EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/8.IV.1.1:8.IV.1.1 MiFID I text

EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/8.IV.1.1

8.IV.1.1 MiFID I text

Documentgegevens:

mr. J.E.C. Gulyás, datum 01-02-2021

Datum: 01-02-2021
Auteur: mr. J.E.C. Gulyás
JCDI: JCDI:ADS267145:1
Vakgebied(en): Financieel recht / Bank- en effectenrecht
Financieel recht / Europees financieel recht
Financiële dienstverlening / Financieel toezicht

MiFID I required NCAs to make calculations for each share admitted to trading on an RM. In a nutshell, the relevant NCA needed to calculate the average daily turnover at the end of each calendar year on the basis of all EU trading (regardless of the trading system used).1 The relevant NCA was the same NCA that received transaction reports (certain post-trade data) under the MiFID I transaction reporting rules.2 The idea was that the NCA would already have the information necessary for the calculations at its disposal due to receiving the transaction reporting data.3

Besides calculations, MiFID I required NCAs to make estimates concerning shares before the first admission to trading on an RM. MiFID I required the relevant NCA to estimate the average daily turnover.4 MiFID I required the estimates to relate to the six-week period following admission to trading or the end of that period. The estimates needed to take into account any previous trading history of the share, as well as that of shares that were considered to have similar characteristics.5 After the admission, MiFID I obliged the relevant NCA to calculate – using the first four weeks of trading data – the average daily turnover.6 The rationale for including shares before admission to trading in the calculations was to permit such shares from benefitting from deferral of post-trade publication. Without the estimates, deferral would only be possible after a few months of trading (i.e. after the calculations could be made).7

Finally, MiFID I covered review and recalculation requirements. MiFID I obliged the relevant NCA to review the numbers the NCA was required to calculate. MiFID I required the NCA make recalculations (‘ad hoc’ calculations) whenever there was a change related to the share or the issuer that ‘significantly affect(ed) the previous calculations on an ongoing basis’ (e.g. following a new issue of shares, a merger, and so forth).8 The aim of the ad hoc calculations was to ensure the calculations were still representative in light of the significant changes.9

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Art. 33(1) MiFID I Implementing Regulation and CESR, Technical Advice: MiFID I, April 2005, p. 77.

Art. 33(1) and art. 9(1) MiFID I Implementing Regulation.

CESR, Technical Advice: MiFID I, April 2005, p. 78.

Art. 33(3) MiFID I Implementing Regulation. For the sake of completeness, MiFID I also required the relevant NCA to perform other estimates (and calculations) (e.g. the free float), but these were relevant only for the MiFID I equity pre-trade transparency regime. For an examination of the MiFID I equity pre-trade transparency regime of calculations and databases, reference is made to chapter 3.

Art. 33(3) MiFID I Implementing Regulation.

Art. 33(4) MiFID I Implementing Regulation. The relevant NCA needed to do so as soon as practicable after those data were available, and in any case before the end of the six-week period referred to in art. 22(5) MiFID I Implementing Regulation (ibid).

CESR, Technical Advice on Possible Implementing Measures for MiFID I, April 2005 (CESR/05-290b), p. 54.

Art. 33(5) MiFID I Implementing Regulation and CESR, Technical Advice on Possible Implementing Measures for MiFID I, April 2005 (CESR/05-290b), p. 54.

CESR, Technical Advice on Possible Implementing Measures for MiFID I, April 2005 (CESR/05-290b), p. 54. While MiFID I did not define the term ‘significant changes’, it follows from the MiFID I drafting history that NCAs were not required to perform recalculations for every change. Examples of ‘significant changes’ included the examples as noted above, such as mergers and a new issue of shares (ibid).