Einde inhoudsopgave
EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/5.VII.2.2.1
5.VII.2.2.1 Liquid market
mr. J.E.C. Gulyás, datum 01-02-2021
- Datum
01-02-2021
- Auteur
mr. J.E.C. Gulyás
- JCDI
JCDI:ADS267098:1
- Vakgebied(en)
Financieel recht / Bank- en effectenrecht
Financieel recht / Europees financieel recht
Financiële dienstverlening / Financieel toezicht
Voetnoten
Voetnoten
ESMA, MiFID II/MiFIR Review Report: on the transparency regime for equity and equity-like instruments, the double volume cap mechanism and the trading obligations for shares, 16 July 2020(ESMA70-156-2682), p. 19-20.
ESMA, MiFID II/MiFIR Review Report: on the transparency regime for equity and equity-like instruments, the double volume cap mechanism and the trading obligations for shares, 16 July 2020(ESMA70-156-2682), p. 48.
In the consultation paper, ESMA considered a different liquid market definition based on the equity instrument in question. The liquid market-assessment of ESMA distinguished between (a) shares; (b) ETFs and depositary receipts, (c) certificates, and (d) other equity-like instruments.1 ESMA proposes the following in the MiFID II Review Report:
to assess a liquid market for shares, depositary receipts, ETFs, and certificates on the basis of two parameters, being (i) the average daily turnover and (ii) the average daily number of transactions. The rationale here is to simplify the liquid market assessment by removing the free float and the daily trading assessment and to introduce a stricter liquid market-definition (faster application of the liquid market-definition); and
Deem other equity-like financial instruments illiquid by default.2
The ESMA proposal is based on the ESMA consultation paper, including the feedback of the respondents. A stricter liquid market-definition will result in stricter SI quoting obligations. For the sake of completeness, a stricter liquid market-definition will also affect other MiFID II equity pre-trade transparency obligations. More specifically, the liquid market-definition is also relevant for the scope of the double volume cap. The double volume cap mechanism only applies to the (reference price waiver and) negotiated trade waiver in relation liquid equity instruments.3 A stricter liquid market-definition would in effect not only result in stricter SI quoting obligations, but would also expand the scope of the double volume cap mechanism.
5.VII.2.2.1.1 Shares5.VII.2.2.1.2 ETFs and depositary receipts5.VII.2.2.1.3 Certificates5.VII.2.2.1.4 Other equity-like financial instruments