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

Release date: 22 Mar 2021

020/2021 Annual transparency calculations by ESMA: Adjustments for equity instruments on trading venues Xetra (XETR) and Börse Frankfurt (XFRA)Xetra Circular 020/21

1. Introduction

On 1 March 2021, annual transparency calculations for equity instruments were published by ESMA. They shall apply from 1 April 2021 until 31 March 2022.

As a consequence of the update, the tick size determined for each share and depositary receipt traded on Xetra (XETR) and Börse Frankfurt (XFRA) might be modified on 1 April 2021 and order deletions might take place on Xetra (XETR, system: T7).

Results on a per instrument basis are provided in the attached Excel file.

Start of validity: 1 April 2021
End of validity: 31 March 2022

2. Required action

There are no required actions. Members should check if their orders will be affected by deletions on 1 April 2021 due to the new tick sizes.

3. Details of the initiative

The calculations include in particular:

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

In consequence, the tick size determined for shares and depositary receipts traded on Xetra (XETR) and Börse Frankfurt (XFRA) might be affected on 1 April 2021.

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

Trading venue Xetra (XETR, system: T7):

On 1 April 2021, 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: T7):

On 1 April 2021, all orders placed on Börse Frankfurt will remain in the T7 system, even those orders whose limit is not compliant with the tick size of the new liquidity band. 

Attachment:

  • Status quo for the instruments subject to the tick size regime (except ETFs) on FWB and updated with yearly calculations for 2020

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, 071/19021/20

Web:

www.xetra.com

Authorised by:

Cord Gebhardt, Séverine Vandelanoite (on behalf of the Management Board)


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