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)
Date: 2006-08-10
Institutions: European Commission
Subjects: administrative transparency, financial instrument, financial legislation, financial transaction, information, investment company, provision of services

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I

(Acts whose publication is obligatory)

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)

THE COMMISSION OF THE EUROPEAN COMMUNITIES,

Having regard to the Treaty establishing the European Commu-
nity,

Having regard to Directive 2004/39/EC of
the European
Parliament and of the Council of 21 April 2004 on markets in
financial instruments amending Council Directives 85/611/EEC
and 93/6/EEC and Directive 2000/12/EC of
the European
Parliament and of the Council and repealing Council Directive
93/22/EEC (1), and in particular Articles 4(1)(2), 4(1)(7) and 4(2),
Article 13(10), Article 25(7), Article 27(7), Article 28(3),
Article 29(3), Article 30(3), Article 40(6), Article 44(3),
Article 45(3), Article 56(5), and Article 58(4) thereof,

Whereas:

(1) Directive 2004/39/EC establishes the general framework for
a regulatory regime for financial markets in the Commu-
nity, setting out, among other matters: operating conditions
relating to the performance by investment
firms of
investment and ancillary services, and investment activities;
organisational requirements (including record-keeping obli-
gations) for investment firms performing such services and
activities on a professional basis, and for regulated markets;
transaction reporting requirements in respect of transac-
tions in financial
instruments, and transparency require-
ments in respect of transactions in shares.

(2)

It is appropriate that the provisions of this Regulation take
that
legislative form in order to ensure a harmonised
regime in all Member States, to promote market integration
and the cross-border provision of investment and ancillary
services, and to facilitate the further consolidation of the
single market. Provisions relating to certain aspects of
record-keeping, and to transaction reporting, transparency
and commodity derivatives have few interfaces with
national
law and with detailed laws governing client
relationships.

(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).

(3) Detailed and fully harmonised transparency requirements
and rules regulating transaction reporting are appropriate
so as to ensure equivalent market conditions and the
smooth operation of securities markets throughout the
Community, and to facilitate the effective integration of
those markets. Certain aspects of record-keeping are closely
allied as they make use of the same concepts as are defined
for transaction reporting and transparency purposes.

(4)

The regime established by Directive 2004/39/EC governing
transaction reporting requirements in respect of transac-
tions in financial instruments aims to ensure that relevant
competent authorities are properly informed about transac-
tions in which they have a supervisory interest. For those
purposes it is necessary to ensure that a single data set is
collected from all investment firms with a minimum of
variation between Member States, so as to minimise the
extent to which businesses operating across borders are
subject to different reporting obligations, and so as to
maximise the proportion of data held by a competent
authority that can be shared with other competent
authorities. The measures are also designed to ensure that
competent authorities are in a position to carry out their
obligations under
that Directive as expeditiously and
efficiently as possible.

(5)

The regime established by Directive 2004/39/EC governing
transparency requirements in respect of transactions in
shares admitted to trading on a regulated market aims to
ensure that investors are adequately informed as to the true
level of actual and potential transactions in such shares,
whether those transactions take place on regulated markets,
multilateral trading facilities, hereinafter ‘MTFs’, systematic
internalisers, or outside those trading venues. Those
requirements are part of a broader framework of rules

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designed to promote competition between trading venues
for execution services so as to increase investor choice,
encourage innovation, lower transaction costs, and increase
the efficiency of the price formation process on a pan-
Community basis. A high degree of transparency is an
essential part of this framework, so as to ensure a level
playing field between trading venues so that the price
discovery mechanism in respect of particular shares is not
impaired by the fragmentation of liquidity, and investors
are not thereby penalised. On the other hand, that Directive
recognises that there may be circumstances where exemp-
tions from pre-trade transparency obligations, or deferral of
post-trade transparency obligations, may be necessary. This
Regulation sets out details of those circumstances, bearing
in mind the need both to ensure a high level of
transparency, and to ensure that liquidity on trading venues
and elsewhere is not impaired as an unintended conse-
quence of obligations to disclose transactions and thereby
to make public risk positions.

(6)

For the purposes of the provisions on record-keeping, a
reference to the type of the order should be understood as
referring to its status as a limit order, market order, or other
specific type of order. For the purposes of the provisions on
record-keeping, a reference to the nature of the order or
transaction should be understood as referring to orders to
subscribe for securities or the subscription of securities, or
to exercise an option or the exercise of an option, or similar
client orders or transactions.

(7)

It is not necessary at this stage to specify or prescribe in
detail the type, nature and sophistication of the arrange-
ments for the exchange of information between competent
authorities.

(8) Where a notification made by a competent authority
relating to the alternative determination of
the most
relevant market in terms of liquidity is not acted upon
within a reasonable time, or where a competent authority
does not agree with the calculation made by the other
authority, the competent authorities concerned should seek
to find a solution. It is open to the competent authorities,
where appropriate, to discuss the matter in the Committee
of European Securities Regulators.

that they act honestly, fairly and professionally and in a
manner which promotes the integrity of the market in the
Community,
the need for decisions to be based on a
thorough cost-benefit analysis, the need to ensure that
transaction information is used only for
the proper
discharge of the functions of competent authorities and
finally the need to have
effective and accountable
governance arrangements for any common system that
might be considered necessary.

(10)

It is appropriate to set the criteria for determining when the
operations of a regulated market are of
substantial
importance in a host Member State and the consequences
of
that status in such a way as to avoid creating an
obligation on a regulated market to deal with or be made
subject
to more than one competent authority where
otherwise there would be no such obligation.

(11)

ISO 10962 (Classification of financial instruments code) is
an example of a uniform internationally accepted standard
for financial instrument classification.

(12)

(13)

If granting waivers in relation to pre-trade transparency
requirements, or authorising the deferral of post-trade
transparency obligations, competent authorities should
treat all regulated markets and MTFs equally and in a
non-discriminatory manner, so that a waiver or deferral is
granted either to all regulated markets and MTFs that they
authorise under Directive 2004/39/EC, or
to none.
Competent authorities which grant the waivers or deferrals
should not impose additional requirements.

It
is appropriate to consider that a trading algorithm
operated by a regulated market or MTF usually should seek
trading
to maximise
algorithms should be possible.

traded, but other

the volume

to avoid such obligations

(14) A waiver from pre-trade transparency obligations arising
under Articles 29 or 44 of Directive 2004/39/EC conferred
by a competent authority should not enable investment
firms
those
transactions in liquid shares which they conclude on a
bilateral basis under the rules of a regulated market or an
MTF where, if carried out outside the rules of the regulated
market or MTF, those transactions would be subject to the
requirements to publish quotes set out in Article 27 of that
Directive.

in respect of

(9)

The competent authorities should coordinate the design
and establishment of arrangements for the exchange of
transaction information between themselves. Again it is
open to the competent authorities to discuss those matters
in the Committee of European Securities Regulators.
Competent authorities should report to the Commission
which should inform the European Securities Committee of
those arrangements.
the coordination,
competent authorities should consider the need to monitor
the activities of investment firms effectively, so as to ensure

In carrying out

(15) An activity should be considered as having a material
commercial role for an investment firm if the activity is a
significant source of revenue, or a significant source of cost.
An assessment of significance for these purposes should, in
every case, take into account the extent to which the activity
is conducted or organised separately, the monetary value of
the activity, and its comparative significance by reference

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both to the overall business of the firm and to its overall
activity in the market for the share concerned in which the
firm operates. It should be possible to consider an activity
to be a significant source of revenue for a firm even if only
one or two of
the factors mentioned is relevant in a
particular case.

(16) Shares not traded daily should not be considered as having
a liquid market for the purposes of Directive 2004/39/EC.
However, if, for exceptional reasons, trading in a share is
suspended for reasons related to the preservation of an
orderly market or force majeure and therefore a share is not
traded during some trading days, this should not mean that
the share cannot be considered to have a liquid market.

(17) The requirement

to make certain quotes, orders or
transactions public pursuant to Articles 27, 28, 29, 30,
44 and 45 of Directive 2004/39/EC and this Regulation
should not prevent regulated markets and MTFs from
requiring their members or participants to make public
other such information.

(18)

Information which is required to be made available as close
to real time as possible should be made available as close to
instantaneously as technically possible, assuming a reason-
able level of efficiency and of expenditure on systems on
the part of the person concerned. The information should
only be published close to the three minute maximum limit
in exceptional cases where the systems available do not
allow for a publication in a shorter period of time.

(19) For the purposes of the provisions of this Regulation as to
the admission to trading on a regulated market of a
transferable security as defined in Article 4(1)(18)(c) of
Directive 2004/39/EC, in the case of a security within the
meaning of Directive 2003/71/EC of
the European
Parliament and of the Council of 4 November 2003 on
the prospectus to be published when securities are offered
to the public or admitted to trading and amending Directive
2001/34/EC (1), there should be considered to be sufficient
information publicly available of a kind needed to value
that financial instrument.

collective

investment

(20) The admission to trading on a regulated market of units
issued by undertakings
in
for
transferable securities should not allow the avoidance of
the relevant provisions of Council Directive 85/611/EEC of
20 December 1985 on the coordination of laws, regula-
tions and administrative provisions relating to undertakings
for
securities
(UCITS) (2), and in particular Articles 44 to 48 of that
Directive.

transferable

investment

collective

in

(1) OJ L 345, 31.12.2003, p. 64.
(2) 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).

(21) A derivative contract should only be considered to be a
financial
instrument under Section C(7) of Annex I to
Directive 2004/39/EC if it relates to a commodity and
meets the criteria in this Regulation for determining
whether a contract should be considered as having the
characteristics of other derivative financial instruments and
as not being for commercial purposes. A derivative contract
instrument
should only be considered to be a financial
under Section C(10) of
it relates to an
underlying specified in Section C(10) or in this Regulation
and meets the criteria in this Regulation for determining
whether it should be considered as having the character-
istics of other derivative financial instruments.

that Annex if

(22) The exemptions in Directive 2004/39/EC that relate to
dealing on own account or to dealing or providing other
investment services in relation to commodity derivatives
covered by Sections C(5), C(6) and C(7) of Annex I to that
Directive or derivatives covered by Section C(10) of that
Annex I could be expected to exclude significant numbers
of commercial producers and consumers of energy and
other commodities, including energy suppliers, commodity
merchants and their subsidiaries from the scope of that
Directive, and therefore such participants will not be
required to apply the tests in this Regulation to determine if
the contracts they deal in are financial instruments.

(23)

In accordance with Section B(7) of Annex I to Directive
2004/39/EC, investment firms may exercise the freedom to
provide ancillary services in a Member State other than
their home Member State, by performing investment
services and activities and ancillary services of the type
included under Section A or B of that Annex related to the
underlying of the derivatives included under Sections C(5),
(6), (7) and (10) of that Annex, where these are connected
to the provision of investment or ancillary services. On this
basis, a firm performing investment services or activities,
and connected trading in spot contracts, should be capable
to take advantage of
the freedom to provide ancillary
services in respect of that connected trading.

(24) The definition of a commodity should not affect any other
legislation and other
definition of that term in national
community legislation. The tests for determining whether a
contract should be considered as having the characteristics
of other derivative financial instruments and not being for
commercial purposes are only intended to be used for the
purposes of determining whether contracts fall within
Section C(7) or C(10) of Annex I to Directive 2004/39/EC.

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contract

and the

(25) A derivative contract should be understood as relating to a
commodity or to another factor where there is a direct link
between that
relevant underlying
commodity or factor. A derivative contract on the price
of a commodity should therefore be regarded as a derivative
contract relating to the commodity, while a derivative
contract on the transportation costs for the commodity
should not be regarded as a derivative contract relating to
the commodity. A derivative that relates to a commodity
derivative, such as an option on a commodity future (a
derivative relating to a derivative) would constitute an
indirect investment in commodities and should therefore
still be regarded as a commodity derivative for the purposes
of Directive 2004/39/EC.

(26) The concept of commodity should not include services or
other items that are not goods, such as currencies or rights
in real estate, or that are entirely intangible.

(27) The Committee of European Securities Regulators, estab-
lished by Commission Decision 2001/527/EC (1) has been
consulted for technical advice.

(28) The measures provided for

in this Regulation are in
accordance with the opinion of the European Securities
Committee,

HAS ADOPTED THIS REGULATION:

CHAPTER I

GENERAL

Article 1

Subject-matter and scope

(2)

‘issuer’ means an entity which issues transferable securities
and, where appropriate, other financial instruments;

(3)

‘Community issuer’ means an issuer which has its registered
office in the Community;

(4)

‘third country issuer’ means an issuer which is not a
Community issuer;

(5)

(6)

(7)

(8)

(9)

‘normal trading hours’ for a trading venue or an investment
firm means those hours which the trading venue or
investment firm establishes in advance and makes public as
its trading hours;

‘portfolio trade’ means a transaction in more than one
security where those securities are grouped and traded as a
single lot against a specific reference price;

‘relevant competent authority’ for a financial
instrument
means the competent authority of the most relevant market
in terms of liquidity for that financial instrument;

‘trading venue’ means a regulated market, MTF or
systematic internaliser acting in its capacity as such, and,
where appropriate, a system outside the Community with
similar functions to a regulated market or MTF;

‘turnover’, in relation to a financial instrument, means the
sum of the results of multiplying the number of units of
that instrument exchanged between buyers and sellers in a
defined period of time, pursuant to transactions taking
place on a trading venue or otherwise, by the unit price
applicable to each such transaction;

1. This Regulation lays down the detailed rules for
the
implementation of Articles 4(1)(2), 4(1)(7), 13(6), 25, 27, 28,
29, 30, 40, 44, 45, 56 and 58 of Directive 2004/39/EC.

(10)

2. Articles 7 and 8 shall apply to management companies in
accordance with Article 5(4) of Directive 85/611/EEC.

‘securities financing transaction’ means an instance of stock
lending or stock borrowing or the lending or borrowing of
other
reverse
repurchase transaction, or a buy-sell back or sell-buy back
transaction.

instruments, a repurchase or

financial

Article 2

Definitions

Article 3

Transactions related to an individual share in a portfolio
trade and volume weighted average price transactions

For the purposes of this Regulation, the following definitions
shall apply:

(1)

‘commodity’ means any goods of a fungible nature that are
capable of being delivered, including metals and their ores
and alloys, agricultural products, and energy such as
electricity;

(1) OJ L 191, 13.7.2001, p. 43.

1. A transaction related to an individual share in a portfolio
trade shall be considered, for the purposes of Article 18(1)(b)(ii),
as a transaction subject to conditions other than the current
market price.

It shall also be considered, for the purposes of Article 27(1)(b), as
a transaction where the exchange of shares is determined by
factors other than the current market valuation of the share.

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for

2. A volume weighted average price transaction shall be
considered,
the purposes of Article 18(1)(b)(ii), as a
transaction subject to conditions other than the current market
price and, for the purposes of Article 25, as an order subject to
conditions other than the current market price.

Article 5

References to transaction

It shall also be considered, for the purposes of Article 27(1)(b), as
a transaction where the exchange of shares is determined by
factors other than the current market valuation of the share.

For the purposes of this Regulation, a reference to a transaction
is a reference only to the purchase and sale of a financial
instrument. For the purposes of this Regulation, other than
Chapter II, the purchase and sale of a financial instrument does
not include any of the following:

Article 4

(a)

securities financing transactions;

(b)

the exercise of options or of covered warrants;

References to trading day

(c)

1. A reference to a trading day in relation to a trading venue, or
in relation to post-trade information to be made public under
Article 30 or 45 of Directive 2004/39/EC in relation to a share,
shall be a reference to any day during which the trading venue
concerned is open for trading.

A reference to the opening of the trading day shall be a reference
the
to the commencement of the normal trading hours of
trading venue.

A reference to noon on the trading day shall be a reference to
noon in the time zone where the trading venue is established.

A reference to the end of the trading day shall be a reference to
the end of its normal trading hours.

primary market transactions (such as issuance, allotment or
falling within
subscription)
Article 4(1)(18)(a) and (b) of Directive 2004/39/EC.

in financial

instruments

Article 6

First admission to trading of a share on a regulated market

For the purposes of this Regulation, the first admission to trading
of a share on a regulated market referred to in Article 40 of
Directive 2004/39/EC shall be considered to take place at a time
when one of the following conditions applies:

(a)

(b)

the share has not previously been admitted to trading on a
regulated market;

the share has previously been admitted to trading on a
regulated market but the share is removed from trading on
every regulated market which has so admitted it.

2. A reference to a trading day in relation to the most relevant
market in terms of liquidity for a share, or in relation to post-
trade information to be made public under Article 28 of
Directive 2004/39/EC in relation to a share, shall be a reference
to any day of normal trading on trading venues in that market.

CHAPTER II

RECORD-KEEPING: CLIENT ORDERS AND TRANSACTIONS

A reference to the opening of the trading day shall be a reference
to the earliest commencement of normal trading in that share on
trading venues in that market.

A reference to noon on the trading day shall be a reference to
noon in the time zone of that market.

A reference to the end of the trading day shall be a reference to
the latest cessation of normal trading in that share on trading
venues in that market.

Article 7

(Article 13(6) of Directive 2004/39/EC)

Record-keeping of client orders and decisions to deal

An investment firm shall, in relation to every order received from
a client, and in relation to every decision to deal taken in
providing the service of portfolio management,
immediately
make a record of the following details, to the extent they are
applicable to the order or decision to deal in question:

(a)

the name or other designation of the client;

3. A reference to a trading day in relation to a spot contract,
within the meaning of Article 38(2), shall be a reference to any
day of normal trading of that contract on trading venues.

(b)

the name or other designation of any relevant person acting
on behalf of the client;

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(c)

the details specified in points 4, 6 and 16 to 19, of Table 1
of Annex I;

(d)

the nature of the order if other than buy or sell;

(e)

the type of the order;

(f)

any other details, conditions and particular instructions
from the client that specify how the order must be carried
out;

(g)

the date and exact time of the receipt of the order, or of the
decision to deal, by the investment firm.

Article 8

(Article 13(6) of Directive 2004/39/EC)

Record-keeping of transactions

1.
Immediately after executing a client order, or, in the case of
investment firms that transmit orders to another person for
immediately after receiving confirmation that an
execution,
order has been executed,
investment firms shall record the
following details of the transaction in question:

(a)

the name or other designation of the client;

(b)

the details specified in points 2, 3, 4, 6 and 16 to 21, of
Table 1 of Annex I;

(c)

the total price, being the product of the unit price and the
quantity;

(d)

the nature of the transaction if other than buy or sell;

(e)

the natural person who executed the transaction or who is
responsible for the execution.

If an investment firm transmits an order to another person
2.
for execution, the investment firm shall immediately record the
following details after making the transmission:

(a)

the name or other designation of the client whose order has
been transmitted;

(b)

the name or other designation of the person to whom the
order was transmitted;

(c)

the terms of the order transmitted;

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

1. The most relevant market in terms of liquidity for a financial
instrument which is admitted to trading on a regulated market,
hereinafter ‘the most relevant market’, shall be determined in
accordance with paragraphs 2 to 8.

2.
In the case of a share or other transferable security covered
by Article 4(1)(18)(a) of Directive 2004/39/EC or of a unit in a
collective investment undertaking, the most relevant market shall
be the Member State where the share or the unit was first
admitted to trading on a regulated market.

In the case of a bond or other transferable security covered
3.
by Article 4(1)(18)(b) of Directive 2004/39/EC or of a money
market instrument which, in either case, is issued by a subsidiary,
within the meaning of Seventh Council Directive 83/349/EEC of
13 June 1983 on consolidated accounts (1), of an entity which
has its registered office in a Member State, the most relevant
market shall be the Member State where the registered office of
the parent entity is situated.

In the case of a bond or other transferable security covered
4.
by Article 4(1)(18)(b) of Directive 2004/39/EC or of a money
market
issued by a
Community issuer and which is not covered by paragraph 3 of
this Article, the most relevant market shall be the Member State
where the registered office of the issuer is situated.

instrument which,

in either case,

is

5.
In the case of a bond or other transferable security covered
by Article 4(1)(18)(b) of Directive 2004/39/EC or a money
market instrument which, in either case, is issued by a third
country issuer and which is not covered by paragraph 3 of this
Article, the most relevant market shall be the Member State
where that security was first admitted to trading on a regulated
market.

6.
In the case of a derivative contract or a financial contract for
differences or a transferable security covered by Article 4(1)(18)
(c) of Directive 2004/39/EC, the most relevant market shall be:

(a) where the underlying security is a share or other
transferable security covered by Article 4(1)(18)(a) of
Directive 2004/39/EC which is admitted to trading on a
regulated market, the Member State deemed to be the most
relevant market in terms of liquidity for the underlying
security, in accordance with paragraph 2;

(d)

the date and exact time of transmission.

(1) OJ L 193, 18. 7.1983, p. 1.

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(b) where the underlying security is a bond or other
transferable security covered by Article 4(1)(18)(b) of
Directive 2004/39/EC or a money market
instrument
which is admitted to trading on a regulated market, the
Member State deemed to be the most relevant market in
in
liquidity for
terms of
accordance with paragraphs 3, 4 or 5;

that underlying security,

(c)

any other financial instruments.

Article 10

(Second subparagraph of Article 25(3) of Directive 2004/39/EC)

(c) where the underlying is an index composed of shares all of
which are traded on a particular regulated market, the
Member State where that regulated market is situated.

Alternative determination of most relevant market in terms
of liquidity

In any case not covered by paragraphs 2 to 6, the most
7.
relevant market shall be the Member State where the regulated
market that first admitted the transferable security or derivative
contract or financial contract for differences to trading is located.

1. A competent authority may, in January every year, notify the
relevant competent authority for a particular financial instru-
ment that it intends to contest the determination, made in
accordance with Article 9, of the most relevant market for that
instrument.

the underlying financial

8. Where a financial instrument covered by paragraphs 2, 5 or
7, or
instrument of a financial
instrument covered by paragraph 6 to which one of paragraphs 2,
5 or 7 is relevant, was first admitted to trading on more than one
regulated market simultaneously, and all those regulated markets
share the same home Member State, that Member State shall be
the most relevant market.

Where the regulated markets concerned do not share the same
home Member State, the most relevant market in terms of
liquidity for that instrument shall be the market where the
turnover of that instrument is highest.

the instrument

For the purposes of determining the most relevant market where
is highest, each competent
the turnover of
authority that has authorised one of
the regulated markets
concerned shall calculate the turnover for that instrument in its
respective market for the previous calendar year, provided that
the instrument was admitted to trading at the beginning of that
year.

Where the turnover for the relevant financial instrument cannot
be calculated by reason of insufficient or non-existent data and
the issuer has its registered office in a Member State, the most
relevant market shall be the market of the Member State where
the registered office of the issuer is situated.

However, where issuer does not have its registered office in a
Member State, the most relevant market for that instrument shall
be the market where the turnover of the relevant instrument
class is the highest. For the purposes of determining that market,
each competent authority that has authorised one of
the
regulated markets concerned shall calculate the turnover for
the instruments of the same class in its respective market for the
preceding calendar year.

The relevant classes of financial instrument are the following:

(a)

shares;

(b)

bonds or other forms of securitised debt;

2. Within four weeks of the sending of the notification, both
authorities
financial
instrument in their respective markets over the period of the
previous calendar year.

shall calculate the turnover

that

for

If the results of that calculation indicate that the turnover is
higher in the market of the contesting competent authority, that
market shall be the most relevant market for that financial
instrument. Where that financial instrument is of a type specified
in Article 9(6)(a) or (b), that market shall also be the most
relevant market for any derivative contract or financial contract
for differences or transferable security which is covered by
Article 4(1)(18)(c) of Directive 2004/39/EC and in respect of
which that financial instrument is the underlying.

Article 11

(Article 25(3) of Directive 2004/39/EC)

List of financial instruments

The relevant competent authority for one or more financial
instruments shall ensure that there is established and maintained
an updated list of those financial instruments. That list shall be
made available to the single competent authority designated as a
contact point by each Member State in accordance with
Article 56 of Directive 2004/39/EC. That list shall be made
available for the first time on the first trading day in June 2007.

In order to assist competent authorities to comply with the first
subparagraph, each regulated market shall submit identifying
reference data on each financial instrument admitted to trading
in an electronic and standardised format to its home competent
authority. This information shall be submitted for each financial
instrument before
in that particular
trading commences
instrument. The home competent authority shall ensure the
data is transmitted to the relevant competent authority for the
financial
instrument concerned. The reference data shall be
updated whenever there are changes to the data with respect to
an instrument. The requirements in this subparagraph may be
waived if the relevant competent authority for that financial
instrument obtains the relevant reference data by other means.

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Article 12

(Article 25(5) of Directive 2004/39/EC)

Reporting channels

1. The reports of transactions in financial instruments shall be
made in an electronic form except under exceptional circum-
stances, when they may be made in a medium which allows for
the storing of the information in a way accessible for future
reference by the competent authorities other than an electronic
form, and the methods by which those reports are made shall
satisfy the following conditions:

the regulated markets and MTFs for
identification codes of
which, in each case, it is the competent authority of the home
Member State, and of any entities which act as central
counterparties for such regulated markets and MTFs.

3. Member States may require reports made in accordance with
Article 25(3) and (5) of Directive 2004/39/EC to contain
information related to the transactions in question which is
additional to that specified in Table 1 of Annex I where that
information is necessary to enable the competent authority to
monitor the activities of investment firms to ensure that they act
honestly, fairly and professionally and in a manner that promotes
the integrity of
the
following criteria is met:

the market, and provided that one of

(a)

(b)

(c)

(d)

(e)

they ensure the security and confidentiality of the data
reported;

(a)

the financial instrument which is the subject of the report
has characteristics which are specific to an instrument of
that kind and which are not covered by the information
items specified in that table;

they incorporate mechanisms for identifying and correcting
errors in a transaction report;

they incorporate mechanisms for authenticating the source
of the transaction report;

(b)

trading methods which are specific to the trading venue
where the transaction took place involve features which are
not covered by the information items specified in that table.

they include appropriate precautionary measures to enable
the timely resumption of reporting in the case of system
failure;

4. Member States may also require a report of a transaction
made in accordance with Article 25(3) and (5) of Directive 2004/
39/EC to identify the clients on whose behalf the investment firm
has executed that transaction.

they are capable of reporting the information required
under Article 13 in the format required by the competent
authority and in accordance with this paragraph, within the
time
in Article 25(3) of Directive
limits
2004/39/EC.

set out

2. A trade-matching or reporting system shall be approved by
the competent authority for the purposes of Article 25(5) of
reporting
Directive 2004/39/EC if
transactions established by that system comply with paragraph 1
of this Article and are subject to monitoring by a competent
authority in respect of their continuing compliance.

arrangements

the

for

Article 14

(Article 25(3) and (5) of Directive 2004/39/EC)

Exchange of information on transactions

1. The competent authorities shall establish arrangements
designed to ensure that the information received in accordance
with Article 25(3) and (5) of Directive 2004/39/EC is made
available to the following:

Article 13

(Article 25(3) and (5) of Directive 2004/39/EC)

(a)

the relevant competent authority for the financial instru-
ment in question;

Content of the transaction report

1. The reports of transactions referred to in Article 25(3) and
(5) of Directive 2004/39/EC shall contain the information
specified in Table 1 of Annex I to this Regulation which is
relevant to the type of financial
instrument in question and
which the competent authority declares is not already in its
possession or is not available to it by other means.

(b)

in the case of branches, the competent authority that has
authorised the investment firm providing the information,
without prejudice to its right not to receive this information
in accordance with Article 25(6) of Directive 2004/39/EC;

(c)

any other competent authority that requests the informa-
tion for the proper discharge of its supervisory duties under
Article 25(1) of Directive 2004/39/EC.

2.
For the purposes of the identification of a counterparty to
the transaction which is a regulated market, an MTF or other
central counterparty, as specified in Table 1 of Annex I, each
competent authority shall make publicly available a list of

2. The information to be made available in accordance with
paragraph 1 shall contain the information items described in
Tables 1 and 2 of Annex I.

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3. The information referred to in paragraph 1 shall be made
available as soon as possible.

of the reasons for not sending immediately the information
requested.

With effect from 1 November 2008 that information shall be
made available no later than the close of the next working day of
the competent authority that received the information or the
request following the day on which the competent authority has
received the information or the request.

4. The competent authorities shall coordinate the following:

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

(a)

the design and establishment of arrangements for the
exchange of transaction information between the compe-
tent authorities as required by Directive 2004/39/EC and
this Regulation;

The operations of a regulated market in a host Member State
shall be considered to be of substantial
importance for the
the securities markets and the protection of
functioning of
investors in that host State where one of the following criteria is
met:

(b)

any future upgrading of the arrangements.

5. Before 1 February 2007, the competent authorities shall
inform the European
report to the Commission, which shall
Securities Committee, on the design of the arrangements to be
established in accordance with paragraph 1.

They shall also report to the Commission, which shall inform the
European Securities Committee, whenever significant changes to
those arrangements are proposed.

Article 15

(Article 58(1) of Directive 2004/39/EC)

Request for cooperation and exchange of information

1. Where a competent authority wishes another competent
authority to supply or exchange information in accordance with
Article 58(1) of Directive 2004/39/EC, it shall submit a written
request to that competent authority containing sufficient detail
to enable it to provide the information requested.

However, in a case of urgency, the request may be transmitted
orally provided that it is confirmed in writing.

The competent authority which receives a request shall acknowl-
edge receipt as soon as practicable.

2. Where the information requested under paragraph 1 is
internally available to the competent authority that receives the
request, that authority shall transmit the requested information
without delay to the competent authority which made the
request.

(a)

(b)

the host Member State has formerly been the home
Member State of the regulated market in question;

the regulated market in question has acquired through
merger, takeover, or any other form of transfer the business
of a regulated market which had its registered office or head
office in the 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

1. An investment firm or market operator operating an MTF or
a regulated market shall, in respect of each share admitted to
trading on a regulated market that is traded within a system
operated by it and specified in Table 1 of Annex II, make public
the information set out in paragraphs 2 to 6.

2. Where one of the entities referred to in paragraph 1 operates
a continuous auction order book trading system, it shall, for each
share as specified in paragraph 1, make public continuously
throughout its normal trading hours the aggregate number of
orders and of the shares those orders represent at each price
level, for the five best bid and offer price levels.

However, if the competent authority that receives the request
does not possess or control the information requested, it shall
immediately take the necessary steps to obtain that information
and to comply fully with the request. That competent authority
shall also inform the competent authority that made the request

3. Where one of the entities referred to in paragraph 1 operates
a quote-driven trading system, it shall, for each share as specified
in paragraph 1, make public continuously throughout its normal
trading hours the best bid and offer by price of each market
maker in that share, together with the volumes attaching to those
prices.

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The quotes made public shall be those that represent binding
commitments to buy and sell the shares and which indicate the
price and volume of shares in which the registered market
makers are prepared to buy or sell.

(b)

they formalise negotiated transactions, each of which meets
one of the following criteria:

In exceptional market conditions, however, indicative or one-way
prices may be allowed for a limited time.

4. Where one of the entities referred to in paragraph 1 operates
a periodic auction trading system, it shall, for each share specified
in paragraph 1, make public continuously throughout its normal
trading hours the price that would best satisfy the system's
trading algorithm and the volume that would potentially be
executable at that price by participants in that system.

5. Where one of the entities referred to in paragraph 1 operates
a trading system which is not wholly covered by paragraph 2 or
3 or 4, either because it is a hybrid system falling under more
than one of those paragraphs or because the price determination
process is of a different nature, it shall maintain a standard of
pre-trade transparency that ensures that adequate information is
made public as to the price level of orders or quotes for each
share specified in paragraph 1, as well as the level of trading
interest in that share.

In particular, the five best bid and offer price levels and/or two-
way quotes of each market maker in that share shall be made
public, if the characteristics of the price discovery mechanism
permit it.

(i)

it is made at or within the current volume weighted
spread reflected on the order book or the quotes of
the market makers of the regulated market or MTF
operating that system or, where the share is not traded
continuously, within a percentage of a suitable
reference price, being a percentage and a reference
price set in advance by the system operator;

(ii)

it is subject to conditions other than the current
market price of the share.

For the purposes of point (b), the other conditions specified in
the rules of the regulated market or MTF for a transaction of this
kind must also have been fulfilled.

In the case of systems having functionality other than as
described in points (a) or (b), the waiver shall not apply to that
other functionality.

2. Waivers in accordance with Articles 29(2) and 44(2) of
Directive 2004/39/EC based on the type of orders may be
granted only in relation to orders held in an order management
facility maintained by the regulated market or the MTF pending
their being disclosed to the market.

Article 19

6. A summary of
the information to be made public in
accordance with paragraphs 2 to 5 is specified in Table 1 of
Annex II.

(Articles 29(2) and 44(2) of Directive 2004/39/EC)

References to negotiated transaction

Article 18

(Articles 29(2) and 44(2) of Directive 2004/39/EC)

For the purpose of Article 18(1)(b) a negotiated transaction shall
mean a transaction involving members or participants of a
regulated market or an MTF which is negotiated privately but
executed within the regulated market or MTF and where that
member or participant
the
following tasks:

in doing so undertakes one of

Waivers based on market model and type of order or
transaction

(a)

dealing on own account with another member or
participant who acts for the account of a client;

1. Waivers in accordance with Article 29(2) and 44(2) of
Directive 2004/39/EC may be granted by the competent
authorities for systems operated by an MTF or a regulated
market, if those systems satisfy one of the following criteria:

(b)

dealing with another member or participant, where both
are executing orders on own account;

(c)

acting for the account of both the buyer and seller;

(a)

they must be based on a trading methodology by which the
price is determined in accordance with a reference price
generated by another system, where that reference price is
widely published and is regarded generally by market
participants as a reliable reference price;

(d)

acting for the account of the buyer, where another member
or participant acts for the account of the seller;

(e)

trading for own account against a client order.

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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

An order shall be considered to be large in scale compared with
normal market size if it is equal to or larger than the minimum
size of order specified in Table 2 in Annex II. For the purposes of
determining whether an order is large in scale compared to
normal market size, all shares admitted to trading on a regulated
market shall be classified in accordance with their average daily
turnover, which shall be calculated in accordance with the
procedure set out in Article 33.

SECTION 2

3. The activity of dealing on own account by executing client
orders shall not be treated as performed on an organised,
frequent and systematic basis where the following conditions
apply:

(a)

the activity is performed on an ad hoc and irregular bilateral
basis with wholesale counterparties as part of business
relationships which are themselves characterised by deal-
ings above standard market size;

(b)

the transactions are carried out outside the systems
habitually used by the firm concerned for any business
that it carries out in the capacity of a systematic internaliser.

4.
Each competent authority shall ensure the maintenance and
publication of a list of all systematic internalisers, in respect of
shares admitted to trading on a regulated market, which it has
authorised as investment firms.

Pre-trade transparency for systematic internalisers

It shall ensure that the list is current by reviewing it at least
annually.

Article 21

(Article 4(1)(7) of Directive 2004/39/EC)

Criteria for determining whether an investment firm is a
systematic internaliser

firm deals on own account by
1. Where an investment
executing client orders outside a regulated market or an MTF,
it shall be treated as a systematic internaliser if it meets the
following criteria indicating that it performs that activity on an
organised, frequent and systematic basis:

The list shall be made available to the Committee of European
Securities Regulators. It shall be considered as published when it
is published by the Committee of European Securities Regulators
in accordance with Article 34(5).

Article 22

(Article 27 of Directive 2004/39/EC)

Determination of liquid shares

(a)

(b)

the activity has a material commercial role for the firm, and
is carried on in accordance with non-discretionary rules
and procedures;

1. A share admitted to trading on a regulated market shall be
considered to have a liquid market if the share is traded daily,
with a free float not less than EUR 500 million, and one of the
following conditions is satisfied:

the activity is carried on by personnel, or by means of an
automated technical system, assigned to that purpose,
irrespective of whether those personnel or that system are
used exclusively for that purpose;

(a)

the average daily number of transactions in the share is not
less than 500;

(c)

the activity is available to clients on a regular or continuous
basis.

(b)

the average daily turnover for the share is not less than EUR
2 million.

2. An investment firm shall cease to be a systematic internaliser
in one or more shares if it ceases to carry on the activity specified
in paragraph 1 in respect of those shares, provided that it has
announced in advance that it intends to cease that activity using
the same publication channels for that announcement as it uses
to publish its quotes or, where that is not possible, using a
channel which is equally accessible to its clients and other market
participants.

However, a Member State may, in respect of shares for which it is
the most relevant market, specify by notice that both of those
conditions are to apply. That notice shall be made public.

2. A Member State may specify the minimum number of liquid
shares for that Member State. The minimum number shall be no
greater than five. The specification shall be made public.

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3. Where, pursuant to paragraph 1, a Member State would be
the most relevant market
for fewer liquid shares than the
minimum number specified in accordance with paragraph 2, the
competent authority for that Member State may designate one or
more additional liquid shares, provided that the total number of
shares which are considered in consequence to be liquid shares
for which that Member State is the most relevant market does
not exceed the minimum number specified by that Member
State.

The competent authority shall designate the additional
liquid
shares successively in decreasing order of average daily turnover
from among the shares for which it is the relevant competent
authority that are admitted to trading on a regulated market and
are traded daily.

For the purposes of the first subparagraph of paragraph 1,
4.
the calculation of the free float of a share shall exclude holdings
exceeding 5 % of the total voting rights of the issuer, unless such
a holding is held by a collective investment undertaking or a
pension fund.

Voting rights shall be calculated on the basis of all the shares to
which voting rights are attached, even if the exercise of such a
right is suspended.

Article 24

(Article 27(1) of Directive 2004/39/EC)

Quotes reflecting prevailing market conditions

A systematic internaliser shall, for each liquid share for which it
is a systematic internaliser, maintain the following:

(a)

a quote or quotes which are close in price to comparable
quotes for the same share in other trading venues;

(b)

a record of its quoted prices, which it shall retain for a
period of 12 months or such longer period as it considers
appropriate.

the investment

The obligation laid down in point (b) is without prejudice to the
obligation of
firm under Article 25(2) of
Directive 2004/39/EC to keep at the disposal of the competent
authority for at least five years the relevant data relating to all
transactions it has carried out.

Article 25

5. A share shall not be considered to have a liquid market for
the purposes of Article 27 of Directive 2004/39/EC until six
weeks after its first admission to trading on a regulated market, if
the estimate of the total market capitalisation for that share at the
start of the first day's trading after that admission, provided in
accordance with Article 33(3), is less than EUR 500 million.

(Fifth subparagraph of Article 27(3) and Article 27(6)
of Directive 2004/39/EC)

Execution of orders by systematic internalisers

6.
Each competent authority shall ensure the maintenance and
publication of a list of all liquid shares for which it is the relevant
competent authority.

It shall ensure that the list is current by reviewing it at least
annually.

The list shall be made available to the Committee of European
Securities Regulators. It shall be considered as published when it
is published by the Committee of European Securities Regulators
in accordance with Article 34(5).

Article 23

(Fourth subparagraph of Article 27(1) of Directive 2004/39/EC)

Standard market size

In order to determine the standard market size for liquid shares,
those shares shall be grouped into classes in terms of the average
value of orders executed in accordance with Table 3 in Annex II.

For the purposes of the fifth subparagraph of Article 27(3)
1.
of Directive 2004/39/EC, execution in several securities shall be
regarded as part of one transaction if that one transaction is a
portfolio trade that involves 10 or more securities.

For the same purposes, an order subject to conditions other than
the current market price means any order which is neither an
order for the execution of a transaction in shares at the prevailing
market price, nor a limit order.

For the purposes of Article 27(6) of Directive 2004/39/EC,
2.
the number or volume of orders
shall be regarded as
considerably exceeding the norm if a systematic internaliser
cannot execute those orders without exposing itself to undue
risk.

In order to identify the number and volume of orders that it can
execute without exposing itself
to undue risk, a systematic
internaliser shall maintain and implement as part of its risk
management policy under Article 7 of Commission Directive
2006/73/EC (1) a non-discriminatory policy which takes into
account the volume of the transactions, the capital that the firm
has available to cover the risk for that type of trade, and the
prevailing conditions in the market
in which the firm is
operating.

(1) See page 26 of this Official Journal.

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3. Where, in accordance with Article 27(6) of Directive 2004/
39/EC, an investment firm limits the number or volume of
orders it undertakes to execute, it shall set out in writing, and
make available to clients and potential clients, the arrangements
designed to ensure that such a limitation does not result in the
discriminatory treatment of clients.

Article 26

(Fourth subparagraph Article 27(3) of Directive 2004/39/EC)

Retail size

For the purposes of the fourth subparagraph of Article 27(3) of
Directive 2004/39/EC, an order shall be regarded as being of a
size bigger than the size customarily undertaken by a retail
investor if it exceeds EUR 7 500.

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

1.
Investment firms, regulated markets, and investment firms
and market operators operating an MTF shall, with regard to
transactions in respect of shares admitted to trading on regulated
markets concluded by them or, in the case of regulated markets
or MTFs, within their systems, make public the following details:

(a)

(b)

(c)

(d)

the details specified in points 2, 3, 6, 16, 17, 18, and 21 of
Table 1 in Annex I;

an indication that the exchange of shares is determined by
factors other than the current market valuation of the
share, where applicable;

an indication that the trade was a negotiated trade, where
applicable;

any amendments
where applicable.

to previously disclosed information,

Those details shall be made public either by reference to each
transaction or in a form aggregating the volume and price of all
transactions in the same share taking place at the same price at
the same time.

that is executed in its capacity as a systematic internaliser in
respect of that share.

The systematic internaliser may exercise that right only as long as
it makes available to the public aggregate quarterly data as to the
transactions executed in its capacity as a systematic internaliser
in respect of that share relating to the most recent calendar
quarter, or part of a calendar quarter, during which the firm acted
as a systematic internaliser in respect of that share. That data
shall be made available no later than one month after the end of
each calendar quarter.

It may also exercise that right during the period between the date
specified in Article 41(2), or the date on which the firm
commences to be a systematic internaliser in relation to a share,
whichever is the later, and the date that aggregate quarterly data
in relation to a share is first due to be published.

3. The aggregated quarterly data referred to in the second
subparagraph of paragraph 2 shall contain the following
information for the share in respect of each trading day of the
calendar quarter concerned:

(a)

the highest price;

(b)

the lowest price;

(c)

the average price;

(d)

the total number of shares traded;

(e)

the total number of transactions;

(f)

such other
decides to make available.

information as

the systematic internaliser

4. Where the transaction is executed outside the rules of a
regulated market or an MTF, one of the following investment
firms shall, by agreement between the parties, arrange to make
the information public:

(a)

the investment firm that sells the share concerned;

(b)

the investment firm that acts on behalf of or arranges the
transaction for the seller;

(c)

the investment firm that acts on behalf of or arranges the
transaction for the buyer;

(d)

the investment firm that buys the share concerned.

2. By way of exception, a systematic internaliser shall be
entitled to use the acronym ‘SI’ instead of the venue identification
referred to in paragraph 1(a) in respect of a transaction in a share

In the absence of such an agreement, the information shall be
made public by the investment firm determined by proceeding
sequentially from point (a) to point (d) until the first point that
applies to the case in question.

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The parties shall take all reasonable steps to ensure that the
transaction is made public as a single transaction. For those
purposes two matching trades entered at the same time and price
with a single party interposed shall be considered to be a single
transaction.

Article 28

(Articles 28, 30 and 45 of Directive 2004/39/EC)

Deferred publication of large transactions

The deferred publication of information in respect of transac-
tions may be authorised, for a period no longer than the period
specified in Table 4 in Annex II for the class of share and
transaction concerned, provided that the following criteria are
satisfied:

(a)

the transaction is between an investment firm dealing on
own account and a client of that firm;

(b)

the size of the transaction is equal to or exceeds the relevant
minimum qualifying size, as specified in Table 4 in
Annex II.

In order to determine the relevant minimum qualifying size for
the purposes of point (b), all shares admitted to trading on a
regulated market shall be classified in accordance with their
average daily turnover to be calculated in accordance with
Article 33.

Information relating to a portfolio trade shall be made
3.
available with respect to each constituent transaction as close to
real time as possible, having regard to the need to allocate prices
to particular shares. Each constituent
transaction shall be
assessed separately for the purposes of determining whether
deferred publication in respect of that transaction is available
under Article 28.

4.
Post-trade information relating to transactions taking place
on a trading venue but outside its normal trading hours shall be
made public before the opening of the next trading day of the
trading venue on which the transaction took place.

For transactions that take place outside a trading venue,

5.
post-trade information shall be made public:

(a)

(b)

if the transaction takes place during a trading day of the
most relevant market for the share concerned, or during the
investment firm's normal trading hours, as close to real
time as possible. Post-trade information relating to such
transactions shall be made available in any case within three
minutes of the relevant transaction;

in a case not covered by point (a), immediately 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.

Article 30

(Articles 27, 28, 29, 30, 44 and 45 of Directive 2004/39/EC)

SECTION 4

Public availability of pre- and post-trade information

Provisions common to pre- and post-trade transparency

Article 29

For the purposes of Articles 27, 28, 29, 30, 44 and 45 of
Directive 2004/39/EC and of this Regulation, pre- and post-trade
information shall be considered to be made public or available to
the public if it is made available generally through one of the
following to investors located in the Community:

(Articles 27(3), 28(1), 29(1), 44(1) and 45(1)
of Directive 2004/39/EC)

(a)

the facilities of a regulated market or an MTF;

Publication and availability of pre- and post-trade
transparency data

(b)

the facilities of a third party;

(c)

proprietary arrangements.

1. A regulated market, MTF or systematic internaliser shall be
considered to publish pre-trade information on a continuous
information is
trading hours if
basis during normal
published as soon as it becomes available during the normal
trading hours of
the regulated market, MTF or systematic
internaliser concerned, and remains available until it is updated.

that

Article 31

(Article 22(2) of Directive 2004/39/EC)

Disclosure of client limit orders

2.
Pre-trade information, and post-trade information relating
to transactions taking place on trading venues and within normal
trading hours, shall be made available as close to real time as
possible. Post-trade information relating to such transactions
shall be made available in any case within three minutes of the
relevant transaction.

An investment firm shall be considered to disclose client limit
orders that are not immediately executable if it transmits the
order to a regulated market or MTF that operates an order book
trading system, or ensures that the order is made public and can
be easily executed as soon as market conditions allow.

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Article 32

on a regulated market and was not suspended from trading on a
regulated market.

(Article 22(2), 27, 28, 29, 30, 44 and 45
of Directive 2004/39/EC)

Arrangements for making information public

Any arrangement to make information public, adopted for the
purposes of Articles 30 and 31, shall satisfy the following
conditions:

(a)

it must include all reasonable steps necessary to ensure that
the information to be published is reliable, monitored
continuously for errors, and corrected as soon as errors are
detected;

(b)

it must facilitate the consolidation of the data with similar
data from other sources;

(c)

it must make the information available to the public on a
non-discriminatory commercial basis at a reasonable cost.

In the calculations of the average daily turnover, average value of
the orders executed and average daily number of transactions of
a share, non-trading days in the Member State of the relevant
competent authority for that share shall be excluded.

3. Before the first admission of a share to trading on a
regulated market, the relevant competent authority for that share
shall ensure that estimates are provided, in respect of that share,
of the average daily turnover, the market capitalisation as it will
stand at the start of the first day of trading and, where the
estimate of the market capitalisation is EUR 500 million or
more:

(a)

the average daily number of transactions and, for those
shares which satisfy the conditions laid down in Article 22
(1)(a) or (b) (as applicable), the free float;

Article 33

(b)

in the case of a share that is estimated to be a liquid share,
the average value of the orders executed.

(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

1.
In respect of each share that is admitted to trading on a
regulated market, the relevant competent authority for that share
shall ensure that the following calculations are made in respect of
that share promptly after the end of each calendar year:

(a)

the average daily turnover;

(b)

the average daily number of transactions;

(c)

for those shares which satisfy the conditions laid down in
Article 22(1)(a) or (b) (as applicable), the free float as at
31 December;

(d)

if the share is a liquid share, the average value of the orders
executed.

This paragraph and paragraph 2 shall not apply to a share which
is first admitted to trading on a regulated market four weeks or
less before the end of the calendar year.

The estimates shall relate to the six-week period following
admission to trading, or the end of that period, as applicable, and
shall take account of any previous trading history of the share, as
well as that of shares that are considered to have similar
characteristics.

4. After the first admission of a share to trading on a regulated
market, the relevant competent authority for that share shall
ensure that, in respect of that share, the figures referred to in
points (a) to (d) of paragraph 1 are calculated, using data relating
to the first four weeks’ trading, as if a reference in point (c) of
paragraph 1 to 31 December were a reference to the end of the
first four weeks’ trading, as soon as practicable after those data
are available, and in any case before the end of the six-week
period referred to in Article 22(5).

5. During the course of a calendar year, the relevant competent
authorities shall ensure the review and where necessary the
recalculation of the average daily turnover, average value of the
orders executed, average daily number of transactions executed
and the free float whenever there is a change in relation to the
share or the issuer which significantly affects the previous
calculations on an ongoing basis.

2. The calculation of the average daily turnover, average value
of the orders executed and average daily number of transactions
shall take into account all the orders executed in the Community
in respect of the share in question between 1 January and
31 December of the preceding year, or, where applicable, that
part of the year during which the share was admitted to trading

6. The calculations referred to in paragraphs 1 to 5 which are
to be published on or before the first trading day in March 2009
shall be made on the basis of the data relating to the regulated
market or markets of the Member State which is the most
relevant market in terms of liquidity for the share in question.
For those purposes, negotiated transactions within the meaning
of Article 19 shall be excluded from the calculations.

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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

trading day of March of each year, each
1. On the first
competent authority shall, in relation to each share for which it is
the relevant competent authority that was admitted to trading on
a regulated market at the end of the preceding calendar year,
ensure the publication of the following information:

(a)

the average daily turnover and average daily number of
transactions, as calculated in accordance with Article 33(1)
and (2);

(b)

the free float and average value of the orders executed,
where calculated in accordance with Article 33(1) and (2).

However, the classification based on the recalculations specified
in Article 33(5) shall apply from the date of publication and,
unless
the
following 31 March.

recalculated under Article 33(5), until

further

5. The Committee of European Securities Regulators shall, on
the basis of data supplied to it by or on behalf of competent
authorities, publish on its website consolidated and regularly
updated lists of:

(a)

every systematic internaliser in respect of a share admitted
to trading on a regulated market;

(b)

every share admitted to trading on a regulated market,
specifying:

(i)

the average daily turnover, average daily number of
transactions and, for those shares which satisfy the
conditions laid down in Article 22(1)(a) or (b) (as
applicable), the free float;

This paragraph shall not apply to shares to which the second
subparagraph of Article 33(1) applies.

(ii)

in the case of a liquid share, the average value of the
orders executed and the standard market size for that
share;

2. The results of the estimates and calculations required under
Article 33(3), (4) or (5) shall be published as soon as practicable
after the calculation or estimate is completed.

3. The information referred to in paragraphs 1 or 2 shall be
considered as published when it is published by the Committee
of European Securities Regulators in accordance with para-
graph 5.

For the purposes of this Regulation, the following shall

4.
apply:

(a)

(b)

the classification based on the publication referred to in
paragraph 1 shall apply for the 12-month period starting
on 1 April
following publication and ending on the
following 31 March;

the classification based on the estimates provided for in
Article 33(3) shall apply from the relevant first admission
to trading until the end of the six-week period referred to in
Article 22(5);

(c)

the classification based on the calculations specified in
Article 33(4) shall apply from the end of the six-week
period referred to in Article 22(5), until:

(i) where the end of that six-week period falls between
15 January and 31 March (both inclusive) in a given
year, 31 March of the following year;

(ii)

otherwise, the following 31 March after the end of
that period.

(iii)

in the case of a liquid share which has been designated
as an additional
liquid share in accordance with
Article 22(3), the name of the competent authority
that so designated it; and

(iv)

the relevant competent authority.

6.
Each competent authority shall ensure the first publication
of the details referred to in points (a) and (b) of paragraph 1 on
the first trading day in July 2007, based on the reference period
1 April 2006 to 31 March 2007. By way of derogation from
paragraph 4, the classification based on that publication shall
apply for the five-month period starting on 1 November 2007
and ending on 31 March 2008.

CHAPTER V

ADMISSION OF FINANCIAL INSTRUMENTS TO TRADING

Article 35

(Article 40(1) of Directive 2004/39/EC)

Transferable securities

1. Transferable securities shall be considered freely negotiable
for the purposes of Article 40(1) of Directive 2004/39/EC if they
can be traded between the parties to a transaction, and
subsequently transferred without restriction, and if all securities
within the same class as the security in question are fungible.

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2. Transferable securities which are subject to a restriction on
transfer shall not be considered as freely negotiable unless that
restriction is not likely to disturb the market.

3. Transferable securities that are not
fully paid may be
considered as freely negotiable if arrangements have been made
to ensure that the negotiability of such securities is not restricted
and that adequate information concerning the fact that the
securities are not fully paid, and the implications of that fact for
shareholders, is publicly available.

4. When exercising its discretion whether to admit a share to
trading, a regulated market shall, in assessing whether the share
is capable of being traded in a fair, orderly and efficient manner,
take into account the following:

(a)

the distribution of those shares to the public;

(b)

such historical financial information, information about the
issuer, and information providing a business overview as is
required to be prepared under Directive 2003/71/EC, or is
or will be otherwise publicly available.

5. A transferable security that is officially listed in accordance
with Directive 2001/34/EC of the European Parliament and of
the Council (1), and the listing of which is not suspended, shall be
deemed to be freely negotiable and capable of being traded in a
fair, orderly and efficient manner.

6.
For the purposes of Article 40(1) of Directive 2004/39/EC,
when assessing whether a transferable security referred to in
Article 4(1)(18)(c) of that Directive is capable of being traded in a
fair, orderly and efficient manner, the regulated market shall take
into account, depending on the nature of the security being
admitted, whether the following criteria are satisfied:

(a)

the terms of the security are clear and unambiguous and
allow for a correlation between the price of the security and
the price or other value measure of the underlying;

(e) where the settlement of the security requires or provides for
the possibility of the delivery of an underlying security or
asset
there are adequate
settlement and delivery procedures for that underlying as
well as adequate arrangements to obtain relevant informa-
tion about that underlying.

than cash settlement,

rather

Article 36

(Article 40(1) of Directive 2004/39/EC)

Units in collective investment undertakings

1. A regulated market shall, when admitting to trading units in
that
a collective investment undertaking, whether or not
undertaking is constituted in accordance with Directive 85/
611/EEC, satisfy itself that the collective investment undertaking
complies or has complied with the registration, notification or
other procedures which are a necessary precondition for the
the collective investment undertaking in the
marketing of
jurisdiction of the regulated market.

2. Without prejudice to Directive 85/611/EEC or any other
Community legislation or national
law relating to collective
investment undertakings, Member States may provide that
compliance with the requirements referred to in paragraph 1 is
not a necessary precondition for the admission of units in a
collective investment undertaking to trading on a regulated
market.

3. When assessing whether units in an open-ended collective
investment undertaking are capable of being traded in a fair,
orderly and efficient manner in accordance with Article 40(1) of
Directive 2004/39/EC,
take the
following aspects into account:

the regulated market shall

(a)

the distribution of those units to the public;

(b) whether

there are appropriate market-making arrange-
ments, or whether
the
scheme provides appropriate alternative arrangements for
investors to redeem the units;

the management company of

(b)

the price or other value measure of the underlying is
reliable and publicly available;

(c) whether

the value of

the units

transparent
publication of the net asset value.

to investors by means of

is made sufficiently
the periodic

(c)

there is sufficient information publicly available of a kind
needed to value the security;

(d)

the arrangements for determining the settlement price of
the security ensure that this price properly reflects the price
or other value measure of the underlying;

4. When assessing whether units in a closed-end collective
investment undertaking are capable of being traded in a fair,
orderly and efficient manner in accordance with Article 40(1) of
Directive 2004/39/EC,
take the
following aspects into account:

the regulated market shall

(1) OJ L 184, 6.7.2001, p. 1. Directive as last amended by Directive

2005/1/EC.

(a)

the distribution of those units to the public;

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(b) whether

the value of

is made sufficiently
transparent to investors, either by publication of informa-
tion on the fund's investment strategy or by the periodic
publication of net asset value.

the units

(c)

the regulated market must ensure that settlement and
delivery, whether physical delivery or by cash settlement,
can be effected in accordance with the contract terms and
conditions of those financial instruments.

Article 37

CHAPTER VI

(Article 40(1) and (2) of Directive 2004/39/EC)

DERIVATIVE FINANCIAL INSTRUMENTS

Derivatives

Article 38

1. When admitting to trading a financial instrument of a kind
listed in points of Sections C(4) to (10) of Annex I to Directive
2004/39/EC, regulated markets shall verify that the following
conditions are satisfied:

(a)

the terms of
the contract establishing the financial
instrument must be clear and unambiguous, and enable a
correlation between the price of the financial instrument
and the price or other value measure of the underlying;

(Article 4(1)(2) of Directive 2004/39/EC)

Characteristics of other derivative financial instruments

1.
For the purposes of Section C(7) of Annex I to Directive
2004/39/EC, a contract which is not a spot contract within the
meaning of paragraph 2 of this Article and which is not covered
by paragraph 4 shall be considered as having the characteristics
of other derivative financial
instruments and not being for
commercial purposes if it satisfies the following conditions:

(b)

the price or other value measure of the underlying must be
reliable and publicly available;

(a)

it meets one of the following sets of criteria:

(c)

sufficient
derivative must be publicly available;

information of a kind needed to value the

(d)

the arrangements for determining the settlement price of
the contract must be such that the price properly reflects
the price or other value measure of the underlying;

(e) where the settlement of the derivative requires or provides
for the possibility of the delivery of an underlying security
or asset rather than cash settlement, there must be adequate
arrangements to enable market participants to obtain
that underlying as well as
relevant
the
adequate settlement and delivery procedures
underlying.

information about

for

2. Where the financial instruments concerned are of a kind
listed in Sections C (5), (6), (7) or (10) of Annex I to Directive
2004/39/EC, point (b) of paragraph 1 shall not apply if the
following conditions are satisfied:

(a)

the contract establishing that instrument must be likely to
provide a means of disclosing to the market, or enabling the
market to assess, the price or other value measure of the
underlying, where the price or value measure is not
otherwise publicly available;

(i)

(ii)

it is traded on a third country trading facility that
performs a similar function to a regulated market or
an MTF;

it is expressly stated to be traded on, or is subject to
the rules of, a regulated market, an MTF or such a
third country trading facility;

(iii)

it is expressly stated to be equivalent to a contract
traded on a regulated market, MTF or such a third
country trading facility;

(b)

(c)

it is cleared by a clearing house or other entity carrying out
the same functions as a central counterparty, or there are
arrangements for the payment or provision of margin in
relation to the contract;

it is standardised so that, in particular, the price, the lot, the
delivery date or other terms are determined principally by
reference to regularly published prices, standard lots or
standard delivery dates.

2. A spot contract for the purposes of paragraph 1 means a
contract for the sale of a commodity, asset or right, under the
terms of which delivery is scheduled to be made within the
longer of the following periods:

(b)

the regulated market must ensure that appropriate super-
visory arrangements are in place to monitor trading and
settlement in such financial instruments;

(a)

two trading days;

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(b)

that
the period generally accepted in the market
commodity, asset or right as the standard delivery period.

for

(c)

transmission or transportation capacity relating to com-
modities, whether cable, pipeline or other means;

However, a contract is not a spot contract if, irrespective of its
explicit terms, there is an understanding between the parties to
the contract that delivery of the underlying is to be postponed
and not to be performed within the period mentioned in the first
subparagraph.

(d)

an allowance, credit, permit, right or similar asset which is
directly linked to the supply, distribution or consumption
of energy derived from renewable resources;

(e)

a geological, environmental or other physical variable;

3.
For the purposes of Section C(10) of Annex I to Directive
2004/39/EC, a derivative contract relating to an underlying
referred to in that Section or in Article 39 shall be considered to
have the characteristics of other derivative financial instruments
if one of the following conditions is satisfied:

(a)

that contract is settled in cash or may be settled in cash at
the option of one or more of the parties, otherwise than by
reason of a default or other termination event;

(f)

(g)

(b)

that contract is traded on a regulated market or an MTF;

(c)

the conditions laid down in paragraph 1 are satisfied in
relation to that contract.

4. A contract shall be considered to be for commercial
purposes for the purposes of Section C(7) of Annex I
to
Directive 2004/39/EC, and as not having the characteristics of
other derivative financial
the purposes of
Sections C(7) and (10) of that Annex, if it is entered into with
or by an operator or administrator of an energy transmission
grid, energy balancing mechanism or pipeline network, and it is
necessary to keep in balance the supplies and uses of energy at a
given time.

instruments for

Article 39

(Article 4(1)(2) of Directive 2004/39/EC)

Derivatives within Section C(10) of Annex I
to Directive 2004/39/EC

any other asset or right of a fungible nature, other than a
is capable of being
right
transferred;

to receive a service,

that

an index or measure related to the price or value of, or
volume of
transactions in any asset, right, service or
obligation.

CHAPTER VII

FINAL PROVISIONS

Article 40

Re-examinations

1. At least once every two years, and after consulting the
Committee of European Securities Regulators, the Commission
shall re-examine the definition of ‘transaction’ for the purposes
of this Regulation, the Tables included in Annex II, as well as the
criteria for determination of liquid shares contained in Article 22.

2. The Commission shall, after consulting the Committee of
European Securities Regulators, re-examine the provisions of
Articles 38 and 39 relating to criteria for determining which
instruments are to be treated as having the characteristics of
other derivative financial instruments, or as being for commer-
cial purposes, or which fall within Section C(10) of Annex I to
Directive 2004/39/EC if the other criteria set out in that Section
are satisfied in relation to them.

In addition to derivative contracts of a kind referred to in Section
C(10) of Annex I to Directive 2004/39/EC, a derivative contract
relating to any of the following shall fall within that Section if it
meets the criteria set out in that Section and in Article 38(3):

The Commission shall report to the European Parliament and to
the Council at the same time that it makes its reports under
Article 65(3)(a) and (d) of Directive 2004/39/EC.

(a)

telecommunications bandwidth;

(b)

commodity storage capacity;

3. The Commission shall, no later than two years after the date
of application of this Regulation, after consulting the Committee
of European Securities Regulators,
re-examine Table 4 of
Annex II and report on the results of this re-examination to
the European Parliament and the Council.

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Article 41

Entry into force

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 enter into force on the 20th day following
its publication in the Official Journal of the European Union.

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

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ANNEX I

Table 1
List of fields for reporting purposes

1.

2.

3.

Field Identifier

Description

Reporting firm identification

A unique code to identify the firm which executed the transaction.

Trading day

Trading time

The trading day on which the transaction was executed.

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,
the financial

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.

instrument

— if

7.

8.

9.

Instrument code type

The code type used to report the instrument.

Underlying instrument identifi-
cation

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.

Underlying instrument identifi-
cation code type

The code type used to report the underlying instrument.

10.

Instrument type

11. Maturity date

12. Derivative 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.

The maturity date of a bond or other form of securitised debt, or the exercise
date/maturity date of a derivative contract.

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

16. Unit price

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.

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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Field Identifier

17.

Price notation

18. Quantity

19. Quantity notation

20. Counterparty

21. Venue identification

Description

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.

The number of units of the financial instruments, the nominal value of bonds, or
the number of derivative contracts included in the transaction.

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.

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.

Identification of
identification shall consist in:
— where the venue is a trading venue: its unique harmonised identification

the venue where the transaction was executed. That

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.

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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

Quote-driven 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.

A system where transactions are concluded on the basis of
firm quotes that are continuously made available to
participants, which requires
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 market makers

The best bid and offer by price of
each market maker in that share,
together with the volumes attach-
ing to those prices.

Periodic auction trad-
ing system

A system that matches orders on the basis of a periodic
auction and a trading algorithm operated without human
intervention.

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.

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.

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 discov-
ery mechanism so permit.

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Table 2
Orders large in scale compared with normal market size

ADT < 500 000

500 000 ≤ ADT
< 1 000 000

1 000 000
≤ ADT
< 25 000 000

25 000 000
≤ ADT
< 50 000 000

(in EUR)

ADT ≥ 50 000 000

50 000

100 000

250 000

400 000

500 000

Class in terms of average daily
turnover

(ADT)

Minimum size of order qua-
lifying as large in scale
compared with normal mar-
ket size

Table 3
Standard market sizes

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

(in EUR)

Etc.

Standard market size

7 500

15 000

25 000

35 000

45 000

60 000

80 000

Etc.

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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

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

n
o
i
t
a
c
i
l

b
u
p

r
o
f

y
a
l
e
d

d
e
t
t
i

m
r
e
P

Until end of third trading day next
after trade

250 % of ADT

250 % of ADT