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ESMA's Technical Advice on Possible Delegated Acts Concerning the Market Abuse Regulation

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ESMA's Technical Advice on Possible Delegated Acts Concerning the Market Abuse Regulation Final Report ESMA’s technical advice on possible delegated acts concerning the Market Abuse Regulation 3 February 2015 | ESMA/2015/224 Table of Contents 1 Executive Summary ....................................................................................................... 5 2 Specification of the indicators of market manipulation .................................................... 7 2.1 Mandate (extract) ..................................................................................................... 7 2.2 Analysis.................................................................................................................... 7 2.2.1 Scope of the analysis ....................................................................................... 7 2.2.2 General approach taken ................................................................................... 8 2.2.3 Approach regarding the extended scope of MAR ............................................10 2.2.4 Manipulation of benchmark calculation ............................................................10 2.2.5 Trading facilities services ................................................................................11 2.2.6 Orders to trade ................................................................................................11 2.2.7 Approach regarding cross-venue and cross-product market manipulation .......11 2.2.8 Approach regarding the specificities in an automated trading environment .....13 2.2.9 Approach regarding some examples of practices of market manipulation .......13 2.3 Technical advice .................................................................................................... 14 3 Minimum thresholds for the exemption of certain participants in the emission allowance market from the requirement to publicly disclose inside information .....................................25 3.1 Background/Mandate ............................................................................................. 25 3.2 Analysis.................................................................................................................. 25 3.2.1 Introduction .....................................................................................................25 3.2.2 About the thresholds .......................................................................................28 3.2.3 First stakeholder input .....................................................................................28 3.2.4 Proposals of thresholds ...................................................................................29 3.2.5 Analysis ...........................................................................................................30 3.3 Technical advice .................................................................................................... 33 4 Determination of the competent authority for notification of delays in public disclosure of inside information .................................................................................................................34 4.1 Background/Mandate ............................................................................................. 34 4.2 Analysis.................................................................................................................. 34 4.2.1 Determination of the relevant competent authority for notification of delays by issuers of financial instruments ......................................................................................35 4.2.2 Determination of the relevant competent authority for notification of delays by emission allowance market participants ........................................................................38 4.3 Technical advice .................................................................................................... 39 1 5 Managers’ transactions: type of transactions to report and trading during a closed period 41 5.1 Introduction ............................................................................................................ 41 5.2 Types of transactions triggering the duty to notify ................................................... 42 5.2.1 General Approach ...........................................................................................43 5.2.2 Broad type of transactions ...............................................................................43 5.2.3 Non-exhaustive lists of particular types of transactions ...................................44 5.3 Trading during a closed period ............................................................................... 50 5.3.1 In relation to transactions under exceptional circumstances ............................52 5.3.2 In relation to other types of transactions ..........................................................53 5.4 Technical advice .................................................................................................... 54 6 Reporting of infringements ............................................................................................60 6.1 Mandate (extract) ................................................................................................... 60 6.2 Analysis.................................................................................................................. 60 6.2.1 Scope of the analysis ......................................................................................60 6.3 Technical advice .................................................................................................... 64 7 Annexes ........................................................................................................................68 7.1 Annex I - Commission mandates to provide technical advice ................................. 68 7.2 Annex II - Opinion of the Securities and Markets Stakeholder Group (Extracts) ..... 69 7.2.1 Specification of indicators of market manipulation under Article 12(5) of MAR 69 7.2.2 Determination of the competent authority for notification of delays in public disclosure of inside information under Articles 17(4) and 17(5) of MAR .........................70 7.2.3 Managers’ transactions (type of transactions to report and trading during closed period) under Article 19 of MAR ....................................................................................71 7.2.4 Procedures for reporting of infringements under Article 32(1) of MAR .............74 7.3 Annex III - Feedback on the consultation paper...................................................... 76 7.3.1 Specification of the indicators of market manipulation under Article 12(5) of MAR 76 7.3.2 Minimum thresholds of carbon dioxide and rated thermal input to be established under Article 17(2) of MAR .........................................................................82 7.3.3 Determination of the competent authority for notification of delays in public disclosure of inside information under Articles 17(4) and 17(5) of MAR .........................88 7.3.4 Managers’ transactions (type of transactions to report and trading during closed period) under Article 19 of MAR ....................................................................................91 7.3.5 Procedures for reporting of infringements under Article 32(1) of MAR ........... 101 2 Acronyms used ACER Agency for the Cooperation of Energy Regulators AIF Alternative investment fund CDS Credit default swap CESR Committee of European Securities Regulators CFD Contract for difference CP Consultation Paper on ESMA’s draft technical advice on possible delegated acts concerning the Market Abuse Regulation (ESMA/2014/808) published on 15 July 2014 DA Delegated act to be adopted by the European Commission DMA Direct market access DP Discussion Paper on policy orientations on possible implementing measures under the Market Abuse Regulation (ESMA/2013/1649), published on 14 November 2013 EAMP Emission allowances market participant EEA European Economic Area EFTA European Free Trade Association ESMA European Securities and Markets Authority ETS Emission trading system EU European Union MAD Market Abuse Directive; Directive 2003/6/EC of the European Parliament and the Council on insider dealing and market manipulation (market abuse) MAR Market Abuse Regulation; Regulation (EU) No 596/2014 of the European Parliament and of the Council of 16 April 2014 on market abuse (market abuse regulation) and repealing Directive 2003/6/EC of the European Parliament and of the Council and Commission Directives 2003/124/EC, 2003/125/EC and 2004/72/EC MiFID II Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU 3 MiFIR Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments and amending Regulation (EU) No 648/2012 MTF Multilateral trading facility MS Member State NCA National competent authority OJ The Official Journal of the European Union OTC Over-the-counter OTF Organised trading facility PD Prospectus Directive - Directive 2003/71/EC of the European Parliament and of the Council of 4 November 2003 on the prospectus to be published when securities are offered to the public or admitted to trading and amending Directive 2001/34/EC PDMR Person discharging managerial responsibilities within an issuer of a financial instrument, an emission allowance market participant, auction platform, an auctioneer or an auction
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