Commission Delegated Regulation (EU) 2023/945 of 17 January 2023 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2017/583 as regards certain transparency requirements applicable to transactions in non-equity instruments (Text with EEA relevance)

Asset class – Interest Rate Derivatives	Asset class – Interest Rate Derivatives	Asset class – Interest Rate Derivatives	Asset class – Interest Rate Derivatives	Asset class – Interest Rate Derivatives
any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan.	any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan.	any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan.	any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan.	any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan.
Sub-asset class	For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below	Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1), point (b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied	Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1), point (b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied	Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1), point (b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied
Sub-asset class	For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below	Average daily notional amount (ADNA) [quantitative liquidity criterion 1]	Average daily number of trades [quantitative liquidity criterion 2]	Additional qualitative liquidity criterion
Bond futures/forwards / Future on a bond future / Forward on a bond future Future on a bond RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = BOND or Forward on a bond RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FORW RTS2#16 = BOND or Future on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = BNFD or Forward on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FORW RTS2#16 = BNFD	a bond future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#17) — issuer of the underlying Segmentation criterion 2 (RTS2#18) — term of the underlying deliverable bond defined as follows: Short-term: the underlying deliverable bond with a term up to 4 years shall be considered to have a short-term Medium-term: the underlying deliverable bond with a term between 4 and 8 years shall be considered to have a medium-term Long-term: the underlying deliverable bond with a term between 8 and 15 years shall be considered to have a long- term Ultra-long-term: the underlying deliverable bond with a term longer than 15 years shall be considered to have an ultra-long-term Segmentation criterion 3 — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 5 000 000	10	whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month
Bond Option / Option on a bond option / Option on a bond future Bond Option Option on a bond option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BOND or Option on a bond option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BOND or Option on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BNFD	a bond option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#22) — ultimate underlying bond Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 5 000 000	10
IR futures and FRA/ Future on an interest rate future/ Forward rate agreement on an interest rate future Future on an interest rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = INTR or Forward rate agreement RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FRAS RTS2#16 = INTR or Future on an interest rate future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = IFUT or Forward rate agreement on an interest rate future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FRAS RTS2#16 = IFUT	an interest rate future sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#24) — underlying interest rate Segmentation criterion 2 (RTS2#25) — term of the underlying interest rate Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 500 000 000	10	whenever a sub-class is de- termined to have a liquid market with respect to a specific time to maturity bucket and the sub-class de- fined by the next time to maturity bucket is deter- mined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month
IR options /Option on an interest rate future/FRA /Option on an interest rate option /Option on an option on an interest rate future/FRA Option on an interest rate future/FRA//'Option on an interest rate option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = IFUT or IR Option //'Option on an option on an interest rate future/FRA RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = INTR	an interest rate option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#24) —underlying interest rate Segmentation criterion 2 (RTS2#25) — term of the underlying interest rate Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 500 000 000	10
Swaptions RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWPT	a swaption sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#16) — underlying swap type defined as follows: fixed-to-fixed single currency swap, futures/forwards on fixed-to-fixed single currency swap [RTS2#16 = XXSC] fixed-to-float single currency swap, futures/forwards on fixed-to-float single currency swap [RTS2#16 = XFSC] float-to-float single currency swap, futures/forwards on float-to-float single currency swap [RTS2#16 = FFSC] inflation single currency swap, futures/forwards on inflation single currency swap [RTS2#16 = IFSC] OIS single currency swap, futures/for- wards on OIS single currency swap [RTS2#16 = OSSC] fixed-to-fixed multi-currency swap, futures/forwards on fixed-to-fixed multi-currency swap [RTS2#16 = XXMC] fixed-to-float multi-currency swap, futures/forwards on fixed-to-float multi-currency swap [RTS2#16 = XFMC] float-to-float multi-currency swap, futures/forwards on float-to-float multi-currency swap [RTS2#16 = FFMC] inflation multi-currency swap, futures/forwards on inflation multi-currency swap [RTS2#16 = IFMC] OIS multi-currency swap, futures/forwards on OIS multi-currency swap [RTS2#16 = OSMC] Segmentation criterion 2 (RTS2#20) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 3 (RTS2#22 or RTS2#23) — inflation index if the underlying swap type is either an inflation single currency swap or an inflation multi-currency swap Segmentation criterion 4 (RTS2#21) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Segmentation criterion 5 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 6 months Maturity bucket 2: 6 months < time to maturity ≤ 1 year Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 4: 2 years < time to maturity ≤ 5 years Maturity bucket 5: 5 years < time to maturity ≤ 10 years Maturity bucket 6: over 10 years	EUR 500 000 000	10
Fixed-to-Float “multi-currency swaps” or “cross-currency swaps” and futures/forwards/ options on Fixed-to-Float “multi-currency swaps” or “cross-currency swaps” a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and the cash flows of one leg are determined by a fixed interest rate and the cash flows of the other leg are determined by a floating interest rate. RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XFMC	a fixed-to-float multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < maturity ≤ 1 month Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 50 000 000	10
Float-to-Float “multi-currency swaps” or “cross-currency swaps” and futures/forwards/ options on Float-to-Float “multi-currency swaps” or “cross-currency swaps” a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of both legs are determined by floating interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = FFMC	a float-to-float multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < maturity ≤ 1 month Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 50 000 000	10
Fixed-to-Fixed “multi-currency swaps” or “cross-currency swaps” and futures/forwards/ options on Fixed-to-Fixed “multi-currency swaps” or “cross-currency swaps” a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of both legs are determined by fixed interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XXMC	a fixed-to-fixed multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 50 000 000	10
Overnight Index Swap (OIS) “multi-currency swaps” or “cross-currency swaps” and futures/forwards/options on Over- night Index Swap (OIS) “multi-currency swaps” or “cross-currency swaps” a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = OSMC	an overnight index swap (OIS) multi-currency sub-class is de- fined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 50 000 000	10
Inflation “multi-currency swaps” or “cross-currency swaps” and futures/forwards/ options on Inflation “multi-currency swaps” or “cross-currency swaps” a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an inflation rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = IFMC	an inflation multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 50 000 000	10
Fixed-to-Float “single currency swaps” and futures/forwards/ options on Fixed-to-Float “single currency swaps” a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and the cash flows of one leg are deter- mined by a fixed interest rate while those of the other leg are determined by a floating interest rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XFSC	a fixed-to-float single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8)— time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 50 000 000	10
Float-to-Float “single currency swaps” and futures/forwards/ options on Float-to-Float “single currency swaps” a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of both legs are determined by floating interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = FFSC	a float-to-float single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 50 000 000	10
Fixed-to-Fixed “single currency swaps” and futures/forwards/ options on Fixed-to-Fixed “single currency swaps” a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of both legs are determined by fixed interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XXSC	a fixed-to-fixed single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 50 000 000	10
Overnight Index Swap (OIS) “single currency swaps” and futures/forwards/ options on Over- night Index Swap (OIS) “single currency swaps” a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an Over- night Index Swap (OIS) rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = OSSC	an overnight index swap (OIS) single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 50 000 000	10
Inflation “single currency swaps” and futures/forwards/ options on Inflation “single currency swaps” a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an inflation rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = IFSC	an inflation single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8)— time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 50 000 000	10
Asset class — Interest Rate Derivatives	Asset class — Interest Rate Derivatives	Asset class — Interest Rate Derivatives	Asset class — Interest Rate Derivatives	Asset class — Interest Rate Derivatives
Sub-asset class	For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), the following methodology shall be applied	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	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	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’	any other interest rate derivative is considered not to have a liquid market’	any other interest rate derivative is considered not to have a liquid market’	any other interest rate derivative is considered not to have a liquid market’

• (7) Table 6.1 is replaced by the following:

‘Table 6.1

Equity derivatives — classes not having a liquid market

Asset class – Equity Derivatives	Asset class – Equity Derivatives	Asset class – Equity Derivatives	Asset class – Equity Derivatives	Asset class – Equity Derivatives	Asset class – Equity Derivatives
any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to: (a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments; (b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments	any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to: (a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments; (b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments	any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to: (a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments; (b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments	any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to: (a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments; (b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments	any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to: (a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments; (b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments	any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to: (a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments; (b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments
Sub-asset class	Sub-asset class	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	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	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
Stock index options an option whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = STIX RTS23#26 or if null RTS23#28	Stock index options an option whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = STIX RTS23#26 or if null RTS23#28	Stock index options an option whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = STIX RTS23#26 or if null RTS23#28	all index options are considered to have a liquid market	all index options are considered to have a liquid market	all index options are considered to have a liquid market
Stock index futures/forwards a future/forward whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = STIX RTS23#26 or if null RTS23#28	Stock index futures/forwards a future/forward whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = STIX RTS23#26 or if null RTS23#28	Stock index futures/forwards a future/forward whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = STIX RTS23#26 or if null RTS23#28	all index futures/forwards are considered to have a liquid market	all index futures/forwards are considered to have a liquid market	all index futures/forwards are considered to have a liquid market
Stock options an option whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = SHRS RTS23#26 or if null RTS23#28	Stock options an option whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = SHRS RTS23#26 or if null RTS23#28	Stock options an option whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = SHRS RTS23#26 or if null RTS23#28	all stock options are considered to have a liquid market	all stock options are considered to have a liquid market	all stock options are considered to have a liquid market
Stock futures/forwards a future/forward whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = SHRS RTS23#26 or if null RTS23#28	Stock futures/forwards a future/forward whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = SHRS RTS23#26 or if null RTS23#28	Stock futures/forwards a future/forward whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = SHRS RTS23#26 or if null RTS23#28	all stock futures/forwards are considered to have a liquid market	all stock futures/forwards are considered to have a liquid market	all stock futures/forwards are considered to have a liquid market
Stock dividend options an option on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DVSE RTS23#26 or if null RTS23#28	Stock dividend options an option on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DVSE RTS23#26 or if null RTS23#28	Stock dividend options an option on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DVSE RTS23#26 or if null RTS23#28	all stock dividend options are considered to have a liquid market	all stock dividend options are considered to have a liquid market	all stock dividend options are considered to have a liquid market
Stock dividend futures/forwards a future/forward on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DVSE RTS23#26 or if null RTS23#28	Stock dividend futures/forwards a future/forward on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DVSE RTS23#26 or if null RTS23#28	Stock dividend futures/forwards a future/forward on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DVSE RTS23#26 or if null RTS23#28	all stock dividend futures/forwards are considered to have a liquid market	all stock dividend futures/forwards are considered to have a liquid market	all stock dividend futures/forwards are considered to have a liquid market
Dividend index options an option on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DIVI RTS23#26 or if null RTS23#28	Dividend index options an option on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DIVI RTS23#26 or if null RTS23#28	Dividend index options an option on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DIVI RTS23#26 or if null RTS23#28	all dividend index options are considered to have a liquid market	all dividend index options are considered to have a liquid market	all dividend index options are considered to have a liquid market
Dividend index futures/forwards a future/forward on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DIVI RTS23#26 or if null RTS23#28	Dividend index futures/forwards a future/forward on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DIVI RTS23#26 or if null RTS23#28	Dividend index futures/forwards a future/forward on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DIVI RTS23#26 or if null RTS23#28	all dividend index futures/forwards are considered to have a liquid market	all dividend index futures/forwards are considered to have a liquid market	all dividend index futures/forwards are considered to have a liquid market
Volatility index options an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = VOLI RTS23#26 or if null RTS23#28	Volatility index options an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = VOLI RTS23#26 or if null RTS23#28	Volatility index options an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = VOLI RTS23#26 or if null RTS23#28	all volatility index options are considered to have a liquid market	all volatility index options are considered to have a liquid market	all volatility index options are considered to have a liquid market
Volatility index futures/forwards a future/forward whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = VOLI RTS23#26 or if null RTS23#28	Volatility index futures/forwards a future/forward whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = VOLI RTS23#26 or if null RTS23#28	Volatility index futures/forwards a future/forward whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = VOLI RTS23#26 or if null RTS23#28	all volatility index futures/forwards are considered to have a liquid market	all volatility index futures/forwards are considered to have a liquid market	all volatility index futures/forwards are considered to have a liquid market
ETF options an option whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = ETFS RTS23#26 or if null RTS23#28	ETF options an option whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = ETFS RTS23#26 or if null RTS23#28	ETF options an option whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = ETFS RTS23#26 or if null RTS23#28	all ETF options are considered to have a liquid market	all ETF options are considered to have a liquid market	all ETF options are considered to have a liquid market
ETF futures/forwards a future/forward whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = ETFS RTS23#26 or if null RTS23#28	ETF futures/forwards a future/forward whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = ETFS RTS23#26 or if null RTS23#28	ETF futures/forwards a future/forward whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = ETFS RTS23#26 or if null RTS23#28	all ETF futures/forwards are considered to have a liquid market	all ETF futures/forwards are considered to have a liquid market	all ETF futures/forwards are considered to have a liquid market
Sub-asset class	For the purpose of the determination of the classes of financial instruments considered not to have a liquid mar- ket as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below	For the purpose of the determination of the classes of financial instruments considered not to have a liquid mar- ket as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below	For the purpose of the determination of the classes of financial instruments considered not to have a liquid mar- ket as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below	Each sub-class shall be determined not to have a li- quid 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	Each sub-class shall be determined not to have a li- quid 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
Sub-asset class	For the purpose of the determination of the classes of financial instruments considered not to have a liquid mar- ket as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below	For the purpose of the determination of the classes of financial instruments considered not to have a liquid mar- ket as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below	For the purpose of the determination of the classes of financial instruments considered not to have a liquid mar- ket as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below	Average daily notional amount (ADNA) [quantitative liquidity criterion 1]	Average daily number of trades [quantitative liquidity criterion 2]
Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP	a swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket Segmentation criterion 2 RTS23#26 or if null RTS23#28) — underlying single name, index, basket Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap defined as follows:	a swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket Segmentation criterion 2 RTS23#26 or if null RTS23#28) — underlying single name, index, basket Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap defined as follows:	a swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket Segmentation criterion 2 RTS23#26 or if null RTS23#28) — underlying single name, index, basket Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap defined as follows:	EUR 50 000 000
Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP	Price return basic performance para- meter	Parameter return variance/volatility	Parameter return dividend	EUR 50 000 000
Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP	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	EUR 50 000 000
Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP	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	EUR 50 000 000
Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP	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	EUR 50 000 000
Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP	Maturity bucket 4: 6 months < time to maturity ≤ 1 year	Maturity bucket 4: 1 year < time to maturity ≤ 2 years	…	EUR 50 000 000
Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP	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	EUR 50 000 000
Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP	Maturity bucket 6: 2 years < time to maturity ≤ 3 years	…		EUR 50 000 000
Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP	…	Maturity bucket m: (n-1) years < time to maturity ≤ n years		EUR 50 000 000
Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP	Maturity bucket m: (n-1) years < time to maturity ≤ n years			EUR 50 000 000
Portfolio Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = PSWP	a portfolio swap sub-class is defined by a specific combination of: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket Segmentation criterion 2 (RTS23#26 or if null RTS23#28) — underlying single name, index, basket Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the portfolio swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	a portfolio swap sub-class is defined by a specific combination of: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket Segmentation criterion 2 (RTS23#26 or if null RTS23#28) — underlying single name, index, basket Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the portfolio swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	a portfolio swap sub-class is defined by a specific combination of: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket Segmentation criterion 2 (RTS23#26 or if null RTS23#28) — underlying single name, index, basket Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the portfolio swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 50 000 000	15
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	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	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	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	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’	any other equity derivative is considered not to have a liquid market’	any other equity derivative is considered not to have a liquid market’	any other equity derivative is considered not to have a liquid market’	any other equity derivative is considered not to have a liquid market’

• (8) Table 7.1 is replaced by the following:

‘Table 7.1

Commodity derivatives – classes not having a liquid market