02017R0583 — EN — 03.05.2022 — 002.001

This text is meant purely as a documentation tool and has no legal effect. The Union's institutions do not assume any liability for its contents. The authentic versions of the relevant acts, including their preambles, are those published in the Official Journal of the European Union and available in EUR-Lex. Those official texts are directly accessible through the links embedded in this document

►B 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) (OJ L 087 31.3.2017, p. 229)

Amended by:









▼B

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)







CHAPTER I

DEFINITIONS

Article 1

Definitions

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.







CHAPTER II

PRE-TRADE TRANSPARENCY FOR REGULATED MARKETS, MULTILATERAL TRADING FACILITIES AND ORGANISED TRADING FACILITIES

Article 2

Pre-trade transparency obligations

(Article 8(1) and (2) of Regulation (EU) No 600/2014)

Market operators and investment firms operating a trading venue shall make public the range of bid and offer prices and the depth of trading interest at those prices, in accordance with the type of trading system they operate and the information requirements set out in Annex I

Article 3

Orders which are large in scale

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

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 4

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

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

1. The type of order held in an order management facility of a trading venue pending disclosure for which pre-trade transparency obligations may be waived is an order which: (a) is intended to be disclosed to the order book operated by the trading venue and is contingent on objective conditions that are defined in advance by the system's protocol; (b) does not interact with other trading interest prior to disclosure to the order book operated by the trading venue; (c) once disclosed to the order book it interacts with other orders in accordance with the rules applicable to orders of that kind at the time of disclosure.

2. The minimum size of orders held in an order management facility of a trading venue pending disclosure for which pre-trade transparency obligations may be waived shall, at the point of entry and following any amendment, be one of the following: (a) in the case of a reserve order, greater than or equal to EUR 10 000 ; (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.

3. A reserve order referred to in paragraph 2(a) shall be considered a limit order consisting of a disclosed order relating to a portion of the quantity and a non-disclosed order relating to the remainder of the quantity, where the non-disclosed quantity is capable of execution only after its release to the order book as a new disclosed order.

Article 5

Size specific to the financial instrument

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

1. An actionable indication of interest is above the size specific to the financial instrument where, at the point of entry or following any amendment, it is equal to or larger than the minimum size of an actionable indication of interest which shall be determined in accordance with the methodology set out in Article 13.

2. 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.

3. Market operators and investment firms operating a trading venue shall make public the methodology for calculating pre-trade prices and the time of publication when entering and updating indicative pre-trade prices.

Article 6

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

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

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.







CHAPTER III

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

Article 7

Post-trade transparency obligations

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

1. Investment firms trading outside the rules of a trading venue and market operators and investment firms operating a trading venue shall make public by reference to each transaction the details set out in Tables 1 and 2 of Annex II and use each applicable flag listed in Table 3 of Annex II.

2. Where a previously published trade report is cancelled, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public a new trade report which contains all the details of the original trade report and the cancellation flag specified in Table 3 of Annex II.

3. 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.

4. 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.

5. Where a transaction between two investment firms is concluded outside the rules of a trading venue, either on own account or on behalf of clients, only the investment firm that sells the financial instrument concerned shall make the transaction public through an APA.

6. By way of derogation from paragraph 5, where only one of the investment firms party to the transaction is a systematic internaliser in the given financial instrument and it is acting as the buying firm, only that firm shall make the transaction public through an APA, informing the seller of the action taken.

7. Investment firms shall take all reasonable steps to ensure that the transaction is made public as a single transaction. For that purpose, two matching trades entered at the same time and for the same price with a single party interposed shall be considered to be a single transaction.

8. Information relating to a package transaction shall be made available with respect to each component as close to real-time as is technically possible, having regard to the need to allocate prices to particular financial instruments and shall include the package transaction flag or the exchange for physicals transaction flag as specified in Table 3 of Annex II. Where the package transaction is eligible for deferred publication pursuant to Article 8, information on all components shall be made available after the deferral period for the transaction has lapsed.

Article 8

Deferred publication of transactions

(Article 11(1) and (3) and Article 21(4) of Regulation (EU) No 600/2014)

1. Where a competent authority authorises the deferred publication of the details of transactions pursuant to Article 11(1) of Regulation (EU) No 600/2014, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public each transaction no later than 19.00 local time on the second working day after the date of the transaction, provided one of the following conditions is satisfied: (a) the transaction is large in scale compared with the normal market size as specified in Article 9; (b) the transaction is in a financial instrument or a class of financial instruments for which there is not a liquid market as specified in accordance with the methodology set out in Article 13; (c) 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 of the European Parliament and of the Council ( 1 ) and another counterparty and is above a size specific to the instrument as specified in Article 10; (d) the transaction is a package transaction which meets one of the following criteria: (i) one or more of its components are transactions in financial instruments which do not have a liquid market; (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.

2. When the time limit of deferral set out in paragraph 1 has lapsed, all the details of the transaction shall be published unless an extended or an indefinite time period of deferral is granted in accordance with Article 11.

3. Where a transaction between two investment firms, either on own account or on behalf of clients, is executed outside the rules of a trading venue, the relevant competent authority for the purposes of determining the applicable deferral regime shall be the competent authority of the investment firm responsible for making the trade public through an APA in accordance with paragraphs 5, 6 and 7 of Article 7.

Article 9

Transactions which are large in scale

(Article 11(1)(a) of Regulation (EU) No 600/2014)

A transaction shall be considered large in scale compared with normal market size where it is equal to or larger than the minimum size of transaction, which shall be calculated in accordance with the methodology set out in Article 13.

Article 10

The size specific to the financial instrument

(Article 11(1)(c) of Regulation (EU) No 600/2014)

A transaction shall be considered above a size specific to the financial instrument where it is equal to or larger than the minimum size of transaction, which shall be calculated in accordance with the methodology set out in Article 13.

Article 11

Transparency requirements in conjunction with deferred publication at the discretion of the competent authorities

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

1. Where competent authorities exercise their powers in conjunction with an authorisation of deferred publication pursuant to Article 11(3) of Regulation (EU) No 600/2014, the following shall apply: (a) where Article 11(3)(a) of Regulation (EU) No 600/2014 applies, competent authorities shall request the publication of either of the following information during the full period of deferral as set out in Article 8: (i) all the details of a transaction laid down in Tables 1 and 2 of Annex II with the exception of details relating to volume; (ii) transactions in a daily aggregated form for a minimum number of 5 transactions executed on the same day, to be made public the following working day before 9.00 local time; (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.

2. 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.

3. In respect of all instruments that are not sovereign debt, all the details of the transactions on an individual basis shall be published four weeks after the publication of the aggregated details in accordance with paragraph 1(c) before 9.00 local time.

4. 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) the weighted average price; (b) the total volume traded as referred to in Table 4 of Annex II; (c) the total number of transactions.

5. Transactions shall be aggregated per ISIN-code. Where the ISIN code is not available, transactions shall be aggregated at the level of the class of financial instruments to which the liquidity test set out in Article 13 applies.

6. Where the weekday foreseen for the publications set out in points (c) and (d) of paragraph 1, and paragraphs 2 and 3, is not a working day, the publications shall be effected on the following working day before 9.00 local time.

Article 12

Application of post-trade transparency to certain transactions executed outside a trading venue

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

The obligation to make public the volume and price of transactions and the time at which they were concluded as set out in Article 21(1) of Regulation (EU) No 600/2014 shall not apply to any of the following:

(a) transactions listed in Article 2(5) of Commission Delegated Regulation (EU) 2017/590 ( 2 );

(b) transactions executed by a management company as defined in Article 2(1)(b) of Directive 2009/65/EC of the European Parliament and of the Council ( 3 ) or an alternative investment fund manager as defined in Article 4(1)(b) of Directive 2011/61/EU of the European Parliament and of the Council ( 4 ) which transfer the beneficial ownership of financial instruments from one collective investment undertaking to another and where no investment firm is a party to the transaction;

(c) ‘give-up transaction’ or ‘give-in transaction’ which is a transaction where an investment firm passes a client trade to, or receives a client trade from, another investment firm for the purpose of post-trade processing;

(d) transfers of financial instruments such as collateral in bilateral transactions or in the context of a central counterparty (CCP) margin or collateral requirements or as part of the default management process of a CCP.







CHAPTER IV

PROVISIONS COMMON TO PRE-TRADE AND POST-TRADE TRANSPARENCY

Article 13

Methodology to perform the transparency calculations

(Article 9(1) and (2), Article 11(1) and Article 22(1) of Regulation (EU) No 600/2014)

1. For determining financial instruments or classes of financial instruments for which there is not a liquid market for the purposes of Article 6 and point (b) of paragraph 1 of Article 8, the following methodologies shall be applied across asset classes: (a) Static determination of liquidity for: (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. (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. (c) Periodic assessment based on qualitative liquidity criteria for: (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.

2. 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: (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; (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.

3. 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; (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 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; (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.

4. For the purpose of paragraph 3(c) where the trade size corresponding to the volume percentile for the determination of the transaction that is large in scale compared with normal market size is higher than the 97,5 trade percentile, the trade volume shall not be taken into consideration and the size specific to the financial instrument referred to in Article 8(1)(c) and the size of transactions large in scale compared with normal market size referred to in Article 8(1)(a) shall be determined as the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor.

5. 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.

6. Competent authorities performing the calculations for a class of financial instruments shall establish cooperation arrangements between each other as to ensure the aggregation of the data across the Union necessary for the calculations.

7. For the purpose of paragraph 1(b) and (d), paragraph 2(b) and paragraph 3(b), (c) and (d), competent authorities shall take into account transactions executed in the Union between 1 January and 31 December of the preceding year.

8. The trade size for the purpose of paragraph 2(b) and paragraph 3(b), (c) and (d) shall be determined according to the measure of volume as defined in Table 4 of Annex II. Where the trade size defined for the purpose of paragraphs 2 and 3 is expressed in monetary value and the financial instrument is not denominated in euros, the trade size shall be converted to the currency in which that financial instrument is denominated by applying the European Central Bank euro foreign exchange reference rate as of 31 December of the preceding year.

9. Market operators and investment firms operating a trading venue may convert the trade sizes determined according to paragraphs 2 and 3 to the corresponding number of lots as defined in advance by that trading venue for the respective sub-class or sub-asset class. Market operators and investment firms operating a trading venue may maintain such trade sizes until application of the results of the next calculations performed in accordance to paragraph 17.

10. The calculations referred to in paragraph 2(b)(i) and paragraph 3(b) shall exclude transactions with a size equal to or smaller than EUR 100 000 .

11. 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.

12. 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: (a) 100 000 where the threshold value is smaller than 1 million; (b) 500 000 where the threshold value is equal to or greater than 1 million but smaller than 10 million; (c) 5 million where the threshold value is equal to or greater than 10 million but smaller than 100 million; (d) 25 million where the threshold value is equal to or greater than 100 million.

13. For the purpose of paragraph 1, the quantitative liquidity criteria specified for each asset class in Annex III shall be determined according to Section 1 of Annex III.

14. For equity derivatives that are admitted to trading or first traded on a trading venue, that do not belong to a sub-class for which the size specific to the financial instrument referred to in Article 5 and Article 8(1)(c) and the size of orders and transactions large in scale compared with normal market size referred to in Article 3 and Article 8(1)(a) have been published and which belong to one of the sub-asset classes specified in paragraph 1(a)(ii), the size specific to the financial instrument and the size of orders and transactions large in scale compared with normal market size shall be those applicable to the smallest average daily notional amount (ADNA) band of the sub-asset class to which the equity derivative belongs.

15. Financial instruments admitted to trading or first traded on a trading venue which do not belong to any sub-class for which the size specific to the financial instrument referred to in Article 5 and Article 8(1)(c) and the size of orders and transactions large in scale compared with normal market size referred to in Article 3 and Article 8(1)(a) have been published shall be considered not to have a liquid market until application of the results of the calculations performed in accordance to paragraph 17. The applicable size specific to the financial instrument referred to in Articles 5 and Article 8(1)(c) and the size of orders and transactions large in scale compared with normal market size referred to in Article 3 and Article 8(1)(a) shall be those of the sub-classes determined not to have a liquid market belonging to the same sub-asset class.

16. After the end of the trading day but before the end of that day, trading venues shall submit to competent authorities the details included in Annex IV for performing the calculations referred to in paragraph 5 whenever the financial instrument is admitted to trading or first traded on that trading venue or whenever the details previously provided have changed.

17. Competent authorities shall ensure the publication of the results of the calculations referred to under paragraph 5 for each financial instrument and class of financial instrument by 30 April of the year following the date of application of Regulation (EU) No 600/2014 and by 30 April of each year thereafter. The results of the calculations shall apply from 1 June each year following publication.

18. For the purposes of the calculations in paragraph 1(b)(i) and by way of derogation from paragraphs 7, 15 and 17, competent authorities shall, in respect of bonds except ETCs and ETNs, ensure the publication of the calculations referred to under paragraph 5(a) on a quarterly basis, on the first day of February, May, August and November following the date of application of Regulation (EU) No 600/2014 and on the first day of February, May, August and November each year thereafter. The calculations shall include transactions executed in the Union during the preceding calendar quarter and shall apply for the 3 month period beginning on the sixteenth day of February, May, August and November each year.

19. Bonds, except for ETCs and ETNs, that are admitted to trading or first traded on a trading venue during the first two months of a quarter shall be considered to have a liquid market as specified in Table 2.2 of Annex III until the application of the results of the calculation of the calendar quarter.

20. Bonds, except for ETCs and ETNs, that are admitted to trading or first traded on a trading venue during the last month of a quarter shall be considered to have a liquid market as specified in Table 2.2 of Annex III until the application of the results of the calculation of the following calendar quarter.

Article 14

Transactions to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 applies

(Article 1(6) of Regulation (EU) No 600/2014)

A transaction shall be considered to be entered into by a member of the European System of Central Banks (ESCB) in performance of monetary, foreign exchange and financial stability policy where that transaction meets any of the following requirements:

(a) the transaction is carried out for the purposes of monetary policy, including an operation carried out in accordance with Articles 18 and 20 of the Statute of the European System of Central Banks and of the European Central Bank annexed to the Treaty on European Union or an operation carried out under equivalent national provisions for members of the ESCB in Member States whose currency is not the euro;

(b) the transaction is a foreign-exchange operation, including operations carried out to hold or manage official foreign reserves of the Member States or the reserve management service provided by a member of the ESCB to central banks in other countries to which the exemption has been extended in accordance with Article 1(9) of Regulation (EU) No 600/2014;

(c) the transaction is carried out for the purposes of financial stability policy.

Article 15

Transactions to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 does not apply

(Article 1(7) of Regulation (EU) No 600/2014)

Article 1(6) of Regulation (EU) No 600/2014 shall not apply to the following types of transactions entered into by a member of the ESCB for the performance of an investment operation that is unconnected with that member's performance of one of the tasks referred to in Article 14:

(a) transactions entered into for the management of its own funds;

(b) transactions entered into for administrative purposes or for the staff of the member of the ESCB which include transactions conducted in the capacity as administrator of a pension scheme for its staff;

(c) transactions entered into for its investment portfolio pursuant to obligations under national law.

Article 16

Temporary suspension of transparency obligations

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

1. For financial instruments for which there is a liquid market in accordance with the methodology set out in Article 13, a competent authority may temporarily suspend the obligations set out in Articles 8 and 10 Regulation (EU) No 600/2014 where for a class of bonds, structured finance products, emission allowances or derivatives, the total volume as defined in Table 4 of Annex II calculated for the previous 30 calendar days represents less than 40 % of the average monthly volume calculated for the 12 full calendar months preceding those 30 calendar days.

2. For financial instruments for which there is not a liquid market in accordance with the methodology set out in Article 13, a competent authority may temporarily suspend the obligations referred to in Articles 8 and 10 of Regulation (EU) No 600/2014 when for a class of bonds, structured finance products, emission allowances or derivatives, the total volume as defined in Table 4 of Annex II calculated for the previous 30 calendar days represents less than 20 % of the average monthly volume calculated for the 12 full calendar months preceding those 30 calendar days.

3. Competent authorities shall take into account the transactions executed on all venues in the Union for the class of bonds, structured finance products, emission allowances or derivatives concerned when performing the calculations referred to in paragraphs 1 and 2. The calculations shall be performed at the level of the class of financial instruments to which the liquidity test set out in Article 13 is applied.

4. Before competent authorities decide to suspend transparency obligations, they shall ensure 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 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

▼M2

1. For determining the bonds for which there is not a liquid market for the purposes of Article 6 and according to the methodology specified in Article 13(1), point (b), the approach for the liquidity criterion ‘average daily number of trades’ shall be taken applying the ‘average daily number of trades’ corresponding to stage S3 (7 daily trades).

▼B

2. 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.

▼M2

3. 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), point (b)(i), the approach for the trade percentile to be applied shall be used applying the trade percentile corresponding to the stage S3 (50th percentile).

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).

▼B

4. ESMA shall, by 30 July of the year following the date of application of Regulation (EU) No 600/2014 and by 30 July of each year thereafter, submit to the Commission an assessment of the operation of the thresholds for the liquidity criterion 'average daily number of trades' for bonds as well as the trade percentiles that determine the size specific to the financial instruments covered by paragraph 8. The obligation to submit the assessment of the operation of the thresholds for the liquidity criterion for bonds ceases once S4 in the sequence of paragraph 6 is reached. The obligation to submit the assessment of the trade percentiles ceases once S4 in the sequence of paragraph 8 is reached.

5. 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 (c) any other relevant factors.

6. 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 (c) S4 (2 daily trades) by 30 July of the year thereafter.

7. Where ESMA does not submit an amended regulatory technical standard adjusting the threshold to the next stage according to the sequence referred to in paragraph 6, the ESMA assessment undertaken in accordance with paragraphs 4 and 5 shall explain why adjusting the threshold to the relevant next stage is not warranted. In this instance, the move to the next stage will be postponed by one year.

8. 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 (c) S4 (60th percentile) by 30 July of the year thereafter.

9. Where ESMA does not submit an amended regulatory technical standard adjusting the threshold to the next stage according to the sequence referred to in paragraph 8, the ESMA assessment undertaken in accordance with paragraphs 4 and 5 shall explain why adjusting the threshold to the relevant next stage is not warranted. In this instance, the move to the next stage will be postponed by one year.

Article 18

Transitional provisions

1. Competent authorities shall, no later than six months prior to the date of application of Regulation (EU) No 600/2014, collect the necessary data, calculate and ensure publication of the details referred to in Article 13(5).

2. 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.

3. By derogation from paragraph 1, for all bonds, except ETCs and ETNs, competent authorities shall use their best endeavours to ensure publication of the results of the transparency calculations specified in paragraph 1(b)(i) of Article 13 no later than on the first day of the month preceding the date of application of Regulation (EU) No 600/2014, based on a reference period of three months commencing on the first day of the fifth month preceding the date of application of Regulation (EU) No 600/2014.

4. Competent authorities, market operators and investment firms including investment firms operating a trading venue shall use the information published in accordance with paragraph 3 until the results of the first regular calculation set out in Article 13(18) apply.

5. Bonds, except for ETCs and ETNs, which are admitted to trading or first traded on a trading venue in the three month period preceding the date of application of Regulation (EU) No 600/2014 shall be considered not to have a liquid market as set out in Table 2.2 of Annex III until the results of the first regular calculation set out in Article 13(18) apply.

Article 19

Entry into force and application

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 3 January 2018. However, Article 18 shall apply from the date of the entry of force of this Regulation.

This Regulation shall be binding in its entirety and directly applicable in all Member States.









ANNEX I

Description of the type of system and the related information to be made public in accordance with Article 2

Information to be made public in accordance with Article 2







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 Trading system not covered by first 5 rows A hybrid system falling into two or more of the first five rows or a system where the price determination process is of a different nature than that applicable to the types of system covered by first five rows. 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.









ANNEX II

Details of transactions to be made available to the public







Table 1 Symbol table for Table 2 SYMBOL DATA TYPE DEFINITION {ALPHANUM-n} Up to n alphanumerical characters Free text field. {CURRENCYCODE_3} 3 alphanumerical characters 3 letter currency code, as defined by ISO 4217 currency codes {DATE_TIME_FORMAT} ISO 8601 date and time format Date and time in the following format: YYYY-MM-DDThh:mm:ss.ddddddZ. Where: — ‘YYYY’ is the year; — ‘MM’ is the month; — ‘DD’ is the day; — ‘T’ — means that the letter ‘T’ shall be used — ‘hh’ is the hour; — ‘mm’ is the minute; — ‘ss.dddddd’ is the second and its fraction of a second; — Z is UTC time. Dates and times shall be reported in UTC. {DECIMAL-n/m} Decimal number of up to n digits in total of which up to m digits can be fraction digits Numerical field for both positive and negative values: — decimal separator is ‘.’ (full stop); — negative numbers are prefixed with ‘-’ (minus). Where applicable, values shall be rounded and not truncated. {ISIN} 12 alphanumerical characters ISIN code, as defined in ISO 6166 {MIC} 4 alphanumerical characters Market identifier as defined in ISO 10383







Table 2 List of details for the purpose of post-trade transparency Details Financial instruments Description/Details to be published Type of execution/publication venue Format to be populated as defined in Table 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 3 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 (in fields 31, 34 and 40 as specified in 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 5 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} Instrument identification code type For all financial instruments Code type used to identify the financial instrument RM, MTF, OTF APA CTP ‘ISIN’ = ISIN-code, where ISIN is available ‘OTHR’ = other identifier Instrument identification code For all financial instruments Code used to identify the financial instrument RM, MTF, OTF APA CTP {ISIN} Where Instrument identification code is not an ISIN, an identifier that identifies the derivative instrument based on the fields 3 to 5, 7 and 8 and 12 to 42 as specified in Annex IV and fields 13 and 24 to 48 as specified in the Annex of Delegated Regulation (EU) 2017/585 and the grouping of derivative instruments as set out in Annex III. Price For all financial instruments Traded price of the transaction excluding, where applicable, commission and accrued interest. In the case of option contracts, it shall be the premium of the derivative contract per underlying or index point. In the case of spread bets it shall be the reference price of the underlying instrument. For credit default swaps (CDS) it shall be the coupon in basis points. Where price is reported in monetary terms, it shall be provided in the major currency unit. Where price is currently not available but pending, the value should be ‘PNDG’. Where price is not applicable the field shall not be populated. The information reported in this field shall be consistent with the value provided in field Quantity. 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 ‘PNDG’ in case the price is not available {DECIMAL-18/17} in case the price is expressed as basis points 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 a trading venue. Where the segment MIC does not exist, use the operating MIC. Use MIC code ‘XOFF’ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue or systematic internaliser or organised trading platform outside of the Union. Use SINT for financial instrument submitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser. RM, MTF, OTF APA CTP {MIC} –trading venues ‘SINT’ — systematic internaliser Price notation For all financial instruments Indication as to whether the price is expressed in monetary value, in percentage or in yield RM, MTF, OTF APA CTP ‘MONE’ — Monetary value ‘PERC’ — Percentage ‘YIEL’ — Yield ‘BAPO’ — Basis points Price Currency For all financial instruments Currency in which the price is expressed (applicable if the price is expressed as monetary value) RM, MTF, OTF APA CTP {CURRENCYCODE_3} Notation of the quantity in measurement unit For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. Indication of measurement units in which the quantity in measurement unit is expressed RM, MTF, OTF APA CTP ‘TOCD’ — tons of carbon dioxide equivalent Or {ALPHANUM-25} otherwise Quantity in measurement unit For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (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} Quantity For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. The number of units of the financial instrument, or the number of derivative contracts in the transaction. RM, MTF, OTF APA CTP {DECIMAL-18/17} Notional amount For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. Nominal amount or notional amount For spread bets, the notional amount shall be the monetary value wagered per point movement in the underlying financial instrument. For credit default swaps, it shall be the notional amount for which the protection is acquired or disposed of. The information reported in this field shall be consistent with the value provided in field Price RM, MTF, OTF APA CTP {DECIMAL-18/5} Notional currency For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of the Regulation. Currency in which the notional is denominated RM, MTF, OTF APA CTP {CURRENCYCODE_3} 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 (for derivatives only) 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} 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. 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 should 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} Transaction to be cleared For derivatives Code to identify whether the transaction will be cleared. RM, MTF, OTF APA CTP ‘true’ — transaction to be cleared ‘false’ — transaction not to be cleared ( 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 (see page 148 of this Official Journal). ( 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 (see page 193 of this Official Journal).







Table 3 List of flags for the purpose of post-trade transparency Flag Name of Flag Type of execution/publication venue Description ‘BENC’ Benchmark transaction flag RM, MTF, OTF APA CTP All kinds of volume weighted average price transactions and all other trades where the price is calculated over multiple time instances according to a given benchmark. ‘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. ‘NPFT’ Non-price forming transaction flag RM, MTF, OTF CTP All types of transactions listed under Article 12 of this Regulation and which do not contribute to the price formation. ‘LRGS’ Post-trade LIS transaction flag RM, MTF, OTF APA CTP Transactions executed under the post-trade large in scale deferral. ‘ILQD’ Illiquid instrument transaction flag RM, MTF, OTF APA CTP Transactions executed under the deferral for instruments for which there is not a liquid market. ‘SIZE’ Post-trade SSTI transaction flag RM, MTF, OTF APA CTP Transactions executed under the post-trade size specific to the instrument deferral. ‘TPAC’ Package transaction flag RM, MTF, OTF APA CTP Package transactions which are not exchange for physicals as defined in Article 1. ‘XFPH’ Exchange for physicals transaction flag RM, MTF, OTF APA CTP Exchange for physicals as defined in Article 1 ‘CANC’ Cancellation flag RM, MTF, OTF APA CTP When a previously published transaction is cancelled. ‘AMND’ Amendment flag RM, MTF, OTF APA CTP When a previously published transaction is amended. SUPPLEMENTARY DEFERRAL FLAGS Article 11(1)(a)(i). ‘LMTF’ Limited details flag RM, MTF, OTF APA CTP First report with publication of limited details in accordance with Article 11(1)(a)(i). ‘FULF’ Full details flag Transaction for which limited details have been previously published in accordance with Article 11(1)(a)(i). Article 11(1)(a)(ii). ‘DATF’ Daily aggregated transaction flag RM, MTF, OTF APA CTP Publication of daily aggregated transaction in accordance with Article 11(1)(a)(ii). ‘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)(a)(ii). Article 11(1)(b) ‘VOLO’ Volume omission flag RM, MTF, OTF APA CTP Transaction for which limited details are published in accordance with Article 11(1)(b). ‘FULV’ Full details flag RM, MTF, OTF APA CTP Transaction for which limited details have been previously published in accordance with Article 11(1)(b) Article 11(1)(c) ‘FWAF’ Four weeks aggregation flag RM, MTF, OTF APA CTP Publication of aggregated transactions in accordance with Article 11(1)(c). ‘FULJ’ Full details flag RM, MTF, OTF APA CTP Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1)(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 indefinite period of time has been allowed in accordance with Article 11(1)(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)(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)(c).







Table 4 Measure of volume Type of instrument Volume All bonds except ETCs and ETNs and structured finance products Total nominal value of debt instruments traded ETCs and ETNs bond types Number of units traded (1) Securitised derivatives Number of units traded (1) Interest rate derivatives Notional amount of traded contracts Foreign Exchange Derivatives Notional amount of traded contracts Equity derivatives Notional amount of traded contracts Commodity derivatives Notional amount of traded contracts Credit derivatives Notional amount of traded contracts Contract for differences Notional amount of traded contracts C10 derivatives Notional amount of traded contracts Emission allowance derivatives Tons of Carbon Dioxide equivalent Emission allowances Tons of Carbon Dioxide equivalent ( 1 ) Price per unit.









ANNEX III

Liquidity assessment, LIS and SSTI thresholds for non-equity financial instruments

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’ 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.

2. Bonds







Table 2.1 Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market Asset class — Bonds (all bond types except ETCs and ETNs) 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







Table 2.2 Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market 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. Bond Type Issuance size Sovereign Bond means a bond issued by a sovereign issuer which is either: (a) the Union; (b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) a sovereign entity which is not listed under points (a) and (b). smaller than (in EUR) 1 000 000 000 Other Public Bond means a bond 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 means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity smaller than (in EUR) 500 000 000 Covered Bond means bonds as referred to in Article 52(4) of Directive 2009/65/EC 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 Corporate Bond means a bond 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 Article 1 of Directive 2009/101/EC 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 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 2009/101/EC of the European Parliament and of the Council of 16 September 2009 on coordination of safeguards which, for the protection of the interests of members and third parties, are required by Member States of companies within the meaning of the second paragraph of Article 48 of the Treaty, with a view to making such safeguards equivalent (OJ L 258, 1.10.2009, p. 11).







Table 2.3 Bonds (all bond types except ETCs and ETNs) — pre-trade and post-trade SSTI and LIS thresholds 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 SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Trade — percentile threshold floor Trade — percentile threshold floor Trade — percentile Trade — percentile 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







Table 2.4 Bonds (ETC and ETN bond types) — classes not having a liquid market Asset class — Bonds (ETC and ETN bond types) 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) 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) 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







Table 2.5 Bonds (ETC and ETN bond types) — pre-trade and post-trade SSTI and LIS thresholds 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 Bond type SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value 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 Bond type SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value 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

3. Structured Finance Products (SFPs)







Table 3.1 SFPs — classes not having a liquid market 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)(b) 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 %







Table 3.2 SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is not passed Asset class — Structured Finance Products (SFPs) Pre-trade and post-trade SSTI and LIS thresholds for all SFPs if Test 1 is not passed SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value 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 SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Trade — percentile Threshold floor Trade — percentile Threshold floor Trade — percentile Threshold floor Trade — percentile Threshold floor 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 SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value EUR 100 000 EUR 250 000 EUR 500 000 EUR 1 000 000

4. Securitised derivatives

Table 4.1

Securitised derivatives — classes not having a liquid market

Asset class — Securitised Derivatives

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

(a) plain vanilla covered warrants means securities giving the holder the right, but not the obligation, to purchase (sell), at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, the payment of the positive difference between the current market price (the strike price) and the strike price (the current market price);

(b) leverage certificates means certificates that track the performance of the underlying asset with leverage effect;

(c) exotic covered warrants means covered warrants whose main component is a combination of options;

(d) negotiable rights;

(e) investment certificates means certificates that track the performance of the underlying asset without leverage effect.

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







Table 4.2 Securitised derivatives — pre-trade and post-trade SSTI and LIS thresholds Asset class — Securitised Derivatives Pre-trade and post-trade SSTI and LIS thresholds SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value EUR 50 000 EUR 60 000 EUR 90 000 EUR 100 000

5. Interest rate derivatives







Table 5.1 Interest rate derivatives — classes not having a liquid market 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. Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied 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 a bond future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — issuer of the underlying Segmentation criterion 2 — term of the underlying deliverable bond defined as follows: Short-term: the underlying deliverable bond with a term between 1 and 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 options a bond option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying bond or underlying bond future/forward Segmentation criterion 2 — 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 an interest rate future sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying interest rate Segmentation criterion 2 — term of the underlying interest rate 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 500 000 000 10 whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month IR options an interest rate option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying interest rate or underlying interest rate future or FRA Segmentation criterion 2 — term of the underlying interest rate Segmentation criterion 3 — 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 a swaption sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying swap type defined as follows: fixed-to-fixed single currency swap, futures/forwards on fixed-to-fixed single currency swap, fixed-to-float single currency swap, futures/forwards on fixed-to-float single currency swap, float-to-float single currency swap, futures/forwards on float-to-float single currency swap, inflation single currency swap, futures/forwards on inflation single currency swap, OIS single currency swap, futures/forwards on OIS single currency swap, fixed-to-fixed multi-currency swap, futures/forwards on fixed-to-fixed multi-currency swap, fixed-to-float multi-currency swap, futures/forwards on fixed-to-float multi-currency swap, float-to-float multi-currency swap, futures/forwards on float-to-float multi-currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap, OIS multi-currency swap, futures/forwards on OIS multi-currency swap Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 3 — inflation index if the underlying swap type is either an inflation single currency swap or an inflation multi-currency swap Segmentation criterion 4 — 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 500 000 000 10 Segmentation criterion 5 — 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 Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward 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 while those of the other leg are determined by a floating interest rate a fixed-to-float multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 — 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 on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by floating interest rates a float-to-float multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 — 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 on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by fixed interest rates a fixed-to-fixed multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 — 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 on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate an overnight index swap (OIS) multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 — 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 on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an inflation rate an inflation multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 — 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 on Fixed-to-Float ‘single currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and the cash flows of one leg are determined by a fixed interest rate while those of the other leg are determined by a floating interest rate a fixed-to-float single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 — 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 on Float-to-Float ‘single currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by floating interest rates a float-to-float single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 — 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 on Fixed-to-Fixed ‘single currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by fixed interest rates a fixed-to-fixed single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 — 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 on Overnight Index Swap (OIS) ‘single currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate an overnight index swap (OIS) single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 — 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 on Inflation ‘single currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an inflation rate an inflation single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 — 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 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 any other interest rate derivative is considered not to have a liquid market







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 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 Transactions to be considered for the calculations of the thresholds SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Trade — percentile Threshold floor 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 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 0