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Circulaire CSSF 18/691 — Luxembourg, le 19 avril 2018

Luxembourg, le 19 avril 2018 À tous les marchés réglementés, les opérateurs de marché, les établissements de crédit, les entreprises d’investissement et les opérateurs de marché exploitant un MTF ou un OTF CIRCULAIRE CSSF 18/691 Concerne : Modification de la Circulaire CSSF 17/668 relative aux Orientations de l’Autorité européenne des marchés financiers concernant le calibrage des coupe-circuits et la publication des paramètres de suspension de la négociation au titre de la directive 2014/65/UE concernant les marchés d’instruments financiers (« MiFID II ») et précisions sur la notification des paramètres des coupe-circuits Mesdames, Messieurs,

  1. La présente circulaire modifie la circulaire CSSF 17/668 en prenant en considération la publication par l’AEMF (ESMA) de la procédure révisée « Reporting of circuit breakers’ parameters by NCAs to ESMA (Réf. : ESMA70-156-181) » publiée en date du 19 décembre 2017 et du formulaire actualisé y attaché « Template for reporting trading halt parameters to ESMA ». La procédure révisée est jointe en tant qu’Annexe à la présente circulaire.
  2. La circulaire CSSF 17/668 est modifiée comme suit : a. Après les mots « …au plus tard le 15 janvier de chaque année » à la 2ème phrase du 1er paragraphe du point 2 est insérée la parenthèse « (et pour la première fois pour le 15 juin 2018) ». b. Au 2ème paragraphe du point 2, la référence à la procédure est remplacée par celle à la procédure révisée, i.e. ESMA70-156-181 publiée le 19 décembre
  3. c. Au 2ème paragraphe du point 2, le lien pointant sur la version électronique du formulaire « Template for reporting trading halt parameters to ESMA » est remplacé par un lien pointant sur la version électronique du nouveau formulaire. __________________________________________________________________________________ Circulaire CSSF 18/691 1/2 d. L’annexe B est remplacée par la procédure révisée, i.e. ESMA70-156-
  4. Une version coordonnée de la Circulaire 17/668 sera publiée sur le site Internet de la CSSF. Veuillez recevoir, Mesdames, Messieurs, l’assurance de nos sentiments très distingués. COMMISSION DE SURVEILLANCE DU SECTEUR FINANCIER Françoise KAUTHEN Claude SIMON Claude MARX Directeur Directeur Directeur général Annexe : Procédure: Reporting of circuit breakers’ parameters by NCAs to ESMA (Réf. : ESMA70-156181) (uniquement en anglais) Reporting of circuit breakers’ parameters by NCAs to ESMA Procedure / Policy 19 December 2017 | ESMA70-156-181 Table of Contents Introduction ........................................................................................................................... 3 Purpose and scope ............................................................................................................... 3 Legal basis ............................................................................................................................ 3 Definitions ............................................................................................................................. 5 Reporting of circuit breakers’ parameters from NCAs to ESMA ............................................. 6 Template for reporting trading halt parameters to ESMA ....................................................... 8 Procedure steps ...................................................................................................................11 Awareness campaign ...........................................................................................................12 Data protection .....................................................................................................................12 Records ................................................................................................................................12 Final provisions ....................................................................................................................12 2 Introduction The second paragraph of Article 48

(5)of Directive 2014/65/EU (MiFID II) determines that trading venues shall report the parameters for halting trading and any material changes to those parameters to their national competent authority (NCA) in a consistent and comparable manner, and that the NCA shall in turn report them to ESMA. The Guidelines on the calibration of circuit breakers and publication of trading halts under MiFID II (ESMA70-872942901-63) were published by ESMA on 6 April 2017. These Guidelines apply to trading venues that allow or enable algorithmic trading on their systems and to NCAs. The Final Report to the aforementioned Guidelines established the template and procedure for the submission of the parameters of mechanisms to halt or constrain trading. It has been decided though not to include these reporting standards and procedure into the Guidelines and rather have them in an ESMA procedure to be approved by the Board. ESMA took advantage of the Consultation Paper for the Guidelines to consult on those reporting standards and procedures and they were broadly supported by respondents. This document formalises a common standard and procedure for NCAs to adhere to in reporting the parameters to halt or constrain trading used by the trading venues under their jurisdiction to ESMA, without prejudice to the possibility for NCAs to require those trading venues to report to them the parameters using a different and, where appropriate, more granular format. These common reporting standards aim to ensure consistency and comparability of the reported parameters. The intended recipients of this document are NCAs. Purpose and scope This document sets out a procedure and a harmonised format to be used by NCAs in reporting the parameters to halt or constrain trading used by the trading venues under their jurisdiction to ESMA. Legal basis Article 48
(5)of MiFID II provides that “Member States shall require a regulated market to be able to temporarily halt or constrain trading if there is a significant price movement in a financial instrument on that market or a related market during a short period and, in exceptional cases, to be able to cancel, vary or correct any transaction”. The second paragraph of Article 48
(5)of MiFID II establishes that “Member States shall ensure that a regulated market reports the parameters for halting trading and any material changes to 3 those parameters to the competent authority in a consistent and comparable manner, and that the competent authority shall in turn report them to ESMA”. Whereas there is no legal mandate to determine the format of those reports, it is necessary to specify the format of those submissions to ensure consistency and comparability of those notifications. 4 Definitions Circuit breakers Mechanisms to be set in place by trading venues in accordance with Article 48
(5)of MiFID to temporarily halt or constrain trading if there is a significant price movement in a financial instrument. Trading halts Trading halts include the following types of mechanisms:  Mechanisms that interrupt continuous trading, including: O Mechanisms whereby trading stops on a certain security for a certain time period, on which no trades are executed and no new prices are determined; and O Mechanisms whereby trading switches from continuous trading to a call auction. This can take place following a trade or following the introduction of an order that would result in a trade outside the static price ranges pre-determined by the trading venue.  mechanisms that extend the period of scheduled or unscheduled call auctions in case of price divergence with respect to a predefined reference price at the end of the auction. NCA National Competent Authority, or the authority designated by each Member State in accordance with Article 67 of MiFID II CDR Commission Delegated Regulation SMSC Secondary Markets Standing Committee BoS Board of Supervisors ESMA Regulation Regulation (EU) No 1095/2010 establishing a European Supervisory Authority (European Securities Markets Authority) 5 Reporting of circuit breakers’ parameters from NCAs to ESMA In accordance with the second paragraph of Article 48
(5)of MiFID II, NCAs shall communicate the parameters for halting or constraining trading (and any changes to those parameters) used by the trading venues under their jurisdiction to ESMA at least annually and in accordance with the predefined reporting template below. In particular, NCAs should ensure that the following items are covered in their report to ESMA:  Instrument or class of financial instrument: Reports should describe the parameters for each class of financial instruments based on the CIF code (ISO 10962) where the same parameters are used. Reports should only be provided on a per instrument basis where a report at a less granular level would be inappropriate.   General description of the volatility mechanism: Information should be provided about the types of mechanisms applied in the trading venues’ trading systems and a general description of how the mechanisms operate.  Dynamic / static: It should be specified whether the trading venue for which a report is submitted uses a static (opening price, closing price, intraday reference or other) or dynamic (last traded price, potential execution price or other) reference price.  Reference price: Reports should describe the reference price that activates the mechanism of management volatility. Where an external reference price is used (e.g. reference price from other trading venue trading the same instrument or other), this should be flagged in the report.  Thresholds: Both the lower limits and upper limits (if at all) for activation of trading halts should be reported. The limits should be expressed in percentage (e.g. a variation of +/- 5% from the reference price).  Frequency of updates: Where the mechanism used by trading venues is subject to regular updates, the report should include the frequency of those updates (intra-day, inter-day, weekly, monthly…).  Duration of the halts: Where an automatic trading halt remains in effect for a pre-set amount of time, this information should be provided in the report, including the randomisation parameters.  Mechanism employed in resuming the market: Reports should include a description of mechanism used to resume trading. In particular, where a continuous trading session is interrupted through a trading halt and the resumption of the market occurs through 6 an auction process, the details of such a mechanism (e.g. duration, randomised or not, etc.) should be provided. More detailed guidance can be found in the template itself, where specific data validation rules have been embedded and all fields benefit from an explanatory note. NCAs should ensure that trading venues submit a report to them by 15 January every year (however, the first report should be submitted by 15 June 2018), on the parameters being used to halt or constrain trading at the first trading day of a year, so as to enable verification and update of the data held by the NCAs and ESMA. Trading venues should, during the course of the year, send an update if they introduce material changes to any of the parameters mentioned above. Changes limited to adjustments of the thresholds used should not be considered as material for this purpose and new reports should only be sent in case of amendments which significantly affect the functioning and overall structure of the mechanism in place. 7 Template for reporting trading halt parameters to ESMA VH Identification variables (levels) Ope ratin g MIC cod e ABC D ABC D 1 Mar ket seg me nt MIC cod e Trad ing ven ue AB C1 The ABC D Stoc k Exc han ge AB C1 The ABC D Stoc k Exc han ge Mark et type Cash Cash Class of finan cial instr umen ts Speci fic instr umen ts ESXX UX All ordin ary share s with fixed rate inco me ESXX UX All ordin ary share s with fixed rate inco me 1 VH Information variables Tradi ng perio d Tra din g peri od (if Oth
  1. er)Othe r Tra din g peri od oth er tha n tho se pro vid ed in the list … For exa mple Mille nniu m Exch ange Aucti on Tra din g peri od oth er tha n tho se For exa mple Mille nniu m Exch ange Oth er rele van t det ails Typ e of tradi ng syst em Gene ral descr iption of the mech anis ms Pleas e elabor ate Pleas e elabor ate In whic h mark et direc tion(
  2. s)can a tradi ng halt be trigg ered ? Stat ic refe renc e pric e(
  3. s)use d(*) Both Rep ort as man y as ther e are in plac e (e.g. last aucti on pric
  4. e)Both Rep ort as man y as ther e are in plac e Stati c thres hold( *) Dyn ami c refe renc e Pric e(
  5. s)use d(*) 2.5 Rep ort as man y as ther e are in plac e (e.g. last trad e pric
  6. e)5 Rep ort as man y as ther e are in plac e Dyna mic thres hold( *) Abso lute thres hold s, only if price varia tions cann ot be expr esse d as perc enta ge of a refer ence price (*) Any other trigger mecha nisms( *) 1.25 For exam ple, a VH mech anis m trigge red for a price absol ute variat ion of EUR 0.10 For exampl e, a derivati ve halted becaus e the underly ing is halted 2.5 For exam ple, a VH mech anis m trigge red for a price For exampl e, a derivati ve halted becaus e the underly ing is halted Freq uenc y of upda tes Freq uenc y of upda tes (if Othe
  7. r)Daily Freq uenc y other than thos e provi ded in the list… Daily Freq uenc y other than thos e provi ded in Thre shol ds discl osed Mech anis m to exten d volati lity interr uptio n VH mech anis ms for perio ds of unus ual mark et condi tions Yes For exam ple, first exten sion auto matic , follow ing ones trigge red manu ally For exam ple, speci al mech anism s for period s of high volatili ties Yes For exam ple, first exten sion auto matic , follow ing For exam ple, speci al mech anism s for period s of high For each thres hold s, mini mum durat ion in seco nds (with out exten sions ) 120 240 For each thres hold s, maxi mum durat ion in seco nds (with out exten sions ) 150 300 Poss ibilit y for tradi ng to be susp ende d for the rest of the day? No No Mech anis m to resu me tradi ng Mech anis m to resu me tradi ng (if Othe
  8. r)Num ber of time s the VH mec hani sm was trigg ered over the last year Aucti on Mech anis m other than those provi ded in the list… 9999 9999 Aucti on Mech anis m other than those provi ded in the list… 1234 5678 9 Othe r relev ant infor mati on Downloadable version available in https://www.esma.europa.eu/sites/default/files/library/template_trading_halt_parameters_0.xlsx 8 pro vid ed in the list … ABC D ABC D ABC D AB C2 AB C2 AB C3 The ABC D Stoc k Exc han ge The ABC D Stoc k Exc han ge The ABC D Stoc k Exc han ge Deriv ative s Deriv ative s Cash XXXX XX XXXX XX CEX XXX ALL ALL ETFs Conti nuou s Aucti on Conti nuou s Tra din g peri od oth er tha n tho se pro vid ed in the list … Tra din g peri od oth er tha n tho se pro vid ed in the list … Tra din g peri od oth er tha n tho se pro vid ed in the list … For exa mple Mille nniu m Exch ange For exa mple Mille nniu m Exch ange For exa mple Mille nniu m Exch ange Pleas e elabor ate Pleas e elabor ate Pleas e elabor ate (e.g. last aucti on pric
  9. e)(e.g. last trad e pric
  10. e)absol ute variat ion of EUR 0.10 Down ward Rep ort as man y as ther e are in plac e (e.g. last aucti on pric
  11. e)3.25 Rep ort as man y as ther e are in plac e (e.g. last trad e pric
  12. e)1.625 For exam ple, a VH mech anis m trigge red for a price absol ute variat ion of EUR 0.10 Down ward Rep ort as man y as ther e are in plac e (e.g. last aucti on pric
  13. e)2 Rep ort as man y as ther e are in plac e (e.g. last trad e pric
  14. e)1 For exam ple, a VH mech anis m trigge red for a price absol ute variat ion of EUR 0.10 Upwa rd Rep ort as man y as ther e are in plac e (e.g. last aucti on pric
  15. e)8 Rep ort as man y as ther e are in plac e (e.g. last trad e pric
  16. e)4 For exam ple, a VH mech anis m trigge red for a price absol ute variat ion of EUR 0.10 the list… For exampl e, a derivati ve halted becaus e the underly ing is halted For exampl e, a derivati ve halted becaus e the underly ing is halted For exampl e, a derivati ve halted becaus e the underly ing is halted Mont hly Freq uenc y other than thos e provi ded in the list… Mont hly Freq uenc y other than thos e provi ded in the list… Conti nuou s Freq uenc y other than thos e provi ded in the list… ones trigge red manu ally volatili ties No For exam ple, first exten sion auto matic , follow ing ones trigge red manu ally For exam ple, speci al mech anism s for period s of high volatili ties No For exam ple, first exten sion auto matic , follow ing ones trigge red manu ally For exam ple, speci al mech anism s for period s of high volatili ties No For exam ple, first exten sion auto matic , follow ing ones trigge red manu ally For exam ple, speci al mech anism s for period s of high volatili ties 156 96 384 216 156 444 Yes Yes No None Mech anis m other than those provi ded in the list… 6541 23 None Mech anis m other than those provi ded in the list… 1234 56 Aucti on Mech anis m other than those provi ded in the list… 4578 9 ABC D AB C3 The ABC D Stoc k Exc han ge Cash CEX XXX ETFs Aucti on Tra din g peri od oth er tha n tho se pro vid ed in the list … For exa mple Mille nniu m Exch ange Pleas e elabor ate Upwa rd Rep ort as man y as ther e are in plac e (e.g. last aucti on pric
  17. e)6 Rep ort as man y as ther e are in plac e (e.g. last trad e pric
  18. e)3 For exam ple, a VH mech anis m trigge red for a price absol ute variat ion of EUR 0.10 For exampl e, a derivati ve halted becaus e the underly ing is halted Conti nuou s Freq uenc y other than thos e provi ded in the list… No For exam ple, first exten sion auto matic , follow ing ones trigge red manu ally For exam ple, speci al mech anism s for period s of high volatili ties 288 348 No Aucti on Mech anis m other than those provi ded in the list… 3215 10 Procedure steps Step Action Responsibility 1 By 15 January of every year, trading venues must report to their NCA the parameters used to halt or constrain trading at the first trading day of a year. The first report is expected to be provided by 15 June 2018. Trading venues NCAs may require the trading venues under their jurisdictions to report these parameters using a different, and, where appropriate, more granular format. Trading venues should, in the course of the year, send an update if they introduce material changes to any of the parameters mentioned above. Changes limited to adjustments of the thresholds used should not be considered as material for this purpose and new reports should only be sent in case of amendments which significantly affect the functioning and overall structure of the mechanism in place. 2 The recipient NCAs should use the pro-forma template to transcribe the information obtained from their trading venues under Step 1, and forward this information by email to ESMA without delay after verifying the data provided by the trading venue and no later than 30 January (no later than 30 June 2018 for the first report). NCAs Where, during the course of the year, a trading venue informs its NCA about a material change to its parameters, the NCA should pass this information on to ESMA without delay after verifying the data provided by the trading venue and no later than two weeks after receiving the data from the trading venue. 11 Awareness campaign Process to be published on the ESMA website. Data protection No data from natural persons is to be processed or published. Records Electronic copies of the documents provided to be stored by ESMA. Final provisions This document shall enter into force on the day following that of its publication on the ESMA website. 12

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