EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/13.III.1.2.2:13.III.1.2.2 Flags

EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/13.III.1.2.2

13.III.1.2.2 Flags

Documentgegevens:

mr. J.E.C. Gulyás, datum 01-02-2021

Datum: 01-02-2021
Auteur: mr. J.E.C. Gulyás
JCDI: JCDI:ADS266768:1
Vakgebied(en): Financieel recht / Bank- en effectenrecht
Financieel recht / Europees financieel recht
Financiële dienstverlening / Financieel toezicht

MiFID II requires APAs to use so-called ‘flags’ to identify different types of trades in equity post-trade data. The flags permit, among other things, market participants to only include data that is relevant to them in trade analysis.1MiFID II extends the amount of different types of trades that need to be flagged compared to MiFID I.2MiFID II also introduces harmonized provisions on the design of the flags. Under MiFID I flag design was only covered in formally non-binding guidance of CESR.3 ESMA has complemented the MiFID II text with a Q&A on the specifics of the flags (e.g. combination of flags).4

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C.R.W. de Meijer, ‘MiFID II: Towards a consolidate tape in Europe’, in Journal of Securities Operations & Custody, Volume 4 Number 1, p. 44.

The list of MiFID II covers the: (i) benchmark trade flag (BENC); (ii) agency cross trade flag (ACTX); (iii) non-price forming trade flag (NPFT); (iv) trades not contributing to the price discovery process for the purposes of the MiFID II share trading obligation of article 23 MiFIR (TNCP); (v) special dividend trade flag (SDIV); (vi) post-trade large in scale transaction flag (LRGS); (vii) reference price trade waiver flag (RFPT); (viii) negotiated trade in liquid financial instruments flag (NLIQ); (ix) negotiated transaction in illiquid financial instruments flag (OILQ); (x) negotiated trade subject to conditions other than the current market price flag (PRIC); (xi) algorithmic trade flag (ALGO); (xii) transaction above the standard market size flag (SIZE); (xiii) illiquid instrument trade flag (ILQD); (xiv) transaction which have received price improvement flag (RPRI); (xv) cancellation flag (CANC); (xvi) amendment flag (AMND); and (xvii) duplicative trade reports flag (DUPL) (Table 4 Annex I MiFIR Delegated Regulation 2017/587).

Reference is made to the non-binding MiFID I CESR guidelines on the publication and consolidation of MiFID market transparency data (CESR, Publication and Consolidation of MiFID Market Transparency Data, February 2007(CESR/07-043), p. 13).

ESMA, Q&A on MiFID II and MiFIR transparency topics, 8 July 2020 (ESMA70-872942901-35), Question 2.