Hi team,
With reference to Tag 2669=0 with 2670 = 4 and 5 (ILQD and SIZE) for RTS 1. These are classified as “Pre-trade transparency waiver”. Can I confirm if this means these are classified as waiver flags from a FIX perspective or these still stands as OTC flags as per ESMA requirements? and if it is the latter, why set them under 2669=0 and not 2660=1?
Thank you.
Charbel.
ILQD and SIZE relate to value 4 and 5 for pre-trade waivers and to values 7 and 8 for post-trade deferrals. Please have a look at the elaborations of the four valid values:
4=No public price quoted as instrument is illiquid [According to Article 14(1) MiFIR the systematic internaliser was not obliged to publish the quote prior to closing the trade as it was made in an illiquid instrument. For ESMA RTS 1, this is the “ILQD” flag.]
5= No public price quoted by Systematic Internaliser as order is above standard market size [In the context of ESMA, as per Article 14(2) MiFIR, the systematic internaliser was not obliged to quote prior to closing the trade as the trade was above the instrument’s standard market size. For ESMA RTS 1, this is the “SIZE” flag.]
7=Deferral due to “Illiquid Instrument” [Publication deferral is permitted if the transaction’s instrument is illiquid, as defined by regulator’s stipulation. For ESMA RTS 2, this is the “ILQD” flag.]
8=Deferral due to “Size Specific” [Per MiFIR Article 11, publication deferral is permitted if the transaction’s volume is greater than the stipulated ‘Size Specific to the financial instrument’ threshold. For ESMA RTS 2, this is the “SIZE” flag.]