Reform history

# COMMISSION DELEGATED REGULATION (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (Text with EEA relevance)

The data referred to in the first subparagraph shall be collected in accordance with Annex V.

13. ‘Swaption’ or ‘Option on a swap’ means a contract that gives the owner the right, but not the obligation, to enter a swap at or up to a certain future date or exercise date.

| **Asset class — Bonds (all bond types except ETCs and ETNs)** | | | |

| **Bond Type** | | **Issuance size** - RTS23#14 | |

| Sovereign Bond RTS2#3 = BOND and RTS2#9 = EUSB | means a bond which is neither a convertible nor a covered bond and is issued by a sovereign issuer: (a) the Union; (b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) a sovereign entity which is not listed under points (a) and (b). | smaller than (in EUR) | 1 000 000 000 |

| Other Public Bond RTS2#3 = BOND and RTS2#9 = OEPB | means a bond which is neither a convertible nor a covered bond and is issued by any of the following public issuers: (a) in the case of a federal Member State, a member of that federation; (b) a special purpose vehicle for several Member States; (c) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems; (d) the European Investment Bank; (e) a public entity which is not an issuer of a sovereign bond as specified in the previous row. | smaller than (in EUR) | 500 000 000 |

| Convertible Bond RTS2#3 = BOND and RTS2#9 = CVTB | means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity | smaller than (in EUR) | 500 000 000 |

| Covered Bond RTS2#3 = BOND and RTS2#9 = CVDB | means bonds as referred to in Article 52(4) of Directive 2009/65/EC | during stages S1 and S2 | during stages S3 and S4 |

| Corporate Bond RTS2#3 = BOND and RTS2#9 = CRPB | means a bond which is neither a convertible nor a covered bond and that is issued by a Societas Europaea established in accordance with Council Regulation (EC) No 2157/2001 (¹) or a type of company listed in Annex I or Annex II of Directive 2013/34/EU of the European Parliament and of the Council (²) or equivalent in third countries | during stages S1 and S2 | during stages S3 and S4 |

| Other Bond RTS2#3 = BOND and RTS2#9 = OTHR | A bond that does not belong to any of the above bond types is considered not to have a liquid market | | |

| (¹) Council Regulation (EC) No 2157/2001 of 8 October 2001 on the Statute for a European company (SE) (OJ L 294, 10.11.2001, p. 1). (²) Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19). | | | |

| **Bond type** | **Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria** | |

| **Exchange Traded Commodities (ETCs)** - RTS2#3 = ETCS a debt instrument issued against a direct investment by the issuer in commodities or commodities derivative contracts. The price of an ETC is directly or indirectly linked to the performance of the underlying. An ETC passively tracks the performance of the commodity or commodity indices to which it refers. | EUR 500 000 | 10 |

| **Exchange Traded Notes (ETNs)** - RTS2#3 = ETNS a debt instrument issued against a direct investment by the issuer in the underlying or underlying derivative contracts. The price of an ETN is directly or indirectly linked to the performance of the underlying. An ETN passively tracks the performance of the underlying to which it refers. | EUR 500 000 | 10 |

| **Asset class – Structured Finance Products (SFPs)** | | |

| **Test 1 – SFPs asset-class assessment** | | |

| SFPs asset-class assessment for the purpose of the determination of the financial instruments considered not to have a liquid market as per Articles 6 and 8(1), point (b) – RTS2#3 = SFPS | | |

| **Asset class – Securitised Derivatives** |

| --- |

| means a transferable security as defined in Article 4(1)(44)(c) of Directive 2014/65/EU different from structured finance products and shall include at least: |

| (a.1)  plain vanilla covered warrants which mean securities issued by a financial institution giving the holder the right, but not the obligation, to (a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or (b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer; (a.2)  warrants which mean securities issued by the same issuer of the underlying asset giving the holder the right, but not the obligation, to (a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or (b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer; (b) leverage certificates means certificates that track the performance of the underlying asset with leverage effect; (c) exotic covered warrants means covered warrants whose main component is a combination of options; (d) negotiable rights whose underlying is a non-equity instrument; (e) investment certificates means certificates that track the performance of the underlying asset without leverage effect. |

| RTS2#3 = SDRV |

| **For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied** |

| all securitised derivatives are considered to have a liquid market |

| Asset class – Interest Rate Derivatives | | | | |

| **Sub-asset class** | **For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below** | **Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1), point (b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied** | | |

| **Bond futures/forwards** **/ Future on a bond future** **/ Forward on a bond future** **Future on a bond** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = FUTR** **RTS2#16 = BOND** **or** **Forward on a bond** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = FORW** **RTS2#16 = BOND** **or** **Future on a bond future** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = FUTR** **RTS2#16 = BNFD** **or** **Forward on a bond future** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = FORW** **RTS2#16 = BNFD** | a bond future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS2#17) — issuer of the underlying **Segmentation criterion 2** (RTS2#18) — term of the underlying deliverable bond defined as follows: **Short-term**: the underlying deliverable bond with a term up to 4 years shall be considered to have a short-term **Medium-term**: the underlying deliverable bond with a term between 4 and 8 years shall be considered to have a medium-term **Long-term**: the underlying deliverable bond with a term between 8 and 15 years shall be considered to have a long-term **Ultra-long-term**: the underlying deliverable bond with a term longer than 15 years shall be considered to have an ultra-long-term **Segmentation criterion 3** — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 5 000 000 | 10 | whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month |

| **Bond Option** **/ Option on a bond option** **/ Option on a bond future** **Bond Option** **Option on a bond option** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = OPTN** **RTS2#16 = BOND** **or** **Option on a bond option** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = OPTN** **RTS2#16 = BOND** **or** **Option on a bond future** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = OPTN** **RTS2#16 = BNFD** | a bond option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS2#22) — ultimate underlying bond **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 5 000 000 | 10 | |

| **IR futures and FRA/ Future on an interest rate future/ Forward rate agreement on an interest rate future** **Future on an interest rate** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = FUTR** **RTS2#16 = INTR** **or** **Forward rate agreement** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = FRAS** **RTS2#16 = INTR** **or** **Future on an interest rate future** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = FUTR** **RTS2#16 = IFUT** **or** **Forward rate agreement on an interest rate future** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = FRAS** **RTS2#16 = IFUT** | an interest rate future sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS2#24) — underlying interest rate **Segmentation criterion 2** (RTS2#25) — term of the underlying interest rate **Segmentation criterion 3** (RTS2#8) — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 500 000 000 | 10 | whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month |

| **IR options** **/Option on an interest rate future/FRA** **/Option on an interest rate option** **/Option on an option on an interest rate future/FRA** **Option on an interest rate future/FRA//'Option on an interest rate option** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = OPTN** **RTS2#16 = IFUT** **or** **IR Option //'Option on an option on an interest rate future/FRA** **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = OPTN** **RTS2#16 = INTR** | an interest rate option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS2#24) —underlying interest rate **Segmentation criterion 2** (RTS2#25) — term of the underlying interest rate **Segmentation criterion 3** (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 500 000 000 | 10 | |

| Swaptions **RTS2#3 = DERV** **RTS2#4 = INTR** **RTS2#5 = SWPT** | a swaption sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS2#16) — underlying swap type defined as follows: fixed-to-fixed single currency swap, futures/forwards on fixed-to-fixed single currency swap [**RTS2#16 = XXSC]** fixed-to-float single currency swap, futures/forwards on fixed-to-float single currency swap [**RTS2#16 = XFSC]** float-to-float single currency swap, futures/forwards on float-to-float single currency swap [**RTS2#16 = FFSC]** inflation single currency swap, futures/forwards on inflation single currency swap [**RTS2#16 = IFSC]** OIS single currency swap, futures/forwards on OIS single currency swap [**RTS2#16 = OSSC]** fixed-to-fixed multi-currency swap, futures/forwards on fixed-to-fixed multi-currency swap **[RTS2#16 = XXMC]** fixed-to-float multi-currency swap, futures/forwards on fixed-to-float multi-currency swap [**RTS2#16 = XFMC]** float-to-float multi-currency swap, futures/forwards on float-to-float multi-currency swap [**RTS2#16 = FFMC]** inflation multi-currency swap, futures/forwards on inflation multi-currency swap [**RTS2#16 = IFMC]** OIS multi-currency swap, futures/forwards on OIS multi-currency swap [**RTS2#16 = OSMC]** **Segmentation criterion 2** (RTS2#20) — notional currency defined as the currency in which the notional amount of the option is denominated **Segmentation criterion 3** (RTS2#22 or RTS2#23) — inflation index if the underlying swap type is either an inflation single currency swap or an inflation multi-currency swap **Segmentation criterion 4** (RTS2#21) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years **Segmentation criterion 5** (RTS2#8) — time to maturity bucket of the option defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 6 months **Maturity bucket 2**: 6 months < time to maturity ≤ 1 year **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years **Maturity bucket 4**: 2 years < time to maturity ≤ 5 years **Maturity bucket 5**: 5 years < time to maturity ≤ 10 years **Maturity bucket 6**: over 10 years | EUR 500 000 000 | 10 | |

| Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and the cash flows of one leg are determined by a fixed interest rate and the cash flows of the other leg are determined by a floating interest rate. **RTS2#3 = DERV** **RTS2#4 = INTR** RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XFMC | a fixed-to-float multi-currency sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < maturity ≤ 1 month Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 50 000 000 | 10 | |

| Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by floating interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = FFMC | a float-to-float multi-currency sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < maturity ≤ 1 month Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 50 000 000 | 10 | |

| Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by fixed interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XXMC | a fixed-to-fixed multi-currency sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 50 000 000 | 10 | |

| Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/options on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = OSMC | an overnight index swap (OIS) multi-currency sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 50 000 000 | 10 | |

| Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an inflation rate **RTS2#3 = DERV** **RTS2#4 = INTR** RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = IFMC | an inflation multi-currency sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 50 000 000 | 10 | |

| Fixed-to-Float ‘single currency swaps’ and futures/forwards/ options on Fixed-to-Float ‘single currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and the cash flows of one leg are determined by a fixed interest rate while those of the other leg are determined by a floating interest rate **RTS2#3 = DERV** **RTS2#4 = INTR** RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XFSC | a fixed-to-float single currency sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13) — notional currency in which the two legs of the swap are denominated **Segmentation criterion 2** (RTS2#8)— time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 50 000 000 | 10 | |

| Float-to-Float ‘single currency swaps’ and futures/forwards/ options on Float-to-Float ‘single currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by floating interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = FFSC | a float-to-float single currency sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13) — notional currency in which the two legs of the swap are denominated **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 50 000 000 | 10 | |

| Fixed-to-Fixed ‘single currency swaps’ and futures/forwards/ options on Fixed-to-Fixed ‘single currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by fixed interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XXSC | a fixed-to-fixed single currency sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13) — notional currency in which the two legs of the swap are denominated **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 50 000 000 | 10 | |

| Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards/ options on Overnight Index Swap (OIS) ‘single currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate **RTS2#3 = DERV** **RTS2#4 = INTR** RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = OSSC | an overnight index swap (OIS) single currency sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13) — notional currency in which the two legs of the swap are denominated **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 50 000 000 | 10 | |

| Inflation ‘single currency swaps’ and futures/forwards/ options on Inflation ‘single currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an inflation rate **RTS2#3 = DERV** **RTS2#4 = INTR** RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = IFSC | an inflation single currency sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13) — notional currency in which the two legs of the swap are denominated **Segmentation criterion 2** (RTS2#8)— time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 50 000 000 | 10 | |

| **Other Interest Rate Derivatives** an interest rate derivative that does not belong to any of the above sub-asset classes **RTS2#3 = DERV** **RTS2#4 = INTR** RTS2#5 = OTHR | any other interest rate derivative is considered not to have a liquid market | | | |

| Asset class – Equity Derivatives | | | |

| **Stock index options** an option whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = STIX RTS23#26 or if null RTS23#28 | all index options are considered to have a liquid market | | |

| **Stock index futures/forwards** a future/forward whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = STIX RTS23#26 or if null RTS23#28 | all index futures/forwards are considered to have a liquid market | | |

| **Stock options** an option whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = SHRS RTS23#26 or if null RTS23#28 | all stock options are considered to have a liquid market | | |

| **Stock futures/forwards** a future/forward whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = SHRS RTS23#26 or if null RTS23#28 | all stock futures/forwards are considered to have a liquid market | | |

| **Stock dividend options** an option on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DVSE RTS23#26 or if null RTS23#28 | all stock dividend options are considered to have a liquid market | | |

| **Stock dividend futures/forwards** a future/forward on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DVSE RTS23#26 or if null RTS23#28 | all stock dividend futures/forwards are considered to have a liquid market | | |

| **Dividend index options** an option on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DIVI RTS23#26 or if null RTS23#28 | all dividend index options are considered to have a liquid market | | |

| **Dividend index futures/forwards** a future/forward on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DIVI RTS23#26 or if null RTS23#28 | all dividend index futures/forwards are considered to have a liquid market | | |

| **Volatility index options** an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = VOLI RTS23#26 or if null RTS23#28 | all volatility index options are considered to have a liquid market | | |

| **Volatility index futures/forwards** a future/forward whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = VOLI RTS23#26 or if null RTS23#28 | all volatility index futures/forwards are considered to have a liquid market | | |

| **ETF options** an option whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = ETFS RTS23#26 or if null RTS23#28 | all ETF options are considered to have a liquid market | | |

| **ETF futures/forwards** a future/forward whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = ETFS RTS23#26 or if null RTS23#28 | all ETF futures/forwards are considered to have a liquid market | | |

| **Swaps** RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP | a swap sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS2#27) — underlying type: single name, index, basket **Segmentation criterion 2** RTS23#26 or if null RTS23#28) — underlying single name, index, basket **Segmentation criterion 3** (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility **Segmentation criterion 4** (RTS2#8) — time to maturity bucket of the swap defined as follows: | EUR 50 000 000 | |

| **Maturity bucket 1**: 0 < time to maturity ≤ 1 month | **Maturity bucket 1**: 0 < time to maturity ≤ 3 months | **Maturity bucket 1**: 0 < time to maturity ≤ 1 year | |

| **Maturity bucket 2**: 1 month < time to maturity ≤ 3 months | **Maturity bucket 2**: 3 months < time to maturity ≤ 6 months | **Maturity bucket 2**: 1 year < time to maturity ≤ 2 years | |

| **Maturity bucket 3**: 3 months < time to maturity ≤ 6 months | **Maturity bucket 3**: 6 months < time to maturity ≤ 1 year | **Maturity bucket 3**: 2 years < time to maturity ≤ 3 years | |

| **Maturity bucket 4**: 6 months < time to maturity ≤ 1 year | **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years | … | |

| **Maturity bucket 5**: 1 year < time to maturity ≤ 2 years | **Maturity bucket 5**: 2 years < time to maturity ≤ 3 years | **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | |

| **Maturity bucket 6**: 2 years < time to maturity ≤ 3 years | … | | |

| … | **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | | |

| **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | | | |

| **Portfolio Swaps** RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = PSWP | a portfolio swap sub-class is defined by a specific combination of: **Segmentation criterion 1** (RTS2#27) — underlying type: single name, index, basket **Segmentation criterion 2** (RTS23#26 or if null RTS23#28) — underlying single name, index, basket **Segmentation criterion 3** (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility **Segmentation criterion 4** (RTS2#8) — time to maturity bucket of the portfolio swap defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 1 month **Maturity bucket 2**: 1 month < time to maturity ≤ 3 months **Maturity bucket 3**: 3 months < time to maturity ≤ 6 months **Maturity bucket 4**: 6 months < time to maturity ≤ 1 year **Maturity bucket 5**: 1 year < time to maturity ≤ 2 years **Maturity bucket 6**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | EUR 50 000 000 | 15 |

| **Other equity derivatives** an equity derivative that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#4 = EQUI RTS2#5 = OTHR’ | any other equity derivative is considered not to have a liquid market | | |

| **Sub-asset class** | **For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below** | **Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds** | |

| **Metal commodity futures/forwards** RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | a metal commodity future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#36) — metal type: precious metal, non-precious metal **Segmentation criterion 2** (RTS23#37) — underlying metal **Segmentation criterion 3** (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated **Segmentation criterion 4** (RTS2#8) — time to maturity bucket of the future/forward defined as follows: | EUR 10 000 000 | 10 |

| **Maturity bucket 1**: 0 < time to maturity ≤ 3 months | **Maturity bucket 1**: 0 < time to maturity ≤ 1 year | | |

| **Maturity bucket 2**: 3 months < time to maturity ≤ 1 year | **Maturity bucket 2**: 1 year < time to maturity ≤ 2 years | | |

| **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years | **Maturity bucket 3**: 2 years < time to maturity ≤ 3 years | | |

| **Maturity bucket 4**: 2 years < time to maturity ≤ 3 years | … | | |

| … | **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | | |

| **Maturity bucket m:** (n-1) years < time to maturity ≤ n years | | | |

| **Metal commodity options** RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘OPTN’ | a metal commodity option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#36) — metal type: precious metal, non-precious metal **Segmentation criterion 2** (RTS23#37) — underlying metal **Segmentation criterion 3** (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated **Segmentation criterion 4** (RTS2#8) — time to maturity bucket of the option defined as follows: | EUR 10 000 000 | 10 |

| **Maturity bucket 1**: 0 < time to maturity ≤ 3 months | **Maturity bucket 1**: 0 < time to maturity ≤ 1 year | | |

| **Maturity bucket 2**: 3 months < time to maturity ≤ 1 year | **Maturity bucket 2**: 1 year < time to maturity ≤ 2 years | | |

| **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years | **Maturity bucket 3**: 2 years < time to maturity ≤ 3 years | | |

| **Maturity bucket 4**: 2 years < time to maturity ≤ 3 years | … | | |

| … | **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | | |

| **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | | | |

| **Metal commodity swaps** RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘SWAP’ | a metal commodity swap sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#36) — metal type: precious metal, non-precious metal **Segmentation criterion 2** (RTS23#37) — underlying metal **Segmentation criterion 3** (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated **Segmentation criterion 4** (RTS23#34) —delivery type defined as cash, physical or optional **Segmentation criterion 5** (RTS2#8) — time to maturity bucket of the swap defined as follows: | EUR 10 000 000 | 10 |

| **Maturity bucket 1**: 0 < time to maturity ≤ 3 months | **Maturity bucket 1**: 0 < time to maturity ≤ 1 year | | |

| **Maturity bucket 2**: 3 months < time to maturity ≤ 1 year | **Maturity bucket 2**: 1 year < time to maturity ≤ 2 years | | |

| **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years | **Maturity bucket 3**: 2 years < time to maturity ≤ 3 years | | |

| **Maturity bucket 4**: 2 years < time to maturity ≤ 3 years | … | | |

| … | **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | | |

| **Maturity bucket m:** (n-1) years < time to maturity ≤ n years | | | |

| **Energy commodity futures/forwards** RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | an energy commodity future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter energy **Segmentation criterion 2** (RTS23#37) — underlying energy **Segmentation criterion 3** (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated **Segmentation criterion 4** — [deleted] **Segmentation criterion 5** (RTS2#14) — delivery/cash settlement location applicable to all energy types **Segmentation criterion 6** (RTS2#8) — time to maturity bucket of the future/forward defined as follows: | EUR 10 000 000 | 10 |

| **Oil/ Distillates/ Light ends** | **Coal** | **Natural Gas/Electricity/Inter-energy** | |

| **Maturity bucket 1**: 0 < time to maturity ≤ 4 months | **Maturity bucket 1**: 0 < time to maturity ≤ 6 months | **Maturity bucket 1**: 0 < time to maturity ≤ 1 month | |

| **Maturity bucket 2**: 4 months < time to maturity ≤ 8 months | **Maturity bucket 2**: 6 months < time to maturity ≤ 1 year | **Maturity bucket 2**: 1 month < time to maturity ≤ 1 year | |

| **Maturity bucket 3**: 8 months < time to maturity ≤ 1 year | **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years | **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years | |

| **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years | … | … | |

| … | **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | |

| **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | | | |

| **Energy commodity options** RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘OPTN’ | an energy commodity option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy **Segmentation criterion 2** (RTS23#37) — underlying energy **Segmentation criterion 3** (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated **Segmentation criterion 4** — [deleted] **Segmentation criterion 5** (RTS2#14) — delivery/cash settlement location applicable to all energy types **Segmentation criterion 6** (RTS2#8) — time to maturity bucket of the option defined as follows: | EUR 10 000 000 | 10 |

| **Oil/Distillates/Light ends** | **Coal** | **Natural Gas/Electricity/Inter-energy** | |

| **Maturity bucket 1**: 0 < time to maturity ≤ 4 months | **Maturity bucket 1**: 0 < time to maturity ≤ 6 months | **Maturity bucket 1**: 0 < time to maturity ≤ 1 month | |

| **Maturity bucket 2**: 4 months < time to maturity ≤ 8 months | **Maturity bucket 2**: 6 months < time to maturity ≤ 1 year | **Maturity bucket 2**: 1 month < time to maturity ≤ 1 year | |

| **Maturity bucket 3**: 8 months < time to maturity ≤ 1 year | **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years | **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years | |

| **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years | … | … | |

| … | **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | |

| **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | | | |

| **Energy commodity swaps** RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘SWAP’ | an energy commodity swap sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy **Segmentation criterion 2** (RTS23#37) — underlying energy **Segmentation criterion 3** (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated **Segmentation criterion 4** (RTS23#34) —delivery type defined as cash, physical or optional **Segmentation criterion 5** — [deleted] **Segmentation criterion 6** (RTS2#14) — delivery/cash settlement location applicable to all energy types **Segmentation criterion 7** (RTS2#8) — time to maturity bucket of the swap defined as follows: | EUR 10 000 000 | 10 |

| **Oil/Distillates/Light ends** | **Coal** | **Natural Gas/'Electricity/Inter-energy** | |

| **Maturity bucket 1**: 0 < time to maturity ≤ 4 months | **Maturity bucket 1**: 0 < time to maturity ≤ 6 months | **Maturity bucket 1**: 0 < time to maturity ≤ 1 month | |

| **Maturity bucket 2**: 4 months < time to maturity ≤ 8 months | **Maturity bucket 2**: 6 months < time to maturity ≤ 1 year | **Maturity bucket 2**: 1 month < time to maturity ≤ 1 year | |

| **Maturity bucket 3**: 8 months < time to maturity ≤ 1 year | **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years | **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years | |

| **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years | … | … | |

| … | **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | |

| **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | | | |

| **Agricultural commodity futures/forwards** RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | an agricultural commodity future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) **Segmentation criterion 2** (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated **Segmentation criterion 3** (RTS2#8) — time to maturity bucket of the future/forward defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 3 months **Maturity bucket 2**: 3 months < time to maturity ≤ 6 months **Maturity bucket 3**: 6 months < time to maturity ≤ 1 year **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |

| **Agricultural commodity options** RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and RTS2#5 = ‘OPTN’ | an agricultural commodity option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) **Segmentation criterion 2** (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated **Segmentation criterion 3** (RTS2#8) — time to maturity bucket of the option defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 3 months **Maturity bucket 2**: 3 months < time to maturity ≤ 6 months **Maturity bucket 3**: 6 months < time to maturity ≤ 1 year **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |

| **Agricultural commodity swaps** RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and RTS2#5 = ‘SWAP’ | an agricultural commodity swap sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) **Segmentation criterion 2** (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated **Segmentation criterion 3** (RTS23#34) —delivery type defined as cash, physical or optional **Segmentation criterion 4** (RTS2#8) — time to maturity bucket of the swap defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 3 months **Maturity bucket 2**: 3 months < time to maturity ≤ 6 months **Maturity bucket 3**: 6 months < time to maturity ≤ 1 year **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |

| **Non-deliverable forward (NDF)** means a forward that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract. RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = FORW RTS2#26 = NDLV | a non-deliverable FX forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the forward defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 1 week **Maturity bucket 2**: 1 week < time to maturity ≤ 3 months **Maturity bucket 3**: 3 months < time to maturity ≤ 1 year **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years **Maturity bucket 5**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | Non-deliverable forward (NDF) are considered not to have a liquid market |

| **Deliverable forward (DF)** means a forward that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = FORW RTS2#26 = DLVB | a deliverable FX forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract **Segmentation criterion 2** (RTS2#8)— time to maturity bucket of the forward defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 1 week **Maturity bucket 2**: 1 week < time to maturity ≤ 3 months **Maturity bucket 3**: 3 months < time to maturity ≤ 1 year **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years **Maturity bucket 5**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | Deliverable forward (DF) are considered not to have a liquid market |

| **Non-Deliverable FX options (NDO)** means an option that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract. RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = OPTN RTS2#26 = NDLV | a non-deliverable FX option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the option defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 1 week **Maturity bucket 2**: 1 week < time to maturity ≤ 3 months **Maturity bucket 3**: 3 months < time to maturity ≤ 1 year **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years **Maturity bucket 5**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | Non-Deliverable FX options (NDO) are considered not to have a liquid market |

| **Deliverable FX options (DO)** means an option that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. **RTS2#3 = DERV** **RTS2#4 = CURR** RTS2#5 = OPTN RTS2#26 = DLVB | a deliverable FX option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#47)— underlying currency pair defined as combination of the two currencies underlying the derivative contract **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the option defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 1 week **Maturity bucket 2**: 1 week < time to maturity ≤ 3 months **Maturity bucket 3**: 3 months < time to maturity ≤ 1 year **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years **Maturity bucket 5**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | Deliverable FX options (DO) are considered not to have a liquid market |

| **Non-Deliverable FX swaps (NDS)** means a swap that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract. **RTS2#3 = DERV** **RTS2#4 = CURR’** RTS2#5 = SWAP RTS2#26 = NDLV | a non-deliverable FX swap sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the swap defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 1 week **Maturity bucket 2**: 1 week < time to maturity ≤ 3 months **Maturity bucket 3**: 3 months < time to maturity ≤ 1 year **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years **Maturity bucket 5**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | Non-Deliverable FX swaps (NDS) are considered not to have a liquid market |

| **Deliverable FX swaps (DS)** means a swap that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. **RTS2#3 = DERV** **RTS2#4 = CURR** RTS2#5 = SWAP RTS2#26 = DLVB | a deliverable FX swap sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the swap defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 1 week **Maturity bucket 2**: 1 week < time to maturity ≤ 3 months **Maturity bucket 3**: 3 months < time to maturity ≤ 1 year **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years **Maturity bucket 5**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | Deliverable FX swaps (DS) are considered not to have a liquid market |

| **FX futures** **RTS2#3 = DERV** **RTS2#4 = CURR’** RTS2#5 = FUTR | an FX future sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the future defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 1 week **Maturity bucket 2**: 1 week < time to maturity ≤ 3 months **Maturity bucket 3**: 3 months < time to maturity ≤ 1 year **Maturity bucket 4**: 1 year < time to maturity ≤ 2 years **Maturity bucket 5**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | FX futures are considered not to have a liquid market |

| **Other Foreign Exchange Derivatives** an FX derivative that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = OTHR | any other FX derivative is considered not to have a liquid market | |

| **Index credit default swap (CDS)** a swap whose exchange of cash flows is linked to the creditworthiness of several issuers of financial instruments composing an index and the occurrence of credit events **RTS2#3 = DERV** **RTS2#4 = CRDT** | an index credit default swap sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS2#34) — underlying index **Segmentation criterion 2** (RTS2#42) — notional currency defined as the currency in which the notional amount of the derivative is denominated **Segmentation criterion 3** ( RTS2#8)— time to maturity bucket of the CDS defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 1 year **Maturity bucket 2**: 1 year < time to maturity ≤ 2 years **Maturity bucket 3**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | EUR 200 000 000 | 10 | The underlying index is considered to have a liquid market: (1) during the whole period of its ‘on-the-run status’ (2) for the first 30 working days of its ‘1x off-the-run status’ ‘on-the-run’ index means the rolling most recent version (series) of the index created on the date on which the composition of the index is effective and ending one day prior to the date on which the composition of the next version (series) of the index is effective. ‘1x off-the-run status’ means the version (series) of the index which is immediately prior to the current ‘on-the-run’ version (series) at a certain point in time. A version (series) ceases being ‘on-the-run’ and acquires its ‘1x off-the-run’ status when the latest version (series) of the index is created. |

| **Single name credit default swap (CDS)** a swap whose exchange of cash flows is linked to the creditworthiness of one issuer of financial instruments and the occurrence of credit events **RTS2#3 = DERV** **RTS2#4 = CRDT** | a single name credit default swap sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS2#41) — underlying reference entity **Segmentation criterion 2** (RTS2#39) — underlying reference entity type defined as follows: ‘Issuer of sovereign and public type’ means an issuer entity which is either: (a) the Union; (b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) a sovereign entity which is not listed under points (a) and (b); (d) in the case of a federal Member State, a member of that federation; (e) a special purpose vehicle for several Member States; (f) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems; (g) the European Investment Bank; (h) a public entity which is not a sovereign issuer as specified in the points (a) to (c). ‘Issuer of corporate type’ means an issuer entity which is not an issuer of sovereign and public type. **Segmentation criterion 3** (RTS2#42) — notional currency defined as the currency in which the notional amount of the derivative is denominated **Segmentation criterion 4** (RTS2#8) — time to maturity bucket of the CDS defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 1 year **Maturity bucket 2**: 1 year < time to maturity ≤ 2 years **Maturity bucket 3**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 | |

| **CDS index options** an option whose underlying is a CDS index **RTS2#3 = DERV** **RTS2#4 = CRDT** | a CDS index option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#26) — CDS index sub-class as specified for the sub-asset class of index credit default swap (CDS) **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the option defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 6 months **Maturity bucket 2**: 6 months < time to maturity ≤ 1 year **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years **Maturity bucket 4**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket | | |

| **Single name CDS options** an option whose underly-ing is a single name CDS **RTS2#3 = DERV** **RTS2#4 = CRDT** | a single name CDS option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS23#26) — single name CDS sub-class as specified for the sub-asset class of single name CDS **Segmentation criterion 2** (RTS2#8) — time to maturity bucket of the option defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 6 months **Maturity bucket 2**: 6 months < time to maturity ≤ 1 year **Maturity bucket 3**: 1 year < time to maturity ≤ 2 years **Maturity bucket 4**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket | | |

| **Other credit derivatives** a credit derivative that does not belong to any of the above sub-asset classes **RTS2#3 = DERV** **RTS2#4 = CRDT** RTS2#5 = OTHR | any other credit derivatives is considered not to have a liquid market | | | |

| **Index credit default swap (CDS)** | Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR 2 500 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |

| 30 | 40 | 50 | 60 | | | | | | | | | | | |

| **Single name credit default swap (CDS)** | Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR 2 500 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |

| 30 | 40 | 50 | 60 | | | | | | | | | | | |

| **CDS index options** | Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR 2 500 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |

| 30 | 40 | 50 | 60 | | | | | | | | | | | |

| **Single name CDS options** | Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR 2 500 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |

| **Asset class — C10 Derivatives** | | | |

| **Freight derivatives** a financial instrument relating to freight rates as defined in Section C(10) of Annex I of Directive 2014/65/EU RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘FRGT’ | a freight derivative sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** (RTS2#5) — contract type: futures or options **Segmentation criterion 2** (RTS23#36) — freight type **Segmentation criterion 3** (RTS2#37) — freight sub-type **Segmentation criterion 4** (RTS2#12) —specification of the size related to the freight sub-type **Segmentation criterion 5** (RTS2#13) — specific route or time charter average **Segmentation criterion 6** (RTS2#8) — time to maturity bucket of the derivative defined as follows: **Maturity bucket 1**: 0 < time to maturity ≤ 1 month **Maturity bucket 2**: 1 month < time to maturity ≤ 3 months **Maturity bucket 3**: 3 months < time to maturity ≤ 6 months **Maturity bucket 4**: 6 months < time to maturity ≤ 9 months **Maturity bucket 5**: 9 months < time to maturity ≤ 1 year **Maturity bucket 6**: 1 year < time to maturity ≤ 2 years **Maturity bucket 7**: 2 years < time to maturity ≤ 3 years … **Maturity bucket m**: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |

| **Asset class — C10 Derivatives** | | | |

| **Other C10 derivatives** a financial instrument as defined in Section C(10) of Annex I of Directive 2014/65/EU which is not a ‘Freight derivative’, any of the following interest rate derivatives sub-asset classes: ‘Inflation multi-currency swap or cross-currency swap’, a ‘Future/forward on inflation multi-currency swaps or cross-currency swaps’, an ‘Inflation single currency swap’, a ‘Future/forward on inflation single currency swap’ and any of the following equity derivatives sub-asset classes: a ‘Volatility index option’, a ‘Volatility index future/forward’, a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility | any other C10 derivatives is considered not to have a liquid market | | |

| **Sub-asset class** | **For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below** | Qualitative liquidity criterion | **Average daily notional amount (ADNA)** [quantitative liquidity criterion 1] | **Average daily number of trades** [quantitative liquidity criterion 2] |

| --- | --- | --- | --- | --- |

| **Currency CFDs** RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = CURR | a currency CFD sub-class is defined by the underlying currency pair defined as combination of the two currencies underlying the CFD/spread betting contract. RTS2#30 and RTS2#31 | | EUR 50 000 000 | 100 |

| **Commodity CFDs** RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = COMM | a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract RTS23#35 and RTS23#36 and RTS23#37 | | EUR 50 000 000 | 100 |

| **Equity CFDs** RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = EQUI | an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract RTS23#26 | an equity CFD sub-class is considered to have a liquid market if the underlying is an equity security for which there is a liquid market as determined in accordance with Article 2(1)(17)(b) of Regulation (EU) No 600/2014 | | |

| **Bond CFDs** RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = BOND | a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract RTS23#26 | a bond CFD sub-class is considered to have a liquid market if the underlying is a bond or bond future for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). | | |

| **CFDs on an equity future/forward** RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = FTEQ | a CFD on an equity future/forward sub-class is defined by the underlying future/forward on an equity of the CFD/spread betting contract RTS23#26 | a CFD on an equity future/forward sub-class is considered to have a liquid market if the underlying is an equity future/forward for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). | | |

| **CFDs on an equity option** RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = OPEQ | a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract RTS23#26 | a CFD on an equity option sub-class is considered to have a liquid market if the underlying is an equity option for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). | | |

| **Asset class – Financial contracts for differences (CFDs)** | | | | |

| a CFD/spread betting that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = OTHR | any other CFD/spread betting is considered not to have a liquid market | | | |

| **Sub-asset class** | **Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria** | |

| **European Union Allowances (EUA)** any unit recognised for compliance with the requirements of Directive 2003/87/EC of the European Parliament and of the Council (¹) (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = EUAE | 150 000 tonnes of Carbon Dioxide Equivalent | 5 |

| **European Union Aviation Allowances (EUAA)** any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) from aviation RTS2#3 = EMAL and RTS2#11 = EUAA | 150 000 tonnes of Carbon Dioxide Equivalent | 5 |

| **Certified Emission Reductions (CER)** any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = CERE | 150 000 tonnes of Carbon Dioxide Equivalent | 5 |

| **Emission Reduction Units (ERU)** any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = ERUE | 150 000 tonnes of Carbon Dioxide Equivalent | 5 |

| **Other Emission Allowances** an emission allowance which is an emission allowance recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) or an Emission Reduction Units (ERU) RTS2#3 = EMAL and RTS2#11 = OTHR | any other emission allowances is considered not to have a liquid market | |

| | Asset class — Emission Allowance Derivatives | |

| **Sub-asset class** | **Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria** | |

| **Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)** a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAE | 150 000 tonnes of Carbon Dioxide Equivalent | 5 |

| **Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)** a financial instrument relating to emission allowances of the type European Union Aviation Allowances (EUAA) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAA | 150 000 tonnes of Carbon Dioxide Equivalent | 5 |

| **Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)** a financial instrument relating to emission allowances of the type Certified Emission Reductions (CER) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = CERE | 150 000 tonnes of Carbon Dioxide Equivalent | 5 |

| **Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)** a financial instrument relating to emission allowances of the type Emission Reduction Units (ERU) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = ERUE | 150 000 tonnes of Carbon Dioxide Equivalent | 5 |

| **Other Emission allowance derivatives** an emission allowance derivative whose underlying is an emission allowances recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU) RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = OTHR | any other emission allowance derivative is considered not to have a liquid market | |

## ANNEX V

### **Quantitative data to be provided for the purpose of transparency calculations**

| Symbol | Data Type | Definition |

| --- | --- | --- |

| {ALPHANUM-n} | Up to n alphanumerical characters | Free text field. |

| {ISIN} | 12 alphanumerical characters | ISIN code, as defined in ISO 6166 |

| {MIC} | 4 alphanumerical characters | Market identifier as defined in ISO 10383 |

| {DATEFORMAT} | ISO 8601 date format | Dates shall be formatted by the following format: YYYY-MM-DD. |

| {DECIMAL-n/m} | Decimal number of up to n digits in total of which up to m digits can be fraction digits | Numerical field for both positive and negative values. Decimal separator is ‘.’ (full stop); negative numbers are prefixed with ‘–’ (minus); values are rounded and not truncated. |

| {INTEGER-n} | Integer number of up to n digits | Numerical field for both positive and negative integer values. |

| # | Field | Details to be reported | Type of execution or publication venue | Format and standards for reporting |

| --- | --- | --- | --- | --- |

| 1 | Instrument identification code | Code used to identify the financial instrument | Regulated Market (RM) Multilateral Trading Facility (MTF) Organised Traded Facility (OTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP) | {ISIN} |

| 2 | Execution date | Date on which the trades are executed. | RM, MTF, OTF, APA, CTP | {DATEFORMAT} |

| 3 | Execution venue | Segment MIC of the EU trading venue or systematic internaliser, where available, otherwise operating MIC. Segment MIC of the systematic internaliser where available, otherwise the operating MIC. The MIC code XOFF for OTC transactions. For a given ISIN and execution date, APAs shall sum all OTC trading activity for that instrument in a single record (ISIN, XOFF, execution date). | RM, MTF, OTF, APA, CTP | {MIC} of the trading venue or systematic internaliser or ‘XOFF’ |

| 4 | Suspended instrument flag | Indicator of whether the instrument was suspended during the whole day for trading on the respective TV on the execution date. As a consequence, Fields 5 shall be reported with a value of zero. | RM, MTF, OTF | ‘TRUE’ – if the instrument was suspended for the whole trading day or ‘FALSE’ – if the instrument was not suspended for the whole trading day |

| 5 | Total number of transactions | The total number of transactions executed on the execution date. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. In all cases, the field has to be populated with a value greater than or equal to zero. For instruments that are suspended for the whole day, the field shall have zero value. | RM, MTF, OTF, APA, CTP | {INTEGER-18} |

| 6 | Total volume | The total volume executed on the execution date. The volume shall be measured in accordance with Table 4 of Annex II of this Regulation. Monetary amounts shall be reported in Euros. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. | RM, MTF, OTF, APA, CTP | {DECIMAL-18/5} |

| 7 | ‘Size of transaction’ bin range | This field shall be populated with the values as provided in Tables 3 and 4 of this Annex. The size of transaction bin range as defined: in Table 4 of this Annex for emission allowances and derivatives thereof; In Table 3 of this Annex for the other instruments. For instruments that are suspended for the whole day, data related to this field and to fields 8 and 9 shall not be reported. | RM, MTF, OTF, APA, CTP | {ALPHANUM - -140} |

| 8 | Total number of transactions executed for that bin | Total number of transactions executed on the execution date which size lies in the bin’s range. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. | RM, MTF, OTF, APA, CTP | {INTEGER-18} |

| 9 | Total volume traded for that bin | Total volume traded represented by all transactions executed on the reporting day which size lies in the bin’s range. The volume shall be measured in accordance with Table 4 of Annex II of this Regulation. Monetary amounts shall be reported in Euros. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. | RM, MTF, OTF, APA, CTP | {DECIMAL-18/5} |

| Scope | Size of transaction bin | Definition |

| --- | --- | --- |

| Transactions with a size between 0 and 1,000,000 (excluded) | ]0 – 100,000[ | Transactions with a trade size smaller than EUR 100,000 |

| [100,000 – 100,000] | Transactions with a trade size equal to EUR 100,000 | |

| ]100,000 – 200,000[ | Transactions with a trade size greater than EUR 100,000 and smaller than EUR 200,000 | |

| [200,000 – 300,000[ | Transactions with a trade size greater than or equal to EUR 200,000 and smaller than EUR 300,000 | |

| [300,000 – 400,000[ | Transactions with a trade size greater than or equal to EUR 300,000 and smaller than EUR 400,000 | |

| [Y– Y+100,000[ | Transactions with a trade size greater than or equal to EUR Y and smaller than EUR Y + 100,000 (EUR 100,000 step) | |

| [900,000 – 1,000,000[ | Transactions with a trade size greater than or equal to EUR 900,000 and smaller than EUR 1,000,000 | |

| Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) | [1,000,000 – 1,500,000[ | Transactions with a trade size greater than or equal to EUR 1,000,000 and smaller than EUR 1,500,000 |

| [1,500,000 – 2,000,000[ | Transactions with a trade size greater than or equal to EUR 1,500,000 and smaller than EUR 2,000,000 | |

| [Z– Z+500,000[ | Transactions with a trade size greater than or equal to EUR Z and smaller than EUR Z + 500,000 (EUR 500,000 step) | |

| [9,500,000 – 10,000,000[ | Transactions with a trade size greater than or equal to EUR 9,500,000 and smaller than EUR 10,000,000 | |

| Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) | [10,000,000 – 15,000,000[ | Transactions with a trade size greater than or equal to EUR 10,000,000 and smaller than EUR 15,000,000 |

| [15,000,000 – 20,000,000[ | Transactions with a trade size greater than or equal to EUR 15,000,000 and smaller than EUR 20,000,000 | |

| [W– W+5,000,000[ | Transactions with a trade size greater than or equal to EUR W and smaller than EUR W + 5,000,000 (EUR 5,000,000 step) | |

| [95,000,000 – 100,000,000[ | Transactions with a trade size greater than or equal to EUR 95,000,000 and smaller than EUR 100,000,000 | |

| Transactions with a size greater than or equal to 100,000,000 | [100,000,000 – 125,000,000[ | Transactions with a trade size greater than or equal to EUR 100,000,000 and smaller than EUR 125,000,000 |

| [125,000,000 – 150,000,000[ | Transactions with a trade size greater than or equal to EUR 125,000,000 and smaller than EUR 150,000,000 | |

| [X– X+25,000,000[ | Transactions with a trade size greater than or equal to EUR X and smaller than EUR X + 25,000,000 (EUR 25,000,000 step) | |

| … | … | … |

| Scope | Size of transaction bin | Definition |

| --- | --- | --- |

| Transactions with a size between 0 and 1,000,000 (excluded) | ]0 – 100,000[ | Transactions with a trade size smaller than 100,000 tonnes of carbon dioxide equivalent (tCO2e) |

| [100,000 – 100,000] | Transactions with a trade size equal to 100,000 tCO2e | |

| ]100,000 – 200,000[ | Transactions with a trade size greater than 100,000 tCO2e and smaller than 200,000 tCO2e | |

| [200,000 – 300,000[ | Transactions with a trade size greater than or equal to 200,000 tCO2e and smaller than 300,000 tCO2e | |

| [300,000 – 400,000[ | Transactions with a trade size greater than or equal to 300,000 tCO2e and smaller than 400,000 tCO2e | |

| [Y– Y+100,000[ | Transactions with a trade size greater than or equal to Y tCO2e and smaller than Y tCO2e + 100,000 (100,000 tCO2e step) | |

| [900,000 – 1,000,000[ | Transactions with a trade size greater than or equal to 900,000 tCO2e and smaller than 1,000,000 tCO2e | |

| Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) | [1,000,000 – 1,500,000[ | Transactions with a trade size greater than or equal to 1,000,000 tCO2e and smaller than 1,500,000 tCO2e |

| [1,500,000 – 2,000,000[ | Transactions with a trade size greater than or equal to 1,500,000 tCO2e and smaller than 2,000,000 tCO2e | |

| [Z– Z+500,000[ | Transactions with a trade size greater than or equal to Z tCO2e and smaller than Z tCO2e + 500,000 (500,000 tCO2e step) | |

| [9,500,000 – 10,000,000[ | Transactions with a trade size greater than or equal to 9,500,000 tCO2e and smaller than 10,000,000 tCO2e | |

| Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) | [10,000,000 – 15,000,000[ | Transactions with a trade size greater than or equal to 10,000,000 tCO2e and smaller than 15,000,000 tCO2e |

| [15,000,000 – 20,000,000[ | Transactions with a trade size greater than or equal to 15,000,000 tCO2e and smaller than 20,000,000 tCO2e | |

| [W– W+5,000,000[ | Transactions with a trade size greater than or equal to W tCO2e and smaller than W tCO2e + 5,000,000 (5,000,000 tCO2e step) | |

| [95,000,000 – 100,000,000[ | Transactions with a trade size greater than or equal to 95,000,000 tCO2e and smaller than 100,000,000 tCO2e | |

| Transactions with a size greater than or equal to 100,000,000 | [100,000,000 – 125,000,000[ | Transactions with a trade size greater than or equal to 100,000,000 tCO2e and smaller than 125,000,000 tCO2e |

| [125,000,000 – 150,000,000[ | Transactions with a trade size greater than or equal to 125,000,000 tCO2e and smaller than 150,000,000 tCO2e | |

| [X– X+25,000,000[ | Transactions with a trade size greater than or equal to X tCO2e and smaller than X tCO2e + 25,000,000 (25,000,000 tCO2e step) | |

| … | … | … |