LegalizeCommission Delegated Regulation (EU) 2017/588 of 14 July 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards on the tick size regime for shares, depositary receipts and exchange-traded funds (Text with EEA relevance. )
Article 1
Most relevant market in terms of liquidity
For the purposes of this Regulation, the most relevant market in terms of liquidity for a share or a depositary receipt shall be considered to be the most relevant market in terms of liquidity as referred to in Article 4(1)(a) of Regulation (EU) No 600/2014 and specified in Article 4 of Commission Delegated Regulation (EU) 2017/587 (1).
Article 2
Tick size for shares, depositary receipts and exchange-traded funds
(Article 49(1) and (2) of Directive 2014/65/EU)
Trading venues shall apply to orders in shares or depositary receipts a tick size which is equal to or greater than the one corresponding to:
(a) the liquidity band in the table in the Annex corresponding to average daily number of transactions in the most relevant market in terms of liquidity for that instrument; and
(b) the price range in that liquidity band corresponding to the price of the order.
Trading venues shall apply to orders in exchange-traded funds a tick size which is equal to or greater than the one corresponding to:
(a) the liquidity band in the table in the Annex corresponding to the highest average daily number of transactions; and
(b) the price range in that liquidity band corresponding to the price of the order.
Article 3
Average daily number of transactions for shares and depositary receipts
(Article 49(1) and (2) of Directive 2014/65/EU)
The competent authority referred to in subparagraph 1shall be the competent authority of the most relevant market in terms of liquidity as specified in Article 16 of Commission Delegated Regulation (EU) 2017/590 (2).
The calculation referred to in paragraph 1 shall have the following characteristics:
(a) it shall include, for each trading venue, transactions executed under the rules of that trading venue, excluding reference price and negotiated transactions flagged as set out in Table 4 of Annex I to Delegated Regulation (EU) 2017/587 and transactions executed on the basis of at least one order that has benefitted from a large in scale waiver and where the transaction size is above the applicable large-in-scale threshold as determined in accordance with Article 7 of Delegated Regulation (EU) 2017/587;
(b) it shall cover either the preceding calendar year or, where applicable, the period of the preceding calendar year during which the financial instrument was admitted to trading or has been traded on a trading venue and was not suspended from trading.
The tick sizes of the liquidity band corresponding to that published estimate average daily number of transactions shall apply from the publication of that estimate until the publication of the average daily number of transactions for that instrument in accordance with paragraph 6.
The tick sizes of the liquidity band corresponding to that published average daily number of transactions shall apply from the publication until a new average daily number of transactions for that instrument has been calculated and published in accordance with the procedure set out in paragraphs 1 to 4.
The competent authority for a specific share may adjust the average daily number of transactions calculated or estimated by that competent authority for that share in accordance with the procedure set out in paragraphs 1 to 7 where all of the following conditions are met:
(a) the trading venue with the highest turnover for that share is located in a third country;
(b) where that average daily number of transactions has been calculated and published in accordance with the procedure set out in paragraphs 1 to 4, it is equal to or greater than one.
When adjusting the average daily number of transactions for a share, the competent authority shall take into account the transactions executed on the third-country trading venue with the highest turnover for trading of that share.
Article 4
Corporate actions
(Article 49(1) and (2) of Directive 2014/65/EU)
Where a competent authority considers that a corporate action may modify the average daily number of transactions of a particular financial instrument thereby causing this financial instrument to fall within a different liquidity band, the competent authority shall determine and ensure publication of a new applicable liquidity band for that financial instrument treating it as if it were first admitted to trading or first traded on a trading venue and apply the procedure set out in Article 3(5) and (6).
Article 5
Transitional provisions
The competent authority of the trading venue where a share or depositary receipt was first admitted to trading or has been traded for the first time before the date of application of Regulation (EU) No 600/2014, shall collect the necessary data and calculate and ensure the publication of the average daily number of transactions for that financial instrument and for that trading venue within the following time limits:
(a) no later than 4 weeks prior to the date of application of Regulation (EU) No 600/2014 where the date on which shares or depositary receipts are traded for the first time on a trading venue within the Union is a date not less than 10 weeks prior to the date of application of Regulation (EU) No 600/2014;
(b) no later than the date of application of Regulation (EU) No 600/2014 where the date on which financial instruments are traded for the first time on a trading venue within the Union is a date falling within the period commencing 10 weeks prior to the date of application of Regulation (EU) No 600/2014 and ending on the day preceding the date of application of Regulation (EU) No 600/2014.
The calculations referred to in paragraph 1(a) shall be carried out as follows:
(a) where the date on which shares or depositary receipts are traded for the first time on a trading venue within the Union is a date not less than 16 weeks prior to the date of application of Regulation (EU) No 600/2014, the calculation shall be based on data available for a 40-week reference period commencing 52 weeks prior to the date of application of Regulation (EU) No 600/2014;
(b) where the date on which shares or depositary receipts are traded for the first time on a trading venue within the Union is a date within the period commencing 16 weeks prior to the date of application of Regulation (EU) No 600/2014 and ending 10 weeks prior to the date of application of Regulation (EU) No 600/2014, the calculation shall be based on data available for the first 4-week trading period of the financial instrument;
(c) where the date on which shares or depositary receipts are traded for the first time on a trading venue within the Union is a date falling within the period commencing 10 weeks prior to the date of application of Regulation (EU) No 600/2014 and ending on the day preceding the date of application of Regulation (EU) No 600/2014, the calculation shall be based on the trading history of the share or depositary receipt or other financial instruments considered to have similar characteristics to those shares or depositary receipts.
Article 6
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.
However, Article 5 shall apply from the date of entry into force of this Regulation.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
ANNEX
Tick size table
| Liquidity bands | ||||||
|---|---|---|---|---|---|---|
| Price ranges | 0 ≤ Average daily number of transactions < 10 | 10 ≤ Average daily number of transactions < 80 | 80 ≤ Average daily number of transactions < 600 | 600 ≤ Average daily number of transactions < 2 000 | 2 000 ≤ Average daily number of transactions < 9 000 | 9 000 ≤ Average daily number of transactions |
| 0 ≤ price < 0,1 | 0,0005 | 0,0002 | 0,0001 | 0,0001 | 0,0001 | 0,0001 |
| 0,1 ≤ price < 0,2 | 0,001 | 0,0005 | 0,0002 | 0,0001 | 0,0001 | 0,0001 |
| 0,2 ≤ price < 0,5 | 0,002 | 0,001 | 0,0005 | 0,0002 | 0,0001 | 0,0001 |
| 0,5 ≤ price < 1 | 0,005 | 0,002 | 0,001 | 0,0005 | 0,0002 | 0,0001 |
| 1 ≤ price < 2 | 0,01 | 0,005 | 0,002 | 0,001 | 0,0005 | 0,0002 |
| 2 ≤ price < 5 | 0,02 | 0,01 | 0,005 | 0,002 | 0,001 | 0,0005 |
| 5 ≤ price < 10 | 0,05 | 0,02 | 0,01 | 0,005 | 0,002 | 0,001 |
| 10 ≤ price < 20 | 0,1 | 0,05 | 0,02 | 0,01 | 0,005 | 0,002 |
| 20 ≤ price < 50 | 0,2 | 0,1 | 0,05 | 0,02 | 0,01 | 0,005 |
| 50 ≤ price < 100 | 0,5 | 0,2 | 0,1 | 0,05 | 0,02 | 0,01 |
| 100 ≤ price < 200 | 1 | 0,5 | 0,2 | 0,1 | 0,05 | 0,02 |
| 200 ≤ price < 500 | 2 | 1 | 0,5 | 0,2 | 0,1 | 0,05 |
| 500 ≤ price < 1 000 | 5 | 2 | 1 | 0,5 | 0,2 | 0,1 |
| 1 000 ≤ price < 2 000 | 10 | 5 | 2 | 1 | 0,5 | 0,2 |
| 2 000 ≤ price < 5 000 | 20 | 10 | 5 | 2 | 1 | 0,5 |
| 5 000 ≤ price < 10 000 | 50 | 20 | 10 | 5 | 2 | 1 |
| 10 000 ≤ price < 20 000 | 100 | 50 | 20 | 10 | 5 | 2 |
| 20 000 ≤ price < 50 000 | 200 | 100 | 50 | 20 | 10 | 5 |
| 50 000 ≤ price | 500 | 200 | 100 | 50 | 20 | 10 |
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