 000 000 |
60 minutes |
|
15 000 000 |
120 minutes |
|
|
25 000 000 |
End of the trading day |
|
|
25 m-50 m |
5 000 000 |
60 minutes |
|
10 000 000 |
120 minutes |
|
|
12 000 000 |
End of the trading day |
|
|
5 m-25 m |
2 500 000 |
60 minutes |
|
4 000 000 |
120 minutes |
|
|
5 000 000 |
End of the trading day |
|
|
1 m-5 m |
450 000 |
60 minutes |
|
750 000 |
120 minutes |
|
|
1 000 000 |
End of the trading day |
|
|
500 000 -1 m |
75 000 |
60 minutes |
|
150 000 |
120 minutes |
|
|
225 000 |
End of the trading day |
|
|
100 000 -500 000 |
30 000 |
60 minutes |
|
80 000 |
120 minutes |
|
|
120 000 |
End of the trading day |
|
|
50 000 -100 000 |
15 000 |
60 minutes |
|
30 000 |
120 minutes |
|
|
50 000 |
End of the trading day |
|
|
< 50 000 |
7 500 |
60 minutes |
|
15 000 |
120 minutes |
|
|
25 000 |
End of the next trading day |
Table 5
Deferred publication thresholds and delays for ETFs
|
Minimum qualifying size of transaction for permitted delay in EUR |
Timing of publication after the transaction |
|
15 000 000 |
60 minutes |
|
50 000 000 |
End of the trading day |
Table 6
Deferred publication thresholds and delays for certificates and other similar financial instruments
|
Average daily turnover (ADT) in EUR |
Minimum qualifying size of transaction for permitted delay in EUR |
Timing of publication after the transaction |
|
ADT < 50 000 |
15 000 |
120 minutes |
|
30 000 |
End of the trading day |
|
|
ADT ≥ 50 000 |
30 000 |
120 minutes |
|
60 000 |
End of the trading day |
ANNEX III
Reference data to be provided for the purpose of transparency calculations
Table 1
Symbol table
|
Symbol |
Data Type |
Definition |
|
{ALPHANUM-n} |
Up to n alphanumerical characters |
Free text field. |
|
{ISIN} |
12 alphanumerical characters |
ISIN code, as defined in ISO 6166 |
|
{MIC} |
4 alphanumerical characters |
Market identifier as defined in ISO 10383 |
Table 2
Details of the reference data to be provided for the purpose of transparency calculations
|
# |
Field |
Details to be reported |
Format and standards for reporting |
|
1 |
Instrument identification code |
Code used to identify the financial instrument |
{ISIN} |
|
2 |
Instrument full name |
Full name of the financial instrument |
{ALPHANUM-350} |
|
3 |
Trading venue |
Segment MIC for the trading venue or systematic internaliser, where available, otherwise operational MIC. |
{MIC} |
|
4 |
MiFIR identifier |
Identification of equity financial instruments Shares as referred to in Article 4(44)(a) of Directive 2014/65/EU; Depositary receipts as defined in Article 4(45) of Directive 2014/65/EU; ETF as defined in Article 4(46) of Directive 2014/65/EU; Certificates as defined in Article 2(1)(27) of Regulation (EU) No 600/2014; Other equity-like financial instrument is a transferable security which is an equity instrument similar to a share, ETF, depositary receipt or certificate but other than a share, ETF, depositary receipt or certificate. |
Equity financial instruments: SHRS = shares ETFS = ETFs DPRS = depositary receipts CRFT = certificates OTHR = other equity-like financial instruments |
ANNEX IV
Data to be provided for the purpose of determining the Most Relevant Market in terms of liquidity, the ADT and the AVT
Table 1
Symbol table
|
Symbol |
Data Type |
Definition |
|
{ALPHANUM-n} |
Up to n alphanumerical characters |
Free text field |
|
{ISIN} |
12 alphanumerical characters |
ISIN code, as defined in ISO 6166 |
|
{MIC} |
4 alphanumerical characters |
Market identifier as defined in ISO 10383 |
|
{DATEFORMAT} |
ISO 8601 date format |
Dates shall be formatted by the following format: YYYY-MM-DD. |
|
{DECIMAL-n/m} |
Decimal number of up to n digits in total of which up to m digits can be fraction digits |
Numerical field for both positive and negative values. decimal separator is ‘.’ (full stop); negative numbers are prefixed with ‘–’ (minus); values are rounded and not truncated. |
|
{INTEGER-n} |
Integer number of up to n digits |
Numerical field for both positive and negative integer values. |
Table 2
Details to be provided for the purpose of determining the Most Relevant Market in terms of liquidity, the ADT and the AVT (based on the current reporting instructions)
|
Field num |
Field identifier |
Description and details to be published |
Type of execution or publication venue |
Format to be populated as defined in Table 1 |
|
1 |
Instrument identification code |
Code used to identify the financial instrument |
Regulated Market (RM) Multilateral Trading Facility (MTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP) |
{ISIN} |
|
2 |
Execution date |
Date on which the trades are executed. |
RM, MTF, APA, CTP |
{DATEFORMAT} |
|
3 |
Execution venue |
Segment MIC for the EU trading venue or systematic internaliser, where available, otherwise operating MIC. MIC XOFF in the case the transaction is executed by investment firms which are not systematic internalisers and is not executed on a trading venue. |
RM, MTF, APA, CTP |
{MIC} – of the trading venue or systematic internaliser or {MIC}- XOFF’ |
|
4 |
Suspended instrument flag |
Indicator of whether the instrument was suspended for the whole trading day on the respective TV on the execution date. As a consequence of an instrument being suspended for the whole trading day, fields 5 to 10 shall be reported with a value of zero. |
RM, MTF, CTP |
TRUE - if the instrument was suspended for the whole trading day or FALSE – if the instrument was not suspended for the whole trading day |
|
5 |
Total number of transactions |
The total number of transactions executed on the execution date (*2). |
RM, MTF, APA, CTP |
{INTEGER-18} |
|
6 |
Total turnover |
The total turnover executed on the execution date, expressed in EUR (*1) (*2). |
RM, MTF, APA, CTP |
{DECIMAL-18/5} |
|
7 |
Transactions executed, excluding all transactions executed under pre-trade waivers of Article 4(1), points (a), (b) and(c), of Regulation (EU) No 600/2014. |
The total number of transactions executed on the execution date excluding all transactions executed under pre-trade waivers of Article 4(1), points (a), (b) and (c), of Regulation (EU) No 600/2014 on the same day (*2). |
RM, MTF, CTP |
{INTEGER-18} |
|
8 |
Total turnover executed, excluding all transactions executed under pre-trade waivers of Article 4(1), points (a), (b) and (c), of Regulation (EU) No 600/2014. |
The total turnover executed on the execution date excluding all transactions executed under pre-trade waivers of Article 4(1), points (a), (b) and (c), of Regulation (EU) No 600/2014 on the same day (*1) (*2). |
RM, MTF, CTP |
{DECIMAL-18/5} |
|
9 |
Total number of transactions excluding those executed under the post-trade LIS deferral. |
Total number of transactions executed on the execution date, excluding those transactions executed under Large-In-Scale waiver (post-trade) (*2). For shares and depositary receipts only the highest threshold for the related average daily turnover (ADT) band in Table 4 of Annex II shall be used to identify those transactions. For certificates and other similar financial instruments only the highest threshold in Table 6 of Annex II shall be used to identify those transactions For ETFs only the highest threshold in Table 5 of Annex II shall be used to identify those transactions. |
RM, MTF, APA, CTP |
{INTEGER-18} |
|
10 |
Total turnover executed, excluding transactions executed under the post-trade LIS deferral. |
Total volume of transactions executed on the execution date, excluding those transactions executed under Large-In-Scale waiver (post-trade) (*1) (*2). For shares and depositary receipts only the highest threshold for the related average daily turnover (ADT) band in Table 4 of Annex II shall be used to identify those transactions. For certificates and other similar financial instruments only the highest threshold in Table 6 of Annex II shall be used to identify those transactions For ETFs only the highest threshold in Table 5 of Annex II shall be used to identify those transactions. |
RM, MTF, APA, CTP |
{DECIMAL-18/5} |
|
(*1)
The turnover shall be calculated as number of instruments exchanged between the buyers and sellers multiplied by the unit price of the instrument exchanged for that specific transaction and shall be expressed in EUR.
(*2)
Transactions that have been cancelled shall be excluded from the reported figures. In all cases, the field has to be populated with any value greater than or equal to zero up to 18 numeric characters including up to 5 decimal places. |
||||
( 1 ) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349).
( 2 ) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).
( 3 ) Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1).
( 4 ) Regulation (EU) No 909/2014 of the European Parliament and of the Council of 23 July 2014 on improving securities settlement in the European Union and on central securities depositories and amending Directives 98/26/EC and 2014/65/EU and Regulation (EU) No 236/2012 (OJ L 257, 28.8.2014, p. 1).
( 5 ) Commission Delegated Regulation (EU) 2017/574 of 7 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the level of accuracy of business clocks (see page 148 of this Official Journal).
( 6 ) Commission Delegated Regulation (EU) 2017/588 of 14 July 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards on the tick size regime for shares, depositary receipts and exchange-traded funds (OJ L 87, 31.3.2017, p. 411).
( 7 ) Commission Delegated Regulation (EU) 2017/590 of 28 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the reporting of transactions to competent authorities (see page 449 of this Official Journal).