Regulation (EU) No 600/2014 requires competent authorities and the European Securities and Markets Authority (ESMA) to perform a significant number of calculations in order to calibrate the applicability of the pre-trade and post-trade transparency regime and the trading obligation for derivatives as well as to determine whether an investment firm is a systematic internaliser.

With the exception of potential ad-hoc data requests and calculations to be performed for the purposes of the volume cap mechanism, trading venues, APAs and CTPs should submit reports on a daily basis. Considering the broad scope of financial instruments covered and the large amount of data to be processed, this daily submission enables competent authorities to more accurately process files of manageable sizes and ensures an efficient and timely management of the data submission, data quality check and data processing. Collecting data on a daily basis also simplifies the data provision obligation on trading venues, APAs and CTPs by alleviating them from the burden of calculating the number of trading days in the cases where that quantitative liquidity criterion is applicable, and of aggregating data for the same financial instrument across different time maturity buckets in the cases where the time to maturity has to be considered. Centralising that calculation also ensures a consistent use of the criteria across financial instruments and trading venues.

Trading venues should store data that is comprehensive and allows competent authorities and ESMA to perform accurate calculations. While the required information is usually provided in the post-trade reports, in some cases, the information necessary for the calculations goes beyond the information available in those reports. This includes, for example, information on transactions executed on the basis of orders that benefitted from the large in scale waiver. This information should not be included in trade reports since it could expose such transactions to adverse market impact. However, since that information might be necessary for competent authorities to perform accurate calculations, it should be stored appropriately by trading venues, APAs and CTPs and communicated to competent authorities and ESMA where necessary. Trading venues should ensure that they adequately disseminate the information to be provided to competent authorities and ESMA. Transactions executed on the basis of large in scale orders should be appropriately identified in their report to CTPs.

Data should be collected from a variety of sources since a single source may not always hold a complete data set for an asset class or even a particular instrument. Therefore, to allow competent authorities and ESMA to obtain and consolidate high quality data from various sources, trading venues, APAs and CTPs should use, where available, pre-set specifications in terms of content and format in order to make the data collection easier and more cost efficient.

Considering the sensitivity of the necessary calculations and the potential commercial consequences for trading venues, issuers and other market participants of publishing incorrect information which could lead, in the case of the volume cap mechanism, to the suspension of the use of the waivers for one particular venue or across the Union for one particular financial instrument, it is crucial to clarify the format of the data to be submitted to competent authorities and ESMA in order to set up efficient communication channels with trading venues and CTPs and ensure timely and correct publication of the required data.

Regulation (EU) No 600/2014 requires ESMA to publish, for financial instruments to which the volume cap mechanism applies, measurements of the total volume of trading 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 case of financial instruments traded in more than one currency, it is necessary to convert the volumes executed in different currencies into one common currency so as to enable the computation of those volumes and make the required calculations. Therefore, the methodology and exchange rates to be used to convert, where necessary, trading volumes should be provided for.

For the purpose of the volume cap mechanism, trading venues should be required to report the volumes of trading executed under the reference price waiver and, for liquid instruments, the negotiated trade waiver. Given that the waivers apply to orders and not to transactions, it is important to clarify that the volumes to be reported should include all transactions flagged with ‘RFPT’ or ‘NLIQ’ for the purpose of the post-trade publication of transactions and as specified in Delegated Regulation (EU) 2017/587. Where a transaction was executed on the basis of two orders benefitting from the large in scale waiver, this transaction should not count towards the volumes calculated under the reference price waiver and the negotiated trade waiver.

For the purpose of the volume cap mechanism, trading venues and CTPs should ensure that the trading venue on which the transaction was executed is identified with sufficient granularity to allow ESMA to perform all calculations referred to in Regulation (EU) No 600/2014. In particular, the trading venue identifier used should be unique for that trading venue and not shared with any other trading venue operated by the same market operator. Trading venue identifiers should allow ESMA to distinguish in an unequivocal manner all trading venues for which the market operator has received a specific authorisation under Directive 2014/65/EU.

In order to provide competent authorities and ESMA with accurate data, trading venues, APAs and CTPs should ensure that their reports include single-counted transactions only.

The provisions in this Regulation are closely linked, since they deal with specifying the content, frequency, format of data requests, the method to be used to process this data and other specifications relating to the publication of information for the purposes of transparency as defined under Regulation (EU) No 600/2014. To ensure coherence between those provisions, which will enter into force at the same time, and to facilitate a comprehensive view for stakeholders, and in particular those subject to the obligations, it is desirable to include them in a single Regulation.

For reasons of consistency and in order to ensure the smooth functioning of the financial markets, it is necessary that the provisions laid down in this Regulation and the provisions laid down in Regulation (EU) No 600/2014 apply from the same date.

This Regulation is based on the draft regulatory technical standards submitted by the ESMA to the Commission.