Legalize / European Union / 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. ) / History

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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. )

5 versions · 2016-07-14

2026-03-02

markets in financial instruments with regard to regulatory technical st

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### **DEFINITIONS**

#### Article 1

##### Definitions

#### Article 1

Definitions

(Article 9(5), point (f), of Regulation (EU) No 600/2014)

For the purposes of this Regulation, the following definitions shall apply:

1. ‘package transaction’ means either of the following:

(a) a transaction in a derivative contract or other financial instrument contingent on the simultaneous execution of a transaction in an equivalent quantity of an underlying physical asset (Exchange for Physical or EFP);

(b) a transaction which involves the execution of two or more component transactions in financial instruments; and:

(i) which is executed between two or more counterparties;

(ii) where each component of the transaction bears meaningful economic or financial risk related to all the other components;

(iii) where the execution of each component is simultaneous and contingent upon the execution of all the other components;

2. ‘request-for-quote system’ means a trading system where the following conditions are met:

(a) a quote or quotes by a member or participant are provided in response to a request for a quote submitted by one or more other members or participants;

(b) the quote is executable exclusively by the requesting member or participant;

(c) the requesting member or market participant may conclude a transaction by accepting the quote or quotes provided to it on request;

3. ‘voice trading system’ means a trading system where transactions between members are arranged through voice negotiation.

(1) ‘central limit order book trading system’ means any of the following:

(a) a continuous order book trading system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis;

(b) a trading system combining elements of a continuous order book trading system, as referred to in point (a), and of a periodic auction trading system, as defined in point (2);

(2) ‘periodic auction trading system’ means a trading system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention.

#### Article 1a

##### Scope of application of Articles 3, 6, 8, 9, 10, 11 and 13

## CHAPTER II

@@ -46,6 +44,22 @@

An order is large in scale compared with normal market size where, at the point of entry of the order or following any amendment to the order, it is equal to or larger than the minimum size of order which shall be determined in accordance with the methodology set out in Article 13.

#### Article 3a

Orders which are large in scale for bonds, structured finance products and emission allowances

(Article 9(1), point (a), of Regulation (EU) No 600/2014)

An order in bonds, structured finance products or emission allowances shall be large in scale compared with normal market size where, at the point of entry of the order or following any amendment to the order, that order is equal to or larger than the following thresholds:

(a) for all bond types, except Exchange Traded Commodities (‘ETCs’) and Exchange Traded Notes (‘ETNs’), the thresholds set out in Table 2.3 of Annex III;

(b) for ETCs and ETNs, the thresholds set out in Table 2.5 of Annex III;

(d) for emission allowances, the thresholds set out in Table 12.2 of Annex III.

#### Article 4

Type and minimum size of orders held in an order management facility

@@ -66,20 +80,6 @@

(b) for all other orders, a size that is greater than or equal to the minimum tradable quantity set in advance by the system operator under its rules and protocols.

#### Article 5

Size specific to the financial instrument

(Articles 8(4) and 9(1)(b) of Regulation (EU) No 600/2014)

Indicative pre-trade prices for actionable indications of interest that are above the size specific to the financial instrument determined in accordance with paragraph 1 and smaller than the relevant large in scale size determined in accordance with Article 3 shall be considered close to the price of the trading interests where the trading venue makes public any of the following:

(a) the best available price;

(b) a simple average of prices;

(c) an average price weighted on the basis of the volume, price, time or the number of actionable indications of interest.

#### Article 6

The classes of financial instruments for which there is not a liquid market

@@ -88,6 +88,22 @@

A financial instrument or a class of financial instruments shall be considered not to have a liquid market if so specified in accordance with the methodology set out in Article 13.

#### Article 6a

The classes of bonds, structured finance products and emission allowances for which there is not a liquid market

(Article 9(1), point (c), of Regulation (EU) No 600/2014)

To determine whether a bond, structured finance product or emission allowance is to be considered not to have a liquid market, competent authorities shall apply the following static determination of liquidity:

(a) for all bond types, except ETCs and ETNs, the determination set out in Table 2.2 of Annex III;

(b) for ETCs and ETNs, the determination set out in Table 2.4 of Annex III;

(d) for emission allowances, the determination set out in Table 12.1 of Annex III.

## CHAPTER III

### **POST-TRADE TRANSPARENCY FOR TRADING VENUES AND INVESTMENT FIRMS TRADING OUTSIDE A TRADING VENUE**

@@ -98,17 +114,13 @@

(Article 10(1) and Article 21(1) and (5) of Regulation (EU) No 600/2014)

The field names set out in Table 2 of Annex II shall be made public using the same naming conventions as set out in the field identifier of that table.

Where a previously published trade report is amended, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make the following information public:

(a) a new trade report that contains all the details of the original trade report and the cancellation flag specified in Table 3 of Annex II;

(b) a new trade report that contains all the details of the original trade report with all necessary details corrected and the amendment flag as specified in Table 3 of Annex II.

Post-trade information shall be made available as close to real time as is technically possible and in any case:

(a) for the first three years of application of Regulation (EU) No 600/2014, within 15 minutes after the execution of the relevant transaction;

(b) thereafter, within 5 minutes after the execution of the relevant transaction.

#### Article 8

@@ -129,6 +141,30 @@

(ii) one or more of its components are transactions in financial instruments that are large in scale compared with the normal market size as determined by Article 9;

(iii) the transaction is executed between an investment firm dealing on own account other than on a matched principal basis as per Article 4(1)(38) of Directive 2014/65/EU and another counterparty, and one or more of its components are transactions in financial instruments that are above the size specific to the instrument as determined by Article 10.

#### Article 8a

Deferred publication of transactions for bonds, structured finance products and emission allowances

(Article 11 of Regulation (EU) No 600/2014)

Market operators and investment firms operating a trading venue and investment firms trading outside a trading venue may defer the publication of the details of transactions in respect of bonds, except ETCs and ETNs, in accordance with the following:

(a) a price deferral and a volume deferral not exceeding 15 minutes, for transactions in category 1 as referred to in Table 2.6 of Annex III;

(b) a price deferral and a volume deferral not exceeding the end of the trading day, for transactions in category 2 as referred to in Table 2.6 of Annex III;

(c) a price deferral not exceeding the end of the first trading day after the transaction date and a volume deferral not exceeding one week after the transaction date, for transactions in category 3 as referred to in Table 2.6 of Annex III;

(d) a price deferral not exceeding the end of the second trading day after the transaction date and a volume deferral not exceeding two weeks after the transaction date, for transactions in category 4 as referred to in Table 2.6 of Annex III;

(e) a price deferral and a volume deferral not exceeding four weeks after the transaction date, for transactions in category 5 as referred to in Table 2.6 of Annex III.

Market operators and investment firms operating a trading venue and investment firms trading outside a trading venue may defer the publication of the details of transactions in respect of ETCs, ETNs and structured finance products in accordance with the following:

(a) a price deferral not exceeding the end of the second trading day after the transaction date, for transactions of any size; and

(b) a volume deferral not exceeding two weeks after the transaction date, for transactions of any size.

#### Article 9

Transactions which are large in scale

@@ -159,25 +195,37 @@

(b) where Article 11(3)(b) of Regulation (EU) No 600/2014 applies, competent authorities shall allow the omission of the publication of the volume of an individual transaction for an extended time period of four weeks;

(c) in respect of non-equity instruments that are not sovereign debt and where Article 11(3)(c) of Regulation (EU) No 600/2014 applies, competent authorities shall allow, for an extended time period of deferral of four weeks, the publication of the aggregation of several transactions executed over the course of one calendar week on the following Tuesday before 9.00 local time;

(d) in respect of sovereign debt instruments and where Article 11(3)(d) of Regulation (EU) No 600/2014 applies, competent authorities shall allow, for an indefinite period of time, the publication of the aggregation of several transactions executed over the course of one calendar week on the following Tuesday before 9.00 local time.

Where the extended period of deferral set out in paragraph 1(b) has lapsed, the following requirements shall apply:

(a) in respect of all instruments that are not sovereign debt, the publication of the full details of all individual transactions, on the next working day before 9.00 local time;

(b) in respect of sovereign debt instruments where competent authorities decide not to use the options provided for in Article 11(3)(b) and (d) of Regulation (EU) No 600/2014 consecutively, pursuant to the second subparagraph of Article 11(3) of Regulation (EU) No 600/2014, the publication of the full details of all individual transactions on the next working day before 9.00 local time;

(c) in respect of sovereign debt instruments, where competent authorities apply the options provided for in Article 11(3)(b) and (d) of Regulation (EU) No 600/2014 consecutively pursuant to the second subparagraph of Article 11(3) of Regulation (EU) No 600/2014, the publication of several transactions executed in the same calendar week in an aggregated form on the Tuesday following the expiry of the extended period of deferral of four weeks counting from the last day of that calendar week before 9.00 local time.

The aggregated daily or weekly data referred to in paragraphs 1 and 2 shall contain the following information for bonds, structured finance products, derivatives and emission allowances in respect of each day or week of the calendar period concerned:

(a) in respect of all instruments that are not sovereign debt, the publication of the full details of all individual transactions, on the next working day before 9.00 local time.

The aggregated daily or weekly data referred to in paragraphs 1 and 2 shall contain the following information about derivatives in respect of each day or week of the calendar period concerned:

(a) the weighted average price;

(b) the total volume traded as referred to in Table 4 of Annex II;

#### Article 11a

Transparency requirements for sovereign debt instruments in conjunction with deferred publication at the discretion of competent authorities

(Article 11(3) of Regulation (EU) No 600/2014)

The aggregated weekly data referred to in paragraph 1 shall contain the following information in respect of each week of the calendar period concerned:

(a) the weighted average price;

(b) the total volume traded as referred to in Table 4 of Annex II;

3. Transactions shall be aggregated per ISIN-code.

4. Where the weekday for the publications set out in paragraph 1 is not a working day, the publications shall be made on the following working day before 09:00 local time.

#### Article 12

@@ -203,79 +251,64 @@

(i) the asset class of securitised derivatives as defined in Table 4.1 of Annex III;

(ii) the following sub-asset classes of equity derivatives: stock index options, stock index futures/forwards, stock options, stock futures/forwards, stock dividend options, stock dividend futures/forwards, dividend index options, dividend index futures/forwards, volatility index options, volatility index futures/forwards, ETF options, ETF futures/forwards and other equity derivatives as defined in Table 6.1 of Annex III;

(iii) the asset class of foreign exchange derivatives as defined in Table 8.1 of Annex III;

(iv) the sub-asset classes of other interest rate derivatives, other commodity derivatives, other credit derivatives, other C10 derivatives, other contracts for difference (CFDs), other emission allowances and other emission allowance derivatives as defined in Tables 5.1, 7.1, 9.1, 10.1, 11.1, 12.1 and 13.1 of Annex III.

(iv) the sub-asset classes of other interest rate derivatives, other commodity derivatives, other credit derivatives, other C10 derivatives, other contracts for difference (CFDs), and other emission allowance derivatives as referred to in Tables 5.1, 7.1, 9.1, 10.1, 11.1 and 13.1 of Annex III.

(b) Periodic assessment based on quantitative and, where applicable, qualitative liquidity criteria for:

(i) all bond types except ETCs and ETNs as defined in Table 2.1 of Annex III and as further specified in Article 17(1);

(ii) ETC and ETN bond types as defined in Table 2.4 of Annex III;

—————

(iii) the asset-class of interest rate derivatives except the sub-asset class of other interest rate derivatives as defined in Table 5.1of Annex III;

(iv) the following sub-asset classes of equity derivatives: swaps and portfolio swaps as defined in Table 6.1 of Annex III;

(v) the asset-class of commodity derivatives except the sub-asset class of other commodity derivatives as defined in Table 7.1 of Annex III;

(vi) the following sub-asset classes of credit derivatives: index credit default swaps and single name credit default swaps as defined in Table 9.1 of Annex III;

(vii) the asset-class of C10 derivatives except the sub-asset class of other C10 derivatives as defined in Table 10.1 of Annex III;

(viii) the following sub-asset classes of contracts for difference (CFDs): currency CFDs and commodity CFDs as defined in Table 11.1 of Annex III;

(ix) the asset-class of emission allowances except the sub-asset class of other emission allowances as defined in Table 12.1 of Annex III;

—————

(x) the asset-class of emission allowance derivatives except the sub-asset class of other emission allowance derivatives as defined in Table 13.1 of Annex III.

(i) the following sub-asset classes of credit derivatives: CDS index options and single name CDS options as defined in Table 9.1 of Annex III;

(ii) the following sub-asset classes of contracts for difference (CFDs): equity CFDs, bond CFDs, CFDs on an equity future/forward and CFDs on an equity option as defined in Table 11.1 of Annex III.

(d) Periodic assessment based on a two tests methodology for structured finance products as defined in Table 3.1 of Annex III.

For determining the size specific to the financial instrument referred to in Article 5 and the orders that are large in scale compared with normal market size referred to in Article 3, the following methodologies shall be applied:

For determining the orders that are large in scale compared with normal market size as referred to in Article 3, the following methodologies shall be applied:

(a) the threshold value for:

(i) ETC and ETN bond types as defined in Table 2.5 of Annex III;

—————

(ii) the asset class of securitised derivatives as defined in Table 4.2 of Annex III;

(iii) each sub-class of equity derivatives as defined in Tables 6.2 and 6.3 of Annex III;

(iv) each sub-class of foreign exchange derivatives as defined in Table 8.2 of Annex III;

(v) each sub-class considered not to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and contracts for difference (CFDs) as defined in Tables 5.3, 7.3, 9.3, 10.3 and 11.3 of Annex III;

(vi) each sub-asset class considered not to have a liquid market for the asset classes of emission allowances and emission allowance derivatives as defined in Tables 12.3 and 13.3 of Annex III;

(vii) each structured finance product where Test-1 under paragraph 1(d) is not passed as defined in Table 3.2 of Annex III;

(viii) each structured finance product considered not to have a liquid market where only Test-1 under paragraph 1(d) is passed as defined in Table 3.3 of Annex III.

(b) the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile as further specified in Article 17(3) and the threshold floor for:

(i) each bond type, except ETCs and ETNs, as defined in Table 2.3 of Annex III;

(vi) each sub-asset class considered not to have a liquid market for the asset classes of emission allowance derivatives as referred to in Table 13.3 of Annex III.

—————

(b) the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor for:

—————

(ii) each sub-class having a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and CFDs as defined in Tables 5.2, 7.2, 9.2, 10.2 and 11.2 of Annex III;

(iii) each sub-asset class having a liquid market for the asset classes of emission allowances and emission allowance derivatives as defined in Tables 12.2 and 13.2 of Annex III;

(iv) each structured finance product considered to have a liquid market where Test-1 and Test-2 under paragraph 1(d) are passed as defined in Table 3.3 of Annex III.

(iii) each sub-asset class having a liquid market for the asset classes of emission allowance derivatives as referred to in Table 13.2 of Annex III;

—————

For the determination of the size specific to the financial instrument referred to in Article 8(1)(c) and transactions that are large in scale compared with normal market size referred to in Article 8(1)(a), the following methodologies shall be applied:

(a) the threshold value for:

(i) ETC and ETN bond types as defined in Table 2.5 of Annex III;

—————

(ii) the asset class of securitised derivatives as defined in Table 4.2 of Annex III;

(iii) each sub-class of equity derivatives as defined in Tables 6.2 and 6.3 of Annex III;

(iv) each sub-class of foreign exchange derivatives as defined in Table 8.2 of Annex III;

(vi) each sub-asset class considered not to have a liquid market for the asset class of emission allowances and emission allowance derivatives as defined in Tables 12.3 and 13.3 of Annex III;

(vii) each structured finance product where Test-1 under paragraph 1(d) is not passed as defined in Table 3.2 of Annex III;

(viii) each structured finance product considered not to have a liquid market where only Test-1 under paragraph 1(d) is passed as defined in Table 3.3 of Annex III.

(b) the trade size below which lies the percentage of the transactions corresponding to the trade percentile for each bond type, except ETCs and ETNs, as defined in Table 2.3 of Annex III;

(vi) each sub-asset class considered not to have a liquid market for the asset class of emission allowance derivatives as referred to in Table 13.3 of Annex III;

—————

(c) the greatest of the trade size below which lies the percentage of the transactions corresponding to the trade percentile, the trade size below which lies the percentage of volume corresponding to the volume percentile and the threshold floor for each sub-class considered to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and CFDs as provided in Tables 5.2, 7.2, 9.2, 10.2 and 11.2 of Annex III;

(d) the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor for:

(i) each sub-asset class considered to have a liquid market for the asset classes of emission allowances and emission allowance derivatives as provided in Tables 12.2 and 13.2 of Annex III;

(ii) each structured finance product considered to have a liquid market where the Test-1 and Test-2 under paragraph 1(d) are passed as defined in Table 3.3 of Annex III.

(d) the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor for each sub-asset class considered to have a liquid market for emission allowance derivatives as provided for in Table 13.2 of Annex III.

In accordance with Delegated Regulations (EU) 2017/590 and (EU) 2017/577 competent authorities shall collect on a daily basis the data from trading venues, APAs and CTPs which is necessary to perform the calculations to determine:

(a) the financial instruments and classes of financial instruments not having a liquid market as set out in paragraph 1;

(b) the sizes large in scale compared to normal market size and the size specific to the instrument as set out in paragraphs 2 and 3.

(b) the sizes large in scale compared to normal market size and the size specific to the instrument as set out in paragraph 3.

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

For the purpose of the determinations referred to in paragraphs 2 and 3, points (b) of paragraph 2 and points (b), (c) and (d) of paragraph 3 shall not apply whenever the number of transactions considered for calculations is smaller than 1 000 , in which case the following thresholds shall be applied:

(a) EUR 100 000 for all bond types except ETCs and ETNs;

(b) the threshold values defined in paragraph 2(a) and paragraph 3(a) for all financial instruments not covered in point (a) of this paragraph.

Except when they refer to emission allowances or derivatives thereof, the calculations referred to in paragraph 2(b) and paragraph 3(b), (c) and (d) shall be rounded up to the next:

Except when they refer to emission allowance derivatives, the calculations referred to in paragraph 2, point (b), and paragraph 3, point (c), shall be rounded up to the next:

(a) 100 000 where the threshold value is smaller than 1 million;

@@ -313,57 +346,13 @@

#### Article 16

Temporary suspension of transparency obligations

(Article 9(5)(a) of Regulation (EU) No 600/2014)

#### Article 17

##### Provisions for the liquidity assessment for bonds and for the determination of the pre-trade size specific to the instrument thresholds based on trade percentiles

Corporate bonds and covered bonds that are admitted to trading or first traded on a trading venue shall be considered to have a liquid market until the application of the results of the first quarterly liquidity determination as set out in Article 13(18) where:

(a) the issuance size exceeds EUR 1 000 000 000 during stages S1 and S2, as determined in accordance with paragraph 6;

(b) the issuance size exceeds EUR 500 000 000 during stages S3 and S4, as determined in accordance with paragraph 6.

For determining the size specific to the financial instrument for the purposes of Article 5 and according to the methodology specified under Article 13(2), points (b)(ii) to (iv), the approach for the trade percentile to be applied shall be used applying the trade percentile corresponding to the stage S1 (30th percentile).

The assessment referred to in paragraph 4 shall take into account:

(a) the evolution of trading volumes in non-equity instruments covered by the pre-trade transparency obligations pursuant to Article 8 and 9 of Regulation (EU) No 600/2014;

(b) the impact on liquidity providers of the percentile thresholds used to determine the size specific to the financial instrument; and

ESMA shall, in light of the assessment undertaken in accordance with paragraphs 4 and 5, submit to the Commission an amended version of the regulatory technical standard adjusting the threshold for the liquidity criterion ‘average daily number of trades’ for bonds according to the following sequence:

(a) S2 (10 daily trades) by 30 July of the year following the date of application of Regulation (EU) No 600/2014;

(b) S3 (7 daily trades) by 30 July of the year thereafter; and

ESMA shall, in light of the assessment undertaken in accordance with paragraphs 4 and 5, submit to the Commission an amended version of the regulatory technical standard adjusting the threshold for trade percentiles according to the following sequence:

(a) S2 (40th percentile) by 30 July of the year following the date of application of Regulation (EU) No 600/2014;

(b) S3 (50th percentile) by 30 July of the year thereafter; and

#### Article 18

##### Transitional provisions

For the purposes of paragraph 1:

(a) the calculations shall be based on a six-month reference period commencing 18 months prior to the date of application of Regulation (EU) No 600/2014;

(b) the results of the calculations contained in the first publication shall be used until the results of the first regular calculations set out in Article 13(17) apply.

(Article 9(4) of Regulation (EU) No 600/2014)

Competent authorities, shall, before they suspend transparency obligations, verify that the significant decline in liquidity across all venues is not the result of seasonal effects of the relevant class of financial instruments on liquidity.

#### Article 19

@@ -377,15 +366,10 @@

## ANNEX I

| Type of system | Description of system | Information to be made public |

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

| Continuous auction order book trading system | A system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis. | For each financial instrument, the aggregate number of orders and the volume they represent at each price level, for at least the five best bid and offer price levels. |

| Quote-driven trading system | A system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself. | For each financial instrument, the best bid and offer by price of each market maker in that instrument, together with the volumes attaching to those prices. The quotes made public shall be those that represent binding commitments to buy and sell the financial instruments and which indicate the price and volume of financial instruments in which the registered market makers are prepared to buy or sell. In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time. |

| Periodic auction trading system | A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention. | For each financial instrument, the price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system. |

| Request-for-quote trading system | A trading system where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request. | The quotes and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable. |

| Voice trading system | A trading system where transactions between members are arranged through voice negotiation. | The bids and offers and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules. |

| Hybrid trading system | A system falling into two or more of the types of trading systems referred to in rows 1 to 5 of this Table. | For hybrid trading systems that combine different trading systems at the same time, the requirements correspond to the pre-trade trade transparency requirements applicable to each type of trading system that forms the hybrid system. For hybrid trading systems that combine two or more trading systems subsequently, the requirements correspond to the pre-trade transparency requirements applicable to the respective trading system operated at a particular point in time. |

| Any other trading system | Any other type of trading system not covered by rows 1 to 6. | Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit. |

| Type of system | Information to be made public |

| --- | --- |

| Continuous order book trading system | For each financial instrument, the aggregate number of orders and the volume they represent at each price level, for at least the five best bid and offer price levels. |

| Periodic auction trading system | For each financial instrument, the price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system. |

## ANNEX II

@@ -400,56 +384,85 @@

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

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

The field names (column headers) as published shall be identical to the field identifier provided in Table 2.

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

| 1 | Trading date and time | For all financial instruments | Date and time when the transaction was executed. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Commission Delegated Regulation (EU) 2017/574 (1). For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies, as specified in fields 31, 34 and 44 of Table 2 of Annex I of Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 4 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission. | Regulated Market (RM) Multilateral Trading Facility (MTF), Organised Trading Facility (OTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP) | {DATE_TIME_FORMAT} |

| 2 | Instrument identification code | For all financial instruments | Code used to identify the financial instrument | RM, MTF, OTF, APA, CTP | {ISIN}. |

| 3 | Price | For all financial instruments | Traded price of the transaction excluding, where applicable, commission and accrued interest. The traded price shall be reported in accordance with standard market convention. The value provided in this field shall be consistent with the value provided in the field ‘Price Notation’. Where price is currently not available but pending (‘PNDG’) or not applicable (‘NOAP’), this field shall not be populated. | RM, MTF, OTF, APA, CTP | {DECIMAL-18/13} in case the price is expressed as monetary value {DECIMAL-11/10} in case the price is expressed as percentage or yield {DECIMAL-18/17} in case the price is expressed as basis points |

| 4 | Missing Price | For all financial instruments | Where price is currently not available but pending, the value shall be ‘PNDG’. Where price is not applicable the value shall be ‘NOAP’. | RM, MTF, OTF, APA, CTP | ‘PNDG’ in case the price is not available ‘NOAP’ in case the price is not applicable |

| 5 | Price currency | For all financial instruments | Major currency in which the price is expressed (applicable if the price is expressed as monetary value). | RM, MTF, OTF, APA, CTP | {CURRENCYCODE_3} |

| 6 | Price notation | For all financial instruments | Indication as to whether the price is expressed in monetary value, in percentage, in basis points or in yield The price notation shall be reported in accordance with standard market convention. For credit default swaps, this field shall be populated with ‘BAPO’. For bonds (other than ETNs and ETCs) this field shall be populated with percentage (PERC) of the notional amount. Where a price in percentage is not the standard market convention, it shall be populated with YIEL, BAPO or MONE, in accordance with the standard market convention. The value provided in this field shall be consistent with the value provided in the field ‘Price’. Where the price is reported in monetary terms, it shall be provided in the major currency unit. Where the price is currently not available but pending (‘PNDG’) or not applicable (‘NOAP’), this field shall not be populated. | RM, MTF, OTF, APA, CTP | ‘MONE’ — Monetary value ‘PERC’ — Percentage ‘YIEL’ — Yield ‘BAPO’ — Basis points |

| 7 | Quantity | For all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation. | For financial instruments traded in units, the number of units of the financial instrument. Empty otherwise. | RM, MTF, OTF, APA, CTP | {DECIMAL-18/17} |

| 8 | Quantity in measurement unit | For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b) of this Regulation. | The equivalent amount of commodity or emission allowance traded expressed in measurement unit. | RM, MTF, OTF, APA, CTP | {DECIMAL-18/17} |

| 9 | Notation of the quantity in measurement unit | For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b) of this Regulation | Indication of the notation in which the quantity in measurement unit is expressed. | RM, MTF, OTF, APA, CTP | ‘TOCD’ — tonnes of carbon dioxide equivalent, for any contract related to emission allowances ‘TONE’ — metric tonnes ‘MWHO’ — megawatt hours ‘MBTU’ — one million British thermal units ‘THMS’ — Therms ‘DAYS’— days or {ALPHANUM-4} otherwise |

| 10 | Notional amount | For all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation. | This field shall be populated: (i) for bonds (excluding ETCs and ETNs), with the face value, which is the amount repaid at redemption to the investor; (ii) for ETCs and ETNs and securitised derivatives, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field; (iii) for structured finance products (SFPs), with the nominal value per unit multiplied by the number of instruments at the time of the transaction; (iv) for credit default swaps, with the notional amount for which the protection is acquired or disposed of; (v) for options, swaptions, swaps other than those in (iv), futures and forwards, with the notional amount of the contract; (vi) for emission allowances, with the resulting amount of the quantity at the relevant price set in the contract at the time of the transaction. Equivalently, with the price field multiplied by the quantity in measurement unit field; (vii) for spread bets, with the monetary value wagered per point movement in the underlying financial instrument at the time of the transaction; (viii) for contracts for difference, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field. | RM, MTF, OTF, APA, CTP | {DECIMAL-18/5} |

| 11 | Notional currency | For all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation. | Major currency in which the notional amount is denominated. In the case of an FX derivative contract or a multi-currency swap or a swaption where the underlying swap is multi-currency or a currency CFD or spread-betting contract, this will be the notional currency of leg 1. | RM, MTF, OTF, APA, CTP | {CURRENCYCODE_3} |

| 12 | Type | For emission allowances and emission allowance derivatives only | This field is only applicable for emission allowances and emission allowance derivatives. | RM, MTF, OTF, APA, CTP | ‘EUAE’ — EUA ‘CERE’ — CER ‘ERUE’ — ERU ‘EUAA’ — EUAA ‘OTHR’ — Other |

| 13 | Venue of execution | For all financial instruments | Identification of the venue where the transaction was executed. Use the ISO 10383 segment MIC for transactions executed on an EU trading venue. Where the segment MIC does not exist, use the operating MIC. Use ‘SINT’ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser. Use MIC code ‘XOFF’ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is neither executed on an EU trading venue nor executed by a systematic internaliser. If the transaction is executed on an organised trading platform outside of the EU then in addition to ‘XOFF’ also the population of the field ‘Third-country trading venue of execution’ is required. | RM, MTF, OTF, APA, CTP | {MIC} – EU trading venues or ‘SINT’ — systematic internaliser ‘XOFF’ — otherwise |

| 14 | Third-country trading venue of execution | For all financial instruments | Identification of the third-country trading venue where the transaction was executed. Use the ISO 10383 segment MIC. Where the segment MIC does not exist, use the operating MIC. Where the transaction is not executed on a third-country trading venue, the field shall not be populated. | APA, CTP | {MIC} |

| 15 | Publication Date and Time | For all financial instruments | Date and time when the transaction was published by a trading venue or APA. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Delegated Regulation (EU) 2017/574. For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second. | RM, MTF, OTF, APA, CTP | {DATE_TIME_FORMAT} |

| 16 | Venue of publication | For all financial instruments | Code used to identify the trading venue and APA publishing the transaction. | CTP | Trading venue: {MIC} APA: {MIC} where available. Otherwise, 4 character code as published in the list of data reporting services providers on ESMA's website. |

| 17 | Transaction Identification Code | For all financial instruments | Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580 (2)) and APAs and used in any subsequent reference to the specific trade. The transaction identification code shall be unique, consistent and persistent per ISO 10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day. Where the APA does not use MICs, it shall be unique, consistent and persistent per 4-character code used to identify the APA per trading day. The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained | RM, MTF, OTF, APA, CTP | {ALPHANUMERICAL-52} |

| (1) Commission Delegated Regulation (EU) 2017/574 of 7 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the level of accuracy of business clocks (OJ L 87, 31.3.2017, p. 148). (2) Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (OJ L 87, 31.3.2017, p. 193). Delegated Regulation (EU) No 148/2013 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories. | | | | | |

| 1 | Trading date and time | For all financial instruments | Date and time when the transaction was executed. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 12 of Commission Delegated Regulation (EU) 2025/1155 (1). For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies, as specified in fields 31, 34 and 44 of Table 2 of Annex I to Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 4 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission. | Regulated Market (RM) Multilateral Trading Facility (MTF), Organised Trading Facility (OTF) Approved Publication Arrangement (APA) | {DATE_TIME_FORMAT} |

| 2 | Instrument identification code | For all financial instruments | Code used to identify the financial instrument | RM, MTF, OTF, APA | {ISIN} |

| 3 | Price | For all financial instruments | Traded price of the transaction excluding, where applicable, commission and accrued interest. The traded price shall be reported in accordance with standard market convention. The value provided in this field shall be consistent with the value provided in the field ‘Price Notation’. Where price is currently not available but pending (‘PNDG’) or not applicable (‘NOAP’), this field shall not be populated. | RM, MTF, OTF, APA | {DECIMAL-18/13} in case the price is expressed as monetary value {DECIMAL-11/10} in case the price is expressed as percentage or yield {DECIMAL-18/17} in case the price is expressed as basis points |

| 4 | Missing Price | For all financial instruments | Where price is currently not available but pending, the value shall be ‘PNDG’. Where price is not applicable the value shall be ‘NOAP’. | RM, MTF, OTF, APA | ‘PNDG’ in case the price is not available ‘NOAP’ in case the price is not applicable |

| 5 | Price currency | For all financial instruments | Major currency in which the price is expressed (applicable if the price is expressed as monetary value). | RM, MTF, OTF, APA | {CURRENCY CODE_3} |

| 6 | Price notation | For all financial instruments | Indication as to whether the price is expressed in monetary value, in percentage, in basis points or in yield The price notation shall be reported in accordance with standard market convention. For credit default swaps, this field shall be populated with ‘BAPO’. For bonds (other than ETNs and ETCs) this field shall be populated with percentage (PERC) of the notional amount. Where a price in percentage is not the standard market convention, it shall be populated with YIEL, BAPO or MONE, in accordance with the standard market convention. The value provided in this field shall be consistent with the value provided in the field ‘Price’. Where the price is reported in monetary terms, it shall be provided in the major currency unit. Where the price is currently not available but pending (‘PNDG’) or not applicable (‘NOAP’), this field shall not be populated. | RM, MTF, OTF, APA | ‘MONE’ – Monetary value ‘PERC’ – Percentage ‘YIEL’ – Yield ‘BAPO’ – Basis points |

| 8 | Quantity in measurement unit | For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b), of this Regulation. | The equivalent amount of commodity or emission allowance traded expressed in measurement unit. | RM, MTF, OTF, APA | {DECIMAL-18/17} |

| 9 | Notation of the quantity in measurement unit | For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b), of this Regulation | Indication of the notation in which the quantity in measurement unit is expressed. | RM, MTF, OTF, APA | ‘TOCD’ – tonnes of carbon dioxide equivalent, for any contract related to emission allowances ‘TONE’ – metric tonnes ‘MWHO’ – megawatt hours ‘MBTU’ – one million British thermal units ‘THMS’ – Therms ‘DAYS’– days or {ALPHANUM-4} otherwise |

| 10 | Notional amount | For all financial instruments except in the cases described under Article 11(1), points (a) and (b), of this Regulation. | This field shall be populated: (i) for bonds (excluding ETCs and ETNs), with the face value, which is the amount repaid at redemption to the investor; (ii) for ETCs and ETNs and securitised derivatives, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field; (iii) for structured finance products (SFPs), with the nominal value per unit multiplied by the number of instruments at the time of the transaction; (iv) for credit default swaps, with the notional amount for which the protection is acquired or disposed of; (v) for options, swaptions, swaps other than those in (iv), futures and forwards, with the notional amount of the contract; (vi) for emission allowances, with the resulting amount of the quantity at the relevant price set in the contract at the time of the transaction. Equivalently, with the price field multiplied by the quantity in measurement unit field; (vii) for spread bets, with the monetary value wagered per point movement in the underlying financial instrument at the time of the transaction; (viii) for contracts for difference, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field. | RM, MTF, OTF, APA | {DECIMAL-18/5} |

| 11 | Notional currency | For all financial instruments except in the cases described under Article 11(1), points (a) and (b), of this Regulation. | Major currency in which the notional amount is denominated. In the case of an FX derivative contract or a multi-currency swap or a swaption where the underlying swap is multi-currency or a currency CFD or spread-betting contract, this will be the notional currency of leg 1. | RM, MTF, OTF, APA | {CURRENCY CODE_3} |

| 12 | [deleted] | | | | |

| 13 | Venue of execution | For all financial instruments | Identification of the venue where the transaction was executed. Use the ISO 10383 segment MIC for transactions executed on an EU trading venue. Where the segment MIC does not exist, use the operating MIC. Use ‘SINT’ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser. Use MIC code ‘XOFF’ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is neither executed on an EU trading venue nor executed by a systematic internaliser. If the transaction is executed on an organised trading platform outside of the EU then in addition to ‘XOFF’ also the population of the field ‘Third-country trading venue of execution’ is required. | RM, MTF, OTF, APA | {MIC} – EU trading venues or ‘SINT’ – systematic internaliser ‘XOFF’ – otherwise |

| 14 | Third-country trading venue of execution | For all financial instruments | Identification of the third-country trading venue where the transaction was executed. Use the ISO 10383 segment MIC. Where the segment MIC does not exist, use the operating MIC. Where the transaction is not executed on a third- country trading venue, the field shall not be populated. | APA | {MIC} |

| 15 | Publication Date and Time | For all financial instruments | Date and time when the transaction was published by a trading venue or APA. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 12 of Delegated Regulation (EU) 2025/1155. For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second. | RM, MTF, OTF, APA | {DATE_TIME_FORMAT} |

| 16 | Venue of publication | For all financial instruments | Code used to identify the trading venue and APA publishing the transaction. | RM, MTF, OTF, APA | {MIC} |

| 19 | Flags | For all financial instruments | One or multiple fields should be populated with the applicable flags as described in Table 3 of Annex II. Where none of the specified circumstances apply, the transaction should be published without a flag. Where a combination of flags is possible and reported in one field, the flags should be reported separated by commas. | RM, MTF, OTF, APA | As specified in Table 3 of Annex II |

| 20 | Trading System | For all financial instruments | Type of trading system on which the transaction was executed. When the field ‘Venue of execution’ is populated with ‘SINT’ or ‘XOFF’, this field shall not be populated. | RM, MTF, OTF | ‘CLOB’ – central limit order book trading system. ‘QDTS’ – quote driven trading systems, meaning a system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself. ‘PATS’ – periodic auction trading systems. ‘RFQT’ – request for quote trading systems, meaning a trading system where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request. ‘VOIC’ – voice trading system, meaning a trading system where transactions between members are arranged through voice negotiation. ‘HYBR’ – hybrid trading system meaning a system falling into two or more of the types of trading systems referred to above. ‘OTHR’ – any other trading system, meaning any other type of trading system not covered above. |

| 21 | Number of transactions | For sovereign debt instruments | This field should be populated with the number of transactions executed when deferred publication of details of several tpransactions in an aggregated form is required under Article 11(3)(b) of Regulation (EU) No 600/2014. | RM, MTF, OTF, APA | {DECIMAL-18/17} |

| (1) Commission Delegated Regulation (EU) 2025/1155 of 12 June 2025 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards specifying the input and output data of consolidated tapes, the synchronisation of business clocks and the revenue redistribution by the consolidated tape provider for shares and ETFs, and repealing Commission Delegated Regulation (EU) 2017/574 (OJ L, 2025/1155, 3.11.2025, ELI: http://data.europa.eu/eli/reg_del/2025/1155/oj). (2) Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (OJ L 87, 31.3.2017, p. 193, ELI: http://data.europa.eu/eli/reg_del/2017/580/oj). | | | | | |

| POST-TRADE DEFERRAL FLAGS FOR DERIVATIVES | | | |

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

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

| ‘BENC’ | Benchmark transaction flag | RM, MTF, OTF, APA, CTP | Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price. |

| ‘ACTX’ | Agency cross transaction flag | APA, CTP | Transactions where an investment firm has brought together two clients’ orders with the purchase and the sale conducted as one transaction and involving the same volume and price. |

| ‘PORT’ | Portfolio trade flag | RM, MTF, APA, CTP | Transaction in five or more different financial instruments where those transactions are traded at the same time by the same client and against a single lot price and that is not a ‘package transaction’ as referred to in Article 1(1). |

| POST-TRADE DEFERRAL FLAGS FOR BONDS (EXCEPT ETCs AND ETNs) | | | |

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

| ‘MLF1’ | Medium Liquid Flag | RM, MTF, OTF, APA | Transactions in bonds benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(a) of this Regulation. |

| ‘MIF2’ | Medium Illiquid Flag | RM, MTF, OTF, APA | Transactions in bonds benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(b) of this Regulation. |

| ‘LLF3’ | Large Liquid Flag | RM, MTF, OTF, APA | Transactions in bonds benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(c) of this Regulation. |

| ‘LIF4’ | Large Illiquid Flag | RM, MTF, OTF, APA | Transactions in bonds benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(d) of this Regulation. |

| ‘VLF5’ | Very Large Liquid Flag | RM, MTF, OTF, APA | Transactions in bonds benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(e) of this Regulation. |

| ‘VIF5’ | Very Large Illiquid Flag | RM, MTF, OTF, APA | Transactions in bonds benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(e) of this Regulation. |

| POST-TRADE DEFERRAL FLAGS FOR ETCs, ETNs, SFPs AND EMISSION ALLOWANCES | | | |

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

| ‘DEFF’ | Deferral for ETCs, ETNs, SFPs and emission allowances | RM, MTF, OTF, APA | Transactions in ETCs, ETNs, SFPs and emission allowances, which benefit from a deferral as specified under Article 8a(2) and (3) of this Regulation. |

| SUPPLEMENTARY DEFERRAL FLAGS FOR DERIVATIVES | | | | |

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

| ‘FULF’ | Full details flag | Transaction for which limited details have been previously published in accordance with Article 11(1), point (a)(i). | | |

| ‘FULA’ | Full details flag | RM, MTF, OTF, APA, CTP | Individual transactions for which aggregated details have been previously published in accordance with Article 11(1), point (a)(ii). | |

| ‘FULJ’ | Full details flag | RM, MTF, OTF, APA, CTP | Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1), point (c). | |

| | | | | |

| Article 11(1)(d) | ‘IDAF’ | Indefinite aggregation flag | RM, MTF, OTF, APA, CTP | Transactions for which the publication of several transactions in aggregated form for an in definite period of time has been allowed in accordance with Article 11(1), point (d). |

| Consecutive use of Article 11(1)(b) and Article 11(2)(c) for sovereign debt instruments | ‘VOLW’ | Volume omission flag | RM, MTF, OTF, APA, CTP | Transaction for which limited are published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time will be consecutively allowed in accordance with Article 11(2), point (c). |

| ‘COAF’ | Consecutive aggregation flag (post volume omission for sovereign debt instruments) | RM, MTF, OTF, APA, CTP | Transactions for which limited details have been previously published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time has consecutively been allowed in accordance with Article 11(2), point (c). | |

| ‘FULA’ | Full details flag | RM, MTF, OTF, APA | Individual transactions for which aggregated details have been previously published in accordance with Article 11(1), point (a)(ii). | |

| ‘FULJ’ | Full details flag | RM, MTF, OTF, APA | Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1), point (c). | |

| SUPPLEMENTARY DEFERRAL FLAGS FOR SOVEREIGN BONDS | | | | |

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

| ‘FULO’ | Full details flag | RM, MTF, OTF, APA | Transaction for which limited details have been previously published in accordance with Article 11(3), point (a) of Regulation (EU) No 600/2014. | |

| ‘FULG’ | Full details flag | RM, MTF, OTF, APA | Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(3), point (b) of Regulation (EU) No 600/2014. | |

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

| ‘BENC’ | Benchmark transaction flag | RM, MTF, OTF, APA | Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price. |

| ‘TPAC’ | Package transaction flag | RM, MTF, OTF, APA | Package transactions, which are not exchange for physicals, as defined in Article 2(1)(50), point (b) of Regulation (EU) No 600/2014. |

| ‘PORT’ | Portfolio trade flag | RM, MTF, OTF, APA | Transaction in five or more different financial instruments where those transactions are traded at the same time by the same client and against a single lot price and that is not a ‘package transaction’ as defined in Article 2(1), point (50), of Regulation (EU) No 600/2014. |

| Type of instrument | Volume |

| --- | --- |

@@ -472,135 +485,125 @@

#### 1. Instructions for the purpose of this annex

1. A reference to an ‘asset class’ means a reference to the following classes of financial instruments: bonds, structured finance products, securitised derivatives, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives, C10 derivatives, CFDs, emission allowances and emission allowance derivatives.

2. A reference to a ‘sub-asset class’ means a reference to an asset class segmented to a more granular level on the basis of the contract type and/or the type of underlying.

3. A reference to a ‘sub-class’ means a reference to a sub-asset class segmented to a more granular level on basis of further qualitative segmentation criteria as set out in Tables 2.1 to 13.3 of this Annex.

4. ‘Average daily turnover (ADT)’ means the total turnover for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.

5. ‘Average daily notional amount (ADNA)’ means the total notional amount for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for all the other financial instruments, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.

6. ‘Percentage of days traded over the period considered’ means the number of days in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for structured finance products, on which at least one transaction has been executed for that financial instrument, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.

7. ‘Average daily number of trades’ means the total number of transactions executed for a particular financial instrument in the period set out in Article 13(18) for all bonds except ETCs and ETN and in Article 13(7) all the other financial instruments, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.

8. ‘Future’ means a contract to buy or sell a commodity or financial instrument in a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller. Every futures contract has standard terms that dictate the minimum quantity and quality that can be bought or sold, the smallest amount by which the price may change, delivery procedures, maturity date and other characteristics related to the contract.

9. ‘Option’ means a contract that gives the owner the right, but not the obligation, to buy (call) or sell (put) a specific financial instrument or commodity at a predetermined price, strike or exercise price, at or up to a certain future date or exercise date.

10. ‘Swap’ means a contract in which two parties agree to exchange cash flows in one financial instrument for those of another financial instrument at a certain future date.

11. ‘Portfolio Swap’ means a contract by which end-users can trade multiple swaps.

12. ‘Forward’ or ‘Forward agreement’ means a private agreement between two parties to buy or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller.

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.

14. ‘Future on a swap’ means a future contract that gives the owner the obligation, to enter a swap at or up to a certain future date.

15. ‘Forward on a swap’ means a forward contract that gives the owner the obligation, to enter a swap at or up to a certain future date.

1.The reference to outstanding bond issuance size in Table 2.2 refers to the total value of bonds that have been issued and are currently held by investors.

2.A reference to an ‘asset class’ means a reference to the following classes of financial instruments: bonds, structured finance products, securitised derivatives, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives, C10 derivatives, CFDs, emission allowances and emission allowance derivatives.

3.A reference to a ‘sub-asset class’ means a reference to an asset class segmented to a more granular level on the basis of the contract type and/or the type of underlying.

4.A reference to a ‘sub-class’ means a reference to a sub-asset class segmented to a more granular level on basis of further qualitative segmentation criteria as set out in Tables 2.2 to 13.3 of this Annex.

5.‘Average daily notional amount (ADNA)’ means the total notional amount for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.

6.‘Average daily number of trades’ means the total number of transactions executed for a particular financial instrument in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.

7.‘Future’ means a contract to buy or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller. Every futures contract has standard terms that dictate the minimum quantity and quality that can be bought or sold, the smallest amount by which the price may change, delivery procedures, maturity date and other characteristics related to the contract.

8.‘Option’ means a contract that gives the owner the right, but not the obligation, to buy (call) or sell (put) a specific financial instrument or commodity at a predetermined price, strike or exercise price, at or up to a certain future date or exercise date.

9.‘Swap’ means a contract in which two parties agree to exchange cash flows in one financial instrument for those of another financial instrument at a certain future date.

10.‘Portfolio Swap’ means a contract by which end-users can trade multiple swaps.

11.‘Forward’ or ‘Forward agreement’ means a private agreement between two parties to buy or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller.

12.‘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.

13.‘Future on a swap’ means a future contract that gives the owner the obligation, to enter a swap at or up to a certain future date.

14.‘Forward on a swap’ means a forward contract that gives the owner the obligation, to enter a swap at or up to a certain future date.

#### 2. Bonds

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

Each individual bond shall be determined not to have a liquid market as per Article 6a if it is characterised by a specific combination of bond characteristics as specified in each row of the tables below.

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

| | RTS2#3 | RTS2#9 | The country of the issuer reported under Commission Delegated Regulation (EU) 2017/585 (1) (‘RTS23’) field ‘Issuer or operator of the trading venue identifier’ | The time remaining until the maturity date reported under RTS23 field ‘Maturity date’ | The third letter of the CFI code reported under RTS23 field ‘Instrument classification’ | RTS23 field ‘Total issued nominal amount’ converted to EUR |

| G1 | BOND | EUSB 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) in the case of a federal Member State, a member of the federation; (d) a special purpose vehicle for several Member States; (e) 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; (f) the European Investment Bank; (g) a sovereign entity of a third country. | The issuer country is a Member State, the United States of America or the United Kingdom; OR The issuer is the Union. | Up to and including 10 years | F (fixed coupon) | Less than EUR 5 000 000 000 |

| (1) Commission Delegated Regulation (EU) 2017/585 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the data standards and formats for financial instrument reference data and technical measures in relation to arrangements to be made by the European Securities and Markets Authority and competent authorities (OJ L 87, 31.3.2017, p. 368, ELI: http://data.europa.eu/eli/reg_del/2017/585/oj). | | | | | | |

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

| **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 on a cumulative basis** | | | | | |

| **Average daily notional amount** [quantitative liquidity criteria 1] | **Average daily number of trades** [quantitative liquidity criteria 2] | **Percentage of days traded over the period considered** [quantitative liquidity criteria 3] | | | |

| EUR 100 000 | S1 | S2 | S3 | S4 | 80 % |

| 15 | 10 | 7 | 2 | | |

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

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

| Each individual bond shall be determined not to have a liquid market as per Article 13(18) if it is characterised by a specific combination of bond type and issuance size as specified in each row of the table. | | | |

| 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 |

| smaller than (in EUR) | 1 000 000 000 | smaller than (in EUR) | 500 000 000 |

| 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 |

| smaller than (in EUR) | 1 000 000 000 | smaller than (in EUR) | 500 000 000 |

| **Bond Type** | **For the purpose of the determination of the financial instruments considered not to have a liquid market as per Article 13(18), the following methodology shall be applied** | | |

| 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). | | | |

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

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

| **Bond Type** | **Transactions to be considered for the calculation of the thresholds per bond type** | **Percentiles to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each bond type** | | | | | | | | |

| Sovereign Bond | transactions executed on Sovereign Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 300 000 | 70 | EUR 300 000 | 80 | 90 |

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

| Other Public Bond | transactions executed on Other Public Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 300 000 | 70 | EUR 300 000 | 80 | 90 |

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

| Convertible Bond | transactions executed on Convertible Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 200 000 | 70 | EUR 200 000 | 80 | 90 |

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

| Covered Bond | transactions executed on Covered Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 300 000 | 70 | EUR 300 000 | 80 | 90 |

| 30 | 40 | 40 | 40 | | | | | | | |

| Corporate Bond | transactions executed on Corporate Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 200 000 | 70 | EUR 200 000 | 80 | 90 |

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

| Other Bonds | transactions executed on Other Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 200 000 | 70 | EUR 200 000 | 80 | 90 |

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

| **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** | |

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

| **Average daily turnover (ADT)** [quantitative liquidity criterion 1] | **Average daily number of trades** [quantitative liquidity criterion 2] | |

| **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 — Bonds (ETC and ETN bond types) | | | | |

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

| **Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined to have a liquid market** | | | | |

| ETCs | EUR 1 000 000 | EUR 1 000 000 | EUR 50 000 000 | EUR 50 000 000 |

| ETNs | EUR 1 000 000 | EUR 1 000 000 | EUR 50 000 000 | EUR 50 000 000 |

| **Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined not to have a liquid market** | | | | |

| ETCs | EUR 900 000 | EUR 900 000 | EUR 45 000 000 | EUR 45 000 000 |

| ETNs | EUR 900 000 | EUR 900 000 | EUR 45 000 000 | EUR 45 000 000 |

| | RTS2#3 | RTS2#9 | The currency of the instrument reported under RTS23 field ‘Notional Currency 1’ | | RTS23 field ‘Total issued nominal amount’ converted to EUR |

| G3 | BOND | CRPB, CVTB or OTHR 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. 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. | EUR, GBP, USD | Investment Grade | Less than EUR 500 000 000 |

| (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, ELI: http://data.europa.eu/eli/reg/2001/2157/oj). (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, ELI: http://data.europa.eu/eli/dir/2013/34/oj). | | | | | |

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

| | RTS2#3 | RTS2#9 | RTS23 field ‘Total issued nominal amount’ converted to EUR |

| (1) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32, ELI: http://data.europa.eu/eli/dir/2009/65/oj). | | | |

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

| --- | --- |

| **Bond type** | **Pre-trade LIS** |

| Sovereign Bond and Other Public Bond | EUR 5 000 000 |

| Corporate Bond, Convertible Bond and Other Bond | EUR 1 000 000 |

| Covered Bond | EUR 5 000 000 |

| Asset class – Bonds (ETC and ETN bond type) | |

| --- | --- |

| For the purpose of determining the classes of financial instruments considered not to have a liquid market as per Article 6a the following methodology shall apply: | |

| 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. | All ETCs are considered not to have a liquid market |

| 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. | All ETNs are considered not to have a liquid market |

| Asset class – Bonds (ETC and ETN bond type) | |

| --- | --- |

| **Bond type** | **Pre-trade LIS** |

| ETCs | EUR 1 000 000 |

| ETNs | EUR 1 000 000 |

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

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

| Sovereign Bond in G1 as per Table 2.2 | 1 | Considered to have a liquid market | EUR 15 000 000 |

| 2 | Considered not to have a liquid market | EUR 5 000 000 | |

| 3 | Considered to have a liquid market | EUR 50 000 000 | |

| 4 | Considered not to have a liquid market | EUR 15 000 000 | |

| 5 | Considered to have a liquid market | EUR 100 000 000 | |

| 5 | Considered not to have a liquid market | EUR 50 000 000 | |

| Sovereign Bond and Other Public Bond in G2 as per Table 2.2 | 1 | Considered to have a liquid market | EUR 10 000 000 |

| 2 | Considered not to have a liquid market | EUR 1 000 000 | |

| 3 | Considered to have a liquid market | EUR 20 000 000 | |

| 4 | Considered not to have a liquid market | EUR 2 000 000 | |

| 5 | Considered to have a liquid market | EUR 50 000 000 | |

| 5 | Considered not to have a liquid market | EUR 5 000 000 | |

| Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2 | 1 | Considered to have a liquid market | EUR 1 500 000 |

| 2 | Considered not to have a liquid market | EUR 500 000 | |

| 3 | Considered to have a liquid market | EUR 7 500 000 | |

| 4 | Considered not to have a liquid market | EUR 2 000 000 | |

| 5 | Considered to have a liquid market | EUR 15 000 000 | |

| 5 | Considered not to have a liquid market | EUR 5 000 000 | |

| Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2 | 1 | Considered to have a liquid market | EUR 1 000 000 |

| 2 | Considered not to have a liquid market | EUR 500 000 | |

| 3 | Considered to have a liquid market | EUR 5 000 000 | |

| 4 | Considered not to have a liquid market | EUR 2 000 000 | |

| 5 | Considered to have a liquid market | EUR 10 000 000 | |

| 5 | Considered not to have a liquid market | EUR 5 000 000 | |

| Covered Bonds in G5 as per Table 2.2 | 1 | Considered to have a liquid market | EUR 5 000 000 |

| 2 | Considered not to have a liquid market | EUR 1 000 000 | |

| 3 | Considered to have a liquid market | EUR 20 000 000 | |

| 4 | Considered not to have a liquid market | EUR 5 000 000 | |

| 5 | Considered to have a liquid market | EUR 50 000 000 | |

| 5 | Considered not to have a liquid market | EUR 10 000 000 | |

#### 3. Structured Finance Products (SFPs)

| **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 | | |

| **Transactions to be considered for the calculations of the values related to the quantitative liquidity criteria for the purpose of the SFPs asset-class assessment** | **The SFPs asset-class shall be assessed by application of the following thresholds of the quantitative liquidity criteria** | |

| **Average daily notional amount (ADNA)** [quantitative liquidity criterion 1] | **Average daily number of trades** [quantitative liquidity criterion 2] | |

| Transactions executed in all SFPs | EUR 300 000 000 | 500 |

| **Test 2 — SFPs not having a liquid market** | | |

| If the values related to the quantitative liquidity criteria are both above the quantitative liquidity thresholds set for the purpose of the SFPs asset-class assessment, then Test 1 is passed and Test-2 shall be performed. 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 | | |

| **Average daily notional amount (ADNA)** [quantitative liquidity criterion 1] | **Average daily number of trades** [quantitative liquidity criterion 2] | **Percentage of days traded over the period considered** [quantitative liquidity criteria 3] |

| EUR 100 000 | 2 | 80 % |

| Asset class — Structured Finance Products (SFPs) | | | |

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

| **Pre-trade and post-trade SSTI and LIS thresholds for all SFPs if Test 1 is not passed** | | | |

| EUR 100 000 | EUR 250 000 | EUR 500 000 | EUR 1 000 000 |

#### *Table 3.3*

#### **SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is passed**

| Asset class — Structured Finance Products (SFPs) | | | | | | | | | | | |

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

| **Transactions to be considered for the calculation of the thresholds** | **Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for SFPs determined to have a liquid market if Test 1 is passed** | | | | | | | | | | |

| Transactions executed in all SFPs determined to have a liquid market | S1 | S2 | S3 | S4 | EUR 100 000 | 70 | EUR 250 000 | 80 | EUR 500 000 | 90 | EUR 1 000 000 |

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

| Pre-trade and post-trade SSTI and LIS thresholds for SFPs determined not to have a liquid market if Test 1 is passed | | | |

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

| EUR 100 000 | EUR 250 000 | EUR 500 000 | EUR 1 000 000 |

| Asset class – Structured Finance Products (SFPs) |

| --- |

| SFPs asset-class assessment for the purpose of the determination of the financial instruments considered not to have a liquid market as per Article 6a – RTS2#3 = SFPS. |

| All SFPs are considered not to have a liquid market |

| Asset class – Structured Finance Products (SFPs) |

| --- |

| **Pre-trade LIS** |

| EUR 250 000 |

#### 4. Securitised derivatives

@@ -612,12 +615,12 @@

| **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 |

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

| **Pre-trade and post-trade SSTI and LIS thresholds** | | | |

| EUR 50 000 | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| Asset class – Securitised Derivatives | | |

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

| **Pre-trade and post-trade SSTI and LIS thresholds** | | |

| **LIS pre-trade** | **SSTI post-trade** | **LIS post-trade** |

| **Threshold value** | **Threshold value** | **Threshold value** |

| EUR 60 000 | EUR 90 000 | EUR 100 000 |

#### 5. Interest rate derivatives

@@ -645,63 +648,48 @@

| **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), the following methodology shall be applied** | | | |

| **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 | | | |

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

| **Sub-asset class** | **Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market** | | | | | | | | | | | | | |

| **Bond futures/forwards** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |

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

| **Bond options** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |

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

| **IR futures and FRA** | calculation of thresholds should 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 5 000 000 | 70 | EUR 10 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |

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

| **IR options** | calculation of thresholds should 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 5 000 000 | 70 | EUR 10 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |

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

| **Swaptions** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

| **Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

| **Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

| **Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

| **Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

| **Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

| **Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

| **Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

| **Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

| **Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

| **Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’** | calculation of thresholds should 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 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market** | | | |

| **Bond futures/forwards** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| **Bond options** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| **IR futures and FRA** | EUR 5 000 000 | EUR 10 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| **IR options** | EUR 5 000 000 | EUR 10 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| **Swaptions** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| **Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| **Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| **Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| **Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| **Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| **Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| **Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| **Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| **Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| **Other Interest Rate Derivatives** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

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

| Bond futures/forwards | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |

| Bond options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |

| IR futures and FRA | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 10 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |

| IR options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 10 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |

| Swaptions | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

| Fixed-to-Float ‘multi currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi currency swaps’ or ‘cross-currency swaps’ | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

| Float-to-Float ‘multi currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi currency swaps’ or ‘cross-currency swaps’ | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

| Fixed-to-Fixed ‘multi currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi currency swaps’ or ‘cross-currency swaps’ | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

| Overnight Index Swap (OIS) ‘multi currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘multi currency swaps’ or ‘cross-currency swaps’ | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

| Inflation ‘multi currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi currency swaps’ or ‘cross-currency swaps’ | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

| Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’ | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

| Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’ | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

| Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’ | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

| Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’ | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

| Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’ | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market** | | |

| Bond futures/forwards | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| Bond options | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| IR futures and FRA | EUR 10 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| IR options | EUR 10 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| Swaptions | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| Fixed-to-Float ‘multi currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi currency swaps’ or ‘cross-currency swaps’ | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| Float-to-Float ‘multi currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi currency swaps’ or ‘cross-currency swaps’ | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| Fixed-to-Fixed ‘multi currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi currency swaps’ or ‘cross-currency swaps’ | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| Inflation ‘multi currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi currency swaps’ or ‘cross-currency swaps’ | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’ | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’ | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’ | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’ | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’ | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

| Other Interest Rate Derivatives | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |

#### 6. Equity derivatives

@@ -737,95 +725,87 @@

| **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) the following methodology shall be applied** | | |

| **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 pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below** | **Transactions to be considered for the calculations of the thresholds** | **Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs** | | | | | |

| **Stock index options** | a stock index option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying stock index | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 100 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | |

| **EUR 100 million ≤ ADNA < EUR 200 million** | EUR 2 500 000 | EUR 3 000 000 | EUR 25 000 000 | EUR 30 000 000 | | | | |

| **EUR 200 million ≤ ADNA < EUR 600 million** | EUR 5 000 000 | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | | |

| **ADNA ≥ EUR 600 million** | EUR 15 000 000 | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | | |

| **Stock index futures/forwards** | a stock index future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying stock index | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 100 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | |

| **EUR 100 million ≤ ADNA < EUR 1 billion** | EUR 500 000 | EUR 550 000 | EUR 5 000 000 | EUR 5 500 000 | | | | |

| **EUR 1 billion ≤ ADNA < EUR 3 billion** | EUR 5 000 000 | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | | |

| **EUR 3 billion ≤ ADNA < EUR 5 billion** | EUR 15 000 000 | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | | |

| **ADNA ≥ EUR 5 billion** | EUR 25 000 000 | EUR 30 000 000 | EUR 250 000 000 | EUR 260 000 000 | | | | |

| **Stock options** | a stock option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying share | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 5 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 | |

| **EUR 5 million ≤ ADNA < EUR 10 million** | EUR 250 000 | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | | | | |

| **EUR 10 million ≤ ADNA < EUR 20 million** | EUR 500 000 | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | | |

| **ADNA ≥ EUR 20 million** | EUR 1 000 000 | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | | |

| **Stock futures/forwards** | an stock future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying share | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 5 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 | |

| **EUR 5 million ≤ ADNA < EUR 10 million** | EUR 250 000 | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | | | | |

| **EUR 10 million ≤ ADNA < EUR 20 million** | EUR 500 000 | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | | |

| **ADNA ≥ EUR 20 m** | EUR 1 000 000 | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | | |

| **Stock dividend options** | a stock dividend option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying share entitling to dividends | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 5 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 400 000 | EUR 450 000 | |

| **EUR 5 million ≤ ADNA < EUR 10 million** | EUR 25 000 | EUR 30 000 | EUR 500 000 | EUR 550 000 | | | | |

| **EUR 10 million ≤ ADNA < EUR 20 million** | EUR 50 000 | EUR 100 000 | EUR 1 000 000 | EUR 1 500 000 | | | | |

| **ADNA ≥ EUR 20 million** | EUR 100 000 | EUR 150 000 | EUR 2 000 000 | EUR 2 500 000 | | | | |

| **Stock dividend futures/forwards** | a stock dividend future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying share entitling to dividends | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 5 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 400 000 | EUR 450 000 | |

| **EUR 5 million ≤ ADNA < EUR 10 million** | EUR 25 000 | EUR 30 000 | EUR 500 000 | EUR 550 000 | | | | |

| **EUR 10 million ≤ ADNA < EUR 20 million** | EUR 50 000 | EUR 100 000 | EUR 1 000 000 | EUR 1 500 000 | | | | |

| **ADNA ≥ EUR 20 million** | EUR 100 000 | EUR 150 000 | EUR 2 000 000 | EUR 2 500 000 | | | | |

| **Dividend index options** | a dividend index option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying dvidend index | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 100 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | |

| **EUR 100 million ≤ ADNA < EUR 200 million** | EUR 2 500 000 | EUR 3 000 000 | EUR 25 000 000 | EUR 30 000 000 | | | | |

| **EUR 200 million ≤ ADNA < EUR 600 million** | EUR 5 000 000 | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | | |

| **ADNA ≥ EUR 600 million** | EUR 15 000 000 | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | | |

| **Dividend index futures/forwards** | a dividend index future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying dividend index | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 100 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | |

| **EUR 100 million ≤ ADNA < EUR 1 billion** | EUR 500 000 | EUR 550 000 | EUR 5 000 000 | EUR 5 500 000 | | | | |

| **EUR 1 billion ≤ ADNA < EUR 3 billion** | EUR 5 000 000 | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | | |

| **EUR 3 billion ≤ ADNA < EUR 5 billion** | EUR 15 000 000 | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | | |

| **ADNA ≥ EUR 5 billion** | EUR 25 000 000 | EUR 30 000 000 | EUR 250 000 000 | EUR 260 000 000 | | | | |

| **Volatility index options** | a volatility index option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying volatility index | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 100 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | |

| **EUR 100 million ≤ ADNA < EUR 200 million** | EUR 2 500 000 | EUR 3 000 000 | EUR 25 000 000 | EUR 30 000 000 | | | | |

| **EUR 200 million ≤ ADNA < EUR 600 million** | EUR 5 000 000 | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | | |

| **ADNA ≥ EUR 600 million** | EUR 15 000 000 | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | | |

| **Volatility index futures/forwards** | a volatility index future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying volatility index | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 100 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | |

| **EUR 100 million ≤ ADNA < EUR 1 billion** | EUR 500 000 | EUR 550 000 | EUR 5 000 000 | EUR 5 500 000 | | | | |

| **EUR 1 billion ≤ ADNA < EUR 3 billion** | EUR 5 000 000 | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | | |

| **EUR 3 billion ≤ ADNA < EUR 5 billion** | EUR 15 000 000 | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | | |

| **ADNA ≥ EUR 5 billion** | EUR 25 000 000 | EUR 30 000 000 | EUR 250 000 000 | EUR 260 000 000 | | | | |

| **ETF options** | an ETF option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying ETF | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 5 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 | |

| **EUR 5 million ≤ ADNA < EUR 10 million** | EUR 250 000 | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | | | | |

| **EUR 10 million ≤ ADNA < EUR 20 million** | EUR 500 000 | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | | |

| **ADNA ≥ EUR 20 million** | EUR 1 000 000 | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | | |

| **ETF futures/forwards** | an ETF future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying ETF | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **< EUR 5 million ADNA** | EUR 20 000 | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 | |

| **EUR 5 million ≤ ADNA < EUR 10 million** | EUR 250 000 | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | | | | |

| **EUR 10 million ≤ ADNA < EUR 20 million** | EUR 500 000 | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | | |

| **ADNA ≥ EUR 20 million** | EUR 1 000 000 | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | | |

| **Swaps** | a swap sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** — underlying type: single name, index, basket **Segmentation criterion 2** — underlying single name, index, basket **Segmentation criterion 3** — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility **Segmentation criterion 4** — time to maturity bucket of the swap defined as follows: | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **EUR 50 million ≤ ADNA < EUR 100 million** | EUR 250 000 | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | |

| **EUR 100 million ≤ ADNA < EUR 200 million** | EUR 500 000 | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | | |

| **ADNA ≥ EUR 200 million** | EUR 1 000 000 | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | | |

| **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 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** | a portfolio swap sub-class is defined by a specific combination of: **Segmentation criterion 1** — underlying type: single name, index, basket **Segmentation criterion 2** — underlying single name, index, basket **Segmentation criterion 3** — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility **Segmentation criterion 4** — time to maturity bucket of the portfolio swap defined as follows: | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | **EUR 50 million ≤ ADNA < EUR 100 million** | EUR 250 000 | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | |

| **EUR 100 million ≤ ADNA < EUR 200 million** | EUR 500 000 | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | | |

| **ADNA ≥ EUR 200 million** | EUR 1 000 000 | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | | |

| **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 | | | | | | | | |

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | | |

| **Swaps** | EUR 20 000 | EUR 25 000 | EUR 100 000 | EUR 150 000 |

| **Portfolio Swaps** | EUR 20 000 | EUR 25 000 | EUR 100 000 | EUR 150 000 |

| **Other equity derivatives** | EUR 20 000 | EUR 25 000 | EUR 100 000 | EUR 150 000 |

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

| Stock index options | a stock index option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying stock index | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 100 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 |

| EUR 100 m ≤ ADNA < EUR 200 m | EUR 3 000 000 | EUR 25 000 000 | EUR 30 000 000 | | | |

| EUR 200 m ≤ ADNA < EUR 600 m | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | |

| ADNA ≥ EUR 600 m | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | |

| Stock index futures/forwards | a stock index future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying stock index | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 100 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 |

| EUR 100 m ≤ ADNA < EUR 1 bn | EUR 550 000 | EUR 5 000 000 | EUR 5 500 000 | | | |

| EUR 1 bn ≤ ADNA < EUR 3 bn | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | |

| EUR 3 bn ≤ ADNA < EUR 5 bn | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | |

| ADNA ≥ EUR 5 bn | EUR 30 000 000 | EUR 250 000 000 | EUR 260 000 000 | | | |

| Stock options | a stock option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying share | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 |

| EUR 5 m ≤ ADNA < EUR 10 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | | | |

| EUR 10 m ≤ ADNA < EUR 20 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | |

| ADNA ≥ EUR 20 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | |

| Stock futures/forwards | a stock future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying share | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 |

| EUR 5 m ≤ ADNA < EUR 10 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | | | |

| EUR 10 m ≤ ADNA < EUR 20 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | |

| ADNA ≥ EUR 20 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | |

| Stock dividend options | a stock dividend option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying share entitling to dividends | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 400 000 | EUR 450 000 |

| EUR 5 m ≤ ADNA < EUR 10 m | EUR 30 000 | EUR 500 000 | EUR 550 000 | | | |

| EUR 10 m ≤ ADNA < EUR 20 m | EUR 100 000 | EUR 1 000 000 | EUR 1 500 000 | | | |

| ADNA ≥ EUR 20 m | EUR 150 000 | EUR 2 000 000 | EUR 2 500 000 | | | |

| Stock dividend futures/forwards | a stock dividend future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying share entitling to dividends | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 400 000 | EUR 450 000 |

| EUR 5 m ≤ ADNA < EUR 10 m | EUR 30 000 | EUR 500 000 | EUR 550 000 | | | |

| EUR 10 m ≤ ADNA < EUR 20 m | EUR 100 000 | EUR 1 000 000 | EUR 1 500 000 | | | |

| ADNA ≥ EUR 20 m | EUR 150 000 | EUR 2 000 000 | EUR 2 500 000 | | | |

| Dividend index options | a dividend index option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying dividend index | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 100 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 |

| EUR 100 m ≤ ADNA < EUR 200 m | EUR 3 000 000 | EUR 25 000 000 | EUR 30 000 000 | | | |

| EUR 200 m ≤ ADNA < EUR 600 m | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | |

| ADNA ≥ EUR 600 m | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | |

| Dividend index futures/forwards | a dividend index future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying dividend index | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 100 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 |

| EUR 100 m ≤ ADNA < EUR 1 bn | EUR 550 000 | EUR 5 000 000 | EUR 5 500 000 | | | |

| EUR 1 bn ≤ ADNA < EUR 3 bn | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | |

| EUR 3 bn ≤ ADNA < EUR 5 bn | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | |

| ADNA ≥ EUR 5 bn | EUR 30 000 000 | EUR 250 000 000 | EUR 260 000 000 | | | |

| Volatility index options | a volatility index option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying volatility index | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 100 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 |

| EUR 100 m ≤ ADNA < EUR 200 m | EUR 3 000 000 | EUR 25 000 000 | EUR 30 000 000 | | | |

| EUR 200 m ≤ ADNA < EUR 600 m | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | |

| ADNA ≥ EUR 600 m | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | |

| Volatility index futures/forwards | a volatility index future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying volatility index | calculation of thresholds should be performed for each sub-class considering the transactions executed on instruments belonging to the sub-class | < EUR 100 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 |

| EUR 100 m ≤ ADNA < EUR 1 bn | EUR 550 000 | EUR 5 000 000 | EUR 5 500 000 | | | |

| EUR 1 bn ≤ ADNA < EUR 3 bn | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | | | |

| EUR 3 bn ≤ ADNA < EUR 5 bn | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | | | |

| ADNA ≥ EUR 5 bn | EUR 30 000 000 | EUR 250 000 000 | EUR 260 000 000 | | | |

| ETF options | an ETF option sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying ETF | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 |

| EUR 5 m ≤ ADNA < EUR 10 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | | | |

| EUR 10 m ≤ ADNA < EUR 20 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | |

| ADNA ≥ EUR 20 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | |

| ETF futures/forwards | an ETF future/forward sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying ETF | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 |

| EUR 5 m ≤ ADNA < EUR 10 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | | | |

| EUR 10 m ≤ ADNA < EUR 20 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | |

| ADNA ≥ EUR 20 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | |

| Swaps | a swap sub-class is defined by the following segmentation criteria: **Segmentation criterion 1** – underlying type: single name, index, basket **Segmentation criterion 2** – underlying single name, index, basket **Segmentation criterion 3** – parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility **Segmentation criterion 4** – time to maturity bucket of the swap defined as follows: | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR 50 m ≤ ADNA < EUR 100 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 |

| EUR 100 m ≤ ADNA < EUR 200 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | |

| ADNA ≥ EUR 200 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | |

| 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 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 | a portfolio swap sub-class is defined by a specific combination of: **Segmentation criterion 1** – underlying type: single name, index, basket **Segmentation criterion 2** – underlying single name, index, basket **Segmentation criterion 3** – parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility **Segmentation criterion 4** – 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 | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR 50 m ≤ ADNA < EUR 100 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 |

| EUR 100 m ≤ ADNA < EUR 200 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | | | |

| ADNA ≥ EUR 200 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | | | |

| | | | | | | |

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | |

| Swaps | EUR 25 000 | EUR 100 000 | EUR 150 000 |

| Portfolio Swaps | EUR 25 000 | EUR 100 000 | EUR 150 000 |

| Other equity derivatives | EUR 25 000 | EUR 100 000 | EUR 150 000 |

#### 7. Commodity derivatives

@@ -888,45 +868,36 @@

| a commodity derivative that does not belong to any of the above sub-asset classes | any other commodity derivative is considered not to have a liquid market | | |

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

| **Sub-asset class** | **Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market** | | | | | | | | | | | | | |

| **Metal commodity futures/forwards** | calculation of thresholds should 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 250 000 | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

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

| **Metal commodity options** | calculation of thresholds should 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 250 000 | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

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

| **Metal commodity swaps** | calculation of thresholds should 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 250 000 | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

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

| **Energy commodity futures/forwards** | calculation of thresholds should 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 250 000 | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

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

| **Energy commodity options** | calculation of thresholds should 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 250 000 | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

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

| **Energy commodity swaps** | calculation of thresholds should 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 250 000 | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

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

| **Agricultural commodity futures/forwards** | calculation of thresholds should 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 250 000 | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

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

| **Agricultural commodity options** | calculation of thresholds should 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 250 000 | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

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

| **Agricultural commodity swaps** | calculation of thresholds should 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 250 000 | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

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

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | | |

| **Metal commodity futures/forwards** | EUR 250 000 | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| **Metal commodity options** | EUR 250 000 | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| **Metal commodity swaps** | EUR 250 000 | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| **Energy commodity futures/forwards** | EUR 250 000 | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| **Energy commodity options** | EUR 250 000 | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| **Energy commodity swaps** | EUR 250 000 | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| **Agricultural commodity futures/forwards** | EUR 250 000 | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| **Agricultural commodity options** | EUR 250 000 | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| **Agricultural commodity swaps** | EUR 250 000 | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| **Other commodity derivatives** | EUR 250 000 | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

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

| Metal commodity futures/forwards | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

| Metal commodity options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

| Metal commodity swaps | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

| Energy commodity futures/forwards | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

| Energy commodity options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

| Energy commodity swaps | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

| Agricultural commodity futures/forwards | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

| Agricultural commodity options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

| Agricultural commodity swaps | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | |

| Metal commodity futures/forwards | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| Metal commodity options | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| Metal commodity swaps | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| Energy commodity futures/forwards | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| Energy commodity options | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| Energy commodity swaps | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| Agricultural commodity futures/forwards | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| Agricultural commodity options | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| Agricultural commodity swaps | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

| Other commodity derivatives | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |

#### 8. Foreign exchange derivatives

@@ -946,19 +917,19 @@

| **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 | |

| Asset class — Foreign Exchange Derivatives | | | | |

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | | |

| **Non-deliverable forward (NDF)** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| **Deliverable forward (DF)** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| **Non-Deliverable FX options (NDO)** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| **Deliverable FX options (DO)** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| **Non-Deliverable FX swaps (NDS)** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| **Deliverable FX swaps (DS)** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| **FX futures** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| **Other Foreign Exchange Derivatives** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| Asset class – Foreign Exchange Derivatives | | | |

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | |

| Non-deliverable forward (NDF) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| Deliverable forward (DF) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| Non-Deliverable FX options (NDO) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| Deliverable FX options (DO) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| Non-Deliverable FX swaps (NDS) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| Deliverable FX swaps (DS) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| FX futures | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

| Other Foreign Exchange Derivatives | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |

#### 9. Credit derivatives

@@ -975,30 +946,26 @@

| **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 |

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

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | | |

| **Index credit default swap (CDS)** | EUR 2 500 000 | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |

| **Single name credit default swap (CDS)** | EUR 2 500 000 | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |

| **CDS index options** | EUR 2 500 000 | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |

| **Single name CDS options** | EUR 2 500 000 | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |

| **Other credit derivatives** | EUR 2 500 000 | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |

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

| Index credit default swap (CDS) | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |

| Single name credit default swap (CDS) | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |

| CDS index options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |

| Single name CDS options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | |

| Index credit default swap (CDS) | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |

| Single name credit default swap (CDS) | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |

| CDS index options | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |

| Single name CDS options | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |

| Other credit derivatives | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |

#### 10. C10 derivatives

@@ -1011,21 +978,20 @@

| **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 | | |

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

| **Freight derivatives** | calculation of thresholds should 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 25 000 | 70 | EUR 50 000 | 80 | 60 | EUR 75 000 | 90 | 70 | EUR 100 000 |

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

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | | |

| **Freight derivatives** | EUR 25 000 | EUR 50 000 | EUR 75 000 | EUR 100 000 |

| **Other C10 derivatives** | EUR 25 000 | EUR 50 000 | EUR 75 000 | EUR 100 000 |

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

| Freight derivatives | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 50 000 | 80 | 60 | EUR 75 000 | 90 | 70 | EUR 100 000 |

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | |

| Freight derivatives | EUR 50 000 | EUR 75 000 | EUR 100 000 |

| Other C10 derivatives | EUR 50 000 | EUR 75 000 | EUR 100 000 |

#### 11. Financial contracts for differences (CFDs)

@@ -1042,73 +1008,46 @@

| 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 | | | |

| Asset class — Financial contracts for differences (CFDs) | | | | | | | | | | | | | | |

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

| **Currency CFDs** | transactions executed on currency CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR 50 000 | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

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

| **Commodity CFDs** | transactions executed on commodity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR 50 000 | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

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

| **Equity CFDs** | transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR 50 000 | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

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

| **Bond CFDs** | transactions executed on bond CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR 50 000 | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

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

| **CFDs on an equity future/forward** | transactions executed on CFDs on future on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR 50 000 | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

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

| **CFDs on an equity option** | transactions executed on CFDs on option on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR 50 000 | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

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

| Asset class — Financial contracts for differences (CFDs) | | | | |

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | | |

| **Currency CFDs** | EUR 50 000 | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| **Commodity CFDs** | EUR 50 000 | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| **Equity CFDs** | EUR 50 000 | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| **Bond CFDs** | EUR 50 000 | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| **CFDs on an equity future/forward** | EUR 50 000 | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| **CFDs on an equity option** | EUR 50 000 | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| **Other CFDs/spread betting** | EUR 50 000 | EUR 60 000 | EUR 90 000 | EUR 100 000 |

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

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

| Currency CFDs | transactions executed on currency CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

| Commodity CFDs | transactions executed on commodity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

| Equity CFDs | transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

| Bond CFDs | transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

| CFDs on an equity future/forward | transactions executed on CFDs on future on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

| CFDs on an equity option | transactions executed on CFDs on option on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |

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

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | |

| Currency CFDs | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| Commodity CFDs | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| Equity CFDs | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| Bond CFDs | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| CFDs on an equity future/forward | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| CFDs on an equity option | EUR 60 000 | EUR 90 000 | EUR 100 000 |

| Other CFDs/spread betting | EUR 60 000 | EUR 90 000 | EUR 100 000 |

#### 12. Emission allowances

| Asset class — Emission Allowances | | |

| Asset class – Emission allowances | |

| --- | --- |

| For the purpose of determining the sub-asset classes not having a liquid market as per Article 6a the following methodology shall apply: | |

| **Sub-asset class** | **Liquidity determination** |

| 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 RTS23#37 = EUAE | European Union Allowances (EUA) are considered to have a liquid market |

| Any other emission allowances RTS2#3 = EMAL and RTS23#37 <> EUAE | Any other emission allowances are considered not to have a liquid market |

| (1) Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 establishing a scheme for greenhouse gas emission allowance trading within the Community and amending Council Directive 96/61/EC (OJ L 275, 25.10.2003, p. 32, ELI: http://data.europa.eu/eli/dir/2003/87/oj). | |

| Asset class – Emission allowances | | |

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

| **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** | |

| **Average Daily Amount (ADA)** [quantitative liquidity criterion 1] | **Average daily number of trades** [quantitative liquidity criterion 2] | |

| **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 | |

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

| **Sub-asset class** | **Transactions to be considered for the calculation of the thresholds** | **Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined to have a liquid market** | | | | | | | | | | |

| **European Union Allowances (EUA)** | transactions executed on all European Union Allowances (EUA) | S1 | S2 | S3 | S4 | 40 000 tons of Carbon Dioxide Equivalent | 70 | 50 000 tons of Carbon Dioxide Equivalent | 80 | 90 000 tons of Carbon Dioxide Equivalent | 90 | 100 000 tons of Carbon Dioxide Equivalent |

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

| **European Union Aviation Allowances (EUAA)** | transactions executed on all European Union Aviation Allowance (EUAA) | S1 | S2 | S3 | S4 | 20 000 tons of Carbon Dioxide Equivalent | 70 | 25 000 tons of Carbon Dioxide Equivalent | 80 | 40 000 tons of Carbon Dioxide Equivalent | 90 | 50 000 tons of Carbon Dioxide Equivalent |

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

| **Certified Emission Reductions (CER)** | transactions executed on all Certified Emission Reductions (CER) | S1 | S2 | S3 | S4 | 20 000 tons of Carbon Dioxide Equivalent | 70 | 25 000 tons of Carbon Dioxide Equivalent | 80 | 40 000 tons of Carbon Dioxide Equivalent | 90 | 50 000 tons of Carbon Dioxide Equivalent |

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

| **Emission Reduction Units (ERU)** | transactions executed on all Emission Reduction Units (ERU) | S1 | S2 | S3 | S4 | 20 000 tons of Carbon Dioxide Equivalent | 70 | 25 000 tons of Carbon Dioxide Equivalent | 80 | 40 000 tons of Carbon Dioxide Equivalent | 90 | 50 000 tons of Carbon Dioxide Equivalent |

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

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market** | | | |

| **European Union Aviation Allowances (EUAA)** | 20 000 tons of Carbon Dioxide Equivalent | 25 000 tons of Carbon Dioxide Equivalent | 40 000 tons of Carbon Dioxide Equivalent | 50 000 tons of Carbon Dioxide Equivalent |

| **Sub-asset class** | **Pre-trade LIS** | **Post-trade size threshold** |

| European Union Allowances (EUA) | 5 000 tons of Carbon Dioxide Equivalent | 25 000 tons of Carbon Dioxide Equivalent |

| Any other emission allowances | Any size | Any size |

#### 13. Emission allowance derivatives

@@ -1122,30 +1061,26 @@

| **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 | |

| Asset class — Emission Allowance Derivatives | | | | | | | | | | | | |

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

| **Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)** | transactions executed on all emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) | S1 | S2 | S3 | S4 | 40 000 tons of Carbon Dioxide Equivalent | 70 | 50 000 tons of Carbon Dioxide Equivalent | 80 | 90 000 tons of Carbon Dioxide Equivalent | 90 | 100 000 tons of Carbon Dioxide Equivalent |

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

| **Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)** | transactions executed on all emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) | S1 | S2 | S3 | S4 | 20 000 tons of Carbon Dioxide Equivalent | 70 | 25 000 tons of Carbon Dioxide Equivalent | 80 | 40 000 tons of Carbon Dioxide Equivalent | 90 | 50 000 tons of Carbon Dioxide Equivalent |

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

| **Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)** | transactions executed on all emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) | S1 | S2 | S3 | S4 | 20 000 tons of Carbon Dioxide Equivalent | 70 | 25 000 tons of Carbon Dioxide Equivalent | 80 | 40 000 tons of Carbon Dioxide Equivalent | 90 | 50 000 tons of Carbon Dioxide Equivalent |

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

| **Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)** | transactions executed on all emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) | S1 | S2 | S3 | S4 | 20 000 tons of Carbon Dioxide Equivalent | 70 | 25 000 tons of Carbon Dioxide Equivalent | 80 | 40 000 tons of Carbon Dioxide Equivalent | 90 | 50 000 tons of Carbon Dioxide Equivalent |

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

| Asset class — Emission Allowance Derivatives | | | | |

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined not to have a liquid market** | | | |

| **Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)** | 40 000 tons of Carbon Dioxide Equivalent | 50 000 tons of Carbon Dioxide Equivalent | 90 000 tons of Carbon Dioxide Equivalent | 100 000 tons of Carbon Dioxide Equivalent |

| **Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)** | 20 000 tons of Carbon Dioxide Equivalent | 25 000 tons of Carbon Dioxide Equivalent | 40 000 tons of Carbon Dioxide Equivalent | 50 000 tons of Carbon Dioxide Equivalent |

| **Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)** | 20 000 tons of Carbon Dioxide Equivalent | 25 000 tons of Carbon Dioxide Equivalent | 40 000 tons of Carbon Dioxide Equivalent | 50 000 tons of Carbon Dioxide Equivalent |

| **Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)** | 20 000 tons of Carbon Dioxide Equivalent | 25 000 tons of Carbon Dioxide Equivalent | 40 000 tons of Carbon Dioxide Equivalent | 50 000 tons of Carbon Dioxide Equivalent |

| Asset class – Emission Allowance Derivatives | | | | | | | |

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

| Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) | transactions executed on all emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) | 70 | 25 000 tons of Carbon Dioxide | 80 | 40 000 tons of Carbon Dioxide | 90 | 50 000 tons of Carbon Dioxide |

| Asset class – Emission Allowance Derivatives | | | |

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

| **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined not to have a liquid market** | | |

| Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) | 50 000 tons of Carbon Dioxide | 90 000 tons of Carbon Dioxide | 100 000 tons of Carbon Dioxide |

| Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) | 25 000 tons of Carbon Dioxide | 40 000 tons of Carbon Dioxide | 50 000 tons of Carbon Dioxide |

| Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) | 25 000 tons of Carbon Dioxide | 40 000 tons of Carbon Dioxide | 50 000 tons of Carbon Dioxide |

| Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) | 25 000 tons of Carbon Dioxide | 40 000 tons of Carbon Dioxide | 50 000 tons of Carbon Dioxide |

## ANNEX IV

2024-01-01

markets in financial instruments with regard to regulatory technical st

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2023-06-05

markets in financial instruments with regard to regulatory technical st

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2022-05-03

markets in financial instruments with regard to regulatory technical st

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2021-04-15

markets in financial instruments with regard to regulatory technical

original version Text at this date