5.V.2.2.1 Non-addressable liquidity trades

ESMA, Discussion Paper: MiFID II/MiFIR, May 2014, p. 102.

Under MiFID II a transaction in shares is not considered to contribute to the price discovery process where any of the following circumstances apply: (a) the transaction is executed by reference to a benchmark (e.g. VWAP); (b) the transaction is part of a portfolio trade; (c) the transaction is contingent on a derivative contract (e.g. a so-called delta neutral equity hedge); (d) the transaction involves the transfer of beneficial ownership of shares from one collective investment undertaking to another; (e) the transaction is a give-up or give-in transaction; (f) the purpose of the transaction is to transfer shares as collateral in bilateral transactions or in the context of central counterparty (CCP) margin or collateral requirements; (g) the transaction results in the delivery of shares in the context of convertible bonds, options, covered warrants or other similar derivatives (e.g. contingent convertibles); (h) the transaction is a securities financing transaction (e.g. a repurchase agreement); or (i) the transaction is carried out under the rules or procedures of a trading venue, a CCP or a central securities depository to effect a buy-in of unsettled transactions (e.g. an investor is forced to repurchase shares because the seller did not deliver the shares in a timely fashion or did not deliver them at all) (recital 14 and art. 2 MiFIR Delegated Regulation 2017/587).