COMMISSION REGULATION (EC) No 1287/2006
of 10 August 2006
implementing Directive 2004/39/EC of the European Parliament and of the Council as regards record-keeping obligations for investment firms, transaction reporting, market transparency, admission of financial instruments to trading, and defined terms for the purposes of that Directive
(Text with EEA relevance)
CHAPTER I
GENERAL
Article 1
Subject-matter and scope
Article 2
Definitions
Article 3
Transactions related to an individual share in a portfolio trade and volume weighted average price transactions
Article 4
References to trading day
Article 5
References to transaction
Article 6
First admission to trading of a share on a regulated market
CHAPTER II
RECORD-KEEPING: CLIENT ORDERS AND TRANSACTIONS
Article 7
(Article 13(6) of Directive 2004/39/EC)
Record-keeping of client orders and decisions to deal
Article 8
(Article 13(6) of Directive 2004/39/EC)
Record-keeping of transactions
CHAPTER III
TRANSACTION REPORTING
Article 9
(Second subparagraph of Article 25(3) of Directive 2004/39/EC)
Determination of the most relevant market in terms of liquidity
Article 10
(Second subparagraph of Article 25(3) of Directive 2004/39/EC)
Alternative determination of most relevant market in terms of liquidity
Article 11
(Article 25(3) of Directive 2004/39/EC)
List of financial instruments
Article 12
(Article 25(5) of Directive 2004/39/EC)
Reporting channels
Article 13
(Article 25(3) and (5) of Directive 2004/39/EC)
Content of the transaction report
Article 14
(Article 25(3) and (5) of Directive 2004/39/EC)
Exchange of information on transactions
Article 15
(Article 58(1) of Directive 2004/39/EC)
Request for cooperation and exchange of information
Article 16
(Article 56(2) of Directive 2004/39/EC)
Determination of the substantial importance of a regulated market's operations in a host Member State
CHAPTER IV
MARKET TRANSPARENCY
SECTION 1
Pre-trade transparency for regulated markets and MTFs
Article 17
(Articles 29 and 44 of Directive 2004/39/EC)
Pre-trade transparency obligations
Article 18
(Articles 29(2) and 44(2) of Directive 2004/39/EC)
Waivers based on market model and type of order or transaction
Article 19
(Articles 29(2) and 44(2) of Directive 2004/39/EC)
References to negotiated transaction
Article 20
(Articles 29(2) and 44(2), and fifth subparagraph of Article 27(1) of Directive 2004/39/EC)
Waivers in relation to transactions which are large in scale
SECTION 2
Pre-trade transparency for systematic internalisers
Article 21
(Article 4(1)(7) of Directive 2004/39/EC)
Criteria for determining whether an investment firm is a systematic internaliser
Article 22
(Article 27 of Directive 2004/39/EC)
Determination of liquid shares
Article 23
(Fourth subparagraph of Article 27(1) of Directive 2004/39/EC)
Standard market size
Article 24
(Article 27(1) of Directive 2004/39/EC)
Quotes reflecting prevailing market conditions
Article 25
(Fifth subparagraph of Article 27(3) and Article 27(6) of Directive 2004/39/EC)
Execution of orders by systematic internalisers
Article 26
(Fourth subparagraph Article 27(3) of Directive 2004/39/EC)
Retail size
SECTION 3
Post-trade transparency for regulated markets, MTFs and investment firms
Article 27
(Articles 28, 30 and 45 of Directive 2004/39/EC)
Post-trade transparency obligation
Article 28
(Articles 28, 30 and 45 of Directive 2004/39/EC)
Deferred publication of large transactions
SECTION 4
Provisions common to pre- and post-trade transparency
Article 29
(Articles 27(3), 28(1), 29(1), 44(1) and 45(1) of Directive 2004/39/EC)
Publication and availability of pre- and post-trade transparency data
Article 30
(Articles 27, 28, 29, 30, 44 and 45 of Directive 2004/39/EC)
Public availability of pre- and post-trade information
Article 31
(Article 22(2) of Directive 2004/39/EC)
Disclosure of client limit orders
Article 32
(Article 22(2), 27, 28, 29, 30, 44 and 45 of Directive 2004/39/EC)
Arrangements for making information public
Article 33
(Articles 27, 28, 29, 30, 44 and 45 of Directive 2004/39/EC)
Calculations and estimates for shares admitted to trading on a regulated market
Article 34
(Articles 27, 28, 29, 30, 44 and 45 of Directive 2004/39/EC)
Publication and effect of results of required calculations and estimates
CHAPTER V
ADMISSION OF FINANCIAL INSTRUMENTS TO TRADING
Article 35
(Article 40(1) of Directive 2004/39/EC)
Transferable securities
Article 36
(Article 40(1) of Directive 2004/39/EC)
Units in collective investment undertakings
Article 37
(Article 40(1) and (2) of Directive 2004/39/EC)
Derivatives
CHAPTER VI
DERIVATIVE FINANCIAL INSTRUMENTS
Article 38
(Article 4(1)(2) of Directive 2004/39/EC)
Characteristics of other derivative financial instruments
Article 39
(Article 4(1)(2) of Directive 2004/39/EC)
Derivatives within Section C(10) of Annex I to Directive 2004/39/EC
CHAPTER VII
FINAL PROVISIONS
Article 40
Re-examinations
Article 41
Entry into force
ANNEX I
Table 1
Field Identifier |
Description |
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A unique code to identify the firm which executed the transaction. |
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The trading day on which the transaction was executed. |
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The time at which the transaction was executed, reported in the local time of the competent authority to which the transaction will be reported, and the basis in which the transaction is reported expressed as Coordinated Universal Time (UTC) +/- hours. |
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Identifies whether the transaction was a buy or sell from the perspective of the reporting investment firm or, in the case of a report to a client, of the client. |
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Identifies whether the firm executed the transaction:
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This shall consist of:
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The code type used to report the instrument. |
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The instrument identification applicable to the security that is the underlying asset in a derivative contract as well as the transferable security falling within Article 4(1)(18)(c) of Directive 2004/39/EC. |
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The code type used to report the underlying instrument. |
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The harmonised classification of the financial instrument that is the subject of the transaction. The description must at least indicate whether the instrument belongs to one of the top level categories as provided by a uniform internationally accepted standard for financial instrument classification. |
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The maturity date of a bond or other form of securitised debt, or the exercise date/maturity date of a derivative contract. |
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The harmonised description of the derivative type should be done according to one of the top level categories as provided by a uniform internationally accepted standard for financial instrument classification. |
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Specification whether an option or any other financial instrument is a put or a call. |
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The strike price of an option or other financial instrument. |
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The number of units of the financial instrument in question which are contained in a trading lot; for example, the number of derivatives or securities represented by one contract. |
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The price per security or derivative contract excluding commission and (where relevant) accrued interest. In the case of a debt instrument, the price may be expressed either in terms of currency or as a percentage. |
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The currency in which the price is expressed. If, in the case of a bond or other form of securitised debt, the price is expressed as a percentage, that percentage shall be included. |
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The number of units of the financial instruments, the nominal value of bonds, or the number of derivative contracts included in the transaction. |
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An indication as to whether the quantity is the number of units of financial instruments, the nominal value of bonds or the number of derivative contracts. |
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Identification of the counterparty to the transaction. That identification shall consist of:
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Identification of the venue where the transaction was executed. That identification shall consist in:
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A unique identification number for the transaction provided by the investment firm or a third party reporting on its behalf. |
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An indication as to whether the transaction was cancelled. |
Table 2
Field Identifier |
Description |
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If a unique code as referred to in Table 1 of Annex I is not sufficient to identify the counterparty, competent authorities should develop adequate measures that ensure the identification of the counterparty. |
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The unique code, agreed between all the competent authorities, applicable to the financial instrument in question shall be used. |
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If a unique code, or unique harmonised identification code as referred to in Table 1 of Annex 1 is not sufficient to identify the counterparty, competent authorities should develop adequate measures that ensure the identification of the counterparty. |
ANNEX II
Table 1
Type of system |
Description of system |
Summary of information to be made public, in accordance with Article 17 |
Continuous auction order book trading system |
A system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with matching buy orders on the basis of the best available price on a continuous basis. |
The aggregate number of orders and the shares they represent at each price level, for at least the five best bid and offer price levels. |
Quote-driven trading system |
A system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself. |
The best bid and offer by price of each market maker in that share, together with the volumes attaching to those prices. |
Periodic auction trading system |
A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention. |
The price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price. |
Trading system not covered by first three rows |
A hybrid system falling into two or more of the first three rows or a system where the price determination process is of a different nature than that applicable to the types of system covered by first three rows. |
Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in the share, if the characteristics of the price discovery mechanism so permit. |
Table 2
(in EUR) |
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Class in terms of average daily turnover (ADT) |
ADT < 500 000 |
500 000 ≤ ADT < 1 000 000 |
1 000 000 ≤ ADT < 25 000 000 |
25 000 000 ≤ ADT < 50 000 000 |
ADT ≥ 50 000 000 |
Minimum size of order qualifying as large in scale compared with normal market size |
50 000 |
100 000 |
250 000 |
400 000 |
500 000 |
Table 3
(in EUR) |
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Class in terms of average value of transact-ions (AVT) |
AVT < 10 000 |
10 000 ≤ AVT < 20 000 |
20 000 ≤ AVT < 30 000 |
30 000 ≤ AVT < 40 000 |
40 000 ≤ AVT < 50 000 |
50 000 ≤ AVT < 70 000 |
70 000 ≤ AVT < 90 000 |
Etc. |
Standard market size |
7 500 |
15 000 |
25 000 |
35 000 |
45 000 |
60 000 |
80 000 |
Etc. |
Table 4
Deferred publication thresholds and delays
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Class of shares in terms of average daily turnover (ADT) |
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ADT < EUR 100 000 |
EUR 100 000 ≤ ADT < EUR 1 000 000 |
EUR 1 000 000 ≤ ADT < EUR 50 000 000 |
ADT ≥ EUR 50 000 000 |
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Minimum qualifying size of transaction for permitted delay |
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Permitted delay for publication |
60 minutes |
EUR 10 000 |
Greater of 5 % of ADT and EUR 25 000 |
Lower of 10 % of ADT and EUR 3 500 000 |
Lower of 10 % of ADT and EUR 7 500 000 |
180 minutes |
EUR 25 000 |
Greater of 15 % of ADT and EUR 75 000 |
Lower of 15 % of ADT and EUR 5 000 000 |
Lower of 20 % of ADT and EUR 15 000 000 |
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Until end of trading day (or roll-over to noon of next trading day if trade undertaken in final two hours of trading day) |
EUR 45 000 |
Greater of 25 % of ADT and EUR 100 000 |
Lower of 25 % of ADT and EUR 10 000 000 |
Lower of 30 % of ADT and EUR 30 000 000 |
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Until end of trading day next after trade |
EUR 60 000 |
Greater of 50 % of ADT and EUR 100 000 |
Greater of 50 % of ADT and EUR 1 000 000 |
100 % of ADT |
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Until end of second trading day next after trade |
EUR 80 000 |
100 % of ADT |
100 % of ADT |
250 % of ADT |
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Until end of third trading day next after trade |
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250 % of ADT |
250 % of ADT |
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