EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/8.III.1.3.2:8.III.1.3.2 Timing of publication (speed)

EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/8.III.1.3.2

8.III.1.3.2 Timing of publication (speed)

Documentgegevens:

mr. J.E.C. Gulyás, datum 01-02-2021

Datum: 01-02-2021
Auteur: mr. J.E.C. Gulyás
JCDI: JCDI:ADS267127:1
Vakgebied(en): Financieel recht / Bank- en effectenrecht
Financieel recht / Europees financieel recht
Financiële dienstverlening / Financieel toezicht

The MiFID I Directive required investment firms to make the post-trade data public as close to real-time as possible.1 The MiFID I Implementing Regulation specified that real-time referred to as soon as technically possible and in any case within three minutes of the relevant transaction.2 For SIs the ‘real-time’ publication requirement (i.e. the maximum of three minutes) only applied during the normal trading hours of the venue.3 Outside normal trading hours the post-trade information needed to be made public before the opening of the next trading day of the SI. For an investment firm operating outside an RM/MTF, not being a SI, the real-time condition only applied if the transaction took place: (i) during a trading day of the most relevant market for the share concerned4or (ii) during the investment firm’s normal trading hours.5 Where the conditions under (i-ii) did not apply, the investment firm was required to immediately make the post-trade data public upon the commencement of the investment firm’s normal trading hours or at the latest before the opening of the next trading day in the most relevant market for that share.6 Specific rules applied in relation to portfolio trades.7 A portfolio trade needed to be made public with respect to each constituent transaction as close to real-time as technically possible, having regard to the need to allocate prices to particular shares.8

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Art. 28(1) MiFID I Directive.

Art. 28(1) MiFID I Directive; and recital 18 and art. 29(2) MiFID I Implementing Regulation.

Art. 30(2) MiFID I Implementing Regulation. The real-time requirement applied to ‘trading venues’, which under MiFID I referred to RMs, MTFs, and SIs (and where appropriate a systematic outside the EU/EEA with similar functions to an RM or MTF) (art. 2(8) MiFID I Implementing Regulation).

MiFID I specified the determination of the ‘most relevant market’ in art. 9 MiFID I Implementing Regulation. For an examination of the MiFID I calculations for the post-trade transparency regime, reference is made to section IV below.

Art. 29(5)(a) MiFID I Implementing Regulation. The meaning of ‘normal trading hours’ referred to those hours which the trading venue or investment firm established in advance and made public as its trading hours (art. 2(5) MiFID I Implementing Regulation).

Art. 29(5)(b) MiFID I Implementing Regulation.

MiFID I defined a ‘portfolio trade’ as a transaction in more than one security where those securities are grouped and trades as a single lot against a specific reference price (art. 2(6) MiFID I Implementing Regulation). In other words, a portfolio trade was (and still is) a transaction in more than one financial instrument, where the financial instruments are traded as a single unit (‘basket’) against a specific reference price. ESMA stated that the assigned price for the single unit does not reflect the current market price of the individual elements of the unit, such as the share in question (ESMA, Discussion Paper: MiFID II/MiFIR, 2014(ESMA/2014/548), p. 102).

Art. 29(3) MiFID I Implementing Regulation. Each constituent transaction needed to be assessed separately for the purposes of determining whether deferred publication in respect of that transaction was permitted under MiFID I (ibid). For an examination of the MiFID I deferral provisions, reference is made to paragraph 2 below.