Commission Delegated Regulation (EU) 2023/944 of 17 January 2023 amending and correcting the regulatory technical standards laid down in Delegated Regulation (EU) 2017/587 as regards certain transparency requirements applicable to transactions in equity instruments Text with EEA relevance

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

6Any other trading systemAny 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

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).

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}

2Instrument identification codeCode used to identify the financial instrument.RM, MTF, APA, CTP{ISIN}3Price

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

4Missing 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

5Price currencyMajor currency unit in which the price is expressed (applicable if the price is expressed as monetary value).RM, MTF APA, CTP{CURRENCYCODE_3}6Price notationIndication 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

7Quantity

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

8Venue 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

9Third-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}10Publication 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}11Venue of PublicationCode 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.

12Transaction identification code

Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580 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

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).

FlagNameType of execution or publication venueDescriptionBENCBenchmark 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.NPFTNon-price forming transactions flag

RM, MTF

CTP

Non-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590.PORTPortfolio 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.CONTContingent 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.ACTXAgency 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.SDIVSpecial 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.

LRGSPost-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.RFPTReference 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.NLIQNegotiated 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.OILQNegotiated 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.PRICNegotiated 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.ALGOAlgorithmic 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.SIZETransaction 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.ILQDIlliquid 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 executed on a systematic internaliser.RPRITransactions 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.CANCCancellation flag

RM, MTF

APA

CTP

When a previously published transaction is cancelledAMNDAmendment flag

RM, MTF

APA

CTP

When a previously published transaction is amendedDUPLDuplicative trade reports flagAPAWhen a transaction is reported to more than one APA in accordance with Article 16(1) of Delegated Regulation (EU) 2017/571.

Annex

ANNEX II

In Annex II to Delegated Regulation (EU) 2017/587, Table 5 is replaced by the following:

Table 5

Deferred publication thresholds and delays for ETFs

Minimum qualifying size of transaction for permitted delay in EURTiming of publication after the transaction1500000060 minutes50000000End of the trading day

Annex

ANNEX III

Annex

ANNEX IV

Data to be provided for the purpose of determining the Most Relevant Market in terms of liquidity, the ADT and the AVT

Table 1

Symbol table

SymbolData TypeDefinition{ALPHANUM-n}Up to n alphanumerical charactersFree text field{ISIN}12 alphanumerical charactersISIN code, as defined in ISO 6166{MIC}4 alphanumerical charactersMarket identifier as defined in ISO 10383{DATEFORMAT}ISO 8601 date formatDates shall be formatted by the following format: YYYY-MM-DD.{DECIMAL-n/m}Decimal number of up to n digits in total of which up to m digits can be fraction digits

Numerical field for both positive and negative values.

decimal separator is . (full stop);

negative numbers are prefixed with – (minus);

values are rounded and not truncated.

{INTEGER-n}Integer number of up to n digitsNumerical field for both positive and negative integer values.

Table 2

Details to be provided for the purpose of determining the Most Relevant Market in terms of liquidity, the ADT and the AVT (based on the current reporting instructions)

The turnover shall be calculated as number of instruments exchanged between the buyers and sellers multiplied by the unit price of the instrument exchanged for that specific transaction and shall be expressed in EUR.

Transactions that have been cancelled shall be excluded from the reported figures.

In all cases, the field has to be populated with any value greater than or equal to zero up to 18 numeric characters including up to 5 decimal places.

Field numField identifierDescription and details to be publishedType of execution or publication venueFormat to be populated as defined in Table 11Instrument identification codeCode used to identify the financial instrument

Regulated Market (RM)

Multilateral Trading Facility (MTF)

Approved Publication Arrangement (APA)

Consolidated tape provider (CTP)

{ISIN}2Execution dateDate on which the trades are executed.RM, MTF, APA, CTP{DATEFORMAT}

3Execution venue

Segment MIC for the EU trading venue or systematic internaliser, where available, otherwise operating MIC.

MIC XOFF in the case the transaction is executed by investment firms which are not systematic internalisers and is not executed on a trading venue.

RM, MTF, APA, CTP{MIC} – of the trading venue or systematic internaliser or {MIC}- XOFF’4Suspended instrument flag

Indicator of whether the instrument was suspended for the whole trading day on the respective TV on the execution date.

As a consequence of an instrument being suspended for the whole trading day, fields 5 to 10 shall be reported with a value of zero.

RM, MTF, CTP

TRUE - if the instrument was suspended for the whole trading day

or FALSE – if the instrument was not suspended for the whole trading day

5Total number of transactionsThe total number of transactions executed on the execution date.RM, MTF, APA, CTP{INTEGER-18}6Total turnoverThe total turnover executed on the execution date, expressed in EUR.RM, MTF, APA, CTP{DECIMAL-18/5}7Transactions executed, excluding all transactions executed under pre-trade waivers of Article 4(1), points (a), (b) and(c), of Regulation (EU) No 600/2014.The total number of transactions executed on the execution date excluding all transactions executed under pre-trade waivers of Article 4(1), points (a), (b) and (c), of Regulation (EU) No 600/2014 on the same day.RM, MTF, CTP{INTEGER-18}8Total turnover executed, excluding all transactions executed under pre-trade waivers of Article 4(1), points (a), (b) and (c), of Regulation (EU) No 600/2014.The total turnover executed on the execution date excluding all transactions executed under pre-trade waivers of Article 4(1), points (a), (b) and (c), of Regulation (EU) No 600/2014 on the same day.RM, MTF, CTP{DECIMAL-18/5}

9Total number of transactions excluding those executed under the post-trade LIS deferral.

Total number of transactions executed on the execution date, excluding those transactions executed under Large-In-Scale waiver (post-trade).

For shares and depositary receipts only the highest threshold for the related average daily turnover (ADT) band in Table 4 of Annex II shall be used to identify those transactions.

For certificates and other similar financial instruments only the highest threshold in Table 6 of Annex II shall be used to identify those transactions

For ETFs only the highest threshold in Table 5 of Annex II shall be used to identify those transactions.

RM, MTF, APA, CTP{INTEGER-18}10Total turnover executed, excluding transactions executed under the post-trade LIS deferral.

Total volume of transactions executed on the execution date, excluding those transactions executed under Large-In-Scale waiver (post-trade).

For shares and depositary receipts only the highest threshold for the related average daily turnover (ADT) band in Table 4 of Annex II shall be used to identify those transactions.

For certificates and other similar financial instruments only the highest threshold in Table 6 of Annex II shall be used to identify those transactions

For ETFs only the highest threshold in Table 5 of Annex II shall be used to identify those transactions.

RM, MTF, APA, CTP{DECIMAL-18/5}