Annual transparency calculations by ESMA: Adjustments for equity instruments on trading venues Xetra (XETR) and Börse Frankfurt (XFRA)

Release date: 24 Mar 2020

021/2020 Annual transparency calculations by ESMA: Adjustments for equity instruments on trading venues Xetra (XETR) and Börse Frankfurt (XFRA)Xetra Circular 021/20

1. Introduction

In February 2020, partial annual transparency calculations for equity instruments were published by ESMA. They shall apply from 1 April 2020 until 31 March 2021.

As a consequence of the update, the tick size determined for each share traded on Xetra (XETR) and Börse Frankfurt (XFRA) might be modified on 1 April 2020 and order deletions might take place on Xetra (XETR, system: T7).

Results on a per instrument basis are provided in the attached Excel file. Instruments not included in the list are not affected by the update.

Please note that we will update both our systems and the file attached to this circular as soon as ESMA publishes updated calculations for the remaining equity instruments.

Start of validity: 1 April 2020
End of validity: 31 March 2021

2. Required action

There are no required actions. Members should check if their orders will be affected by deletions on 1 April 2020 due to the new tick sizes.

3. Details of the initiative

The updated calculations include in particular:

  • adjustment of the average daily number of transactions (ADNTE) on the most relevant market (MRM) determining the tick-size regime for shares whose main pool of liquidity is in a third country in accordance with amended RTS 11 (Commission Delegated Regulation 2019/443);
  • adjustment of the most relevant market (MRM) in accordance with RTS 1 (Commission Delegated Regulation 2017/590).

In consequence, the tick size determined for shares traded on Xetra (XETR) and Börse Frankfurt (XFRA) might be affected on 1 April 2020.

Impact on the trading venues Xetra (XETR) and Börse Frankfurt (XFRA):

Trading venue Xetra (XETR, system: T7):

On 1 April 2020, during the start phase at the beginning of the day, orders whose limits are not compliant with the tick size of the new liquidity band, will be deleted. The deletion will be conducted on a single order basis and the deletion reason will be either “Invalid Limit Price” or “Invalid Stop Limit Price”. 

Trading venue Börse Frankfurt (XFRA, system: Xetra):

On 1 April 2020, all orders will remain in the Xetra system, even those orders whose limit is not compliant with the tick size of the new liquidity band, except “One-Cancels-Other-Stop-Limit” orders which will automatically be deleted in the pre-trade phase on 1 April 2020.

Attachment:

  • List of all instruments affected by the new tick sizes

Further information

Recipients:All Xetra® Members and Vendors
Target groups:Traders, Technical Contacts, System Administrators, Nominated Persons, General
Contact:sales.cashmarket@deutsche-boerse.com
Related circulars:Xetra circulars 024/19, 028/19, 071/19
Web:www.xetra.com
Authorised by:Cord Gebhardt, Séverine Vandelanoite (on behalf of the Management Board)

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