CESR review covers “Functionalities that satisfy the criteria contained in MiFID” which have been assessed at CESR level on the basis of the new joint process that was launched in February 2009.
Functionalities have been assessed at CESR level on the basis of the new joint process that CESR launched in February 2009. The table includes information on a new assessments made at CESR level regarding an application for a waiver to be granted on the basis of the MiFID Implementing Regulation which CESR considers is not compliant with MiFID.
The Markets in Financial Instruments Directive (MiFID) allows competent authorities to waive the obligation for operators of Regulated Markets and Multilateral Trading Facilities (MTFs) regarding pre-trade transparency requirements for shares in respect of certain market models, types of orders and sizes of orders. MiFID allows competent authorities to grant four types of waivers which are contained in Articles 18 and 20 of the Commission Regulation 1287/2006 (MiFID Implementing Regulation).
This CESR review covers “Functionalities that satisfy the criteria contained in MiFID”
The trading system will formalise negotiated transactions at or within the volume weighted spread whereby trading participants will individually agree on the price and volume of the trade before transmitting it to the trading platform. The system will ensure that all negotiated transactions are at or within the volume weighted spread on the public order book of the trading platform.
The volume weighted spread is defined as the volume weighted bid and offer prices of orders on the trading platform’s public order book aggregated to the size of the negotiated transaction, i.e. the spread between the average price of the transaction, assuming that a sell order executed against buy orders on the trading platform’s public order book up to the transaction size. If the transaction size is larger than the volume of buy orders on the order book, it will be the average price of the transaction assuming that a sell order executed against all buy orders on the order book; and the average price of the transaction assuming that a buy order executed against sell orders on the trading platform’s public order book up to the transaction size. If the transaction size is larger than the volume of sell orders on the order book, it will be the average price of the transaction assuming that a buy order executed against all sell orders on the order book.
Where there is no volume weighted spread on the trading platform’s order book at the relevant time, the transaction will be subject to the following price constraints:
· within a percentage of the high or low price for trading in that share on the trading platform on that day; or, if not available,
· within a percentage of the trading platform’s closing price on the previous day.
In the event that there were no transactions on the trading platform’s public order book on the previous day, the trading platform would not accept negotiated transactions in the particular share(s).
Trading participants are provided with these reference prices (i.e. the trading platform’s closing price and its high and low price) through data feeds provided by the trading platform and through market data vendors.
All trades executed using the system will be made public with a flag, indicating that the transaction was a negotiated trade in accordance with Article 27(1)(c) of the Commission Regulation. These trades will be made public as close to real time as possible.
© CESR - Committee of European Securities Regulators
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