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

+ ## CHAPTER I — GENERAL
− ## CHAPTER I / **GENERAL**
− (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;
− 
− (3) ‘securities financing transaction’ means a securities financing transaction as defined in Article 3(6) of Delegated Regulation (EU) 2017/577;
− 
− 
− Transactions not contributing to the price discovery process
− (Article 23(1) of Regulation (EU) No 600/2014)
− 
+ ## CHAPTER II — PRE-TRADE TRANSPARENCY / Section 1 — Pre-trade transparency for trading venues
− ## *Section 1* / ***Pre-trade transparency for trading venues***
+ **1.** Market operators and investment firms operating a trading venue shall make public the range of bid and offer prices and the depth of trading interest at those prices. The information is to be made public in accordance with the type of trading systems they operate as set out in Table 1 of Anne…
− Pre-trade transparency obligations
− 
− (Article 3(1) and (2) of Regulation (EU) No 600/2014)
+ **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.
− 1. Market operators and investment firms operating a trading venue shall make public the range of bid and offer prices and the depth of trading interest at those prices. The information is to be made public in accordance with the type of trading systems they operate as set out in Table 1 of Annex I.
− 
− 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.
+ **1.** For the purposes of Article 4(1)(a) of Regulation (EU) No 600/2014, the most relevant market in terms of liquidity for a share, depositary receipt, ETF, certificate or other similar financial instrument shall be considered to be the trading venue with the highest turnover within the Union for…
− Most relevant market in terms of liquidity
+ **2.** For the purpose of determining the most relevant markets in terms of liquidity in accordance with paragraph 1, competent authorities shall calculate the turnover in accordance with the methodology set out in Article 17(4) in respect of each financial instrument for which they are the competen…
− (Article 4(1)(a) of Regulation (EU) No 600/2014)
+ **3.** The calculation referred to in paragraph 2 shall have the following characteristics:(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 tran…
− 1. For the purposes of Article 4(1)(a) of Regulation (EU) No 600/2014, the most relevant market in terms of liquidity for a share, depositary receipt, ETF, certificate or other similar financial instrument shall be considered to be the trading venue with the highest turnover within the Union for tha…
+ **4.** Until the most relevant market in terms of liquidity for a specific financial instrument is determined in accordance with the procedure specified in paragraphs 1 to 3, the most relevant market in terms of liquidity shall be the trading venue where that financial instrument is first admitted t…
− 2. For the purpose of determining the most relevant markets in terms of liquidity in accordance with paragraph 1, competent authorities shall calculate the turnover in accordance with the methodology set out in Article 17(4) in respect of each financial instrument for which they are the competent au…
+ **5.** Paragraphs 2 and 3 shall not apply to shares, depositary receipts, ETFs, certificates and other similar financial instruments which were first admitted to trading or first traded on a trading venue four weeks or less before the end of the preceding calendar year.
− 3. The calculation referred to in paragraph 2 shall have the following characteristics:
− 
− (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…
− 
− (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.
− 
− 4. Until the most relevant market in terms of liquidity for a specific financial instrument is determined in accordance with the procedure specified in paragraphs 1 to 3, the most relevant market in terms of liquidity shall be the trading venue where that financial instrument is first admitted to tr…
− 
− 5. Paragraphs 2 and 3 shall not apply to shares, depositary receipts, ETFs, certificates and other similar financial instruments which were first admitted to trading or first traded on a trading venue four weeks or less before the end of the preceding calendar year.
− 
− Specific characteristics of negotiated transactions
− 
− (Article 4(1)(b) of Regulation (EU) No 600/2014)
+ (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;
− (a) two members or participants of that trading venue are involved in any of the following capacities:
+ (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) 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.
− 
− Negotiated transactions subject to conditions other than the current market price
− 
− (Article 4(1)(b) of Regulation (EU) No 600/2014)
− 
+ **1.** An order in respect of a share, depositary receipt, certificate or other similar financial instrument shall be considered to be large in scale where the order is equal to or larger than the minimum size of orders set out in Tables 1 and 2 of Annex II.
− Orders that are large in scale
+ **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 3 000 000 .
− (Article 4(1)(c) of Regulation (EU) No 600/2014)
+ **3.** For the purpose of determining orders that are large in scale, competent authorities shall calculate, in accordance with paragraph 4, the average daily turnover in respect of shares, depositary receipts, certificates and other similar financial instruments traded on a trading venue.
− 1. An order in respect of a share, depositary receipt, certificate or other similar financial instrument shall be considered to be large in scale where the order is equal to or larger than the minimum size of orders set out in Tables 1 and 2 of Annex II.
+ **4.** The calculation referred to in paragraph 3 shall have the following characteristics:(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 precedin…
− 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 .
− 
− 3. For the purpose of determining orders that are large in scale, competent authorities shall calculate, in accordance with paragraph 4, the average daily turnover in respect of shares, depositary receipts, certificates and other similar financial instruments traded on a trading venue.
− 
− 4. The calculation referred to in paragraph 3 shall have the following characteristics:
− 
− (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…
+ **5.** Unless the price or other relevant conditions for the execution of an order are amended, the waiver referred to in Article 4(1) of Regulation (EU) No 600/2014 shall continue to apply in respect of an order that is large in scale when entered into an order book but that, following partial exec…
− 5. Unless the price or other relevant conditions for the execution of an order are amended, the waiver referred to in Article 4(1) of Regulation (EU) No 600/2014 shall continue to apply in respect of an order that is large in scale when entered into an order book but that, following partial executio…
+ **6.** Before a share, depositary receipt, 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 …
− 6. Before a share, depositary receipt, 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 of t…
+ **7.** The estimated average daily turnover referred to in paragraph 6 shall be used for the calculation of orders that are large in scale during a six-week period following the date that the share, depositary receipt, certificate or other similar financial instrument was admitted to trading or firs…
− 7. The estimated average daily turnover referred to in paragraph 6 shall be used for the calculation of orders that are large in scale during a six-week period following the date that the share, depositary receipt, certificate or other similar financial instrument was admitted to trading or first tr…
+ **8.** The competent authority shall calculate and ensure publication of the average daily turnover based on the first four weeks of trading before the end of the six-week period referred to in paragraph 7.
− 8. The competent authority shall calculate and ensure publication of the average daily turnover based on the first four weeks of trading before the end of the six-week period referred to in paragraph 7.
+ **9.** The average daily turnover referred to in paragraph 8 shall be used for the calculation of orders that are large in scale and until an average daily turnover calculated in accordance with paragraph 3 applies.
− 9. The average daily turnover referred to in paragraph 8 shall be used for the calculation of orders that are large in scale and until an average daily turnover calculated in accordance with paragraph 3 applies.
+ **10.** For the purposes of this Article, the average daily turnover shall be calculated by dividing the total turnover for a particular financial instrument as specified in Article 17(4) by the number of trading days in the period considered. The number of trading days in the period considered is t…
− 10. For the purposes of this Article, the average daily turnover shall be calculated by dividing the total turnover for a particular financial instrument as specified in Article 17(4) by the number of trading days in the period considered. The number of trading days in the period considered is the n…
+ **1.** 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:(a) is intended to be disclosed to the order book operated by the trading venue and is contingent on objective conditions t…
− Type and minimum size of orders held in an order management facility
+ **2.** 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:(a) in the case of a reserve order, a size that is greater tha…
− (Article 4(1)(d) of Regulation (EU) No 600/2014)
+ **3.** A reserve order as referred to in paragraph 2(a) shall be considered a limit order consisting of a disclosed order relating to a portion of a quantity and a non-disclosed order relating to the remainder of the quantity where the non-disclosed quantity is capable of execution only after its re…
− 1. 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:
− 
− (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;
+ ## CHAPTER II — PRE-TRADE TRANSPARENCY / Section 2 — Pre-trade transparency for systematic internalisers and investment firms trading outside a 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.
− 
− 2. 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:
− (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.
− 
− 3. A reserve order as referred to in paragraph 2(a) shall be considered a limit order consisting of a disclosed order relating to a portion of a quantity and a non-disclosed order relating to the remainder of the quantity where the non-disclosed quantity is capable of execution only after its releas…
− 
− ## *Section 2* / ***Pre-trade transparency for systematic internalisers and investment firms trading outside a trading venue***
− 
− 
− Arrangements for the publication of a firm quote
− 
− (Article 14(1) of Regulation (EU) No 600/2014)
+ (b) 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;
− (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
− 
− (Article 14(3) of Regulation (EU) No 600/2014)
− 
+ **1.** The standard market size for shares, depositary receipts, ETFs, certificates and other similar financial instruments for which there is a liquid market shall be determined on the basis of the average value of transactions for each financial instrument calculated in accordance with paragraphs …
− Standard market size
+ **2.** For the purpose of determining the standard market size which is applicable to a specific financial instrument as set out in paragraph 1, competent authorities shall calculate the average value of transactions in respect of all the shares, depositary receipts, ETFs, certificates and other sim…
− (Article 14(2) and (4) of Regulation (EU) No 600/2014)
+ **3.** The calculation referred to in paragraph 2 shall have the following characteristics:(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 cal…
− 1. The standard market size for shares, depositary receipts, ETFs, certificates and other similar financial instruments for which there is a liquid market shall be determined on the basis of the average value of transactions for each financial instrument calculated in accordance with paragraphs 2 an…
− 
− 2. For the purpose of determining the standard market size which is applicable to a specific financial instrument as set out in paragraph 1, competent authorities shall calculate the average value of transactions in respect of all the shares, depositary receipts, ETFs, certificates and other similar…
− 
− 3. The calculation referred to in paragraph 2 shall have the following characteristics:
− 
− (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;
− 
− (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 trad…
− 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 …
+ **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,…
− 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…
+ **6.** The competent authority shall calculate and ensure publication of the average value of transactions based on the first four weeks of trading before the end of the six-week period referred to in paragraph 5.
− 6. The competent authority shall calculate and ensure publication of the average value of transactions based on the first four weeks of trading before the end of the six-week period referred to in paragraph 5.
+ **7.** The average value of transactions in paragraph 6 shall apply immediately after its publication and until a new average value of transactions calculated in accordance with paragraphs 2 and 3 applies.
− 7. The average value of transactions in paragraph 6 shall apply immediately after its publication and until a new average value of transactions calculated in accordance with paragraphs 2 and 3 applies.
+ **8.** For the purposes of this Article, the average value of transactions shall be calculated by dividing the total turnover for a particular financial instrument as set out in Article 17(4) by the total number of transactions executed for that financial instrument in the period considered.
− 8. For the purposes of this Article, the average value of transactions shall be calculated by dividing the total turnover for a particular financial instrument as set out in Article 17(4) by the total number of transactions executed for that financial instrument in the period considered.
+ ## CHAPTER III — POST-TRADE TRANSPARENCY FOR TRADING VENUES AND INVESTMENT FIRMS TRADING OUTSIDE A TRADING VENUE
− ## CHAPTER III / **POST-TRADE TRANSPARENCY FOR TRADING VENUES AND INVESTMENT FIRMS TRADING OUTSIDE A TRADING VENUE**
+ **1.** Market operators and investment firms operating a trading venue and investment firms trading outside the rules of a trading venue shall make public the details of each transaction by applying reference Tables 2, 3 and 4 of Annex I.
− Post-trade transparency obligations
+ **2.** Where a previously published trade report is cancelled, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public a new trade report which contains all the details of the original trade report and the cancellation fl…
− (Article 6(1) and Article 20(1) and (2) of Regulation (EU) No 600/2014)
+ **3.** 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) a new trade report that contains all the details of the original trade rep…
− 1. Market operators and investment firms operating a trading venue and investment firms trading outside the rules of a trading venue shall make public the details of each transaction by applying reference Tables 2, 3 and 4 of Annex I.
+ **4.** Where a transaction between two investment firms is concluded outside the rules of a trading venue, either on own account or on behalf of clients, only the investment firm that sells the financial instrument concerned shall make the transaction public through an APA.
− 2. Where a previously published trade report is cancelled, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public a new trade report which contains all the details of the original trade report and the cancellation flag s…
+ **5.** By way of derogation from paragraph 4, where only one of the investment firms party to the transaction is a systematic internaliser in the given financial instrument and it is acting as the buying firm, only that firm shall make the transaction public through an APA, informing the seller of t…
− 3. 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:
+ **6.** Investment firms shall take all reasonable steps to ensure that the transaction is made public as a single transaction. For that purpose, two matching trades entered at the same time and for the same price with a single party interposed shall be considered to be a single transaction.
− (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.
− 
− 4. Where a transaction between two investment firms is concluded outside the rules of a trading venue, either on own account or on behalf of clients, only the investment firm that sells the financial instrument concerned shall make the transaction public through an APA.
− 
− 5. By way of derogation from paragraph 4, where only one of the investment firms party to the transaction is a systematic internaliser in the given financial instrument and it is acting as the buying firm, only that firm shall make the transaction public through an APA, informing the seller of the a…
− 
− 6. Investment firms shall take all reasonable steps to ensure that the transaction is made public as a single transaction. For that purpose, two matching trades entered at the same time and for the same price with a single party interposed shall be considered to be a single transaction.
− 
− 
− Application of post-trade transparency to certain types of transactions executed outside a trading venue
− 
− (Article 20(1) of Regulation (EU) No 600/2014)
+ **1.** For transactions that take place on a given trading venue, post-trade information shall be made public in the following circumstances:(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 wit…
− Real time publication of transactions
+ **2.** For transactions that take place outside a trading venue, post-trade information shall be made public in the following circumstances:(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 f…
− (Article 6(1) of Regulation (EU) No 600/2014)
+ **3.** Information relating to a portfolio trade shall be made public with respect to each constituent transaction as close to real-time as is technically possible, having regard to the need to allocate prices to particular shares, depositary receipts, ETFs, certificates and other similar financial …
− 1. For transactions that take place on a given trading venue, post-trade information shall be made public in the following circumstances:
− 
− (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.
− 
− 2. For transactions that take place outside a trading venue, post-trade information shall be made public in the following circumstances:
− 
− (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…
− 
− (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…
− 
− 3. Information relating to a portfolio trade shall be made public with respect to each constituent transaction as close to real-time as is technically possible, having regard to the need to allocate prices to particular shares, depositary receipts, ETFs, certificates and other similar financial inst…
+ **1.** 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 t…
− Deferred publication of transactions
+ **2.** The relevant minimum qualifying size for the purposes of point (b) in paragraph 1 shall be determined in accordance with the average daily turnover calculated as set out in Article 7.
− (Article 7(1) and 20(1) and (2) of Regulation (EU) No 600/2014)
+ **3.** 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 th…
− 1. 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 trans…
− 
− (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.
− 
− 2. The relevant minimum qualifying size for the purposes of point (b) in paragraph 1 shall be determined in accordance with the average daily turnover calculated as set out in Article 7.
− 3. 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 …
− 
− (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).
− 
+ **4.** Where a transaction between two investment firms is executed outside the rules of a trading venue, the competent authority for the purpose of determining the applicable deferral regime shall be the competent authority of the investment firm responsible for making the trade public through an A…
− 4. Where a transaction between two investment firms is executed outside the rules of a trading venue, the competent authority for the purpose of determining the applicable deferral regime shall be the competent authority of the investment firm responsible for making the trade public through an APA i…
+ **1.** A reference to a trading day in relation to a trading venue shall be a reference to any day during which that trading venue is open for trading.
− 1. A reference to a trading day in relation to a trading venue shall be a reference to any day during which that trading venue is open for trading.
+ **2.** A reference to daily trading hours of a trading venue or an investment firm shall be a reference to the hours which the trading venue or investment firm establishes in advance and makes public as its trading hours.
− 2. A reference to daily trading hours of a trading venue or an investment firm shall be a reference to the hours which the trading venue or investment firm establishes in advance and makes public as its trading hours.
+ **3.** A reference to the opening of the trading day at a given trading venue shall be a reference to the commencement of the daily trading hours of that trading venue.
− 3. A reference to the opening of the trading day at a given trading venue shall be a reference to the commencement of the daily trading hours of that trading venue.
+ **4.** A reference to the end of the trading day at a given trading venue shall be a reference to the end of the daily trading hours of that trading venue.
− 4. A reference to the end of the trading day at a given trading venue shall be a reference to the end of the daily trading hours of that trading venue.
+ ## CHAPTER IV — PROVISIONS COMMON TO PRE-TRADE AND POST-TRADE TRANSPARENCY CALCULATIONS
− ## CHAPTER IV / **PROVISIONS COMMON TO PRE-TRADE AND POST-TRADE TRANSPARENCY CALCULATIONS**
+ **1.** 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 …
− Methodology, date of publication and date of application of the transparency calculations
+ **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 of this Article for the purposes of Article 4(1), points (a) and (c) and Article 14(2) and (4) of Regulation (EU…
− (Article 22(1) of Regulation (EU) No 600/2014)
+ **3.** Competent authorities shall ensure that the information to be made public pursuant to paragraph 1 is updated on a regular basis for the purposes of Regulation (EU) No 600/2014 and that all changes to a specific share, depositary receipt, ETF, certificate or other similar financial instrument …
− 1. 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 publ…
+ **4.** For the purposes of the calculations referred to in paragraph 1, the turnover in relation to a financial instrument shall be calculated by summing the results of multiplying, for each transaction executed during a defined period of time, the number of units of that instrument exchanged betwee…
− (a) the trading venue which is the most relevant market in terms of liquidity as set out in Article 4(2);
+ **5.** After the end of the trading day, but before the end of the day, trading venues shall submit to competent authorities the details set out in Tables 1 and 2 of Annex III whenever the financial instrument is admitted to trading or first traded on that trading venue or whenever those previously …
− (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);
+ **6.** Where ESMA or competent authorities require information in accordance with Article 22 of Regulation (EU) No 600/2014 trading venues, APAs and CTPs shall provide such information in accordance with Annex IV to this Regulation.
− (c) the average value of transactions for the purpose of determining the standard market size as set out in Article 11(2).
+ **7.** Where the trade size determined for the purposes of Article 7(1) and (2), Article 8 (2), point (a), Article 11(1) and Article 15(1) is expressed in monetary value and the financial instrument is not denominated in Euros, the trade size shall be converted to the currency in which the financial…
− 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.
− 
− 3. Competent authorities shall ensure that the information to be made public pursuant to paragraph 1 is updated on a regular basis for the purposes of Regulation (EU) No 600/2014 and that all changes to a specific share, depositary receipt, ETF, certificate or other similar financial instrument whic…
− 
− 4. For the purposes of the calculations referred to in paragraph 1, the turnover in relation to a financial instrument shall be calculated by summing the results of multiplying, for each transaction executed during a defined period of time, the number of units of that instrument exchanged between th…
− 
− 5. After the end of the trading day, but before the end of the day, trading venues shall submit to competent authorities the details set out in Tables 1 and 2 of Annex III whenever the financial instrument is admitted to trading or first traded on that trading venue or whenever those previously subm…
+ 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 Regulati…
− 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 Regulati…
− 
− 1. 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:
+ **1.** 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:(a) where the date on which financial instruments are traded for the first time on a trading ven…
− (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 …
+ **2.** The calculations referred to in paragraph 1 shall be performed as follows:(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 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 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…
+ **3.** 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) N…
− 2. The calculations referred to in paragraph 1 shall be performed as follows:
+ **4.** 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:(a) that the information published in accordance with paragraph 1 remains appropriate for the purposes of po…
− (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…
− 
− (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) …
− 
− (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…
− 3. 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…
− 
− 4. 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:
− 
− (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.
− 
− 
− 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 |
− | --- | --- |
− | 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
− 
− **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 def…
− 
− (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. 4…
− 
− (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).