What changed, Commission Delegated Regulation (EU) 2017/587 of 14 July 2016 supplementing Regulation (EU) No 600/2014

+ ## CHAPTER I / **GENERAL**
− ### art_1
+ ### Article 1 — Definitions
− Article 1
+ 
+ (1) ‘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;
+ (2) ‘give-up transaction’ or ‘give-in transaction’ means a transaction where an investment firm passes a client trade to, or receives a client trade from, another investment firm for the purpose of post-trade processing;
− | (1) | ‘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; |
− | --- | --- |
+ (3) ‘securities financing transaction’ means a securities financing transaction as defined in Article 3(6) of Delegated Regulation (EU) 2017/577;
− | (2) | ‘give-up transaction’ or ‘give-in transaction’ means a transaction where an investment firm passes a client trade to, or receives a client trade from, another investment firm for the purpose of post-trade processing; |
− | --- | --- |
+ (4) ‘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).
− | (3) | ‘securities financing transaction’ means a securities financing transaction as defined in Article 3(6) of Delegated Regulation (EU) 2017/577; |
− | --- | --- |
+ ### Article 2
− | (4) | ‘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 (5). |
− | --- | --- |
+ Transactions not contributing to the price discovery process
− ### art_2
+ (Article 23(1) of Regulation (EU) No 600/2014)
− Article 2
+ (a) 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;
+ 
+ (b) the transaction is part of a portfolio trade which includes five or more different shares;
− | (a) | 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; |
− | --- | --- |
+ (c) 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;
− | (b) | the transaction is part of a portfolio trade; |
− | --- | --- |
+ (d) 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 Counc…
− | (c) | 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; |
− | --- | --- |
+ (e) the transaction is a give-up transaction or a give-in transaction;
− | (d) | 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 (6), 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 C…
− | --- | --- |
+ (f) 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;
− | (e) | the transaction is a give-up transaction or a give-in transaction; |
− | --- | --- |
+ (g) the transaction results in the delivery of shares in the context of the exercise of convertible bonds, options, covered warrants or other similar derivatives;
− | (f) | 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; |
− | --- | --- |
+ (i) 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).
− | (g) | the transaction results in the delivery of shares in the context of the exercise of convertible bonds, options, covered warrants or other similar derivatives; |
− | --- | --- |
+ ## *Section 1* / ***Pre-trade transparency for trading venues***
− | (h) | the transaction is a securities financing transaction; |
− | --- | --- |
+ ### Article 3
− | (i) | 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 (8). |
− | --- | --- |
+ Pre-trade transparency obligations
− ### art_3
+ (Article 3(1) and (2) of Regulation (EU) No 600/2014)
− Article 3
+ 
+ 2. The transparency requirements referred to in paragraph 1 shall also apply to any ‘actionable indication of interest’ as defined in Article 2(1)(33) of Regulation (EU) No 600/2014 and pursuant to Article 3 of that Regulation.
+ ### Article 4
− 2. The transparency requirements referred to in paragraph 1 shall also apply to any ‘actionable indication of interest’ as defined in Article 2(1)(33) and pursuant to Article 8 of Regulation (EU) No 600/2014.
+ Most relevant market in terms of liquidity
− ### art_4
+ (Article 4(1)(a) of Regulation (EU) No 600/2014)
− Article 4
+ (a) 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-sc…
− | (a) | 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-i…
− | --- | --- |
+ (b) 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.
− | (b) | 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
− ### art_5
+ (Article 4(1)(b) of Regulation (EU) No 600/2014)
− Article 5
+ 
+ (a) two members or participants of that trading venue are involved in any of the following capacities:
+ (i) one is dealing on own account when the other is acting on behalf of a client;
+ 
+ (ii) both are dealing on own account;
+ 
+ (iii) both are acting on behalf of a client;
+ 
+ (b) one member or participant of that trading venue is either of the following:
+ 
+ (i) acting on behalf of both the buyer and seller;
+ 
+ (ii) dealing on own account against a client order.
− | (a) | two members or participants of that trading venue are involved in any of the following capacities:(i)one is dealing on own account when the other is acting on behalf of a client;(ii)both are dealing on own account;(iii)both are acting on behalf of a client; |
− | --- | --- |
− | (i) | one is dealing on own account when the other is acting on behalf of a client; |
− | (ii) | both are dealing on own account; |
− | (iii) | both are acting on behalf of a client; |
+ ### Article 6
− | (b) | one member or participant of that trading venue is either of the following:(i)acting on behalf of both the buyer and seller;(ii)dealing on own account against a client order. |
− | --- | --- |
− | (i) | acting on behalf of both the buyer and seller; |
− | (ii) | dealing on own account against a client order. |
+ Negotiated transactions subject to conditions other than the current market price
− ### art_6
+ (Article 4(1)(b) of Regulation (EU) No 600/2014)
− Article 6
+ (a) 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;
− | (a) | 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; |
− | --- | --- |
+ (b) the transaction is part of a portfolio trade;
− | (b) | the transaction is part of a portfolio trade; |
− | --- | --- |
+ (c) 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;
− | (c) | 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; |
− | --- | --- |
+ (d) 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 investme…
− | (d) | 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 inve…
− | --- | --- |
+ (e) the transaction is a give-up transaction or a give-in transaction;
− | (e) | the transaction is a give-up transaction or a give-in transaction; |
− | --- | --- |
+ (f) 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;
− | (f) | 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; |
− | --- | --- |
+ (g) 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;
− | (g) | 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; |
− | --- | --- |
+ (i) 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;
− | (h) | the transaction is a securities financing transaction; |
− | --- | --- |
+ (j) 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.
− | (i) | 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; |
− | --- | --- |
+ ### Article 7
− | (j) | 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. |
− | --- | --- |
+ Orders that are large in scale
− ### art_7
+ (Article 4(1)(c) of Regulation (EU) No 600/2014)
− Article 7
+ 2. An order in respect of an ETF shall be considered to be large in scale where the order is equal to or larger than EUR 1 000 000 .
− 2. An order in respect of an ETF shall be considered to be large in scale where the order is equal to or larger than EUR 1 000 000.
+ (a) it shall include transactions executed in the Union in respect of the financial instrument, whether traded on or outside a trading venue;
− | (a) | it shall include transactions executed in the Union in respect of the financial instrument, whether traded on or outside a trading venue; |
− | --- | --- |
+ (b) 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 sus…
− | (b) | 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…
− | --- | --- |
+ ### Article 8
− ### art_8
+ Type and minimum size of orders held in an order management facility
+ 
+ (Article 4(1)(d) of Regulation (EU) No 600/2014)
− Article 8
+ (a) 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;
− | (a) | 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; |
− | --- | --- |
+ (b) cannot interact with other trading interests prior to disclosure to the order book operated by the trading venue;
− | (b) | cannot interact with other trading interests prior to disclosure to the order book operated by the trading venue; |
− | --- | --- |
+ (c) 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.
− | (c) | 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. |
− | --- | --- |
+ (a) in the case of a reserve order, a size that is greater than or equal to EUR 10 000 ;
− | (a) | in the case of a reserve order, a size that is greater than or equal to EUR 10 000; |
− | --- | --- |
+ (b) 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.
− | (b) | 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
− ### art_9
+ (Article 14(1) of Regulation (EU) No 600/2014)
− Article 9
+ 
+ (a) 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;
+ 
+ (b) the arrangement complies with technical arrangements equivalent to those specified for approved publication arrangements (APAs) in Article 15 of Delegated Regulation (EU) 2017/571 that facilitate the consolidation of the data with similar data from other sources;
+ 
+ (c) the arrangement makes the information available to the public on a non-discriminatory basis;
+ (d) 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).
− | (a) | 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; |
− | --- | --- |
+ ### Article 10
− | (b) | the arrangement complies with technical arrangements equivalent to those specified for approved publication arrangements (APAs) in Article 15 of Delegated Regulation (EU) 2017/571 that facilitate the consolidation of the data with similar data from other sources; |
− | --- | --- |
+ Prices reflecting prevailing market conditions
− | (c) | the arrangement makes the information available to the public on a non-discriminatory basis; |
− | --- | --- |
+ (Article 14(3) of Regulation (EU) No 600/2014)
− | (d) | 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 (9). |
− | --- | --- |
+ 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 acco…
− ### art_10
+ 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 correspond…
− Article 10
+ ### Article 11
− The prices published by a systematic internaliser shall 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 A…
+ Standard market size
− ### art_11
+ (Article 14(2) and (4) of Regulation (EU) No 600/2014)
− Article 11
+ (a) 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;
− | (a) | 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; |
− | --- | --- |
+ (b) 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;
− | (b) | 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; |
− | --- | --- |
+ (c) it shall exclude post-trade large-in-scale transactions as set out in Table 4 of Annex I.
− | (c) | it shall exclude post-trade large-in-scale transactions as set out in Table 4 of Annex I. |
− | --- | --- |
+ 4. Before a share, depositary receipt, ETF, certificate or other similar financial instrument is traded for the first time on a trading venue in the Union, the competent authority shall estimate the average value of transactions for that financial instrument taking into account any previous trading …
− 4. Before a share, depositary receipt, ETF, certificate or other similar financial instrument is traded for the first time on a trading venue in the Union, the competent authority shall estimate the average daily turnover for that financial instrument taking into account any previous trading history…
+ 5. The estimated average value of transactions laid down in paragraph 4 shall be used to determine the standard market size for a share, depositary receipt, ETF, certificate or other similar financial instrument during a six-week period following the date that the share, depositary receipt, ETF, cer…
− 5. The estimated average value of transactions laid down in paragraph 4 shall be used as the standard market size for a share, depositary receipt, ETF, certificate or other similar financial instrument during a six-week period following the date that the share, depositary receipt, ETF, certificate o…
+ ## CHAPTER III / **POST-TRADE TRANSPARENCY FOR TRADING VENUES AND INVESTMENT FIRMS TRADING OUTSIDE A TRADING VENUE**
+ 
+ ### Article 12
− ### art_12
+ Post-trade transparency obligations
+ 
+ (Article 6(1) and Article 20(1) and (2) of Regulation (EU) No 600/2014)
− Article 12
+ (a) 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) | 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; |
− | --- | --- |
+ (b) 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.
− | (b) | 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
− ### art_13
+ (Article 20(1) of Regulation (EU) No 600/2014)
− Article 13
+ 
+ (a) excluded transactions listed under Article 2(5) of Commission Delegated Regulation (EU) 2017/590 (7) where applicable;
+ (b) 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 und…
− | (a) | excluded transactions listed under Article 2(5) of Commission Delegated Regulation (EU) 2017/590 (10) where applicable; |
− | --- | --- |
+ (c) give-up transactions and give-in transactions;
− | (b) | 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…
− | --- | --- |
+ (d) 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.
− | (c) | give-up transactions and give-in transactions; |
− | --- | --- |
+ ### Article 14
− | (d) | 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. |
− | --- | --- |
+ Real time publication of transactions
− ### art_14
+ (Article 6(1) of Regulation (EU) No 600/2014)
− Article 14
+ (a) 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;
− | (a) | 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; |
− | --- | --- |
+ (b) 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.
− | (b) | 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. |
− | --- | --- |
+ (a) 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 tr…
− | (a) | 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 dail…
− | --- | --- |
+ (b) 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 Arti…
− | (b) | 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 15
+ 
+ Deferred publication of transactions
− ### art_15
+ (Article 7(1) and 20(1) and (2) of Regulation (EU) No 600/2014)
− Article 15
+ (a) the transaction is between an investment firm dealing on own account other than through matched principal trading and another counterparty;
− | (a) | the transaction is between an investment firm dealing on own account other than through matched principal trading and another counterparty; |
− | --- | --- |
+ (b) 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.
− | (b) | 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. |
− | --- | --- |
+ (a) 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;
− | (a) | 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; |
− | --- | --- |
+ (b) no later than noon local time on the next trading day for transactions not covered in point (a).
− | (b) | no later than noon local time on the next trading day for transactions not covered in point (a). |
− | --- | --- |
+ ### Article 16 — References to trading day and daily trading hours
− ### art_16
− 
− Article 16
+ ## 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
− ### art_17
+ (Article 22(1) of Regulation (EU) No 600/2014)
− Article 17
+ (a) the trading venue which is the most relevant market in terms of liquidity as set out in Article 4(2);
− | (a) | the trading venue which is the most relevant market in terms of liquidity as set out in Article 4(2); |
− | --- | --- |
+ (b) 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);
− | (b) | 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); |
− | --- | --- |
+ (c) the average value of transactions for the purpose of determining the standard market size as set out in Article 11(2).
− | (c) | the average value of transactions for the purpose of determining the standard market size as set out in Article 11(2). |
− | --- | --- |
+ 2. Competent authorities, market operators and investment firms including investment firms operating a trading venue shall use the information published in accordance with paragraph 1 from 1 April of the year in which the information is published.
− 2. Competent authorities, market operators and investment firms including investment firms operating a trading venue shall use the information published in accordance with paragraph 1 for the purposes of points (a) and (c) of Article 4(1) and paragraphs 2 and 4 of Article 14 of Regulation (EU) No 60…
− 
− Where the information referred to in the first subparagraph is replaced by new information pursuant to paragraph 3 during the 12-month period referred to therein, competent authorities, market operators and investment firms including investment firms operating a trading venue shall use that new info…
+ 
+ ### Article 18
+ Reference to competent authorities
− ### art_18
+ (Article 22(1) of Regulation (EU) No 600/2014)
− Article 18
+ ### Article 19 — Transitional provisions
− ### art_19
− Article 19
− 
+ (a) 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 …
− | (a) | 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 f…
− | --- | --- |
+ (b) 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 Regul…
− | (b) | 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 R…
− | --- | --- |
+ (a) 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 comme…
− | (a) | 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 c…
− | --- | --- |
+ (b) 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) …
− | (b) | 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 (…
− | --- | --- |
+ (c) 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 Regul…
− | (c) | 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 R…
− | --- | --- |
+ 
+ (a) 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;
+ 
+ (b) 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, de…
+ | 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 a…
+ | 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, c…
+ | 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 conclu…
+ | 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, E…
+ 
+ *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 i…
+ | {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…
+ | {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, t…
+ | Instrument identification code | Code used to identify the financial instrument | RM, MTFAPACTP | {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 applicab…
+ | Price currency | Currency in which the price is expressed (applicable if the price is expressed as monetary value). | RM, MTFAPACTP | {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, MTFAPACTP | {DECIMAL-18/17} in case the quantity is expressed as number of uni…
+ | 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 o…
+ | 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…
+ | 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 per…
+ | (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 t…
+ 
+ *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, MTFAPACTP | 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 | APACTP | 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, MTFCTP | 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, MTFAPACTP | 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 Art…
+ | ‘SDIV’ | Special dividend transaction flag | RM, MTFAPACTP | 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; orexecuted during the cum-dividend period where the dividend or other form o…
+ | ‘LRGS’ | Post-trade large in scale transaction flag | RM, MTFAPACTP | 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, MTFCTP | 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, MTFCTP | 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, MTFCTP | 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, MTFCTP | 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, MTFCTP | 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 | APACTP | 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 | APACTP | 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 | APACTP | 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, MTFAPACTP | When a previously published transaction is cancelled. |
+ | ‘AMND’ | Amendment flag | RM, MTFAPACTP | 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 thi…
+ 
+ ### 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 |
− | (a) | 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; |
+ | 10 000 000 | 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
… diff truncated at 500 changed lines …