Commission Delegated Regulation (EU) 2017/577Show full title

Article 1 U.K. Subject matter and scope

1. This Regulation sets out, the details of the data requests to be sent by competent authorities and the details of the reply to those requests to be sent by trading venues, approved publication arrangements (APAs) and consolidated tape providers (CTPs), for the purposes of calculating and adjusting the pre-trade and post-trade transparency and trading obligation regimes and in particular for the purposes of determining the following factors:

(a) whether equity, equity-like and non-equity financial instruments have a liquid market;

(b) the thresholds for pre-trade transparency waivers for equity, equity-like and non-equity financial instruments;

(c) the thresholds for post-trade transparency deferrals for equity, equity-like and non-equity financial instruments;

(d) when the liquidity of a class of financial instruments falls below a specified threshold;

(e) whether an investment firm is a systematic internaliser;

(f) the standard market size applicable to systematic internalisers dealing in equity and equity-like instruments, and the size specific to the instrument applicable to systematic internalisers dealing in non-equity instruments;

(g) for equity and equity-like instruments, the total volume of trading for the previous 12 months and of the percentages of trading carried out under both the negotiated trade and reference price waivers across the Union and on each trading venue in the previous 12 months;

(h) whether derivatives are sufficiently liquid for the purposes of implementing the trading obligation for derivatives.

Article 2 U.K. Content of the data requests and information to be reported

1. For the purpose of carrying out calculations that occur at pre-set dates or in pre-defined frequencies, trading venues, APAs and CTPs shall provide their competent authorities with all the data required to perform the calculations set out in the following Regulations:

(a) Delegated Regulation (EU) 2017/587;

(b) Delegated Regulation (EU) 2017/583;

(c) Delegated Regulation (EU) 2017/567;

(d) Delegated Regulation (EU) 2017/565.

2. Competent authorities may request, where necessary, additional information for the purpose of monitoring and adjusting the thresholds and parameters referred to in points (a) to (f) and (h) of Article 1 from trading venues, APAs and CTPs.

3. Competent authorities may request all the data ESMA is required to take into consideration in accordance with Delegated Regulation (EU) 2016/2020 for non-equity financial instruments, including data on the following:

(a) the average frequency of trades;

(b) the average size and distribution of trades;

(c) the number and type of market participants;

(d) the average size of spreads.

Article 3 U.K. Frequency of data requests and response times for trading venues, APAs and CTPs

1. Trading venues, APAs and CTPs shall submit the data referred to in Article 2(1) each day.

2. Trading venues, APAs and CTPs shall submit the data in response to an ad hoc request as referred to in Article 2(2) within four weeks of receipt of that request unless exceptional circumstances require a response within a shorter time period as specified in the request.

3. By way of derogation from paragraphs 1 and 2, trading venues and CTPs shall submit data to be used for the purpose of the volume cap mechanism as set out in paragraphs 6 to 9 of Article 6.

Article 4 U.K. Format of the data requests

Trading venues, APAs and CTPs shall submit the data referred to in Article 2 in a common XML format and, where available, in compliance with any other specifications in terms of content and format defined to facilitate an efficient and automated process of data delivery as well as its consolidation with similar data from other sources.

Article 5 U.K. Type of data that must be stored and the minimum period of time trading venues, APAs and CTPs shall store data

1. Trading venues, APAs and CTPs shall store all data required to calculate, monitor or adjust the thresholds and parameters set out in Article 2 regardless whether this information has been made public or not.

2. Trading venues, APAs and CTPs shall store the data referred to in paragraph 1 for at least three years.

Article 6 U.K. Reporting requirements for trading venues and CTPs for the purpose of the volume cap mechanism

1. For each financial instrument subject to the transparency requirements in Article 3 of Regulation (EU) No 600/2014, trading venues shall submit the following data to the competent authority:

(a) the total volume of trading in the financial instrument executed on that trading venue;

(b) the total volumes of trading in the financial instrument executed on that trading venue falling under the waivers of Article 4(1)(a) or Article 4(1)(b)(i) of Regulation (EU) No 600/2014, respectively, with total volumes reported separately for each waiver.

2. For each financial instrument subject to the transparency requirements in Article 3 of Regulation (EU) No 600/2014 and where requested by the competent authority, CTPs shall submit to the competent authority the following data:

(a) the total volumes of trading in the financial instrument executed on all trading venues in the Union with total volumes reported separately for each trading venue;

(b) the total volumes of trading executed on all trading venues in the Union falling under the waivers of Article 4(1)(a) or Article 4(1)(b)(i) of Regulation (EU) No 600/2014, respectively, with total volumes reported separately for each waiver and for each trading venue.

3. Trading venues and CTPs shall report the data set out in paragraphs 1 and 2 to the competent authority using the formats provided in the Annex. They shall, in particular, ensure that the trading venue identifiers they provide are sufficiently granular to enable the competent authority and ESMA to identify the volumes of trading executed under the reference price waiver and, for liquid financial instruments, under the negotiated trade waiver of each trading venue and allow for the calculation of the ratio set out under Article 5(1)(a) of Regulation (EU) No 600/2014.

4. For the purposes of the calculation of the volumes referred to in paragraphs 1 and 2:

(a) the volume of an individual transaction shall be determined by multiplying the price of the financial instrument by the number of units traded;

(b) the total volume of trading in each financial instrument set out in paragraph 1(a) and paragraph 2(a) shall be determined by aggregating the volume of all individual and single-counted transactions for that financial instrument.

(c) the trading volumes set out in paragraph 1(b) and paragraph 2(b) shall be determined by aggregating the volumes of individual and single-counted transactions for that financial instrument reported under the flags ‘reference price’ and ‘negotiated transactions in liquid financial instruments’ in accordance with Table 4 of Annex I of Delegated Regulation (EU) 2017/587.

5. Trading venues and CTPs shall only aggregate transactions executed in the same currency and shall report separately each aggregated volume in the currency used for the transactions.

6. Trading venues shall submit the data referred to in paragraphs 1 to 5 to the competent authority on the first and the sixteenth day of each calendar month by 13:00 CET. Where the first or the sixteenth day of the calendar month is a non-working day for the trading venue, the trading venue shall report the data to the competent authority by 13:00 CET on the following working day.

7. Trading venues shall submit to the competent authority the total volumes of trading determined in accordance with paragraphs 1 to 5 in respect of the following time periods:

(a) for the reports to be submitted on the sixteenth day of each calendar month, the execution period is from the first day to the fifteenth day of the same calendar month;

(b) for the reports to be submitted on the first day of each calendar month, the execution period is from the sixteenth day to the last day of the previous calendar month.

8. By way of derogation from paragraphs 6 and 7, trading venues shall submit the first report per financial instrument on the day of entry into application of Directive 2014/65/EU and Regulation (EU) No 600/2014 by 13:00 CET and shall include the trading volumes referred to in paragraph 1 for the preceding calendar year. For this purpose, trading venues shall report separately, for each calendar month, the following:

(a) the trading volumes during the period from the first day to the fifteenth day of each calendar month;

(b) the trading volumes during the period from the sixteenth day to the last day of each calendar month.

9. Trading venues and CTPs shall respond to any ad hoc request from competent authorities on the volume of trading in relation to the calculation to be performed for monitoring the use of the reference price or negotiated trade waivers by close of business on the next working day following the request.

Article 7 U.K. Reporting requirements for competent authorities to ESMA for the purposes of the volume cap mechanism and the trading obligation for derivatives

1. Competent authorities shall provide ESMA with the data received from a trading venue or a CTP in accordance with Article 6 by 13:00 CET on the next working day following its receipt.

2. Competent authorities shall provide ESMA with the data received from a trading venue, APA or CTP for the purpose of determining whether derivatives are sufficiently liquid as referred to in Article 1(h) without undue delay and no later than three working days following the receipt of the relevant data.

Article 8 U.K. Reporting requirements for ESMA for the purpose of the volume cap mechanism

1. ESMA shall publish the measurements of the total volume of trading for each financial instrument in the previous 12 months and of the percentages of trading under both the negotiated trade and reference price waivers across the Union and on each trading venue in the previous 12 months, in accordance with paragraphs 4, 5 and 6 of Article 5 of Regulation (EU) No 600/2014, no later than 22.00 CET on the fifth working day following the end of the reporting periods set out in Article 6(6) of this Regulation.

2. The publication referred to in paragraph 1 shall be free of charge and in a machine-readable and human-readable format as defined in Article 14 of Commission Delegated Regulation (EU) 2017/571(1) and in paragraphs 4 and 5 of Article 13 of Delegated Regulation (EU) 2017/567.

3. Where a financial instrument is traded in more than one currency across the Union, ESMA shall convert all volumes into euros using average exchange rates calculated on the basis of the daily euro foreign exchange reference rates published by the European Central Bank on its website in the previous 12 months. Those converted volumes shall be used for the calculation and publication of the total volume of trading and of the percentages of trading under both the negotiated trade and reference price waivers across the Union and on each trading venue as referred to in paragraph 1.

Article 9 U.K. Entry into force and application

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 3 January 2018.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 13 June 2016.

For the Commission

The President

Jean-Claude Juncker