ANNEX I
Annex I to Delegated Regulation (EU) 2017/587 is amended as follows:
(1)
Table 1 is replaced by the following:
‘ Table 1
Description of the type of trading systems and the related information to be made public in accordance with Article 3
Row
Type of trading system
Description of the trading system
Information to be made public
1
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, depositary receipts, ETFs, certificates and other similar financial instruments that they represent at each price level for at least the five best bid and offer price levels.
2
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 and the risk to which the market maker exposes itself.
The best bid and offer by price of each market maker in shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on the trading system, together with the volumes attaching to those prices. The quotes made public shall be those that represent binding commitments to buy and sell the financial instruments and which indicate the price and volume of financial instruments 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.
3
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, certificates and other similar financial instruments traded on the trading system and the volume that would potentially be executable at that price by participants in that system.
4
Request for quote trading system
A 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 conclude a transaction by accepting the quote or quotes provided to it on request.
The quotes and the attached volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable.
5
Hybrid trading system
A system falling into two or more of the types of trading systems referred to in rows 1 to 4 of this Table.
For hybrid systems that combine different trading systems at the same time, the requirements correspond to the pre-trade trade transparency requirements applicable to each type of trading system that forms the hybrid system.
For hybrid systems that combine two or more trading systems subsequently, the requirements correspond to the pre-trade transparency requirements applicable to the respective trading system operated at a particular point in time
6
Any other trading system
Any other type of trading system not covered by rows 1 to 5.
Adequate information as to the level of orders or quotes and of trading interest in respect of shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on the trading system; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in that instrument, if the characteristics of the price discovery mechanism so permit.’
(2)
Tables 3 and 4 are replaced by the following:
‘ 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
1
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, the date and time when the parties agree the content of the following fields: quantity, price, currencies, as specified in fields 31, 34 and 44 of Table 2 of Annex I of Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second.
Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 4 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission.
Regulated Market (RM)
Multilateral Trading Facility (MTF)
Approved Publication Arrangement (APA)
Consolidated tape provider (CTP)
{DATE_TIME_FORMAT}
2
Instrument identification code
Code used to identify the financial instrument.
RM, MTF, APA, CTP
{ISIN}
3
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 (“PNDG”) or not applicable (“NOAP”), this field shall not be populated.
RM, MTF, APA, CTP
{DECIMAL-18/13} when the price is expressed as monetary value in the case of equity and equity-like financial instruments
{DECIMAL-11/10} when the price is expressed as percentage or yield in the case of certificates and other equity-like financial instruments
4
Missing Price
Where price is currently not available but pending, the value shall be “PNDG”.
Where price is not applicable, the value shall be “NOAP”.
RM, MTF, APA, CTP
“PNDG” in case the price is not available
“NOAP” in case the price is not applicable
5
Price currency
Major currency unit in which the price is expressed (applicable if the price is expressed as monetary value).
RM, MTF APA, CTP
{CURRENCYCODE_3}
6
Price notation
Indication as to whether the price is expressed in monetary value, in percentage or in yield.
RM, MTF APA, CTP
MONE’ — Monetary value
in the case of equity and equity-like financial instruments
“PERC” — Percentage
in the case of certificates and other equity-like financial instruments
“YIEL” — Yield
in the case of certificates and other equity-like financial instruments
“BAPO” — Basis points
in the case of certificates and other equity-like financial instruments
7
Quantity
Number of units of the financial instruments.
The nominal or monetary value of the financial instrument.
RM, MTF, APA, CTP
{DECIMAL-18/17} in case the quantity is expressed as number of units
{DECIMAL-18/5} in case the quantity is expressed as monetary or nominal value
8
Venue of execution
Identification of the venue where the transaction was executed.
Use the ISO 10383 segment MIC for transactions executed on an EU trading venue Where the segment MIC does not exist, use the operating MIC.
Use “SINT” for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser.
Use MIC code “XOFF” for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is neither executed on an EU trading venue nor executed on a systematic internaliser. If the transaction is executed on an organised trading platform outside of the EU then in addition to the MIC code “XOFF” also the population of the field “Third-country trading venue of execution” is required.
RM, MTF, APA, CTP
{MIC} – EU trading venues or
“SINT” — systematic internaliser
“XOFF” — otherwise
9
Third-country trading venue of execution
Identification of the third-country trading venue where the transaction was executed. Use the ISO 10383 segment MIC. Where the segment MIC does not exist, use the operating MIC.
Where the transaction is not executed on a third-country trading venue, the field shall not be populated.
APA, CTP
{MIC}
10
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 executed on a trading venue, the date and time shall be granular to at least the nearest second.
RM, MTF, APA, CTP
{DATE_TIME_FORMAT}
11
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.
12
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 persistent per ISO 10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day.
Where the APA does not use MICs, it shall be unique, consistent and persistent per 4-character code used to identify the APA per trading day.
The components of the transaction identification code shall not disclose the identity of the counter- parties to the transaction for which the code is maintained
RM, MTF, APA, CTP
{ALPHANUM-52}
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, MTF
APA
CTP
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.
“NPFT”
Non-price forming transactions flag
RM, MTF
CTP
Non-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590.
“PORT”
Portfolio transactions flag
RM, MTF
APA
CTP
Transactions in five or more different financial instruments where those transactions are traded at the same time by the same client and as a single lot against a specific reference price.
“CONT”
Contingent transactions flag
RM, MTF
APA
CTP
Transactions that are contingent on the purchase, sale, creation or redemption of a derivative contract or other financial instrument where all the components of the trade are meant to be executed as a single lot.
“ACTX”
Agency cross transactions flag
APA
CTP
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.
“SDIV”
Special dividend transaction flag
RM, MTF
APA
CTP
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; or executed during the cum-dividend period where the dividend or other form of distribution accrues to the seller instead of the buyer.
“LRGS”
Post-trade large in scale transaction flag
RM, MTF
APA
CTP
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, MTF
CTP
Transactions which are executed under systems operating in accordance with Article 4(1), point (a), of Regulation (EU) No 600/2014.
“NLIQ”
Negotiated transaction in liquid financial instruments flag
RM, MTF
CTP
Transactions executed in accordance with Article 4(1), point (b)(i), of Regulation (EU) No 600/2014.
“OILQ”
Negotiated transaction in illiquid financial instruments flag
RM, MTF
CTP
Transactions executed in accordance with Article 4(1), point (b)(ii), of Regulation (EU) No 600/2014.
“PRIC”
Negotiated transaction subject to conditions other than the current market price flag
RM, MTF
CTP
Transactions executed in accordance with Article 4(1), point (b)(iii), of Regulation (EU) No 600/2014 and as set out in Article 6.
“ALGO”
Algorithmic transaction flag
RM, MTF
CTP
Transactions executed as a result of an investment firm engaging in algorithmic trading as defined in Article 4(1), point (39), of Directive 2014/65/EU.
“SIZE”
Transaction above the standard market size flag
APA
CTP
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
APA
CTP
Transactions in illiquid instruments as determined in accordance with Articles 1 to 5 of Commission Delegated Regulation (EU) 2017/567 ( 2 ) executed on a systematic internaliser.
“RPRI”
Transactions which have received price improvement flag
APA
CTP
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, MTF
APA
CTP
When a previously published transaction is cancelled
“AMND”
Amendment flag
RM, MTF
APA
CTP
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 16(1) of Delegated Regulation (EU) 2017/571.
( 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 ( OJ L 87, 31.3.2017, p. 193 ).
( 2 ) 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 ( OJ L 87, 31.3.2017, p. 90 ).’
