4.III.2.3.3 Defining the standard market size

The level 1-text of MiFID I was the starting point in determining what the standard market size for a share was. MiFID I required shares to be grouped in classes on the basis of the arithmetic average value of the orders executed in the market for that share. MiFID I noted that the standard market size for each class of shares needed to be ‘a size representative of the arithmetic average value of the orders executed in the market for the shares included in each class of shares’.1 The market for each share needed to comprise all orders executed in the EU, excluding those large in scale compared to normal market size for that share (for the meaning of ‘large in scale compared to normal market size’: see section II, paragraph 2.4.2).2

The MiFID I Implementing Regulation specified the term standard market size through a standard market size-table.3 The table provided (a) several share classes in terms of the average value of transactions in relation to (b) a specific standard market size. The lowest standard market size was EUR 7.500 for share classes of an average value of transactions below EUR 10.000. The standard market size expanded exponentially where the share class was of a higher average value of transactions. For example, the standard market size was EUR 15.000 (instead of EUR 7.500) for the share class of an average value of transactions between EUR 10.000 and below EUR 20.000 (instead of EUR 10.000).4 The standard market size-table reflected a compromise between accuracy and simplicity. In terms of accuracy, the table covered an indefinite amount of share classes. In terms of simplicity, the standard market size was set at the mid-point of each share class (rather than using another measure).5