MIR 3.6 MIR 3.6 Post-trade transparency obligation
MIR 3.6.1 MIR 3.6.1
The Recognised Investment Exchange must make arrangements for the price, volume and time of transactions executed in Financial Instruments to be made available to the public as close to real-time as technically possible assuming a reasonable level of efficiency and of expenditure on systems on the part of the Person concerned, provided that:(a) post-trade information relating to such transactions shall be made available in any case within three minutes of the relevant transaction;(b) information relating to a portfolio trade shall be made available with respect to each constituent transaction as close to real time as possible, having regard to the need to allocate prices to particular Financial Instruments; and(c) post-trade information referring to transactions taking place on a Recognised Investment Exchange but outside its normal trading hours shall be made public before the opening of the next trading day of the Recognised Investment Exchange on which the transaction took place.
The Regulator may authorise a Recognised Investment Exchange to provide for deferred publication of the details of transactions based on the size or type of the transaction. In particular, the Regulator may authorise the deferred publication in respect of transactions that:(a) are large in scale compared with the normal market size for that Financial Instrument;(b) are related to Financial Instrument traded on a trading venue for which there is not a liquid market; or(c) are above a size specific to that Financial Instrument which would expose liquidity providers to undue risk and takes into account whether the relevant market participants are retail or wholesale investors.
Recognised Investment Exchanges shall obtain the Regulator's prior approval of proposed arrangements for deferred trade-publication, and shall clearly disclose those arrangements to market participants and the public.
If a Recognised Investment Exchange decides to provide investment firms and credit institutions details of transactions in Financial Instruments, it must do so on reasonable commercial terms and on a non-discriminatory basis. This requirement may be waived or deferred in respect of large volume or for certain types of trades, as specified by the Regulator, in which case the Recognised Investment Exchange must ensure that the existence of and the terms of the deferral are disclosed to users and Members of their facilities and to investors.
Recognised Investment Exchanges shall, with regard to transactions in respect of Financial Instruments admitted to trading on or concluded within their systems, make public the following details:(a) the details specified in Rule 3.6.6;(b) an indication that the exchange of Financial Instruments is determined by factors other than the current market valuation of the Financial Instrument, where applicable;(c) an indication that the trade was a negotiated trade, where applicable; and(d) any amendments to previously disclosed information, where applicable.
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 Financial Instrument taking place at the same price at the same time.
MIR 3.6.6 Post-trade information:
(a) Trading Day The trading day on which the transaction was executed. (b) Trading Time The time at which the transaction was executed, reported in the local time of the competent authority to which the transaction will be reported, and the basis in which the transaction is reported expressed as Co-ordinated Universal Time (UTC) +/- hours. (c) Instrument Identification This shall consist of a unique code to be decided by the Regulator identifying the Financial Instrument which is the subject of the transaction; or, if the Financial Instrument in question does not have a unique identification code, the report must include the name of the Financial Instrument. (d) Unit Price The price per Financial Instrument excluding commission and (where relevant) accrued interest. (e) Price Notation The currency in which the price is expressed. (f) Quantity The number of units of the Financial Instruments. (g) Venue identification Identification of the venue where the transaction was executed. That identification shall consist of the Recognised Investment Exchange's unique harmonised identification code.
MIR 3.6.7 Transactions related to an individual Financial Instrument in a portfolio trade and volume weighted average price transactions(a) A transaction related to an individual Financial Instrument in a portfolio trade shall be considered as a transaction where the exchange of Financial Instruments is determined by factors other than the current market valuation of the Financial Instrument.(b) A volume weighted average price transaction shall be considered as a transaction where the exchange of Financial Instruments is determined by factors other than the current market valuation of the Financial Instrument.
MIR 3.6.8 Deferred publication of large transactions
The deferred publication of information in respect of transactions may be authorised, for a period no longer than the period specified in the table in Rule 3.6.10 for the class of Financial Instrument and transaction concerned, provided the following criteria are satisfied:(a) the transaction is between an investment firm dealing on own account and a client of that firm; and(b) the size of that transaction is equal to or exceeds the relevant minimum qualifying size, as specified in table in Rule 3.6.9.
In order to determine the relevant minimum qualifying size for the purposes of point (b), all Financial Instruments admitted to trading on a regulated market shall be classified in accordance with their average daily turnover to be calculated in accordance with Rule 3.6.10.
Each constituent transaction of a portfolio trade shall be assessed separately for the purposes of determining whether deferred publication in respect of that transaction is available.
MIR 3.6.10 Deferred publication thresholds and delays
The table below shows, for each permitted delay for publication and each class of Financial Instrument in terms of average daily turnover (ADT), the minimum qualifying size of transaction that will qualify for that delay in respect of a Financial Instrument of that type.
Class of Financial Instruments in terms of average daily turnover (ADT) ADT < USD 100 000 USD 100
000< ADT < USD
1 000 000 < ADT < USD 50 000 000
ADT < USD 50 000 000 Minimum qualifying size of transaction for permitted delay Permitted delay for publication 60 minutes USD 10 000 Greater of 5% of ADT and USD 25 000 Lower of 10% of ADT and USD 3 500 000 Lower of 10% of ADT and USD 7 500 000 180 minutes USD 25 000 Greater of 15% of ADT and USD 75 000 Lower of 15% of ADT and USD 5 000 000 Lower of 20% of ADT and USD 15 000 000 Until end of trading day (or roll-over to noon of next trading day if trade undertaken in final 12 hours of trading day) USD 45 000 Greater of 25% of ADT and USD 100 000 Lower of 25% of ADT and USD 10 000 000 Lower of 30% of ADT and USD 30 000 000 Until end of trading day next after trade USD 60 000 Greater of 50% of ADT and USD 100 000 Greater of 50% of ADT and USD 1 000 000 100% of ADT Until end of second trading day next after trade USD 80 000 100% of ADT 100% of ADT 250% of ADT Until end of third trading day next after trade 250% of ADT 250% of ADT