MAR 11 Transparency rules for bond transparency instruments

This chapter does not apply in respect of the following transactions:

1. (1)

   transactions listed in article 2(5) of MiFID RTS 22; or

2. (2)

   transactions where the counterparty is a relevant organisation, and where:

   1. (a)

      the transaction is entered into in the performance of monetary, foreign exchange and financial stability policy which the relevant organisation is legally empowered to pursue;

   2. (b)

      the relevant organisation has given prior notification to the transparency firm that the transaction is exempt; and

   3. (c)

      the transaction is not entered into by the relevant organisation for the performance of an investment operation connected with:

      1. (i)

         the management of its own funds;

      2. (ii)

         administrative purposes or for the staff of the member of the relevant organisation, including in the capacity of administrator of a pension scheme for its staff; or

      3. (iii)

         its investment portfolio pursuant to obligations under national law.

A trading venue operator must publish the pre-trade transparency information in MAR 11.2.2R:

1. (1)

   on a continuous basis during normal trading hours; an

2. (2)

   in respect of transparency instruments traded on a trading venue it operates,

when operating a continuous order book, quote-driven or periodic auction trading system.

MAR 11.2.2R does not apply in respect of orders relating to a transparency instrument held in an order management facility of the trading venue operator which:

1. (1)

   are intended to be disclosed to the order book operated by the trading venue operator and are contingent on objective conditions that are predefined by the system’s protocol;

2. (2)

   cannot interact with other trading interests prior to disclosure to the order book operated by the trading venue operator, except that where a portion of a quantity of an aggressive order has executed against the disclosed quantity of a reserve order and other disclosed orders in the order book, the non-disclosed quantity of the reserve order held in the order management facility is a type of order for which pre-trade disclosure is waived and which can be executed against the remainder of the quantity of the aggressive order; and

3. (3)

   once disclosed to the order book, interacts with other orders in accordance with the rules applicable to orders of that kind at the time of disclosure.

MAR 11.2.2R does not apply to orders relating to a category 1 instrument which is larger than the size specified in the column G in the row corresponding to the particular instrument in MAR 11 Annex 1R.

1. (1)

   MAR 11.2.2R does not apply to orders or actionable indication of interest relating to a category 2 instrument which is larger than the size specified by the trading venue operator in accordance with MAR 11.3.4R.

2. (2)

   A trading venue operator must establish, implement and maintain an internal process or rules for determining the size thresholds applicable to those orders or actionable indications of interest in category 2 instruments under (1) for which it will not publish pre-trade transparency information.

3. (3)

   A trading venue operator must publish in its rulebook the rules or processes it adopts to fulfil (2) before it implements them.

4. (4)

   A trading venue operator must promptly inform the FCA of any significant breaches of the process or rules in (3) which give rise to a material risk of price distortions in, or unfair valuations of, category 2 instruments.

In determining the appropriate size thresholds and any other characteristics applicable to those orders or actionable indications of interest in category 2 instruments for which it will not publish pre-trade transparency information under MAR 11.3.3R(2), in compliance with the pre-trade transparency requirement in MAR 11.2.1R, the trading venue operator must have regard to at least the following factors:

1. (1)

   the level of liquidity in the category 2 instrument, including whether there are ready and willing buyers and sellers on a continuous basis and the number, type and ratio of market participants active in the particular category 2 instrument;

2. (2)

   any other characteristics of the category 2 instrument, including the extent to which it is traded in a standardised or frequent way and the average size of spreads, where available;

3. (3)

   any disincentivising effect on those who wish to provide capital or otherwise to facilitate larger trades in the category 2 instrument;

4. (4)

   any negative effect on the fair and orderly trading of the category 2 instrument on the trading venue operated by the trading venue operator; and

5. (5)

   the nature and extent of public information that would assist firms to fulfil their best execution obligations in COBS 11.2 to COBS 11.2B, including the MiFID Org Regulation.

A trading venue operator that is planning to use a waiver set out in MAR 11.3 must notify the FCA of this in advance.

1. (1)

   The rules in MAR 11.4 apply in respect of:

   1. (a)

      transactions in transparency instruments executed by a trading venue operator on a trading venue that it operates; or

   2. (b)

      transactions in category 1 instruments concluded by a transparency investment firm acting in that capacity.

2. (2)

   The rules in MAR 11.4 do not apply in respect of the following types of transactions:

   1. (a)

      a transaction executed by a transparency investment firm when providing the investment service of portfolio management, which transfers the beneficial ownership of financial instruments from one fund to another and where no other investment firm is a party to the transaction other than for the sole purpose of providing arrangements for the execution of such non price-forming transactions;

   2. (b)

      a ‘give-up transaction’ or ‘give-in transaction’, which means:

      1. (i)

         a transaction where a transparency investment firm passes a client trade to, or receives a client trade from, another investment firm for the purpose of post-trade processing; or

      2. (ii)

         where a transparency investment firm executing a trade passes it to, or receives it from, another investment firm for the purpose of hedging the position that it has committed to enter into with a client; or

   3. (c)

      inter-affiliate transactions, which means transactions between entities within the same group carried out exclusively for intra-group risk management purposes.

Where MAR 11.4.1R applies, a transparency firm must publish post-trade transparency information about the transaction, as close to real time as is technically possible:

1. (1)

   in respect of a package transaction or a portfolio trade, having regard to the need to allocate prices to the relevant instruments and in any case within 15 minutes of execution of the relevant transaction; and

2. (2)

   in respect of any other transactions, and in any case within 5 minutes of the execution of the relevant transaction.

A transparency investment firm must:

1. (1)

   where there are 2 matching trades entered at the same time and for the same price with a single party interposed, treat the 2 trades as a single transaction and take all reasonable steps to ensure that the post-trade transparency information relating to such trades is published as if they relate to a single transaction; and

2. (2)

   publish post-trade transparency information once for each transaction, through a single APA.

Where a transparency firm:

1. (1)

   cancels a previously published trade report containing the post-trade transparency information, it must publish a new trade report containing all the details of the original trade report and the cancellation flag specified in MAR 11 Annex 2 Table 3;

2. (2)

   amends a previously published trade report containing post-trade transparency information, it must publish:

   1. (a)

      a new trade report containing all the details of the original trade report and the cancellation flag specified in MAR 11 Annex 2 Table 3; and

   2. (b)

      a new trade report that contains the correct post-trade transparency information and the amendment flag as specified in MAR 11 Annex 2 Table 3.

A transparency firm must give access, on reasonable commercial terms and on a non-discriminatory basis, to the arrangements they put in place for the publication of post-trade transparency information.

1. (1)

   Where 2 transparency investment firms conclude a transaction outside the rules of a trading venue, only the transparency investment firm that is registered as a designated reporter must publish details of the transaction in accordance with MAR 11.4.2R.

2. (2)

   Where neither transparency investment firm party to the transaction is a designated reporter, only the transparency investment firm acting as the selling firm must publish details of the transaction in accordance with MAR 11.4.2R.

3. (3)

   Where each transparency investment firm party to the transaction is registered as a designated reporter, only the transparency investment firm acting as the selling firm must publish details of the transaction in accordance with MAR 11.4.2R.

The transparency investment firm that acts as the selling firm and is required by MAR 11.4.8R(3) to publish the MAR 11.4.2R information can fulfil this requirement by arranging for the buyer to publish the relevant details instead.

1. (1)

   A transparency firm subject to MAR 11.4.2R may defer publication of post-trade transparency information for category 1 instruments, for the applicable maximum deferral duration periods, when the transaction is of a size larger than the one set out in the row corresponding to the particular instrument in MAR 11 Annex 1R.

2. (2)

   Where a transaction fulfils the conditions for an applicable volume deferral in accordance with MAR 11.5.1R(1), the transparency firm must use the VOLO flag for the first trade report, omitting the relevant details, and use the FULV flag for the full trade report once it is published.

3. (3)

   Where one or more of the components of a package transaction fulfils the conditions for an applicable deferral in accordance with MAR 11.5.1R(1) and (2), publication of the post-trade transparency information about all the components of the package transaction may be deferred until the applicable maximum deferral period has lapsed.

4. (4)

   For the purposes of MAR 11.5.1R(3), where one or more of the components of a package transaction comprises a category 2 instrument, publication of post-trade transparency information about a category 1 instrument may be deferred until the end of the next day following execution.

1. (1)

   A trading venue operator may defer the publication of post-trade transparency information relating to transactions in category 2 instruments where it considers such deferral to be necessary for the purposes of achieving efficient price formation and fair evaluation of such category 2 instruments.

2. (2)

   A trading venue operator must have regard at least to the factors set out in MAR 11.3.4R(1) to (5) in considering whether it would be necessary for the purposes of achieving efficient price formation and the fair evaluation of category 2 instruments to:

   1. (a)

      defer the publication of post-trade transparency information and, if so, the duration of such deferral; or

   2. (b)

      apply size thresholds to such transactions and, if so, what the thresholds should be.

3. (3)

   A trading venue operator must establish, implement and maintain an internal process or rules for determining the applicable deferral size thresholds, durations and type of post-trade transparency information, the publication of which it will defer, under (1), in respect of category 2 instruments.

4. (4)

   A trading venue operator must publish in its rulebook the rules or processes it adopts to fulfil (3) before it implements them.

5. (5)

   A trading venue operator must promptly inform the FCA of any significant breaches of the process or rules in (3) which give rise to a material risk of price distortions in, or unfair valuations of, category 2 instruments.