Commission Delegated Regulation (EU) 2017/576 of 8 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the annual publication by investment firms of information on the identity of execution venues and on the quality of execution (Text with EEA relevance. )

Subject matter

Article 1

This Regulation lays down rules on the content and the format of information to be published by investment firms on an annual basis in relation to client orders executed on trading venues, systematic internalisers, market makers or other liquidity providers or entities that perform a similar function to those performed by any of the foregoing in a third country.

Definitions

Article 2

For the purposes of this Regulation, the following definitions shall apply: (a) ‘passive order’ means an order entered into the order book that provided liquidity; (b) ‘aggressive order’ means an order entered into the order book that took liquidity; (c) ‘directed order’ means an order where a specific execution venue was specified by the client prior to the execution of the order.

Information on the top five execution venues and quality of execution obtained

Article 3

1.   Investment firms shall publish the top five execution venues in terms of trading volumes for all executed client orders per class of financial instruments referred to in Annex I. Information regarding retail clients shall be published in the format set out in Table 1 of Annex II and information regarding professional clients shall be published in the format set out in Table 2 of Annex II. The publication shall exclude orders in Securities Financing Transactions (SFTs) and shall contain the following information: (a) class of financial instruments; (b) venue name and identifier; (c) volume of client orders executed on that execution venue expressed as a percentage of total executed volume; (d) number of client orders executed on that execution venue expressed as a percentage of total executed orders; (e) percentage of the executed orders referred to in point (d) that were passive and aggressive orders; (f) percentage of orders referred to in point (d) that were directed orders; (g) confirmation of whether it has executed an average of less than one trade per business day in the previous year in that class of financial instruments. 2.   Investment firms shall publish the top five execution venues in terms of trading volumes for all executed client orders in SFTs for class of financial instruments referred to in Annex I in the format set out in Table 3 of Annex II. The publication shall contain the following information: (a) volume of client orders executed on that execution venue expressed as a percentage of total executed volume; (b) number of client orders executed on that execution venue expressed as a percentage of total executed orders; (c) confirmation of whether the investment firm has executed an average of less than one trade per business day in the previous year in that class of financial instruments. 3.   Investment firms shall publish for each class of financial instruments, a summary of the analysis and conclusions they draw from their detailed monitoring of the quality of execution obtained on the execution venues where they executed all client orders in the previous year. The information shall include: (a) an explanation of the relative importance the firm gave to the execution factors of price, costs, speed, likelihood of execution or any other consideration including qualitative factors when assessing the quality of execution; (b) a description of any close links, conflicts of interests, and common ownerships with respect to any execution venues used to execute orders; (c) a description of any specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received; (d) an explanation of the factors that led to a change in the list of execution venues listed in the firm's execution policy, if such a change occurred; (e) an explanation of how order execution differs according to client categorisation, where the firm treats categories of clients differently and where it may affect the order execution arrangements; (f) an explanation of whether other criteria were given precedence over immediate price and cost when executing retail client orders and how these other criteria were instrumental in delivering the best possible result in terms of the total consideration to the client; (g) an explanation of how the investment firm has used any data or tools relating to the quality of execution, including any data published under Delegated Regulation (EU) 2017/575; (h) where applicable, an explanation of how the investment firm has used output of a consolidated tape provider established under Article 65 of Directive 2014/65/EU.

Format

Article 4

Investment firms shall publish the information required in accordance with Article 3(1) and 3(2) on their websites, by filling in the templates set out in Annex II, in a machine-readable electronic format, available for downloading by the public and the information required in accordance with Article 3(3) shall be published on their websites in an electronic format available for downloading by the public.

Entry into force and application

Article 5

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.

ANNEX ISupplementary provisions

ANNEX I Classes of financial instruments (a) Equities — Shares & Depositary Receipts (i) Tick size liquidity bands 5 and 6 (from 2 000 trades per day) (ii) Tick size liquidity bands 3 and 4 (from 80 to 1 999 trades per day) (iii) Tick size liquidity band 1 and 2 (from 0 to 79 trades per day) (b) Debt instruments (i) Bonds (ii) Money markets instruments (c) Interest rates derivatives (i) Futures and options admitted to trading on a trading venue (ii) Swaps, forwards, and other interest rates derivatives (d) credit derivatives (i) Futures and options admitted to trading on a trading venue (ii) Other credit derivatives (e) currency derivatives (i) Futures and options admitted to trading on a trading venue (ii) Swaps, forwards, and other currency derivatives (f) Structured finance instruments (g) Equity Derivatives (i) Options and Futures admitted to trading on a trading venue (ii) Swaps and other equity derivatives (h) Securitized Derivatives (i) Warrants and Certificate Derivatives (ii) Other securitized derivatives (i) Commodities derivatives and emission allowances Derivatives (i) Options and Futures admitted to trading on a trading venue (ii) Other commodities derivatives and emission allowances derivatives (j) Contracts for difference (k) Exchange traded products (Exchange traded funds, exchange traded notes and exchange traded commodities) (l) Emission allowances (m) Other instruments

ANNEX IISupplementary provisions

ANNEX II Table 1 Class of Instrument   Notification if < 1 average trade per business day in the previous year Y/N Top five execution venues ranked in terms of trading volumes (descending order) Proportion of volume traded as a percentage of total in that class Proportion of orders executed as percentage of total in that class Percentage of passive orders Percentage of aggressive orders Percentage of directed orders Name and Venue Identifier (MIC or LEI)           Name and Venue identifier (MIC or LEI)           Name and venue identifier (MIC or LEI)           Name and venue identifier (MIC or LEI)           Name and venue identifier (MIC or LEI)           Table 2 Class of Instrument   Notification if < 1 average trade per business day in the previous year Y/N Top five execution venues ranked in terms of trading volumes (descending order) Proportion of volume traded as a percentage of total in that class Proportion of orders executed as percentage of total in that class Percentage of passive orders Percentage of aggressive orders Percentage of directed orders Name and Venue Identifier(MIC or LEI)           Name and Venue identifier(MIC or LEI)           Name and venue identifier(MIC or LEI)           Name and venue identifier(MIC or LEI)           Name and venue identifier(MIC or LEI)           Table 3 Class of Instrument   Notification if < 1 average trade per business day in the previous year Y/N Top 5 Venues ranked in terms of volume (descending order) Proportion of volume executed as a percentage of total in that class Proportion of orders executed as percentage of total in that class Name and Venue Identifier(MIC or LEI)     Name and Venue identifier(MIC or LEI)     Name and venue identifier(MIC or LEI)     Name and venue identifier(MIC or LEI)     Name and venue identifier(MIC or LEI)