Commission Delegated Regulation (EU) 2017/577 of 13 June 2016 supplementing Regulation (EU) No 600/2014

1. This Regulation sets out, the details of the data requests to be sent by competent authorities and the details of the reply to those requests to be sent by trading venues, approved publication arrangements (APAs) and consolidated tape providers (CTPs), for the purposes of calculating and adjusting the pre-trade and post-trade transparency and trading obligation regimes and in particular for the purposes of determining the following factors:(a) whether equity, equity-like and non-equity financial instruments have a liquid market;(b) the thresholds for pre-trade transparency waivers for equity, equity-like and non-equity financial instruments;(c) the thresholds for post-trade transparency deferrals for equity, equity-like and non-equity financial instruments;(d) when the liquidity of a class of financial instruments falls below a specified threshold;▼M1 —————▼M1(f) the standard market size applicable to systematic internalisers dealing in equity and equity-like instruments;(g) for equity and equity-like instruments, the total volume of trading in the Union per financial instrument in the previous 12 months and the percentages of trading in each financial instrument carried out across the Union under the waiver referred to in Article 4(1), point (a), of Regulation (EU) No 600/2014 in the previous 12 months;▼B(h) whether derivatives are sufficiently liquid for the purposes of implementing the trading obligation for derivatives.

1. For the calculations that occur at pre-set dates or in pre-defined frequencies, trading venues, APAs, and CTPs shall provide ESMA and their competent authorities with all the data required to perform the calculations set out in the following Regulations:(a) Delegated Regulation (EU) 2017/587;(b) Delegated Regulation (EU) 2017/583;(c) Delegated Regulation (EU) 2017/567.

2. Requests by ESMA and competent authorities for ad-hoc information for the purposes of Article 22(1) of Regulation (EU) No 600/2014 shall contain the name of the reporting entity and any details necessary for the purpose of the request.

3. Trading venues, APAs, and CTPs shall upon request provide ESMA and their competent authorities with all the data ESMA is to take into consideration pursuant to Delegated Regulation (EU) 2016/2020 for non-equity financial instruments, including data on the following:(a) the average frequency of trades;(b) the average size and distribution of trades;(c) the number and type of market participants;(d) the average size of spreads.

1. Trading venues, APAs and CTPs shall submit the data referred to in Article 2(1) each day.

2. Trading venues, APAs and CTPs shall submit the data in response to an ad hoc request as referred to in Article 2(2) within four weeks of receipt of that request unless exceptional circumstances require a response within a shorter time period as specified in the request.

1. Trading venues, APAs, and CTPs shall submit the data referred to in Article 2(1) in a common XML format.

2. Trading venues, APAs, and CTPs shall submit the data referred to in Article 2, (2) and (3), in the format specified in the request.

1. Trading venues, APAs, and CTPs shall store all data required to perform the calculations referred to in Article 2(1) for five years, regardless of whether that information has been made public.

2. Trading venues, APAs, and CTPs shall store all data which ESMA or competent authorities may request in accordance with Article 2, (2) and (3), for five years, regardless of whether that information has been made public.

2. Trading venues, APAs, and CTPs shall, without undue delay and no later than three working days following the receipt of the data concerned, submit to ESMA the data for the determination of whether derivatives are sufficiently liquid as referred to in Article 1(1), point (h).

1. ESMA shall publish the measurements of the total volume of trading for each financial instrument in the previous 12 months and of the percentages of trading under the reference price waiver across the Union in the previous 12 months, in accordance with Article 5(4) of Regulation (EU) No 600/2014, by no later than 22:00 CET on the seventh working day after the end of March, June, September and December of each calendar year.

2. The information referred to in paragraph 1 shall be published free of charge and in a machine-readable and human-readable format as defined in Article 2, point (4), of Regulation (EU) 2023/2859 of the European Parliament and of the Council (1) and as specified in Article 13(5) of Delegated Regulation (EU) 2017/567.

3. Where a financial instrument is traded in more than one currency across the Union, ESMA shall convert all volumes into euros using average exchange rates calculated on the basis of the daily euro foreign exchange reference rates published by the European Central Bank on its website in the previous 12 months. ESMA shall use those converted volumes for the calculation and publication of the total volume of trading and of the percentages of trading under the reference price waiver across the Union as referred to in paragraph 1.

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.