MAR 11.3 Waivers from pre-trade transparency requirements

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.