Commission Delegated Regulation (EU) 2017/577 of 13 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on the volume cap mechanism and the provision of information for the purposes of transparency and other calculations (Text with EEA relevance. )

Article 1

Subject matter and scope

This Regulation sets out, the details of the data requests to be sent by competent authorities and the details of the reply to those requests to be sent by trading venues, approved publication arrangements (APAs) and consolidated tape providers (CTPs), for the purposes of calculating and adjusting the pre-trade and post-trade transparency and trading obligation regimes and in particular for the purposes of determining the following factors:

(a) whether equity, equity-like and non-equity financial instruments have a liquid market;

(b) the thresholds for pre-trade transparency waivers for equity, equity-like and non-equity financial instruments;

(c) the thresholds for post-trade transparency deferrals for equity, equity-like and non-equity financial instruments;

(d) when the liquidity of a class of financial instruments falls below a specified threshold;

(f) the standard market size applicable to systematic internalisers dealing in equity and equity-like instruments;

(g) for equity and equity-like instruments, the total volume of trading in the Union per financial instrument in the previous 12 months and the percentages of trading in each financial instrument carried out across the Union under the waiver referred to in Article 4(1), point (a), of Regulation (EU) No 600/2014 in the previous 12 months;

(h) whether derivatives are sufficiently liquid for the purposes of implementing the trading obligation for derivatives.

Article 2

Content of the data requests and information to be reported

For the calculations that occur at pre-set dates or in pre-defined frequencies, trading venues, APAs, and CTPs shall provide ESMA and their competent authorities with all the data required to perform the calculations set out in the following Regulations:

(a) Delegated Regulation (EU) 2017/587;

(b) Delegated Regulation (EU) 2017/583;

(c) Delegated Regulation (EU) 2017/567.

Trading venues, APAs, and CTPs shall upon request provide ESMA and their competent authorities with all the data ESMA is to take into consideration pursuant to Delegated Regulation (EU) 2016/2020 for non-equity financial instruments, including data on the following:

(a) the average frequency of trades;

(b) the average size and distribution of trades;

(c) the number and type of market participants;

(d) the average size of spreads.

Article 3

Frequency of data requests and response times for trading venues, APAs and CTPs

Article 4

Format of the data requests

Article 5

Type of data that must be stored and the period of time trading venues, APAs, and CTPs shall store data

Article 7

Reporting requirements for trading venues, APAs, and CTPs to ESMA for the trading obligation for derivatives

Article 8

Publication requirements for ESMA for the volume cap

Article 9

Entry into force and application

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 3 January 2018.

This Regulation shall be binding in its entirety and directly applicable in all Member States.