Commission Delegated Regulation (EU) 2025/1246 of 18 June 2025 amending the regulatory technical standards laid down in Delegated Regulations (EU) 2017/583 and (EU) 2017/587 as regards transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances, and equity instruments

POST-TRADE DEFERRAL FLAGS FOR BONDS (EXCEPT ETCs AND ETNs)	POST-TRADE DEFERRAL FLAGS FOR BONDS (EXCEPT ETCs AND ETNs)	POST-TRADE DEFERRAL FLAGS FOR BONDS (EXCEPT ETCs AND ETNs)	POST-TRADE DEFERRAL FLAGS FOR BONDS (EXCEPT ETCs AND ETNs)
Flag	Name	Type of execution or publication venue	Description
“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	POST-TRADE DEFERRAL FLAGS FOR ETCs, ETNs, SFPs AND EMISSION ALLOWANCES	POST-TRADE DEFERRAL FLAGS FOR ETCs, ETNs, SFPs AND EMISSION ALLOWANCES	POST-TRADE DEFERRAL FLAGS FOR ETCs, ETNs, SFPs AND EMISSION ALLOWANCES
Flag	Name	Type of execution or publication venue	Description
“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	SUPPLEMENTARY DEFERRAL FLAGS FOR DERIVATIVES	SUPPLEMENTARY DEFERRAL FLAGS FOR DERIVATIVES	SUPPLEMENTARY DEFERRAL FLAGS FOR DERIVATIVES	SUPPLEMENTARY DEFERRAL FLAGS FOR DERIVATIVES
Article 11(1), point (a)(i)	“LMTF”	Limited details flag	RM, MTF, OTF, APA	First report with publication of limited details in accordance with Article 11(1), point (a)(i).
Article 11(1), point (a)(i)	“FULF”	Full details flag	RM, MTF, OTF, APA	Transaction for which limited details have been previously published in accordance with Article 11(1), point (a)(i).
Article 11(1), point (a)(ii)	“DATF”	Daily aggregated transaction flag	RM, MTF, OTF, APA	Publication of daily aggregated transaction in accordance with Article 11(1), point (a)(ii).
Article 11(1), point (a)(ii)	“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).
Article 11(1), point (b)	“VOLO”	Volume omission flag	RM, MTF, OTF, APA	Transaction for which limited details are published in accordance with Article 11(1), point (b).
Article 11(1), point (b)	“FULV”	Full details flag	RM, MTF, OTF, APA	Transaction for which limited details have been previously published in accordance with Article 11(1), point (b).
Article 11(1), point (c)	“FWAF”	Four weeks aggregation flag	RM, MTF, OTF, APA	Publication of aggregated transactions in accordance with Article 11(1), point (c).
Article 11(1), point (c)	“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	SUPPLEMENTARY DEFERRAL FLAGS FOR SOVEREIGN BONDS	SUPPLEMENTARY DEFERRAL FLAGS FOR SOVEREIGN BONDS	SUPPLEMENTARY DEFERRAL FLAGS FOR SOVEREIGN BONDS	SUPPLEMENTARY DEFERRAL FLAGS FOR SOVEREIGN BONDS
Article 11(3)(a)	“OMIS”	Volume omission flag	RM, MTF, OTF, APA	Transaction for which limited details are published in accordance with Article 11(3), point (a) of Regulation (EU) No 600/2014.
Article 11(3)(a)	“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.
Article 11(3)(b)	“AGFW”	Four weeks aggregation flag	RM, MTF, OTF, APA	Publication of aggregated transactions in accordance with Article 11(3), point (b) of Regulation (EU) No 600/2014.
Article 11(3)(b)	“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.

OTHER FLAGS	OTHER FLAGS	OTHER FLAGS	OTHER FLAGS
Flag	Name	Type of execution or publication venue	Description
“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.
“NPFT”	Non-price forming transaction flag	RM, MTF, OTF, APA	Non-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590.
“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.
“XFPH”	Exchange for physicals transaction flag	RM, MTF, OTF, APA	Exchange for physicals as defined in Article 2(1), point (48), of Regulation (EU) No 600/2014.
“CANC”	Cancellation flag	RM, MTF, OTF, APA	When a previously published transaction is cancelled.
“AMND”	Amendment flag	RM, MTF, OTF, APA	When a previously published transaction is amended.
“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.
“MTCH”	Matched principal trading flag	OTF	Matched principal transactions as set out in Article 4(1)(38) of Directive 2014/65/EU.
“NEGO”	Negotiated transaction flag	RM, MTF, OTF	Transactions which are negotiated privately but reported under the rules of a trading venue.’

[^ntr1-L_202501246EN.001701-E0001]: 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).

[^ntr2-L_202501246EN.001701-E0002]: 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).’;

ANNEX III

Annex III to Delegated Regulation (EU) 2017/583 is amended as follows:

• (1) Section 1 ‘Instructions for the purpose of this annex’, Section 2 ‘Bonds’, and Section 3 ‘Structured Finance Products (SFPs)’ are replaced by the following:

‘1.   Instructions for the purpose of this annex

	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.

1. Bonds

Table 2.2.

Bonds (all bond types except ETCs and ETNs) – classes not having a liquid market

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.

Sovereign and Other Public Bonds	Sovereign and Other Public Bonds	Sovereign and Other Public Bonds	Sovereign and Other Public Bonds	Sovereign and Other Public Bonds	Sovereign and Other Public Bonds	Sovereign and Other Public Bonds
Group ID	MiFIR ID	Bond Type	Issuer or Issuer country	Remaining maturity	Type of coupon	Outstanding issuance size
	RTS2#3	RTS2#9	The country of the issuer reported under Commission Delegated Regulation (EU) 2017/585[^ntr1-L_202501246EN.002801-E0001] (“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
G2	BOND	EUSB or OEPB OEPB means a bond which is neither a convertible nor a covered bond and is issued by a public entity which is not a sovereign issuer.	Any instrument not in G1	Any instrument not in G1	Any instrument not in G1	Less than EUR 1 000 000 000

Corporate, Convertible and Other Bonds	Corporate, Convertible and Other Bonds	Corporate, Convertible and Other Bonds	Corporate, Convertible and Other Bonds	Corporate, Convertible and Other Bonds	Corporate, Convertible and Other Bonds
Group ID	MiFIR ID	Bond Type	Currency	Credit Rating	Outstanding issuance size
	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[^ntr2-L_202501246EN.002801-E0002] 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[^ntr3-L_202501246EN.002801-E0003] 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
G4	BOND	CRPB, CVTB or OTHR	Any instrument not in G3	Any instrument not in G3	Less than EUR 500 000 000

Covered bonds	Covered bonds	Covered bonds	Covered bonds
Group ID	MiFIR ID	Bond Type	Outstanding issuance size
	RTS2#3	RTS2#9	RTS23 field “Total issued nominal amount” converted to EUR
G5	BOND	CVDB CVDB means bonds as referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council[^ntr4-L_202501246EN.002801-E0004]	Less than EUR 500 000 000

Table 2.3.

Bonds (all bond types except ETCs and ETNs) – pre-trade LIS thresholds

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

Table 2.4.

Bonds (ETC and ETN bond types) – classes not having a liquid market

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

Table 2.5.

Bonds (ETC and ETN bond types) – pre-trade LIS threshold

Asset class – Bonds (ETC and ETN bond type)	Asset class – Bonds (ETC and ETN bond type)
Bond type	Pre-trade LIS
ETCs	EUR 1 000 000
ETNs	EUR 1 000 000

Table 2.6.

Bonds (all bond types except ETCs and ETNs) – deferral regime

Asset class – Bonds (all bond types except ETCs and ETNs)	Asset class – Bonds (all bond types except ETCs and ETNs)	Asset class – Bonds (all bond types except ETCs and ETNs)	Asset class – Bonds (all bond types except ETCs and ETNs)
Bond type	Category	Liquidity	Size (Above or equal to)
Sovereign Bond in G1 as per Table 2.2	1	Considered to have a liquid market	EUR 15 000 000
Sovereign Bond in G1 as per Table 2.2	2	Considered not to have a liquid market	EUR 5 000 000
Sovereign Bond in G1 as per Table 2.2	3	Considered to have a liquid market	EUR 50 000 000
Sovereign Bond in G1 as per Table 2.2	4	Considered not to have a liquid market	EUR 15 000 000
Sovereign Bond in G1 as per Table 2.2	5	Considered to have a liquid market	EUR 100 000 000
Sovereign Bond in G1 as per Table 2.2	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
Sovereign Bond and Other Public Bond in G2 as per Table 2.2	2	Considered not to have a liquid market	EUR 1 000 000
Sovereign Bond and Other Public Bond in G2 as per Table 2.2	3	Considered to have a liquid market	EUR 20 000 000
Sovereign Bond and Other Public Bond in G2 as per Table 2.2	4	Considered not to have a liquid market	EUR 2 000 000
Sovereign Bond and Other Public Bond in G2 as per Table 2.2	5	Considered to have a liquid market	EUR 50 000 000
Sovereign Bond and Other Public Bond in G2 as per Table 2.2	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
Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2	2	Considered not to have a liquid market	EUR 500 000
Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2	3	Considered to have a liquid market	EUR 7 500 000
Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2	4	Considered not to have a liquid market	EUR 2 000 000
Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2	5	Considered to have a liquid market	EUR 15 000 000
Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2	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
Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2	2	Considered not to have a liquid market	EUR 500 000
Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2	3	Considered to have a liquid market	EUR 5 000 000
Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2	4	Considered not to have a liquid market	EUR 2 000 000
Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2	5	Considered to have a liquid market	EUR 10 000 000
Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2	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
Covered Bonds in G5 as per Table 2.2	2	Considered not to have a liquid market	EUR 1 000 000
Covered Bonds in G5 as per Table 2.2	3	Considered to have a liquid market	EUR 20 000 000
Covered Bonds in G5 as per Table 2.2	4	Considered not to have a liquid market	EUR 5 000 000
Covered Bonds in G5 as per Table 2.2	5	Considered to have a liquid market	EUR 50 000 000
Covered Bonds in G5 as per Table 2.2	5	Considered not to have a liquid market	EUR 10 000 000

1. Structured Finance Products (SFPs)

Table 3.1.

SFPs – classes not having a liquid market

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

Table 3.2.

SFPs – pre-trade LIS threshold

Asset class – Structured Finance Products (SFPs)
Pre-trade LIS
EUR 250 000 ’

• (2) in Section 4 ‘Securitised derivatives’, Table 4.2 ‘Securitised derivatives – pre-trade and post-trade SSTI and LIS thresholds’, is replaced by the following:

‘Table 4.2.

Securitised derivatives – pre- and post-trade SSTI and LIS thresholds

Asset class – Securitised Derivatives	Asset class – Securitised Derivatives	Asset class – Securitised Derivatives
Pre-trade and post-trade SSTI and LIS thresholds	Pre-trade and post-trade SSTI and LIS thresholds	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 ’

• (3) in Section 5 ‘Interest Rate Derivatives’, Table 5.2 ‘Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market’ and Table 5.3 ‘Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market’ are replaced by the following:

‘Table 5.2.

Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market

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	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	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	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	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	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	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	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	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	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	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
Sub-asset class	Transactions to be considered for the calculations of the thresholds	LIS pre-trade	LIS pre-trade	SSTI post-trade	SSTI post-trade	SSTI post-trade	LIS post-trade	LIS post-trade	LIS post-trade
Sub-asset class	Transactions to be considered for the calculations of the thresholds	Trade – percentile	Threshold floor	Trade – percentile	Volume – percentile	Threshold floor	Trade – percentile	Volume – percentile	Threshold floor
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

Table 5.3.

Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market

Asset class – Interest Rate Derivatives	Asset class – Interest Rate Derivatives	Asset class – Interest Rate Derivatives	Asset class – Interest Rate Derivatives
Sub-asset class	Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market	Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market	Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market
Sub-asset class	LIS pre-trade	SSTI post-trade	LIS post-trade
Sub-asset class	Threshold value	Threshold value	Threshold value
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
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”	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 ’

• (4) in Section 6 ‘Equity derivatives’, Table 6.2 ‘Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market’ and Table 6.3 ‘Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market’ are replaced by the following:

‘Table 6.2.

Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market