This Regulation shall enter into force on the 20th day following its publication in the Official Journal of the European Union.
This Regulation shall apply from 1 November 2007, except Article 11 and Article 34(5) and (6), which shall apply from 1 June 2007.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 10 August 2006.
For the Commission
Charlie McCREEVY
Member of the Commission
(1) OJ L 145, 30.4.2004, p. 1. Directive as amended by Directive 2006/31/EC (OJ L 114, 27.4.2006, p. 60).
(2) OJ L 345, 31.12.2003, p. 64.
(3) OJ L 375, 31.12.1985, p. 3. Directive as last amended by Directive 2005/1/EC of the European Parliament and of the Council (OJ L 79, 24.3.2005, p. 9).
(4) OJ L 191, 13.7.2001, p. 43.
(5) OJ L 193, 18. 7.1983, p. 1.
(6) See page 26 of this Official Journal.
(7) OJ L 184, 6.7.2001, p. 1. Directive as last amended by Directive 2005/1/EC.
ANNEX I
Table 1
List of fields for reporting purposes
Field Identifier
Description
1.
Reporting firm identification
A unique code to identify the firm which executed the transaction.
2.
Trading day
The trading day on which the transaction was executed.
3.
Trading time
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.
4.
Buy/sell indicator
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.
5.
Trading capacity
Identifies whether the firm executed the transaction:
—
on its own account (either on its own behalf or on behalf of a client),
—
for the account, and on behalf, of a client.
6.
Instrument identification
This shall consist of:
—
a unique code, to be decided by the competent authority (if any) to which the report is made identifying the financial instrument which is the subject of the transaction,
—
if the financial instrument in question does not have a unique identification code, the report must include the name of the instrument or, in the case of a derivative contract, the characteristics of the contract.
7.
Instrument code type
The code type used to report the instrument.
8.
Underlying instrument identification
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.
9.
Underlying instrument identification code type
The code type used to report the underlying instrument.
10.
Instrument type
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.
11.
Maturity date
The maturity date of a bond or other form of securitised debt, or the exercise date/maturity date of a derivative contract.
12.
Derivative type
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.
13.
Put/call
Specification whether an option or any other financial instrument is a put or a call.
14.
Strike price
The strike price of an option or other financial instrument.
15.
Price multiplier
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.
16.
Unit price
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.
17.
Price notation
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.
18.
Quantity
The number of units of the financial instruments, the nominal value of bonds, or the number of derivative contracts included in the transaction.
19.
Quantity notation
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.
20.
Counterparty
Identification of the counterparty to the transaction. That identification shall consist of:
—
where the counterparty is an investment firm, a unique code for that firm, to be determined by the competent authority (if any) to which the report is made,
—
where the counterparty is a regulated market or MTF or an entity acting as its central counterparty, the unique harmonised identification code for that market, MTF or entity acting as central counterparty, as specified in the list published by the competent authority of the home Member State of that entity in accordance with Article 13(2),
—
where the counterparty is not an investment firm, a regulated market, an MTF or an entity acting as central counterparty, it should be identified as 'customer/client' of the investment firm which executed the transaction.
21.
Venue identification
Identification of the venue where the transaction was executed. That identification shall consist in:
—
where the venue is a trading venue: its unique harmonised identification code,
—
otherwise: the code 'OTC'.
22.
Transaction reference number
A unique identification number for the transaction provided by the investment firm or a third party reporting on its behalf.
23.
Cancellation flag
An indication as to whether the transaction was cancelled.
Table 2
Further details for use of competent authorities
Field Identifier
Description
1.
Reporting firm identification
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.
6.
Instrument identification
The unique code, agreed between all the competent authorities, applicable to the financial instrument in question shall be used.
20.
Counterparty
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
Information to be made public in accordance with Article 17
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
Orders large in scale compared with normal market size
(in EUR)
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
Standard market sizes
(in EUR)
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
The table below shows, for each permitted delay for publication and each class of shares in terms of average daily turnover (ADT), the minimum qualifying size of transaction that will qualify for that delay in respect of a share of that type.
Class of shares in terms of average daily turnover (ADT)
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
Minimum qualifying size of transaction for permitted delay
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
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
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
Until end of second trading day next after trade
EUR 80 000
100 % of ADT
100 % of ADT
250 % of ADT
Until end of third trading day next after trade
250 % of ADT
250 % of ADT