Article 1 — Amendments to Delegated Regulation (EU) 2017/583

1.Article 1 is replaced by the following: ‘Article 1 Definitions (Article 9(5), point (f), of Regulation (EU) No 600/2014) For the purposes of this Regulation, the following definitions shall apply: (1) “central limit order book trading system” means any of the following: (a) a continuous order book trading system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis; (b) a trading system combining elements of a continuous order book trading system, as referred to in point (a), and of a periodic auction trading system, as defined in point (2); (2) “periodic auction trading system” means a trading system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention.’;\

2.the following Article 1a is inserted: ‘Article 1a Scope of application of Articles 3, 6, 8, 9, 10, 11 and 13 1. Articles 3, 6, 9, 10, 11 and 13 shall apply only in respect of derivatives. Article 8 shall apply only in respect of derivatives and package transactions. 2. References to Article 11 of Regulation (EU) No 600/2014 in Articles 8 and 11 of this Regulation shall be construed as references to Article 11 of Regulation (EU) No 600/2014 as applicable before 28 March 2024.’;\

3.the following Article 3a is inserted: ‘Article 3a Orders which are large in scale for bonds, structured finance products and emission allowances (Article 9(1), point (a), of Regulation (EU) No 600/2014) An order in bonds, structured finance products or emission allowances shall be large in scale compared with normal market size where, at the point of entry of the order or following any amendment to the order, that order is equal to or larger than the following thresholds: (a) for all bond types, except Exchange Traded Commodities (‘ETCs’) and Exchange Traded Notes (‘ETNs’), the thresholds set out in Table 2.3 of Annex III; (b) for ETCs and ETNs, the thresholds set out in Table 2.5 of Annex III; (c) for structured finance products, the thresholds set out in Table 3.2 of Annex III; (d) for emission allowances, the thresholds set out in Table 12.2 of Annex III.’;\

4.Article 5 is deleted;\

5.the following Article 6a is inserted: ‘Article 6a The classes of bonds, structured finance products and emission allowances for which there is not a liquid market (Article 9(1), point (c), of Regulation (EU) No 600/2014) To determine whether a bond, structured finance product or emission allowance is to be considered not to have a liquid market, competent authorities shall apply the following static determination of liquidity: (a) for all bond types, except ETCs and ETNs, the determination set out in Table 2.2 of Annex III; (b) for ETCs and ETNs, the determination set out in Table 2.4 of Annex III; (c) for structured finance products, the determination set out in Table 3.1 of Annex III; (d) for emission allowances, the determination set out in Table 12.1 of Annex III.’;\

6.Article 7 is amended as follows:
a) in paragraph 1, the following subparagraph is added: ‘The field names set out in Table 2 of Annex II shall be made public using the same naming conventions as set out in the field identifier of that table.’;
b) paragraph 4 is replaced by the following: ‘4. Post-trade information shall be made available as close to real time as is technically possible and in any case within five minutes after the execution of the relevant transaction.’;
c) paragraphs 5 and 6 are deleted;
d) paragraph 8 is replaced by the following: ‘8. Information relating to a package transaction shall include the package transaction flag or the exchange for physicals transaction flag as specified in Table 3 of Annex II. Where the package transaction is eligible for deferred publication pursuant to Article 8, information on all components shall be made available after the deferral period for the transaction has lapsed.’;\

7.the following Article 8a is inserted: ‘Article 8a Deferred publication of transactions for bonds, structured finance products and emission allowances (Article 11 of Regulation (EU) No 600/2014) 1. Market operators and investment firms operating a trading venue and investment firms trading outside a trading venue may defer the publication of the details of transactions in respect of bonds, except ETCs and ETNs, in accordance with the following: (a) a price deferral and a volume deferral not exceeding 15 minutes, for transactions in category 1 as referred to in Table 2.6 of Annex III; (b) a price deferral and a volume deferral not exceeding the end of the trading day, for transactions in category 2 as referred to in Table 2.6 of Annex III; (c) a price deferral not exceeding the end of the first trading day after the transaction date and a volume deferral not exceeding one week after the transaction date, for transactions in category 3 as referred to in Table 2.6 of Annex III; (d) a price deferral not exceeding the end of the second trading day after the transaction date and a volume deferral not exceeding two weeks after the transaction date, for transactions in category 4 as referred to in Table 2.6 of Annex III; (e) a price deferral and a volume deferral not exceeding four weeks after the transaction date, for transactions in category 5 as referred to in Table 2.6 of Annex III. 2. Market operators and investment firms operating a trading venue and investment firms trading outside a trading venue may defer the publication of the details of transactions in respect of ETCs, ETNs and structured finance products in accordance with the following: (a) a price deferral not exceeding the end of the second trading day after the transaction date, for transactions of any size; and (b) a volume deferral not exceeding two weeks after the transaction date, for transactions of any size. 3. Market operators and investment firms operating a trading venue and investment firms trading outside a trading venue shall make public each transaction in respect of emission allowances no later than 19:00 local time on the second working day after the date of the transaction, provided that the transaction is above the post-trade size for emission allowances as referred to in Table 12.2 of Annex III.’;\

8.Article 11 is amended as follows:
a) in paragraph 1, point (d) is deleted;
b) in paragraph 2, points (b) and (c) are deleted;
c) paragraph 4 is replaced by the following: ‘4. The aggregated daily or weekly data referred to in paragraphs 1 and 2 shall contain the following information about derivatives in respect of each day or week of the calendar period concerned: (a) the weighted average price; (b) the total volume traded as referred to in Table 4 of Annex II; (c) the total number of transactions.’;
d) paragraph 6 is replaced by the following: ‘6. Where the weekday for the publications set out in paragraph 1, point (c), and paragraphs 2 and 3, is not a working day, the publications shall be made on the following working day before 09:00 local time.’;\

9.the following Article 11a is inserted: ‘Article 11a Transparency requirements for sovereign debt instruments in conjunction with deferred publication at the discretion of competent authorities (Article 11(3) of Regulation (EU) No 600/2014) 1. The publication of the details of several transactions in an aggregated form as referred to in Article 11(3), point (b), of Regulation (EU) No 600/2014 shall cover transactions that have been executed over the course of one calendar week and shall be made on the following Tuesday before 09:00 local time. 2. The aggregated weekly data referred to in paragraph 1 shall contain the following information in respect of each week of the calendar period concerned: (a) the weighted average price; (b) the total volume traded as referred to in Table 4 of Annex II; (c) the total number of transactions. 3. Transactions shall be aggregated per ISIN-code. 4. Where the weekday for the publications set out in paragraph 1 is not a working day, the publications shall be made on the following working day before 09:00 local time.’;\

10.Article 13 is amended as follows:
a) paragraph 1 is amended as follows:
i) in point (a), point (iv) is replaced by the following:
‘(iv) the sub-asset classes of other interest rate derivatives, other commodity derivatives, other credit derivatives, other C10 derivatives, other contracts for difference (CFDs), and other emission allowance derivatives as referred to in Tables 5.1, 7.1, 9.1, 10.1, 11.1 and 13.1 of Annex III.’;
ii) in point (b), points (i), (ii) and (ix) are deleted;
iii) point (d) is deleted;
b) paragraph 2 is amended as follows:
i) the introductory wording is replaced by the following: ‘For determining the orders that are large in scale compared with normal market size as referred to in Article 3, the following methodologies shall be applied:’;
ii) point (a) is amended as follows:
1) point (i) is deleted;
2) point (vi) is replaced by the following:
‘(vi) each sub-asset class considered not to have a liquid market for the asset classes of emission allowance derivatives as referred to in Table 13.3 of Annex III;’;
3) points (vii) and (viii) are deleted;
iii) point (b) is amended as follows:
1) the introductory wording is replaced by the following: ‘the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor for:’;
2) point (i) is deleted;
3) point (iii) is replaced by the following:
‘(iii) each sub-asset class having a liquid market for the asset classes of emission allowance derivatives as referred to in Table 13.2 of Annex III;’;
4) point (iv) is deleted;
c) paragraph 3 is amended as follows:
i) point (a) is amended as follows:
1) point (i) is deleted;
2) point (vi) is replaced by the following:
‘(vi) each sub-asset class considered not to have a liquid market for the asset class of emission allowance derivatives as referred to in Table 13.3 of Annex III;’;
3) points (vii) and (viii) are deleted;
ii) point (b) is deleted;
iii) point (d) is replaced by the following:
‘(d) the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor for each sub-asset class considered to have a liquid market for emission allowance derivatives as provided for in Table 13.2 of Annex III.’;
d) in paragraph 5, point (b) is replaced by the following:
‘(b) the sizes large in scale compared to normal market size and the size specific to the instrument as set out in paragraph 3.’;
e) paragraph 7 is replaced by the following: ‘7. For the purposes of paragraph 1, point (b), paragraph 2, point (b), and paragraph 3, points (c) and (d), competent authorities shall take into account transactions executed in the Union between 1 January and 31 December of the preceding year.’;
f) paragraph 8 is replaced by the following: ‘8. The trade size for the purpose of paragraph 2, point (b), and paragraph 3, points (c) and (d), shall be determined on the basis of the measure of volume as specified in Table 4 of Annex II. Where the trade size specified for the purposes of paragraphs 2 and 3 is expressed in monetary value and the financial instrument is not denominated in euros, the trade size shall be converted to the currency in which that financial instrument is denominated by applying the European Central Bank euro foreign exchange reference rate as of 31 December of the preceding year.’;
g) paragraph 10 is deleted;
h) paragraph 11 is replaced by the following: ‘11. For the determinations referred to in paragraphs 2 and 3, whenever the number of transactions considered for calculations is smaller than 1 000, paragraph 2, point (b), and paragraph 3, points (c) and (d), shall not apply. In those cases, the threshold values specified in paragraph 2, point (a), and paragraph 3, point (a), shall instead apply.’;
i) in paragraph 12, the introductory wording is replaced by the following: ‘Except when they refer to emission allowance derivatives, the calculations referred to in paragraph 2, point (b), and paragraph 3, point (c), shall be rounded up to the next:’;
j) paragraphs 14 and 15 are replaced by the following: ‘14. For equity derivatives that are admitted to trading or first traded on a trading venue, that do not belong to a sub-class for which the size specific to the financial instrument referred to in Article 8(1)(c) and the size of orders and transactions large in scale compared with normal market size referred to in Article 3 and Article 8(1)(a) have been published, and which belong to one of the sub-asset classes specified in paragraph 1(a)(ii), the size specific to the financial instrument and the size of orders and transactions large in scale compared with normal market size shall be those applicable to the smallest average daily notional amount (ADNA) band of the sub-asset class to which the equity derivative belongs. 15. Financial instruments admitted to trading or first traded on a trading venue which do not belong to any sub-class for which the size specific to the financial instrument referred to in Article 8(1), point (c), and the size of orders and transactions large in scale compared with normal market size referred to in Article 3 and Article 8(1), point (a), have been published shall be considered not to have a liquid market until application of the results of the calculations performed in accordance with paragraph 17. The applicable size specific to the financial instrument referred to in Article 8(1), point (c), and the size of orders and transactions large in scale compared with normal market size referred to in Article 3 and Article 8(1), point (a), shall be those of the sub-classes determined not to have a liquid market belonging to the same sub-asset class.’;
k) paragraphs 18, 19 and 20 are deleted;\

11.Article 16 is replaced by the following: ‘Article 16 Temporary suspension of transparency obligations (Article 9(4) of Regulation (EU) No 600/2014) 1. For financial instruments for which there is a liquid market, as determined on the basis of the methodology set out in Article 6a for bonds, structured finance products and emission allowances, and in Article 13 for derivatives, competent authorities may temporarily suspend the obligations set out in Articles 8, 8a and 10 of Regulation (EU) No 600/2014 where for a class of bonds, structured finance products, emission allowances or derivatives, the total volume as referred to in Table 4 of Annex II calculated for the previous 30 calendar days represents less than 40 % of the average monthly volume calculated for the 12 full calendar months preceding those 30 calendar days. 2. For financial instruments for which there is not a liquid market, as determined on the basis of the methodology set out in Article 6a for bonds, structured finance products and emission allowances, and in Article 13 for derivatives, competent authorities may temporarily suspend the obligations referred to in Articles 8, 8a and 10 of Regulation (EU) No 600/2014 where for a class of bonds, structured finance products, emission allowances or derivatives, the total volume as referred to in Table 4 of Annex II calculated for the previous 30 calendar days represents less than 20 % of the average monthly volume calculated for the 12 full calendar months preceding those 30 calendar days. 3. Competent authorities shall take into account the transactions executed on all venues in the Union for the class of bonds, structured finance products, emission allowances or derivatives concerned when performing the calculations referred to in paragraphs 1 and 2. Competent authorities shall perform those calculations at the level of the class of financial instruments to which the liquidity test set out in Article 6a for bonds, structured finance products and emission allowances, and Article 13 for derivatives is applied. 4. Competent authorities, shall, before they suspend transparency obligations, verify that the significant decline in liquidity across all venues is not the result of seasonal effects of the relevant class of financial instruments on liquidity.’;\

12.Articles 17 and 18 are deleted;\

13.Annex I is replaced by Annex I to this Regulation;\

14.Annex II is amended in accordance with Annex II to this Regulation;\

15.Annex III is amended in accordance with Annex III to this Regulation.