No preceding order in book as transaction price set within average spread of a liquid instrument

Per MiFIR Article 4(1)(b)(i) the obligation to place a public order can be waived for transactions of liquid instruments on systems that formalise negotiated transactions which are made within the current volume weighted spread reflected on the order book or the quotes of the market makers of the trading venue operating that system, subject to the conditions set out in Article 5 of MiFIR on volume caps. Liquid markets as per MiFIR Article 2(17)(b) are assessed by the regulator for the purposes of MiFIR Articles 4, 5 and 14. For ESMA RTS 1, RTS 6 and RTS 22 this is the waiver NLIQ flag.

No preceding order in book as transaction price is for transaction subject to conditions other than current market price

Per MiFIR Article 4(1)(b)(iii), the obligation to place a public order can be waived in systems that formalise negotiated transactions which are subject to conditions other than the current market price of that financial instrument. For ESMA RTS1, RTS 6 and RTS 22 this is the waiver flag PRIC.

No public price quoted as instrument is illiquid

According to MiFIR Article 4(1)(b)(ii) and Article 14(1) the obligation to publish the quote prior to closing the trade may be waived if it was made in an illiquid instrument. However, according to MiFIR Article 14(1) and Article 18(2), systematic internalisers shall still disclose quotes to their clients upon request. This obligation may also be waived in case of bonds, structured finance products, emission allowances and derivatives. For ESMA RTS 1, RTS 2, RTS 6 and RTS 22 this is the waiver flag ILQD.

Deferral due to Large in Scale

Per MiFID Article 14, publication deferral is permitted if the transaction is large in scale compared to a standard market size, as set in RTS 1/Annex II (thresholds for large in scale) and RTS 2/Annex III (LIS and SSTI thresholds). For ESMA RTS 1 and RTS 2, this is the LRGS flag.

Deferral due to Size Specific

Per MiFIR Article 11, publication deferral is permitted if the transaction is greater than the stipulated 'Size Specific to the financial instrument' threshold. For ESMA RTS 2, this is the SIZE flag.

No public price and/or size quoted due to order being hidden

In the context of ESMA, as per MiFIR Article 4(1)(d) and Article 9(1)(a), a transaction arising from an order that was not fully pre-trade transparent due to all or part of it being held in a trading venue order management facility, such as a reserve order.

Exempted due to European System of Central Banks (ESCB) policy transaction

Per ESMA RTS2, Article 14(1), and Article 15(1): A transaction shall be considered to be entered into by a member of the European System of Central Banks (ESCB) in performance of monetary, foreign exchange and financial stability policy [is exempted from publication] … [The regulation] shall not apply to the following types of transaction entered into by a member of the ESCB for the performance of one of the tasks referred to in Article 14: transaction entered into for the management of its own funds; transaction entered into for administrative purposes or for the staff of the member of the ESCB which include transactions conducted in the capacity as administrator of a pension scheme for its staff; transactions entered into for its investment portfolio pursuant to obligations under national law.

Exception due to trade with non-reporting party

Incomplete report due to counterparty of the reporting party being absent. In the context of US CAT this is when a trade was executed by a non-FINRA member and reported to the TRF by the FINRA member counterparty.

Reported outside of reporting hours

In the context of ESMA, trades published after the trade reporting facility being used (e.g. APA for trades brought onto a trading venue) closes, will be reported the following business day and not flagged as deferred (as the MiFID deferral regime is not applicable). This value distinguishes these types of trades from trades executed (and published) on the same business day. It is recommended that this value be set by the trade reporting facility, e.g. APAs, (as opposed to publishing investment firms) to ensure the most accurate use of this value.