Updated results of ESMA’s annual transparency calculations: Adjustments for equity instruments on trading venues Xetra (XETR) and Börse Frankfurt (XFRA)

Release date: 05 Jul 2019

060/2019 Updated results of ESMA’s annual transparency calculations: Adjustments for equity instruments on trading venues Xetra (XETR) and Börse Frankfurt (XFRA)Xetra Circular 060/2019

1. Introduction

On 8 July 2019, the updated results of the annual transparency calculations for equity instruments published by ESMA will apply and remain in force until 31 March 2020. 

As a consequence of the update, order deletions might take place on 8 July 2019 on trading venue Xetra (XETR, system: T7). Furthermore, the tick size determined for shares traded on Xetra (XETR) and Börse Frankfurt (XFRA) may vary as of 8 July 2019.

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


Start of validity: 8 July 2019
End of validity: 31 March 2020


2. Required actions

There are no required actions. Members should check if their orders will be affected by deletions on 8 July 2019 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) may vary as of 8 July 2019.
 

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

Trading venue Xetra (XETR, system: T7):
On 8 July 2019, 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 8 July 2019, 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 be deleted manually in the pre-trade phase by Cash Markets Operations on 8 July 2019.
 

  • Attachment: List of all instruments affected by the new tick sizes

  
Recipients:All Xetra® Members and Vendors
Target groups:Traders, Technical Contacts, System Administrators, Nominated Persons, General
Contact:sales.cashmarket@deutsche-boerse.com
Related Xetra circulars:024/19028/19
Authorized by:Cord Gebhardt, Séverine Vandelanoite