SECTION 1 — Pre-trade transparency for regulated markets and MTFs
(Articles 29 and 44 of Directive 2004/39/EC)
1. An investment firm or market operator operating an MTF or a regulated market shall, in respect of each share admitted to trading on a regulated market that is traded within a system operated by it and specified in Table 1 of Annex II, make public the information set out in paragraphs 2 to 6.
2. Where one of the entities referred to in paragraph 1 operates a continuous auction order book trading system, it shall, for each share as specified in paragraph 1, make public continuously throughout its normal trading hours the aggregate number of orders and of the shares those orders represent at each price level, for the five best bid and offer price levels.
3. Where one of the entities referred to in paragraph 1 operates a quote-driven trading system, it shall, for each share as specified in paragraph 1, make public continuously throughout its normal trading hours the best bid and offer by price of each market maker in that share, together with the volumes attaching to those prices.
The quotes made public shall be those that represent binding commitments to buy and sell the shares and which indicate the price and volume of shares in which the registered market makers are prepared to buy or sell.
In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time.
4. Where one of the entities referred to in paragraph 1 operates a periodic auction trading system, it shall, for each share specified in paragraph 1, make public continuously throughout its normal trading hours the price that would best satisfy the system's trading algorithm and the volume that would potentially be executable at that price by participants in that system.
5. Where one of the entities referred to in paragraph 1 operates a trading system which is not wholly covered by paragraph 2 or 3 or 4, either because it is a hybrid system falling under more than one of those paragraphs or because the price determination process is of a different nature, it shall maintain a standard of pre-trade transparency that ensures that adequate information is made public as to the price level of orders or quotes for each share specified in paragraph 1, as well as the level of trading interest in that share.
In particular, the five best bid and offer price levels and/or two-way quotes of each market maker in that share shall be made public, if the characteristics of the price discovery mechanism permit it.
6. A summary of the information to be made public in accordance with paragraphs 2 to 5 is specified in Table 1 of Annex II.
(Articles 29(2) and 44(2) of Directive 2004/39/EC)
1. Waivers in accordance with Article 29(2) and 44(2) of Directive 2004/39/EC may be granted by the competent authorities for systems operated by an MTF or a regulated market, if those systems satisfy one of the following criteria:
(a)
they must be based on a trading methodology by which the price is determined in accordance with a reference price generated by another system, where that reference price is widely published and is regarded generally by market participants as a reliable reference price;
(b)
they formalise negotiated transactions, each of which meets one of the following criteria:
(i)
it is made at or within the current volume weighted spread reflected on the order book or the quotes of the market makers of the regulated market or MTF operating that system or, where the share is not traded continuously, within a percentage of a suitable reference price, being a percentage and a reference price set in advance by the system operator;
(ii)
it is subject to conditions other than the current market price of the share.
For the purposes of point (b), the other conditions specified in the rules of the regulated market or MTF for a transaction of this kind must also have been fulfilled.
In the case of systems having functionality other than as described in points (a) or (b), the waiver shall not apply to that other functionality.
2. Waivers in accordance with Articles 29(2) and 44(2) of Directive 2004/39/EC based on the type of orders may be granted only in relation to orders held in an order management facility maintained by the regulated market or the MTF pending their being disclosed to the market.
(Articles 29(2) and 44(2) of Directive 2004/39/EC)
For the purpose of Article 18(1)(b) a negotiated transaction shall mean a transaction involving members or participants of a regulated market or an MTF which is negotiated privately but executed within the regulated market or MTF and where that member or participant in doing so undertakes one of the following tasks:
(a)
dealing on own account with another member or participant who acts for the account of a client;
(b)
dealing with another member or participant, where both are executing orders on own account;
(c)
acting for the account of both the buyer and seller;
(d)
acting for the account of the buyer, where another member or participant acts for the account of the seller;
(e)
trading for own account against a client order.
(Articles 29(2) and 44(2), and fifth subparagraph of Article 27(1) of Directive 2004/39/EC)
An order shall be considered to be large in scale compared with normal market size if it is equal to or larger than the minimum size of order specified in Table 2 in Annex II. For the purposes of determining whether an order is large in scale compared to normal market size, all shares admitted to trading on a regulated market shall be classified in accordance with their average daily turnover, which shall be calculated in accordance with the procedure set out in Article 33.
SECTION 2 — Pre-trade transparency for systematic internalisers
(Article 4(1)(7) of Directive 2004/39/EC)
1. Where an investment firm deals on own account by executing client orders outside a regulated market or an MTF, it shall be treated as a systematic internaliser if it meets the following criteria indicating that it performs that activity on an organised, frequent and systematic basis:
(a)
the activity has a material commercial role for the firm, and is carried on in accordance with non-discretionary rules and procedures;
(b)
the activity is carried on by personnel, or by means of an automated technical system, assigned to that purpose, irrespective of whether those personnel or that system are used exclusively for that purpose;
(c)
the activity is available to clients on a regular or continuous basis.
2. An investment firm shall cease to be a systematic internaliser in one or more shares if it ceases to carry on the activity specified in paragraph 1 in respect of those shares, provided that it has announced in advance that it intends to cease that activity using the same publication channels for that announcement as it uses to publish its quotes or, where that is not possible, using a channel which is equally accessible to its clients and other market participants.
3. The activity of dealing on own account by executing client orders shall not be treated as performed on an organised, frequent and systematic basis where the following conditions apply:
(a)
the activity is performed on an ad hoc and irregular bilateral basis with wholesale counterparties as part of business relationships which are themselves characterised by dealings above standard market size;
(b)
the transactions are carried out outside the systems habitually used by the firm concerned for any business that it carries out in the capacity of a systematic internaliser.
4. Each competent authority shall ensure the maintenance and publication of a list of all systematic internalisers, in respect of shares admitted to trading on a regulated market, which it has authorised as investment firms.
It shall ensure that the list is current by reviewing it at least annually.
The list shall be made available to the Committee of European Securities Regulators. It shall be considered as published when it is published by the Committee of European Securities Regulators in accordance with Article 34(5).
(Article 27 of Directive 2004/39/EC)
1. A share admitted to trading on a regulated market shall be considered to have a liquid market if the share is traded daily, with a free float not less than EUR 500 million, and one of the following conditions is satisfied:
(a)
the average daily number of transactions in the share is not less than 500;
(b)
the average daily turnover for the share is not less than EUR 2 million.
However, a Member State may, in respect of shares for which it is the most relevant market, specify by notice that both of those conditions are to apply. That notice shall be made public.
2. A Member State may specify the minimum number of liquid shares for that Member State. The minimum number shall be no greater than five. The specification shall be made public.
3. Where, pursuant to paragraph 1, a Member State would be the most relevant market for fewer liquid shares than the minimum number specified in accordance with paragraph 2, the competent authority for that Member State may designate one or more additional liquid shares, provided that the total number of shares which are considered in consequence to be liquid shares for which that Member State is the most relevant market does not exceed the minimum number specified by that Member State.
The competent authority shall designate the additional liquid shares successively in decreasing order of average daily turnover from among the shares for which it is the relevant competent authority that are admitted to trading on a regulated market and are traded daily.
4. For the purposes of the first subparagraph of paragraph 1, the calculation of the free float of a share shall exclude holdings exceeding 5 % of the total voting rights of the issuer, unless such a holding is held by a collective investment undertaking or a pension fund.
Voting rights shall be calculated on the basis of all the shares to which voting rights are attached, even if the exercise of such a right is suspended.
5. A share shall not be considered to have a liquid market for the purposes of Article 27 of Directive 2004/39/EC until six weeks after its first admission to trading on a regulated market, if the estimate of the total market capitalisation for that share at the start of the first day's trading after that admission, provided in accordance with Article 33(3), is less than EUR 500 million.
6. Each competent authority shall ensure the maintenance and publication of a list of all liquid shares for which it is the relevant competent authority.
It shall ensure that the list is current by reviewing it at least annually.
The list shall be made available to the Committee of European Securities Regulators. It shall be considered as published when it is published by the Committee of European Securities Regulators in accordance with Article 34(5).
(Fourth subparagraph of Article 27(1) of Directive 2004/39/EC)
In order to determine the standard market size for liquid shares, those shares shall be grouped into classes in terms of the average value of orders executed in accordance with Table 3 in Annex II.
(Article 27(1) of Directive 2004/39/EC)
A systematic internaliser shall, for each liquid share for which it is a systematic internaliser, maintain the following:
(a)
a quote or quotes which are close in price to comparable quotes for the same share in other trading venues;
(b)
a record of its quoted prices, which it shall retain for a period of 12 months or such longer period as it considers appropriate.
The obligation laid down in point (b) is without prejudice to the obligation of the investment firm under Article 25(2) of Directive 2004/39/EC to keep at the disposal of the competent authority for at least five years the relevant data relating to all transactions it has carried out.
(Fifth subparagraph of Article 27(3) and Article 27(6) of Directive 2004/39/EC)
1. For the purposes of the fifth subparagraph of Article 27(3) of Directive 2004/39/EC, execution in several securities shall be regarded as part of one transaction if that one transaction is a portfolio trade that involves 10 or more securities.
For the same purposes, an order subject to conditions other than the current market price means any order which is neither an order for the execution of a transaction in shares at the prevailing market price, nor a limit order.
2. For the purposes of Article 27(6) of Directive 2004/39/EC, the number or volume of orders shall be regarded as considerably exceeding the norm if a systematic internaliser cannot execute those orders without exposing itself to undue risk.
In order to identify the number and volume of orders that it can execute without exposing itself to undue risk, a systematic internaliser shall maintain and implement as part of its risk management policy under Article 7 of Commission Directive 2006/73/EC ( 6 ) a non-discriminatory policy which takes into account the volume of the transactions, the capital that the firm has available to cover the risk for that type of trade, and the prevailing conditions in the market in which the firm is operating.
3. Where, in accordance with Article 27(6) of Directive 2004/39/EC, an investment firm limits the number or volume of orders it undertakes to execute, it shall set out in writing, and make available to clients and potential clients, the arrangements designed to ensure that such a limitation does not result in the discriminatory treatment of clients.
(Fourth subparagraph Article 27(3) of Directive 2004/39/EC)
For the purposes of the fourth subparagraph of Article 27(3) of Directive 2004/39/EC, an order shall be regarded as being of a size bigger than the size customarily undertaken by a retail investor if it exceeds EUR 7 500.
SECTION 3 — Post-trade transparency for regulated markets, MTFs and investment firms
(Articles 28, 30 and 45 of Directive 2004/39/EC)
1. Investment firms, regulated markets, and investment firms and market operators operating an MTF shall, with regard to transactions in respect of shares admitted to trading on regulated markets concluded by them or, in the case of regulated markets or MTFs, within their systems, make public the following details:
(a)
the details specified in points 2, 3, 6, 16, 17, 18, and 21 of Table 1 in Annex I;
(b)
an indication that the exchange of shares is determined by factors other than the current market valuation of the share, where applicable;
(c)
an indication that the trade was a negotiated trade, where applicable;
(d)
any amendments to previously disclosed information, where applicable.
Those details shall be made public either by reference to each transaction or in a form aggregating the volume and price of all transactions in the same share taking place at the same price at the same time.
2. By way of exception, a systematic internaliser shall be entitled to use the acronym ‘SI’ instead of the venue identification referred to in paragraph 1(a) in respect of a transaction in a share that is executed in its capacity as a systematic internaliser in respect of that share.
The systematic internaliser may exercise that right only as long as it makes available to the public aggregate quarterly data as to the transactions executed in its capacity as a systematic internaliser in respect of that share relating to the most recent calendar quarter, or part of a calendar quarter, during which the firm acted as a systematic internaliser in respect of that share. That data shall be made available no later than one month after the end of each calendar quarter.
It may also exercise that right during the period between the date specified in Article 41(2), or the date on which the firm commences to be a systematic internaliser in relation to a share, whichever is the later, and the date that aggregate quarterly data in relation to a share is first due to be published.
3. The aggregated quarterly data referred to in the second subparagraph of paragraph 2 shall contain the following information for the share in respect of each trading day of the calendar quarter concerned:
(a)
the highest price;
(b)
the lowest price;
(c)
the average price;
(d)
the total number of shares traded;
(e)
the total number of transactions;
(f)
such other information as the systematic internaliser decides to make available.
4. Where the transaction is executed outside the rules of a regulated market or an MTF, one of the following investment firms shall, by agreement between the parties, arrange to make the information public:
(a)
the investment firm that sells the share concerned;
(b)
the investment firm that acts on behalf of or arranges the transaction for the seller;
(c)
the investment firm that acts on behalf of or arranges the transaction for the buyer;
(d)
the investment firm that buys the share concerned.
In the absence of such an agreement, the information shall be made public by the investment firm determined by proceeding sequentially from point (a) to point (d) until the first point that applies to the case in question.
The parties shall take all reasonable steps to ensure that the transaction is made public as a single transaction. For those purposes two matching trades entered at the same time and price with a single party interposed shall be considered to be a single transaction.
(Articles 28, 30 and 45 of Directive 2004/39/EC)
The deferred publication of information in respect of transactions may be authorised, for a period no longer than the period specified in Table 4 in Annex II for the class of share and transaction concerned, provided that the following criteria are satisfied:
(a)
the transaction is between an investment firm dealing on own account and a client of that firm;
(b)
the size of the transaction is equal to or exceeds the relevant minimum qualifying size, as specified in Table 4 in Annex II.
In order to determine the relevant minimum qualifying size for the purposes of point (b), all shares admitted to trading on a regulated market shall be classified in accordance with their average daily turnover to be calculated in accordance with Article 33.
SECTION 4 — Provisions common to pre- and post-trade transparency
(Articles 27(3), 28(1), 29(1), 44(1) and 45(1) of Directive 2004/39/EC)
1. A regulated market, MTF or systematic internaliser shall be considered to publish pre-trade information on a continuous basis during normal trading hours if that information is published as soon as it becomes available during the normal trading hours of the regulated market, MTF or systematic internaliser concerned, and remains available until it is updated.
2. Pre-trade information, and post-trade information relating to transactions taking place on trading venues and within normal trading hours, shall be made available as close to real time as possible. Post-trade information relating to such transactions shall be made available in any case within three minutes of the relevant transaction.
3. Information relating to a portfolio trade shall be made available with respect to each constituent transaction as close to real time as possible, having regard to the need to allocate prices to particular shares. Each constituent transaction shall be assessed separately for the purposes of determining whether deferred publication in respect of that transaction is available under Article 28.
4. Post-trade information relating to transactions taking place on a trading venue but outside its normal trading hours shall be made public before the opening of the next trading day of the trading venue on which the transaction took place.
5. For transactions that take place outside a trading venue, post-trade information shall be made public:
(a)
if the transaction takes place during a trading day of the most relevant market for the share concerned, or during the investment firm's normal trading hours, as close to real time as possible. Post-trade information relating to such transactions shall be made available in any case within three minutes of the relevant transaction;
(b)
in a case not covered by point (a), immediately upon the commencement of the investment firm's normal trading hours or at the latest before the opening of the next trading day in the most relevant market for that share.
(Articles 27, 28, 29, 30, 44 and 45 of Directive 2004/39/EC)
For the purposes of Articles 27, 28, 29, 30, 44 and 45 of Directive 2004/39/EC and of this Regulation, pre- and post-trade information shall be considered to be made public or available to the public if it is made available generally through one of the following to investors located in the Community:
(a)
the facilities of a regulated market or an MTF;
(b)
the facilities of a third party;
(c)
proprietary arrangements.
(Article 22(2) of Directive 2004/39/EC)
An investment firm shall be considered to disclose client limit orders that are not immediately executable if it transmits the order to a regulated market or MTF that operates an order book trading system, or ensures that the order is made public and can be easily executed as soon as market conditions allow.
(Article 22(2), 27, 28, 29, 30, 44 and 45 of Directive 2004/39/EC)
Any arrangement to make information public, adopted for the purposes of Articles 30 and 31, shall satisfy the following conditions:
(a)
it must include 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)
it must facilitate the consolidation of the data with similar data from other sources;
(c)
it must make the information available to the public on a non-discriminatory commercial basis at a reasonable cost.
(Articles 27, 28, 29, 30, 44 and 45 of Directive 2004/39/EC)
1. In respect of each share that is admitted to trading on a regulated market, the relevant competent authority for that share shall ensure that the following calculations are made in respect of that share promptly after the end of each calendar year:
(a)
the average daily turnover;
(b)
the average daily number of transactions;
(c)
for those shares which satisfy the conditions laid down in Article 22(1)(a) or (b) (as applicable), the free float as at 31 December;
(d)
if the share is a liquid share, the average value of the orders executed.
This paragraph and paragraph 2 shall not apply to a share which is first admitted to trading on a regulated market four weeks or less before the end of the calendar year.
2. The calculation of the average daily turnover, average value of the orders executed and average daily number of transactions shall take into account all the orders executed in the Community in respect of the share in question between 1 January and 31 December of the preceding year, or, where applicable, that part of the year during which the share was admitted to trading on a regulated market and was not suspended from trading on a regulated market.
In the calculations of the average daily turnover, average value of the orders executed and average daily number of transactions of a share, non-trading days in the Member State of the relevant competent authority for that share shall be excluded.
3. Before the first admission of a share to trading on a regulated market, the relevant competent authority for that share shall ensure that estimates are provided, in respect of that share, of the average daily turnover, the market capitalisation as it will stand at the start of the first day of trading and, where the estimate of the market capitalisation is EUR 500 million or more:
(a)
the average daily number of transactions and, for those shares which satisfy the conditions laid down in Article 22(1)(a) or (b) (as applicable), the free float;
(b)
in the case of a share that is estimated to be a liquid share, the average value of the orders executed.
The estimates shall relate to the six-week period following admission to trading, or the end of that period, as applicable, and shall take account of any previous trading history of the share, as well as that of shares that are considered to have similar characteristics.
4. After the first admission of a share to trading on a regulated market, the relevant competent authority for that share shall ensure that, in respect of that share, the figures referred to in points (a) to (d) of paragraph 1 are calculated, using data relating to the first four weeks’ trading, as if a reference in point (c) of paragraph 1 to 31 December were a reference to the end of the first four weeks’ trading, as soon as practicable after those data are available, and in any case before the end of the six-week period referred to in Article 22(5).
5. During the course of a calendar year, the relevant competent authorities shall ensure the review and where necessary the recalculation of the average daily turnover, average value of the orders executed, average daily number of transactions executed and the free float whenever there is a change in relation to the share or the issuer which significantly affects the previous calculations on an ongoing basis.
6. The calculations referred to in paragraphs 1 to 5 which are to be published on or before the first trading day in March 2009 shall be made on the basis of the data relating to the regulated market or markets of the Member State which is the most relevant market in terms of liquidity for the share in question. For those purposes, negotiated transactions within the meaning of Article 19 shall be excluded from the calculations.
(Articles 27, 28, 29, 30, 44 and 45 of Directive 2004/39/EC)
1. On the first trading day of March of each year, each competent authority shall, in relation to each share for which it is the relevant competent authority that was admitted to trading on a regulated market at the end of the preceding calendar year, ensure the publication of the following information:
(a)
the average daily turnover and average daily number of transactions, as calculated in accordance with Article 33(1) and (2);
(b)
the free float and average value of the orders executed, where calculated in accordance with Article 33(1) and (2).
This paragraph shall not apply to shares to which the second subparagraph of Article 33(1) applies.
2. The results of the estimates and calculations required under Article 33(3), (4) or (5) shall be published as soon as practicable after the calculation or estimate is completed.
3. The information referred to in paragraphs 1 or 2 shall be considered as published when it is published by the Committee of European Securities Regulators in accordance with paragraph 5.
4. For the purposes of this Regulation, the following shall apply:
(a)
the classification based on the publication referred to in paragraph 1 shall apply for the 12-month period starting on 1 April following publication and ending on the following 31 March;
(b)
the classification based on the estimates provided for in Article 33(3) shall apply from the relevant first admission to trading until the end of the six-week period referred to in Article 22(5);
(c)
the classification based on the calculations specified in Article 33(4) shall apply from the end of the six-week period referred to in Article 22(5), until:
(i)
where the end of that six-week period falls between 15 January and 31 March (both inclusive) in a given year, 31 March of the following year;
(ii)
otherwise, the following 31 March after the end of that period.
However, the classification based on the recalculations specified in Article 33(5) shall apply from the date of publication and, unless further recalculated under Article 33(5), until the following 31 March.
5. The Committee of European Securities Regulators shall, on the basis of data supplied to it by or on behalf of competent authorities, publish on its website consolidated and regularly updated lists of:
(a)
every systematic internaliser in respect of a share admitted to trading on a regulated market;
(b)
every share admitted to trading on a regulated market, specifying:
(i)
the average daily turnover, average daily number of transactions and, for those shares which satisfy the conditions laid down in Article 22(1)(a) or (b) (as applicable), the free float;
(ii)
in the case of a liquid share, the average value of the orders executed and the standard market size for that share;
(iii)
in the case of a liquid share which has been designated as an additional liquid share in accordance with Article 22(3), the name of the competent authority that so designated it; and
(iv)
the relevant competent authority.
6. Each competent authority shall ensure the first publication of the details referred to in points (a) and (b) of paragraph 1 on the first trading day in July 2007, based on the reference period 1 April 2006 to 31 March 2007. By way of derogation from paragraph 4, the classification based on that publication shall apply for the five-month period starting on 1 November 2007 and ending on 31 March 2008.
Source: EUR-Lex (Publications Office of the EU), © European Union, reuse permitted under Commission Decision 2011/833/EU.
