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. )
Date: 2016-07-14
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: bond, emission allowance, financial instrument, financial legislation, financial transaction, investment company, stock-exchange listing, technical standard




L_2017087EN.01022901.xml










31.3.2017   


EN


Official Journal of the European Union


L 87/229








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


THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,


Having regard to Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012 (1), and in particular Article 1(8), Article 9(5), Article 11(4), Article 21(5) and Article 22(4) thereof,

Whereas:







(1)


A high degree of transparency is essential to ensure that investors are adequately informed as to the true level of actual and potential transactions in bonds, structured finance products, emission allowances and derivatives irrespective of whether those transactions take place on regulated markets, multilateral trading facilities (MTFs), organised trading facilities, systematic internalisers, or outside those facilities. This high degree of transparency should also establish a level playing field between trading venues so that the price discovery process in respect of particular financial instruments is not impaired by the fragmentation of liquidity, and investors are not thereby penalised.












(2)


At the same time, it is essential to recognise that there may be circumstances where exemptions from pre-trade transparency or deferrals of post-trade transparency obligations should be provided to avoid the impairment of liquidity as an unintended consequence of obligations to disclose transactions and thereby to make public risk positions. Therefore, it is appropriate to specify the precise circumstances under which waivers from pre-trade transparency and deferrals from post-trade transparency may be granted.












(3)


The provisions in this Regulation are closely linked, since they deal with specifying the pre-trade and post-trade transparency requirements that apply to trading in non-equity financial instruments. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view for stakeholders and, in particular, those subject to the obligations, it is necessary to include these regulatory technical standards in a single Regulation.












(4)


Where competent authorities grant waivers in relation to pre-trade transparency requirements or authorise the deferral of post-trade transparency obligations, they should treat all regulated markets, multilateral trading facilities, organised trading facilities and investment firms trading outside of trading venues equally and in a non-discriminatory manner.












(5)


It is appropriate to clarify a limited number of technical terms. Those technical definitions are necessary to ensure the uniform application in the Union of the provisions contained in this Regulation and, hence, contribute to the establishment of a single rulebook for Union financial markets. Those definitions serve only for the purpose of setting out the transparency obligations for non-equity financial instruments and should be strictly limited to understanding this Regulation.












(6)


Exchange-traded-commodities (ETCs) and exchange-traded notes (ETNs) subject to this Regulation should be considered as debt instruments due to their legal structure. However, since they are traded in a similar fashion to ETFs, a similar transparency regime as that of ETFs should be applied.












(7)


In accordance with Regulation (EU) No 600/2014, a number of instruments should be considered to be eligible for a pre-trade transparency waiver for instruments for which there is not a liquid market. This requirement should also apply to derivatives subject to the clearing obligation which are not subject to the trading obligation as well as bonds, derivatives, structured finance products and emission allowances which are not liquid.












(8)


A trading venue operating a request for quote system should make public the firm bid and offer prices or actionable indications of interest and the depth attached to those prices no later than at the time when the requester is able to execute a transaction under the system's rules. This is to ensure that members or participants who are providing their quotes to the requester first are not put at a disadvantage.












(9)


The majority of liquid covered bonds are mortgage bonds issued to grant loans for financing private individuals' purchase of a home and the average value of which is directly related to the value of the loan. In the covered bond market, liquidity providers ensure that professional investors trading in large sizes are matched with home owners trading in small sizes. To avoid disruption of this function and contingent detrimental consequences for home owners, the size specific to the instrument above which liquidity providers may benefit from a pre-trade transparency waiver should be set at a the trade size below which lie 40 percent of the transactions since this trade size is deemed reflective of the average price of a home.












(10)


Information which is required to be made available as close to real time as possible should be made available as instantaneously as technically feasible, assuming a reasonable level of efficiency and of expenditure on systems on the part of the market operator, approved publication arrangement (APA) or investment firm concerned. The information should only be published close to the prescribed maximum time limit in exceptional cases where the systems available do not allow for a publication in a shorter period of time.












(11)


Investment firms should make public the details of transactions executed outside a trading venue through an APA. This Regulation should set out the way investment firms report their transactions to APAs and should apply in conjunction with Commission Delegated Regulation (EU) 2017/571 (2).












(12)


The possibility to specify the application of the obligation of post-trade disclosure of transactions executed between two investment firms, including systematic internalisers, in bonds, structured finance products, emission allowances and derivatives which are determined by factors other than the current market valuation, such as the transfer of financial instruments as collateral, is set out in Regulation (EU) No 600/2014. Such transactions do not contribute to the price discovery process or risk blurring the picture for investors or hinder best execution and therefore this Regulation specifies the transactions determined by factors other than the current market valuation which should not be made public.












(13)


Investment firms often conduct, on own account or on behalf of clients, transactions in derivatives and other financial instruments or assets that are composed by a number of interlinked, contingent trades. Such package transactions enable investment firms and their clients to better manage their risks with the price of each component of the package transaction reflecting the overall risk profile of the package rather than the prevailing market price of each component. Package transactions can take various forms, such as exchange for physicals, trading strategies executed on trading venues or bespoke package transactions and it is important to take those specificities into account when calibrating the applicable transparency regime. It is therefore appropriate to specify for the purpose of this Regulation the conditions for applying deferrals from post-trade transparency to package transactions. Such arrangements should not be available for transactions which hedge financial instruments conducted in the normal course of the business.












(14)


Exchange for physicals are an integral part of financial markets, allowing market participants to organise and execute exchange-traded derivatives transactions which are linked directly to a transaction in the underlying physical market. They are widely used and they involve a multitude of actors, such as farmers, producers, manufacturers and processors of commodities. Typically an exchange for physical transaction will take place when a seller of a physical asset seeks to close out his corresponding hedging position in a derivative contract with the buyer of the physical asset, when the latter happens to also hold a corresponding hedge in the same derivative contract. They therefore facilitate the efficient closing out of hedging positions which are not necessary anymore.












(15)


In respect of transactions executed outside the rules of a trading venue, it is essential to clarify which investment firm is to make public a transaction in cases where both parties to the transaction are investment firms established in the Union in order to ensure the publication of transactions without duplication. Therefore, the responsibility to make a transaction public should always fall on the selling investment firm unless only one of the counterparties is a systematic internaliser and it is the buying firm.












(16)


Where only one of the counterparties is a systematic internaliser in a given financial instrument and it is also the buying firm for that instrument, it should be responsible for making the transaction public as its clients would expect it to do so and it is better placed to fill in the reporting field mentioning its status of systematic internaliser. To ensure that a transaction is only published once, the systematic internaliser should inform the other party that it is making the transaction public.












(17)


It is important to maintain current standards for the publication of transactions carried out as back-to-back trades to avoid the publication of a single transaction as multiple trades and to provide legal certainty on which investment firm is responsible for publishing a transaction. Therefore, two matching trades entered at the same time and for the same price with a single party interposed should be published as a single transaction.












(18)


Regulation (EU) No 600/2014 allows competent authorities to require the publication of supplementary details when publishing information benefitting from a deferral, or to allow deferrals for an extended time period. In order to contribute to the uniform application of these provisions across the Union, it is necessary to frame the conditions and criteria under which supplementary deferrals may be allowed by competent authorities.












(19)


Trading in many non-equity financial instruments, and in particular derivatives, is episodic, variable and subject to regular modifications of trading patterns. Static determinations of financial instruments which do not have a liquid market and static determinations of the various thresholds for the purpose of calibrating pre-trade and post-trade transparency obligations without providing for the possibility to adapt the liquidity status and the thresholds in light of changes in trading patterns would therefore not be suitable. It is therefore appropriate to set out the methodology and parameters which are necessary to perform the liquidity assessment and the calculation of the thresholds for the application of pre-trade transparency waivers and deferral of post-trade transparency on a periodic basis.












(20)


In order to ensure consistent application of the waivers to pre-trade transparency and the post-trade deferrals, it is necessary to create uniform rules regarding the content and frequency of data competent authorities may request from trading venues, APAs and consolidated tape providers (CTPs) for transparency purposes. It is also necessary to specify the methodology for calculating the respective thresholds and to create uniform rules with regard to publishing the information across the Union. Rules on the specific methodology and data necessary to perform calculations for the purpose of specifying the transparency regime applicable to non-equity financial instruments should be applied in conjunction with Commission Delegated Regulation (EU) 2017/577 (3) which sets out the common elements with regard to the content and frequency of data requests to be addressed to trading venues, APAs and CTPs for the purposes of transparency and other calculations in more general terms.












(21)


For bonds other than ETCs and ETNs, transactions below EUR 100 000 should be excluded from the calculations of pre-trade and post-trade transparency thresholds, as those are considered to be of a retail size. Those retail-sized transactions should in all cases benefit from the new transparency regime and any threshold giving rise to a waiver or deferral from transparency should be set above that level.












(22)


The purpose of the exemption from transparency obligations set out in Regulation (EU) No 600/2014 is to ensure that the effectiveness of operations conducted by the Eurosystem in the performance of primary tasks as set out in the Statute of the European System of Central Banks and of the European Central Bank annexed to the Treaty on the European Union (‘the Statute’), and under equivalent national provisions for members of the European System of Central Banks (ESCB) in Member States whose currency is not the euro, which relies on timely and confidential transactions, is not compromised by the disclosure of information on such transactions. It is crucial for central banks to be able to control whether, when and how information about their actions is disclosed so as to maximise the intended impact and limit any unintended impact on the market. Therefore, legal certainty should be provided for the members of the ESCB and their respective counterparties as to the scope of the exemption from transparency requirements.












(23)


One of the primary ESCB responsibilities under the Treaty and the Statute and under equivalent national provisions for members of the ESCB in Member States whose currency is not the euro, is the performance of foreign exchange policy, which entails holding and managing foreign reserves to ensure that, whenever necessary, there is a sufficient amount of liquid resources available for its foreign exchange policy operations. The application of transparency requirements to foreign reserve management operations may result in unintended signals to the market, which could interfere with the foreign exchange policy of the Eurosystem and of members of the ESCB in Member States whose currency is not the euro. Similar considerations may also apply to foreign reserve management operations in the performance of monetary and financial stability policy on a case-by-case basis.












(24)


The exemption from transparency obligations for transactions where the counterparty is a member of the ESCB should not apply in respect of transactions entered into by any member of the ESCB in performance of their investment operations. This should include operations conducted for administrative purposes or for the staff of the member of the ESCB, including transactions conducted in the capacity as an administrator of a pension scheme in accordance with Article 24 of the Statute.












(25)


The temporary suspension of transparency obligations should only be imposed in exceptional situations which represent a significant decline in liquidity across a class of financial instruments based on objective and measurable factors. It is necessary to differentiate between classes initially determined as having or not having a liquid market as a further significant decline in relative terms in a class already determined as illiquid is likely to occur more easily. Therefore, a suspension of transparency requirements in instruments determined as not having a liquid market should be imposed only if a decline by a higher relative threshold has occurred.












(26)


The pre-trade and post-trade transparency regime established by Regulation (EU) No 600/2014 should be appropriately calibrated to the market and applied in a uniform manner throughout the Union. It is therefore essential to lay down the necessary calculations to be performed, including the periods and methods of calculation. In this respect, to avoid market distorting effects, the calculation periods specified in this Regulation should ensure that the relevant thresholds of the regime are updated at appropriate intervals to reflect market conditions. It is also appropriate to provide for the centralised publication of the results of the calculations so that they are made available to all financial market participants and competent authorities in the Union in a single place and in a user-friendly manner. To that end, competent authorities should notify ESMA of the results of their calculations and ESMA should publish those calculations on its website.












(27)


In order to ensure a smooth implementation of the new transparency requirements, it is appropriate to phase-in the transparency provisions. The liquidity threshold 'average daily number of trades' used for the determination of bonds for which there is a liquid market should be adapted in a gradual manner.












(28)


By 30 July of the year following the date of application of Regulation (EU) No 600/2014, ESMA should, on an annual basis, submit to the Commission an assessment of the liquidity threshold determining the pre-trade transparency obligations pursuant to Articles 8 and 9 of Regulation (EU) No 600/2014, and, where appropriate, submit a revised regulatory technical standard in order to adapt the liquidity threshold.












(29)


Likewise, the trade percentiles used to determine the size specific to the instrument which allow for the pre-trade transparency obligations for non-equity instruments to be waived, should be gradually adapted.












(30)


For this purpose, ESMA should, on an annual basis, submit to the Commission an assessment of the waiver thresholds and, where appropriate, submit a revised regulatory standard to adapt the waiver thresholds applicable to non-equity instruments.












(31)


For the purpose of the transparency calculations, reference data is necessary to determine the sub-asset class to which each financial instrument belongs. Therefore, it is necessary to require trading venues to provide additional reference data to that required by Commission Delegated Regulation (EU) 2017/585 (4).












(32)


In the determination of financial instruments not having a liquid market in relation to foreign exchange derivatives, a qualitative assessment was required due to the lack of data necessary for a comprehensive quantitative analysis of the entire market. As a result, until data of better quality is available, foreign exchange derivatives should be considered not to have a liquid market for the purposes of this Regulation.












(33)


With a view to allowing for an effective start of the new transparency rules data should be provided by market participants for the calculation and publication of the financial instruments for which there is not a liquid market and the sizes of orders that are large in scale or above the size specific to the instrument sufficiently in advance of the date of application of Regulation (EU) No 600/2014.












(34)


For reasons of consistency and in order to ensure the smooth functioning of the financial markets, it is necessary that this Regulation and the provisions laid down in Regulation (EU) No 600/2014 apply from the same date. However, to ensure that the new transparency regulatory regime can operate effectively, certain provisions of this regulation should apply from the date of its entry into force.












(35)


This Regulation is based on the draft regulatory technical standards submitted by ESMA to the Commission.












(36)


ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (5),





HAS ADOPTED THIS REGULATION:



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 (6) 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 (7);










(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 (8) 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 (9) 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


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)(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 S1 (15 daily trades).


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.






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


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.
Done at Brussels, 14 July 2016.


For the Commission


The President

Jean-Claude JUNCKER
            





(1)  
            OJ L 173, 12.6.2014, p. 84.

(2)  Commission Delegated Regulation (EU) 2017/571 of 2 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards on the authorisation, organisational requirements and the publication of transactions for data reporting services providers (see page 126 of this Official Journal).

(3)  Commission Delegated Regulation (EU) 2017/577 of 13 June 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 the volume cap mechanism and the provision of information for the purposes of transparency and other calculations (see page 174 of this Official Journal).

(4)  Commission Delegated Regulation (EU) 2017/585 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the data standards and formats for financial instrument reference data and technical measures in relation to arrangements to be made by the European Securities and Markets Authority and competent authorities (see page 368 of this Official Journal).

(5)  Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).

(6)  Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349).

(7)  Commission Delegated Regulation (EU) 2017/590 of 28 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the reporting of transactions to competent authorities (see page 449 of this Official Journal).

(8)  Directive 2009/65/EC of the European Parliment and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

(9)  Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1).




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








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 (3)





Securitised derivatives


Number of units traded (3)





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)  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).

(3)  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








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 5 000 000 


70


EUR 10 000 000 


80


60


EUR 20 000 000 


90


70


EUR 25 000 000 




30


40


50


60





Swaptions



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 4 000 000 


70


EUR 5 000 000 


80


60


EUR 9 000 000 


90


70


EUR 10 000 000 




30


40


50


60





Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 4 000 000 


70


EUR 5 000 000 


80


60


EUR 9 000 000 


90


70


EUR 10 000 000 




30


40


50


60





Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 4 000 000 


70


EUR 5 000 000 


80


60


EUR 9 000 000 


90


70


EUR 10 000 000 




30


40


50


60





Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 4 000 000 


70


EUR 5 000 000 


80


60


EUR 9 000 000 


90


70


EUR 10 000 000 




30


40


50


60





Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 4 000 000 


70


EUR 5 000 000 


80


60


EUR 9 000 000 


90


70


EUR 10 000 000 




30


40


50


60





Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 4 000 000 


70


EUR 5 000 000 


80


60


EUR 9 000 000 


90


70


EUR 10 000 000 




30


40


50


60





Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 4 000 000 


70


EUR 5 000 000 


80


60


EUR 9 000 000 


90


70


EUR 10 000 000 




30


40


50


60





Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 4 000 000 


70


EUR 5 000 000 


80


60


EUR 9 000 000 


90


70


EUR 10 000 000 




30


40


50


60





Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 4 000 000 


70


EUR 5 000 000 


80


60


EUR 9 000 000 


90


70


EUR 10 000 000 




30


40


50


60





Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 4 000 000 


70


EUR 5 000 000 


80


60


EUR 9 000 000 


90


70


EUR 10 000 000 




30


40


50


60





Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 4 000 000 


70


EUR 5 000 000 


80


60


EUR 9 000 000 


90


70


EUR 10 000 000 




30


40


50


60








Table 5.3


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










Asset class — Interest Rate Derivatives





Sub-asset class




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






SSTI pre-trade




LIS pre-trade




SSTI post-trade




LIS post-trade






Threshold value




Threshold value




Threshold value




Threshold value






Bond futures/forwards



EUR 4 000 000 


EUR 5 000 000 


EUR 20 000 000 


EUR 25 000 000 





Bond options



EUR 4 000 000 


EUR 5 000 000 


EUR 20 000 000 


EUR 25 000 000 





IR futures and FRA



EUR 5 000 000 


EUR 10 000 000 


EUR 20 000 000 


EUR 25 000 000 





IR options



EUR 5 000 000 


EUR 10 000 000 


EUR 20 000 000 


EUR 25 000 000 





Swaptions



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 





Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 





Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 





Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 





Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 





Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 





Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 





Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 





Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 





Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 





Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 





Other Interest Rate Derivatives



EUR 4 000 000 


EUR 5 000 000 


EUR 9 000 000 


EUR 10 000 000 




6.   Equity derivatives


Table 6.1


Equity derivatives — classes not having a liquid market











Asset class — Equity Derivatives




any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to:






(a)


one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments;










(b)


an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments









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






Stock index options

an option whose underlying is an index composed of shares


all index options are considered to have a liquid market





Stock index futures/forwards

a future/forward whose underlying is an index composed of shares


all index futures/forwards are considered to have a liquid market





Stock options

an option whose underlying is a share or a basket of shares resulting from a corporate action


all stock options are considered to have a liquid market





Stock futures/forwards

a future/forward whose underlying is a share or a basket of shares resulting from a corporate action


all stock futures/forwards are considered to have a liquid market





Stock dividend options

an option on the dividend of a specific share


all stock dividend options are considered to have a liquid market





Stock dividend futures/forwards

a future/forward on the dividend of a specific share


all stock dividend futures/forwards are considered to have a liquid market





Dividend index options

an option on an index composed of dividends of more than one share


all dividend index options are considered to have a liquid market





Dividend index futures/forwards

a future/forward on an index composed of dividends of more than one share


all dividend index futures/forwards are considered to have a liquid market





Volatility index options

an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments


all volatility index options are considered to have a liquid market





Volatility index futures/forwards

a future/forward whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments


all volatility index futures/forwards are considered to have a liquid market





ETF options

an option whose underlying is an ETF


all ETF options are considered to have a liquid market





ETF futures/forwards

a future/forward whose underlying is an ETF


all ETF futures/forwards are considered to have a liquid market




Asset class — Equity Derivatives





Sub-asset class




For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below




Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(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]




Swaps


a swap sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying type: single name, index, basket










 



Segmentation criterion 2 — underlying single name, index, basket










 



Segmentation criterion 3 — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility










 



Segmentation criterion 4 — time to maturity bucket of the swap defined as follows:






EUR 50 000 000 


15




Price return basic performance parameter


Parameter return variance/volatility


Parameter return dividend





Maturity bucket 1: 0 < time to maturity ≤ 1 month



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



Maturity bucket 1: 0 < time to maturity ≤ 1 year





Maturity bucket 2: 1 month < time to maturity ≤ 3 months



Maturity bucket 2: 3 months < time to maturity ≤ 6 months



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





Maturity bucket 3: 3 months < time to maturity ≤ 6 months



Maturity bucket 3: 6 months < time to maturity ≤ 1 year



Maturity bucket 3: 2 years < time to maturity ≤ 3 years





Maturity bucket 4: 6 months < time to maturity ≤ 1 year



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


…





Maturity bucket 5: 1 year < time to maturity ≤ 2 years



Maturity bucket 5: 2 years < time to maturity ≤ 3 years



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





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


…


 




…



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


 





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


 


 





Portfolio Swaps



a portfolio swap sub-class is defined by a specific combination of:






 



Segmentation criterion 1 — underlying type: single name, index, basket










 



Segmentation criterion 2 — underlying single name, index, basket










 



Segmentation criterion 3 — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility










 



Segmentation criterion 4 — me to maturity bucket of the portfolio swap defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 1 month










 



Maturity bucket 2: 1 month < time to maturity ≤ 3 months










 



Maturity bucket 3: 3 months < time to maturity ≤ 6 months










 



Maturity bucket 4: 6 months < time to maturity ≤ 1 year










 



Maturity bucket 5: 1 year < time to maturity ≤ 2 years










 



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










 


…










 



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










EUR 50 000 000 


15




Asset class — Equity 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 equity derivatives



 




an equity derivative that does not belong to any of the above sub-asset classes


any other equity derivative is considered not to have a liquid market








Table 6.2


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















Asset class — Equity Derivatives





Sub-asset class




For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below




Transactions to be considered for the calculations of the thresholds




Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs






Average daily notional amount (ADNA)




SSTI pre-trade




LIS pre-trade




SSTI post-trade




LIS post-trade






Threshold value




Threshold value




Threshold value




Threshold value






Stock index options



a stock index option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying stock index


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 100 million ADNA



EUR 20 000 


EUR 25 000 


EUR 1 000 000 


EUR 1 500 000 





EUR 100 million ≤ ADNA < EUR 200 million



EUR 2 500 000 


EUR 3 000 000 


EUR 25 000 000 


EUR 30 000 000 





EUR 200 million ≤ ADNA < EUR 600 million



EUR 5 000 000 


EUR 5 500 000 


EUR 50 000 000 


EUR 55 000 000 





ADNA ≥ EUR 600 million



EUR 15 000 000 


EUR 20 000 000 


EUR 150 000 000 


EUR 160 000 000 





Stock index futures/forwards



a stock index future/forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying stock index


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 100 million ADNA



EUR 20 000 


EUR 25 000 


EUR 1 000 000 


EUR 1 500 000 





EUR 100 million ≤ ADNA < EUR 1 billion



EUR 500 000 


EUR 550 000 


EUR 5 000 000 


EUR 5 500 000 





EUR 1 billion ≤ ADNA < EUR 3 billion



EUR 5 000 000 


EUR 5 500 000 


EUR 50 000 000 


EUR 55 000 000 





EUR 3 billion ≤ ADNA < EUR 5 billion



EUR 15 000 000 


EUR 20 000 000 


EUR 150 000 000 


EUR 160 000 000 





ADNA ≥ EUR 5 billion



EUR 25 000 000 


EUR 30 000 000 


EUR 250 000 000 


EUR 260 000 000 





Stock options



a stock option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying share


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 5 million ADNA



EUR 20 000 


EUR 25 000 


EUR 1 000 000 


EUR 1 250 000 





EUR 5 million ≤ ADNA < EUR 10 million



EUR 250 000 


EUR 300 000 


EUR 1 250 000 


EUR 1 500 000 





EUR 10 million ≤ ADNA < EUR 20 million



EUR 500 000 


EUR 550 000 


EUR 2 500 000 


EUR 3 000 000 





ADNA ≥ EUR 20 million



EUR 1 000 000 


EUR 1 500 000 


EUR 5 000 000 


EUR 5 500 000 





Stock futures/forwards



an stock future/forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying share


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 5 million ADNA



EUR 20 000 


EUR 25 000 


EUR 1 000 000 


EUR 1 250 000 





EUR 5 million ≤ ADNA < EUR 10 million



EUR 250 000 


EUR 300 000 


EUR 1 250 000 


EUR 1 500 000 





EUR 10 million ≤ ADNA < EUR 20 million



EUR 500 000 


EUR 550 000 


EUR 2 500 000 


EUR 3 000 000 





ADNA ≥ EUR 20 m



EUR 1 000 000 


EUR 1 500 000 


EUR 5 000 000 


EUR 5 500 000 





Stock dividend options



a stock dividend option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying share entitling to dividends


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 5 million ADNA



EUR 20 000 


EUR 25 000 


EUR 400 000 


EUR 450 000 





EUR 5 million ≤ ADNA < EUR 10 million



EUR 25 000 


EUR 30 000 


EUR 500 000 


EUR 550 000 





EUR 10 million ≤ ADNA < EUR 20 million



EUR 50 000 


EUR 100 000 


EUR 1 000 000 


EUR 1 500 000 





ADNA ≥ EUR 20 million



EUR 100 000 


EUR 150 000 


EUR 2 000 000 


EUR 2 500 000 





Stock dividend futures/forwards



a stock dividend future/forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying share entitling to dividends


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 5 million ADNA



EUR 20 000 


EUR 25 000 


EUR 400 000 


EUR 450 000 





EUR 5 million ≤ ADNA < EUR 10 million



EUR 25 000 


EUR 30 000 


EUR 500 000 


EUR 550 000 





EUR 10 million ≤ ADNA < EUR 20 million



EUR 50 000 


EUR 100 000 


EUR 1 000 000 


EUR 1 500 000 





ADNA ≥ EUR 20 million



EUR 100 000 


EUR 150 000 


EUR 2 000 000 


EUR 2 500 000 





Dividend index options



a dividend index option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying dvidend index


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 100 million ADNA



EUR 20 000 


EUR 25 000 


EUR 1 000 000 


EUR 1 500 000 





EUR 100 million ≤ ADNA < EUR 200 million



EUR 2 500 000 


EUR 3 000 000 


EUR 25 000 000 


EUR 30 000 000 





EUR 200 million ≤ ADNA < EUR 600 million



EUR 5 000 000 


EUR 5 500 000 


EUR 50 000 000 


EUR 55 000 000 





ADNA ≥ EUR 600 million



EUR 15 000 000 


EUR 20 000 000 


EUR 150 000 000 


EUR 160 000 000 





Dividend index futures/forwards



a dividend index future/forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying dividend index


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 100 million ADNA



EUR 20 000 


EUR 25 000 


EUR 1 000 000 


EUR 1 500 000 





EUR 100 million ≤ ADNA < EUR 1 billion



EUR 500 000 


EUR 550 000 


EUR 5 000 000 


EUR 5 500 000 





EUR 1 billion ≤ ADNA < EUR 3 billion



EUR 5 000 000 


EUR 5 500 000 


EUR 50 000 000 


EUR 55 000 000 





EUR 3 billion ≤ ADNA < EUR 5 billion



EUR 15 000 000 


EUR 20 000 000 


EUR 150 000 000 


EUR 160 000 000 





ADNA ≥ EUR 5 billion



EUR 25 000 000 


EUR 30 000 000 


EUR 250 000 000 


EUR 260 000 000 





Volatility index options



a volatility index option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying volatility index


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 100 million ADNA



EUR 20 000 


EUR 25 000 


EUR 1 000 000 


EUR 1 500 000 





EUR 100 million ≤ ADNA < EUR 200 million



EUR 2 500 000 


EUR 3 000 000 


EUR 25 000 000 


EUR 30 000 000 





EUR 200 million ≤ ADNA < EUR 600 million



EUR 5 000 000 


EUR 5 500 000 


EUR 50 000 000 


EUR 55 000 000 





ADNA ≥ EUR 600 million



EUR 15 000 000 


EUR 20 000 000 


EUR 150 000 000 


EUR 160 000 000 





Volatility index futures/forwards



a volatility index future/forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying volatility index


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 100 million ADNA



EUR 20 000 


EUR 25 000 


EUR 1 000 000 


EUR 1 500 000 





EUR 100 million ≤ ADNA < EUR 1 billion



EUR 500 000 


EUR 550 000 


EUR 5 000 000 


EUR 5 500 000 





EUR 1 billion ≤ ADNA < EUR 3 billion



EUR 5 000 000 


EUR 5 500 000 


EUR 50 000 000 


EUR 55 000 000 





EUR 3 billion ≤ ADNA < EUR 5 billion



EUR 15 000 000 


EUR 20 000 000 


EUR 150 000 000 


EUR 160 000 000 





ADNA ≥ EUR 5 billion



EUR 25 000 000 


EUR 30 000 000 


EUR 250 000 000 


EUR 260 000 000 





ETF options



an ETF option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying ETF


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 5 million ADNA



EUR 20 000 


EUR 25 000 


EUR 1 000 000 


EUR 1 250 000 





EUR 5 million ≤ ADNA < EUR 10 million



EUR 250 000 


EUR 300 000 


EUR 1 250 000 


EUR 1 500 000 





EUR 10 million ≤ ADNA < EUR 20 million



EUR 500 000 


EUR 550 000 


EUR 2 500 000 


EUR 3 000 000 





ADNA ≥ EUR 20 million



EUR 1 000 000 


EUR 1 500 000 


EUR 5 000 000 


EUR 5 500 000 





ETF futures/forwards



an ETF future/forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying ETF


calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



< EUR 5 million ADNA



EUR 20 000 


EUR 25 000 


EUR 1 000 000 


EUR 1 250 000 





EUR 5 million ≤ ADNA < EUR 10 million



EUR 250 000 


EUR 300 000 


EUR 1 250 000 


EUR 1 500 000 





EUR 10 million ≤ ADNA < EUR 20 million



EUR 500 000 


EUR 550 000 


EUR 2 500 000 


EUR 3 000 000 





ADNA ≥ EUR 20 million



EUR 1 000 000 


EUR 1 500 000 


EUR 5 000 000 


EUR 5 500 000 





Swaps



a swap sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying type: single name, index, basket










 



Segmentation criterion 2 — underlying single name, index, basket










 



Segmentation criterion 3 — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility










 



Segmentation criterion 4 — time to maturity bucket of the swap defined as follows:






calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



EUR 50 million ≤ ADNA < EUR 100 million



EUR 250 000 


EUR 300 000 


EUR 1 250 000 


EUR 1 500 000 





EUR 100 million ≤ ADNA < EUR 200 million



EUR 500 000 


EUR 550 000 


EUR 2 500 000 


EUR 3 000 000 





ADNA ≥ EUR 200 million



EUR 1 000 000 


EUR 1 500 000 


EUR 5 000 000 


EUR 5 500 000 





Price return basic performance parameter




Parameter return variance/volatility




Parameter return dividend



 


 


 


 


 


 





Maturity bucket 1: 0 < time to maturity ≤ 1 month



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



Maturity bucket 1: 0 < time to maturity ≤ 1 year


 


 


 


 


 


 





Maturity bucket 2: 1 month < time to maturity ≤ 3 months



Maturity bucket 2: 3 months < time to maturity ≤ 6 months



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


 


 


 


 


 


 





Maturity bucket 3: 3 months < time to maturity ≤ 6 months



Maturity bucket 3: 6 months < time to maturity ≤ 1 year



Maturity bucket 3: 2 years < time to maturity ≤ 3 years


 


 


 


 


 


 





Maturity bucket 4: 6 months < time to maturity ≤ 1 year



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


…


 


 


 


 


 


 





Maturity bucket 5: 1 year < time to maturity ≤ 2 years



Maturity bucket 5: 2 years < time to maturity ≤ 3 years



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


 


 


 


 


 


 




 


 


 


 


 


 





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


…


 


 


 


 


 


 


 




…



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


 


 


 


 


 


 


 





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


 


 


 


 


 


 


 


 





Portfolio Swaps



a portfolio swap sub-class is defined by a specific combination of:






 



Segmentation criterion 1 — underlying type: single name, index, basket










 



Segmentation criterion 2 — underlying single name, index, basket










 



Segmentation criterion 3 — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility










 



Segmentation criterion 4 — time to maturity bucket of the portfolio swap defined as follows:






calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class



EUR 50 million ≤ ADNA < EUR 100 million



EUR 250 000 


EUR 300 000 


EUR 1 250 000 


EUR 1 500 000 





EUR 100 million ≤ ADNA < EUR 200 million



EUR 500 000 


EUR 550 000 


EUR 2 500 000 


EUR 3 000 000 





ADNA ≥ EUR 200 million



EUR 1 000 000 


EUR 1 500 000 


EUR 5 000 000 


EUR 5 500 000 





Maturity bucket 1: 0 < time to maturity ≤ 1 month


 


 


 


 


 


 





Maturity bucket 2: 1 month < time to maturity ≤ 3 months


 


 


 


 


 


 





Maturity bucket 3: 3 months < time to maturity ≤ 6 months


 


 


 


 


 


 





Maturity bucket 4: 6 months < time to maturity ≤ 1 year


 


 


 


 


 


 





Maturity bucket 5: 1 year < time to maturity ≤ 2 years


 


 


 


 


 


 





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


 


 


 


 


 


 




…


 


 


 


 


 


 





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


 


 


 


 


 


 








Table 6.3


Equity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market










Asset class — Equity Derivatives





Sub-asset class




Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market






SSTI pre-trade




LIS pre-trade




SSTI post-trade




LIS post-trade






Threshold value




Threshold value




Threshold value




Threshold value






Swaps



EUR 20 000 


EUR 25 000 


EUR 100 000 


EUR 150 000 





Portfolio Swaps



EUR 20 000 


EUR 25 000 


EUR 100 000 


EUR 150 000 





Other equity derivatives



EUR 20 000 


EUR 25 000 


EUR 100 000 


EUR 150 000 




7.   Commodity derivatives


Table 7.1


Commodity derivatives — classes not having a liquid market











Asset class — Commodity Derivatives





Sub-asset class




For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below




Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(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]





Metal commodity futures/forwards



a metal commodity future/forward sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — metal type: precious metal, non-precious metal










 



Segmentation criterion 2 — underlying metal










 



Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the future/forward is denominated










 



Segmentation criterion 4 — time to maturity bucket of the future/forward defined as follows:






EUR 10 000 000 


10





Precious metals




Non-precious metals



 





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



Maturity bucket 1: 0 < time to maturity ≤ 1 year


 





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



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


 





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



Maturity bucket 3: 2 years < time to maturity ≤ 3 years


 





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


…


 




…



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


 





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


 


 





Metal commodity options



a metal commodity option sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — metal type: precious metal, non-precious metal










 



Segmentation criterion 2 — underlying metal










 



Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the option is denominated










 



Segmentation criterion 4 — time to maturity bucket of the option defined as follows:






EUR 10 000 000 


10





Precious metals




Non-precious metals



 





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



Maturity bucket 1: 0 < time to maturity ≤ 1 year


 





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



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


 





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



Maturity bucket 3: 2 years < time to maturity ≤ 3 years


 





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


…


 




…



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


 





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


 


 





Metal commodity swaps



a metal commodity swap sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — metal type: precious metal, non-precious metal










 



Segmentation criterion 2 — underlying metal










 



Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the swap is denominated










 



Segmentation criterion 4 — settlement type defined as cash, physical or other










 



Segmentation criterion 5 — time to maturity bucket of the swap defined as follows:






EUR 10 000 000 


10





Precious metals




Non-precious metals



 





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



Maturity bucket 1: 0 < time to maturity ≤ 1 year


 





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



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


 





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



Maturity bucket 3: 2 years < time to maturity ≤ 3 years


 





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


…


 




…



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


 





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


 


 





Energy commodity futures/forwards



an energy commodity future/forward sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — energy type: oil, oil distillates, coal, oil light ends, natural gas, electricity, inter-energy










 



Segmentation criterion 2 — underlying energy










 



Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the future/forward is denominated










 



Segmentation criterion 4 — load type defined as baseload, peakload, off-peak or others, applicable to energy type: electricity










 



Segmentation criterion 5 — delivery/cash settlement location applicable to energy types: oil, oil distillates, oil light ends, electricity, inter-energy










 



Segmentation criterion 6 — time to maturity bucket of the future/forward defined as follows:






EUR 10 000 000 


10





Oil/Oil Distillates/Oil Light ends




Coal




Natural Gas/'Electricity/Inter-energy






Maturity bucket 1: 0 < time to maturity ≤ 4 months



Maturity bucket 1: 0 < time to maturity ≤ 6 months



Maturity bucket 1: 0 < time to maturity ≤ 1 month





Maturity bucket 2: 4 months < time to maturity ≤ 8 months



Maturity bucket 2: 6 months < time to maturity ≤ 1 year



Maturity bucket 2: 1 month < time to maturity ≤ 1 year





Maturity bucket 3: 8 months < time to maturity ≤ 1 year



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



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





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


…


…




…



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



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





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


 


 





Energy commodity options



an energy commodity option sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — energy type: oil, oil distillates, coal, oil light ends, natural gas, electricity, inter-energy










 



Segmentation criterion 2 — underlying energy










 



Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the option is denominated










 



Segmentation criterion 4 — load type defined as baseload, peakload, off-peak or others, applicable to energy type: electricity










 



Segmentation criterion 5 — delivery/cash settlement location applicable to energy types: oil, oil distillates, oil light ends, electricity, inter-energy










 



Segmentation criterion 6 — time to maturity bucket of the option defined as follows:






EUR 10 000 000 


10





Oil/Oil Distillates/Oil Light ends




Coal




Natural Gas/'Electricity/Inter-energy






Maturity bucket 1: 0 < time to maturity ≤ 4 months



Maturity bucket 1: 0 < time to maturity ≤ 6 months



Maturity bucket 1: 0 < time to maturity ≤ 1 month





Maturity bucket 2: 4 months < time to maturity ≤ 8 months



Maturity bucket 2: 6 months < time to maturity ≤ 1 year



Maturity bucket 2: 1 month < time to maturity ≤ 1 year





Maturity bucket 3: 8 months < time to maturity ≤ 1 year



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



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





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


…


…




…



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



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





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


 


 





Energy commodity swaps



an energy commodity swap sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — energy type: oil, oil distillates, coal, oil light ends, natural gas, electricity, inter-energy










 



Segmentation criterion 2 — underlying energy










 



Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the swap is denominated










 



Segmentation criterion 4 — settlement type defined as cash, physical or other










 



Segmentation criterion 5 — load type defined as baseload, peakload, off-peak or others, applicable to energy type: electricity










 



Segmentation criterion 6 — delivery/cash settlement location applicable to energy types: oil, oil distillates, oil light ends, electricity, inter-energy










 



Segmentation criterion 7 — time to maturity bucket of the swap defined as follows:






EUR 10 000 000 


10





Oil/Oil Distillates/Oil Light ends




Coal




Natural Gas/'Electricity/Inter-energy






Maturity bucket 1: 0 < time to maturity ≤ 4 months



Maturity bucket 1: 0 < time to maturity ≤ 6 months



Maturity bucket 1: 0 < time to maturity ≤ 1 month





Maturity bucket 2: 4 months < time to maturity ≤ 8 months



Maturity bucket 2: 6 months < time to maturity ≤ 1 year



Maturity bucket 2: 1 month < time to maturity ≤ 1 year





Maturity bucket 3: 8 months < time to maturity ≤ 1 year



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



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





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


…


…




…



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



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





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


 


 





Agricultural commodity futures/forwards



an agricultural commodity future/forward sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying agricultural commodity










 



Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the future/forward is denominated










 



Segmentation criterion 3 — time to maturity bucket of the future/forward defined as follows:






 



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










 



Maturity bucket 2: 3 months < time to maturity ≤ 6 months










 



Maturity bucket 3: 6 months < time to maturity ≤ 1 year










 



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










 


…










 



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










EUR 10 000 000 


10





Agricultural commodity options



an agricultural commodity option sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying agricultural commodity










 



Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the option is denominated










 



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 m: (n-1) years < time to maturity ≤ n years










EUR 10 000 000 


10





Agricultural commodity swaps



an agricultural commodity swap sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying agricultural commodity










 



Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the swap is denominated










 



Segmentation criterion 3 — settlement type defined as cash, physical or other










 



Segmentation criterion 4 — time to maturity bucket of the swap defined as follows:






 



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










 



Maturity bucket 2: 3 months < time to maturity ≤ 6 months










 



Maturity bucket 3: 6 months < time to maturity ≤ 1 year










 



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










 


…










 



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










EUR 10 000 000 


10





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 commodity derivatives



 




a commodity derivative that does not belong to any of the above sub-asset classes


any other commodity derivative is considered not to have a liquid market








Table 7.2


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




















Asset class — Commodity 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 the sub-classes 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






Metal commodity futures/forwards



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 250 000 


70


EUR 500 000 


80


60


EUR 750 000 


90


70


EUR 1 000 000 




30


40


50


60





Metal commodity options



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 250 000 


70


EUR 500 000 


80


60


EUR 750 000 


90


70


EUR 1 000 000 




30


40


50


60





Metal commodity swaps



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 250 000 


70


EUR 500 000 


80


60


EUR 750 000 


90


70


EUR 1 000 000 




30


40


50


60





Energy commodity futures/forwards



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 250 000 


70


EUR 500 000 


80


60


EUR 750 000 


90


70


EUR 1 000 000 




30


40


50


60





Energy commodity options



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 250 000 


70


EUR 500 000 


80


60


EUR 750 000 


90


70


EUR 1 000 000 




30


40


50


60





Energy commodity swaps



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 250 000 


70


EUR 500 000 


80


60


EUR 750 000 


90


70


EUR 1 000 000 




30


40


50


60





Agricultural commodity futures/forwards



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 250 000 


70


EUR 500 000 


80


60


EUR 750 000 


90


70


EUR 1 000 000 




30


40


50


60





Agricultural commodity options



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 250 000 


70


EUR 500 000 


80


60


EUR 750 000 


90


70


EUR 1 000 000 




30


40


50


60





Agricultural commodity swaps



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 250 000 


70


EUR 500 000 


80


60


EUR 750 000 


90


70


EUR 1 000 000 




30


40


50


60








Table 7.3


Commodity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market










Asset class — Commodity Derivatives





Sub-asset class




Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market






SSTI pre-trade




LIS pre-trade




SSTI post-trade




LIS post-trade






Threshold value




Threshold value




Threshold value




Threshold value






Metal commodity futures/forwards



EUR 250 000 


EUR 500 000 


EUR 750 000 


EUR 1 000 000 





Metal commodity options



EUR 250 000 


EUR 500 000 


EUR 750 000 


EUR 1 000 000 





Metal commodity swaps



EUR 250 000 


EUR 500 000 


EUR 750 000 


EUR 1 000 000 





Energy commodity futures/forwards



EUR 250 000 


EUR 500 000 


EUR 750 000 


EUR 1 000 000 





Energy commodity options



EUR 250 000 


EUR 500 000 


EUR 750 000 


EUR 1 000 000 





Energy commodity swaps



EUR 250 000 


EUR 500 000 


EUR 750 000 


EUR 1 000 000 





Agricultural commodity futures/forwards



EUR 250 000 


EUR 500 000 


EUR 750 000 


EUR 1 000 000 





Agricultural commodity options



EUR 250 000 


EUR 500 000 


EUR 750 000 


EUR 1 000 000 





Agricultural commodity swaps



EUR 250 000 


EUR 500 000 


EUR 750 000 


EUR 1 000 000 





Other commodity derivatives



EUR 250 000 


EUR 500 000 


EUR 750 000 


EUR 1 000 000 




8.   Foreign exchange derivatives


Table 8.1


Foreign exchange derivatives — classes not having a liquid market









Asset class — Foreign Exchange Derivatives




a financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EU





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






Average daily notional amount (ADNA)

[quantitative liquidity criterion 1]



Average daily number of trades

[quantitative liquidity criterion 2]





Non-deliverable forward (NDF)

means a forward that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.


a non-deliverable FX forward sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract










 



Segmentation criterion 2 — time to maturity bucket of the forward defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 1 week










 



Maturity bucket 2: 1 week < time to maturity ≤ 3 months










 



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










 



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










 



Maturity bucket 5: 2 years < time to maturity ≤ 3 years










 


…










 



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










Non-deliverable forward (NDF) are considered not to have a liquid market





Deliverable forward (DF)

means a forward that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.


a deliverable FX forward sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract










 



Segmentation criterion 2 — time to maturity bucket of the forward defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 1 week










 



Maturity bucket 2: 1 week < time to maturity ≤ 3 months










 



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










 



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










 



Maturity bucket 5: 2 years < time to maturity ≤ 3 years










 


…










 



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










Deliverable forward (DF) are considered not to have a liquid market





Non-Deliverable FX options (NDO)

means an option that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.


a non-deliverable FX option sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract










 



Segmentation criterion 2 — time to maturity bucket of the option defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 1 week










 



Maturity bucket 2: 1 week < time to maturity ≤ 3 months










 



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










 



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










 



Maturity bucket 5: 2 years < time to maturity ≤ 3 years










 


…










 



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










Non-Deliverable FX options (NDO) are considered not to have a liquid market





Deliverable FX options (DO)

means an option that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.


a deliverable FX option sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract










 



Segmentation criterion 2 — time to maturity bucket of the option defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 1 week










 



Maturity bucket 2: 1 week < time to maturity ≤ 3 months










 



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










 



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










 



Maturity bucket 5: 2 years < time to maturity ≤ 3 years










 


…










 



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










Deliverable FX options (DO) are considered not to have a liquid market





Non-Deliverable FX swaps (NDS)

means a swap that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.


a non-deliverable FX swap sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract










 



Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 1 week










 



Maturity bucket 2: 1 week < time to maturity ≤ 3 months










 



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










 



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










 



Maturity bucket 5: 2 years < time to maturity ≤ 3 years










 


…










 



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










Non-Deliverable FX swaps (NDS) are considered not to have a liquid market





Deliverable FX swaps (DS)

means a swap that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.


a deliverable FX swap sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract










 



Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 1 week










 



Maturity bucket 2: 1 week < time to maturity ≤ 3 months










 



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










 



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










 



Maturity bucket 5: 2 years < time to maturity ≤ 3 years










 


…










 



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










Deliverable FX swaps (DS) are considered not to have a liquid market





FX futures



an FX future sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract










 



Segmentation criterion 2 — time to maturity bucket of the future defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 1 week










 



Maturity bucket 2: 1 week < time to maturity ≤ 3 months










 



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










 



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










 



Maturity bucket 5: 2 years < time to maturity ≤ 3 years










 


…










 



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










FX futures are considered not to have a liquid market




Asset class — Foreign Exchange 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 Foreign Exchange Derivatives



 




an FX derivative that does not belong to any of the above sub-asset classes


any other FX derivative is considered not to have a liquid market








Table 8.2


Foreign exchange derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market










Asset class — Foreign Exchange Derivatives





Sub-asset class




Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market






SSTI pre-trade




LIS pre-trade




SSTI post-trade




LIS post-trade






Threshold value




Threshold value




Threshold value




Threshold value






Non-deliverable forward (NDF)



EUR 4 000 000 


EUR 5 000 000 


EUR 20 000 000 


EUR 25 000 000 





Deliverable forward (DF)



EUR 4 000 000 


EUR 5 000 000 


EUR 20 000 000 


EUR 25 000 000 





Non-Deliverable FX options (NDO)



EUR 4 000 000 


EUR 5 000 000 


EUR 20 000 000 


EUR 25 000 000 





Deliverable FX options (DO)



EUR 4 000 000 


EUR 5 000 000 


EUR 20 000 000 


EUR 25 000 000 





Non-Deliverable FX swaps (NDS)



EUR 4 000 000 


EUR 5 000 000 


EUR 20 000 000 


EUR 25 000 000 





Deliverable FX swaps (DS)



EUR 4 000 000 


EUR 5 000 000 


EUR 20 000 000 


EUR 25 000 000 





FX futures



EUR 4 000 000 


EUR 5 000 000 


EUR 20 000 000 


EUR 25 000 000 





Other Foreign Exchange Derivatives



EUR 4 000 000 


EUR 5 000 000 


EUR 20 000 000 


EUR 25 000 000 




9.   Credit derivatives


Table 9.1


Credit derivatives — classes not having a liquid market










Asset class — Credit Derivatives





Sub-asset class




For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below




Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(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]



On-the-run status of the index

[Additional qualitative liquidity criterion]





Index credit default swap (CDS)

a swap whose exchange of cash flows is linked to the creditworthiness of several issuers of financial instruments composing an index and the occurrence of credit events


an index credit default swap sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying index










 



Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the derivative is denominated










 



Segmentation criterion 3 — time maturity bucket of the CDS defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 1 year










 



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










 



Maturity bucket 3: 2 years < time to maturity ≤ 3 years










 


…










 



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










EUR 200 000 000 


10


The underlying index is considered to have a liquid market:






(1)


during the whole period of its ‘on-the-run status’










(2)


for the first 30 working days of its ‘1x off-the-run status’




‘on-the-run’ index means the rolling most recent version (series) of the index created on the date on which the composition of the index is effective and ending one day prior to the date on which the composition of the next version (series) of the index is effective.
‘1x off-the-run status’ means the version (series) of the index which is immediately prior to the current ‘on-the-run’ version (series) at a certain point in time. A version (series) ceases being ‘on-the-run’ and acquires its ‘1x off-the-run’ status when the latest version (series) of the index is created.





Single name credit default swap (CDS)

a swap whose exchange of cash flows is linked to the creditworthiness of one issuer of financial instruments and the occurrence of credit events


a single name credit default swap sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — underlying reference entity










 



Segmentation criterion 2 — underlying reference entity type defined as follows:






 


‘Issuer of sovereign and public type’ means an issuer entity which is either:






(a)


the Union;










(b)


a Member State including a government department, an agency or a special purpose vehicle of a Member State;










(c)


a sovereign entity which is not listed under points (a) and (b);










(d)


in the case of a federal Member State, a member of that federation;










(e)


a special purpose vehicle for several Member States;










(f)


an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems;










(g)


the European Investment Bank;










(h)


a public entity which is not a sovereign issuer as specified in the points (a) to (c).














 


‘Issuer of corporate type’ means an issuer entity which is not an issuer of sovereign and public type.














 



Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the derivative is denominated










 



Segmentation criterion 4 — time maturity bucket of the CDS defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 1 year










 



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










 



Maturity bucket 3: 2 years < time to maturity ≤ 3 years










 


…










 



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










EUR 10 000 000 


10


 




Asset class — Credit Derivatives





Sub-asset class




For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below




Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet the following qualitative liquidity criterion






CDS index options

an option whose underlying is a CDS index


a CDS index option sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — CDS index sub-class as specified for the sub-asset class of index credit default swap (CDS)










 



Segmentation criterion 2 — time maturity bucket of the option defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 6 months










 



Maturity bucket 2: 6 months < time to maturity ≤ 1 year










 



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










 



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










 


…










 



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










a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market
a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market
a CDS index option whose underlying CDS index is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket





Single name CDS options

an option whose underlying is a single name CDS


a single name CDS option sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — single name CDS sub-class as specified for the sub-asset class of single name CDS










 



Segmentation criterion 2 — time maturity bucket of the option defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 6 months










 



Maturity bucket 2: 6 months < time to maturity ≤ 1 year










 



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










 



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










 


…










 



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










a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market
a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market
a single name CDS option whose underlying single name CDS is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket




Asset class — Credit 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 apply






Other credit derivatives



 




a credit derivative that does not belong to any of the above sub-asset classes


any other credit derivatives is considered not to have a liquid market








Table 9.2


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




















Asset class — Credit 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 the sub-classes 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






Index credit default swap (CDS)



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 2 500 000 


70


EUR 5 000 000 


80


60


EUR 7 500 000 


90


70


EUR 10 000 000 




30


40


50


60





Single name credit default swap (CDS)



calculation of thresholds 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 2 500 000 


70


EUR 5 000 000 


80


60


EUR 7 500 000 


90


70


EUR 10 000 000 




30


40


50


60





Bespoke basket credit default swap (CDS)



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 2 500 000 


70


EUR 5 000 000 


80


60


EUR 7 500 000 


90


70


EUR 10 000 000 




30


40


50


60





CDS index options



calculation of thresholds 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 2 500 000 


70


EUR 5 000 000 


80


60


EUR 7 500 000 


90


70


EUR 10 000 000 




30


40


50


60





Single name CDS options



calculation of thresholds 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 2 500 000 


70


EUR 5 000 000 


80


60


EUR 7 500 000 


90


70


EUR 10 000 000 




30


40


50


60








Table 9.3


Credit derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market










Asset class — Credit Derivatives





Sub-asset class




Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market






SSTI pre-trade




LIS pre-trade




SSTI post-trade




LIS post-trade






Threshold value




Threshold value




Threshold value




Threshold value






Index credit default swap (CDS)



EUR 2 500 000 


EUR 5 000 000 


EUR 7 500 000 


EUR 10 000 000 





Single name credit default swap (CDS)



EUR 2 500 000 


EUR 5 000 000 


EUR 7 500 000 


EUR 10 000 000 





Bespoke basket credit default swap (CDS)



EUR 2 500 000 


EUR 5 000 000 


EUR 7 500 000 


EUR 10 000 000 





CDS index options



EUR 2 500 000 


EUR 5 000 000 


EUR 7 500 000 


EUR 10 000 000 





Single name CDS options



EUR 2 500 000 


EUR 5 000 000 


EUR 7 500 000 


EUR 10 000 000 





Other credit derivatives



EUR 2 500 000 


EUR 5 000 000 


EUR 7 500 000 


EUR 10 000 000 




10.   C10 derivatives


Table 10.1


C10 derivatives — classes not having a liquid market









Asset class — C10 Derivatives





Sub-asset class




For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below




Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(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]





Freight derivatives

a financial instrument relating to freight rates as defined in Section C(10) of Annex I of Directive 2014/65/EU


a freight derivative sub-class is defined by the following segmentation criteria:






 



Segmentation criterion 1 — contract type: Forward Freight Agreements (FFAs) or options










 



Segmentation criterion 2 — freight type: wet freight, dry freight










 



Segmentation criterion 3 — freight sub-type: dry bulk carriers, tanker, containership










 



Segmentation criterion 4 — specification of the size related to the freight sub-type










 



Segmentation criterion 5 — specific route or time charter average










 



Segmentation criterion 6 — time maturity bucket of the derivative defined as follows:






 



Maturity bucket 1: 0 < time to maturity ≤ 1 month










 



Maturity bucket 2: 1 month < time to maturity ≤ 3 months










 



Maturity bucket 3: 3 months < time to maturity ≤ 6 months










 



Maturity bucket 4: 6 months < time to maturity ≤ 9 months










 



Maturity bucket 5: 9 months < time to maturity ≤ 1 year










 



Maturity bucket 6: 1 year < time to maturity ≤ 2 years










 



Maturity bucket 7: 2 years < time to maturity ≤ 3 years










 


…










 



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










EUR 10 000 000 


10




Asset class — C10 Derivatives





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 C10 derivatives



 




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


any other C10 derivatives is considered not to have a liquid market








Table 10.2


C10 derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market




















Asset class — C10 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 the sub-classes 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






Freight derivatives



calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class


S1


S2


S3


S4


EUR 25 000 


70


EUR 50 000 


80


60


EUR 75 000 


90


70


EUR 100 000 




30


40


50


60








Table 10.3


C10 derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market










Asset class — C10 Derivatives





Sub-asset class




Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market






SSTI pre-trade




LIS pre-trade




SSTI post-trade




LIS post-trade






Threshold value




Threshold value




Threshold value




Threshold value






Freight derivatives



EUR 25 000 


EUR 50 000 


EUR 75 000 


EUR 100 000 





Other C10 derivatives



EUR 25 000 


EUR 50 000 


EUR 75 000 


EUR 100 000 




11.   Financial contracts for differences (CFDs)


Table 11.1


CFDs — classes not having a liquid market










Asset class — Financial contracts for differences (CFDs)




a derivative contract that gives the holder an exposure, which can be long or short, to the difference between the price of an underlying asset at the start of the contract and the price when the contract is closed





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 or, where applicable, if it does not meet the qualitative liquidity criterion as defined below





Qualitative liquidity criterion



Average daily notional amount (ADNA)

[quantitative liquidity criterion 1]



Average daily number of trades

[quantitative liquidity criterion 2]





Currency CFDs



a currency CFD sub-class is defined by the underlying currency pair defined as combination of the two currencies underlying the CFD/spread betting contract


 


EUR 50 000 000 


100





Commodity CFDs



a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract


 


EUR 50 000 000 


100





Equity CFDs



an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract


an equity CFD sub-class is considered to have a liquid market if the underlying is an equity security for which there is a liquid market as determined in accordance with Article 2(1)(17)(b) of Regulation (EU) No 600/2014


 


 





Bond CFDs



a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract


a bond CFD sub-class is considered to have a liquid market if the underlying is a bond or bond future for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).


 


 





CFDs on an equity future/forward



a CFD on an equity future/forward sub-class is defined by the underlying future/forward on an equity of the CFD/spread betting contract


a CFD on an equity future/forward sub-class is considered to have a liquid market if the underlying is an equity future/forward for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).


 


 





CFDs on an equity option



a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract


a CFD on an equity option sub-class is considered to have a liquid market if the underlying is an equity option for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).


 


 




Asset class — Financial contracts for differences (CFDs)





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 CFDs



 




a CFD/spread betting that does not belong to any of the above sub-asset classes


any other CFD/spread betting is considered not to have a liquid market








Table 11.2


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




















Asset class — Financial contracts for differences (CFDs)





Sub-asset class




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






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






Currency CFDs



transactions executed on currency CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)


S1


S2


S3


S4


EUR 50 000 


70


EUR 60 000 


80


60


EUR 90 000 


90


70


EUR 100 000 




30


40


50


60





Commodity CFDs



transactions executed on commodity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)


S1


S2


S3


S4


EUR 50 000 


70


EUR 60 000 


80


60


EUR 90 000 


90


70


EUR 100 000 




30


40


50


60





Equity CFDs



transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)


S1


S2


S3


S4


EUR 50 000 


70


EUR 60 000 


80


60


EUR 90 000 


90


70


EUR 100 000 




30


40


50


60





Bond CFDs



transactions executed on bond CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)


S1


S2


S3


S4


EUR 50 000 


70


EUR 60 000 


80


60


EUR 90 000 


90


70


EUR 100 000 




30


40


50


60





CFDs on an equity future/forward



transactions executed on CFDs on future on an equity considered to have a liquid market as per Articles 6 and 8(1)(b)


S1


S2


S3


S4


EUR 50 000 


70


EUR 60 000 


80


60


EUR 90 000 


90


70


EUR 100 000 




30


40


50


60





CFDs on an equity option



transactions executed on CFDs on option on an equity considered to have a liquid market as per Articles 6 and 8(1)(b)


S1


S2


S3


S4


EUR 50 000 


70


EUR 60 000 


80


60


EUR 90 000 


90


70


EUR 100 000 




30


40


50


60








Table 11.3


CFDs — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market










Asset class — Financial contracts for differences (CFDs)





Sub-asset class




Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market






SSTI pre-trade




LIS pre-trade




SSTI post-trade




LIS post-trade






Threshold value




Threshold value




Threshold value




Threshold value






Currency CFDs



EUR 50 000 


EUR 60 000 


EUR 90 000 


EUR 100 000 





Commodity CFDs



EUR 50 000 


EUR 60 000 


EUR 90 000 


EUR 100 000 





Equity CFDs



EUR 50 000 


EUR 60 000 


EUR 90 000 


EUR 100 000 





Bond CFDs



EUR 50 000 


EUR 60 000 


EUR 90 000 


EUR 100 000 





CFDs on an equity future/forward



EUR 50 000 


EUR 60 000 


EUR 90 000 


EUR 100 000 





CFDs on an equity option



EUR 50 000 


EUR 60 000 


EUR 90 000 


EUR 100 000 





Other CFDs/spread betting



EUR 50 000 


EUR 60 000 


EUR 90 000 


EUR 100 000 




12.   Emission allowances


Table 12.1


Emission allowances — classes not having a liquid market








Asset class — Emission Allowances





Sub-asset class




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






Average Daily Amount (ADA)

[quantitative liquidity criterion 1]



Average daily number of trades

[quantitative liquidity criterion 2]





European Union Allowances (EUA)

any unit recognised for compliance with the requirements of Directive 2003/87/EC of the European Parliament and of the Council (3) (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)


150 000  tons of Carbon Dioxide Equivalent


5





European Union Aviation Allowances (EUAA)

any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) from aviation


150 000  tons of Carbon Dioxide Equivalent


5





Certified Emission Reductions (CER)

any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)


150 000  tons of Carbon Dioxide Equivalent


5





Emission Reduction Units (ERU)

any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)


150 000  tons of Carbon Dioxide Equivalent


5








Table 12.2


Emission allowances — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market


















Asset class — Emission Allowances





Sub-asset class




Transactions to be considered for the calculation of the thresholds




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






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






European Union Allowances (EUA)



transactions executed on all European Union Allowances (EUA)


S1


S2


S3


S4


40 000  tons of Carbon Dioxide Equivalent


70


50 000  tons of Carbon Dioxide Equivalent


80


90 000  tons of Carbon Dioxide Equivalent


90


100 000  tons of Carbon Dioxide Equivalent




30


40


50


60





European Union Aviation Allowances (EUAA)



transactions executed on all European Union Aviation Allowance (EUAA)


S1


S2


S3


S4


20 000  tons of Carbon Dioxide Equivalent


70


25 000  tons of Carbon Dioxide Equivalent


80


40 000  tons of Carbon Dioxide Equivalent


90


50 000  tons of Carbon Dioxide Equivalent




30


40


50


60





Certified Emission Reductions (CER)



transactions executed on all Certified Emission Reductions (CER)


S1


S2


S3


S4


20 000  tons of Carbon Dioxide Equivalent


70


25 000  tons of Carbon Dioxide Equivalent


80


40 000  tons of Carbon Dioxide Equivalent


90


50 000  tons of Carbon Dioxide Equivalent




30


40


50


60





Emission Reduction Units (ERU)



transactions executed on all Emission Reduction Units (ERU)


S1


S2


S3


S4


20 000  tons of Carbon Dioxide Equivalent


70


25 000  tons of Carbon Dioxide Equivalent


80


40 000  tons of Carbon Dioxide Equivalent


90


50 000  tons of Carbon Dioxide Equivalent




30


40


50


60








Table 12.3


Emission allowances — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market










Asset class — Emission Allowances





Sub-asset class




Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market






SSTI pre-trade




LIS pre-trade




SSTI post-trade




LIS post-trade






Threshold value




Threshold value




Threshold value




Threshold value






European Union Allowances (EUA)



40 000  tons of Carbon Dioxide Equivalent


50 000  tons of Carbon Dioxide Equivalent


90 000  tons of Carbon Dioxide Equivalent


100 000  tons of Carbon Dioxide Equivalent





European Union Aviation Allowances (EUAA)



20 000  tons of Carbon Dioxide Equivalent


25 000  tons of Carbon Dioxide Equivalent


40 000  tons of Carbon Dioxide Equivalent


50 000  tons of Carbon Dioxide Equivalent





Certified Emission Reductions (CER)



20 000  tons of Carbon Dioxide Equivalent


25 000  tons of Carbon Dioxide Equivalent


40 000  tons of Carbon Dioxide Equivalent


50 000  tons of Carbon Dioxide Equivalent





Emission Reduction Units (ERU)



20 000  tons of Carbon Dioxide Equivalent


25 000  tons of Carbon Dioxide Equivalent


40 000  tons of Carbon Dioxide Equivalent


50 000  tons of Carbon Dioxide Equivalent




13.   Emission allowance derivatives


Table 13.1


Emission allowance derivatives — classes not having a liquid market








Asset class — Emission Allowance Derivatives





Sub-asset class




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






Average Daily Amount (ADA)

[quantitative liquidity criterion 1]



Average daily number of trades

[quantitative liquidity criterion 2]





Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)

a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EU


150 000  tons of Carbon Dioxide Equivalent


5





Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)

a financial instrument relating to emission allowances of the type European Union Aviation Allowances (EUAA) as defined in Section C(4) of Annex I of Directive 2014/65/EU


150 000  tons of Carbon Dioxide Equivalent


5





Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)

a financial instrument relating to emission allowances of the type Certified Emission Reductions (CER) as defined in Section C(4) of Annex I of Directive 2014/65/EU


150 000  tons of Carbon Dioxide Equivalent


5





Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)

a financial instrument relating to emission allowances of the type Emission Reduction Units (ERU) as defined in Section C(4) of Annex I of Directive 2014/65/EU


150 000  tons of Carbon Dioxide Equivalent


5




Asset class — Emission Allowance 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 Emission allowance derivatives



 




an emission allowance derivative whose underlying is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU)


any other emission allowance derivative is considered not to have a liquid market








Table 13.2


Emission allowance derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market


















Asset class — Emission Allowance Derivatives





Sub-asset class




Transactions to be considered for the calculation of the thresholds




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






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






Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)



transactions executed on all emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)


S1


S2


S3


S4


40 000  tons of Carbon Dioxide Equivalent


70


50 000  tons of Carbon Dioxide Equivalent


80


90 000  tons of Carbon Dioxide Equivalent


90


100 000  tons of Carbon Dioxide Equivalent




30


40


50


60





Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)



transactions executed on all emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)


S1


S2


S3


S4


20 000  tons of Carbon Dioxide Equivalent


70


25 000  tons of Carbon Dioxide Equivalent


80


40 000  tons of Carbon Dioxide Equivalent


90


50 000  tons of Carbon Dioxide Equivalent




30


40


50


60





Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)



transactions executed on all emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)


S1


S2


S3


S4


20 000  tons of Carbon Dioxide Equivalent


70


25 000  tons of Carbon Dioxide Equivalent


80


40 000  tons of Carbon Dioxide Equivalent


90


50 000  tons of Carbon Dioxide Equivalent




30


40


50


60





Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)



transactions executed on all emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)


S1


S2


S3


S4


20 000  tons of Carbon Dioxide Equivalent


70


25 000  tons of Carbon Dioxide Equivalent


80


40 000  tons of Carbon Dioxide Equivalent


90


50 000  tons of Carbon Dioxide Equivalent




30


40


50


60








Table 13.3


Emission allowance derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market










Asset class — Emission Allowance Derivatives





Sub-asset class




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






SSTI pre-trade




LIS pre-trade




SSTI post-trade




LIS post-trade






Threshold value




Threshold value




Threshold value




Threshold value






Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)



40 000  tons of Carbon Dioxide Equivalent


50 000  tons of Carbon Dioxide Equivalent


90 000  tons of Carbon Dioxide Equivalent


100 000  tons of Carbon Dioxide Equivalent





Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)



20 000  tons of Carbon Dioxide Equivalent


25 000  tons of Carbon Dioxide Equivalent


40 000  tons of Carbon Dioxide Equivalent


50 000  tons of Carbon Dioxide Equivalent





Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)



20 000  tons of Carbon Dioxide Equivalent


25 000  tons of Carbon Dioxide Equivalent


40 000  tons of Carbon Dioxide Equivalent


50 000  tons of Carbon Dioxide Equivalent





Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)



20 000  tons of Carbon Dioxide Equivalent


25 000  tons of Carbon Dioxide Equivalent


40 000  tons of Carbon Dioxide Equivalent


50 000  tons of Carbon Dioxide Equivalent





Other Emission allowance derivatives



20 000  tons of Carbon Dioxide Equivalent


25 000  tons of Carbon Dioxide Equivalent


40 000  tons of Carbon Dioxide Equivalent


50 000  tons of Carbon Dioxide Equivalent






(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).

(3)  Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 establishing a scheme for greenhouse gas emission allowance trading within the Community and amending Council Directive 96/61/EC (JO L 275, 25.10.2003, p. 32).





ANNEX IV

Reference data to be provided for the purpose of transparency calculations


Table 1


Symbol table for Table 2








SYMBOL


DATA TYPE


DEFINITION




{ALPHANUM-n}


Up to n alphanumerical characters


Free text field.




{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);










—


the number may be prefixed with ‘-’ (minus) to indicate negative numbers.




Where applicable, values shall be rounded and not truncated.




{COUNTRYCODE_2}


2 alphanumerical characters


2 letter country code, as defined by ISO 3166-1 alpha-2 country code




{CURRENCYCODE_3}


3 alphanumerical characters


3 letter currency code, as defined by ISO 4217 currency codes




{DATEFORMAT}


ISO 8601 date format


Dates should be formatted by the following format:
YYYY-MM-DD.




{ISIN}


12 alphanumerical characters


ISIN code, as defined in ISO 6166




{LEI}


20 alphanumerical characters


Legal entity identifier as defined in ISO 17442




{MIC}


4 alphanumerical characters


Market identifier as defined in ISO 10383




{INDEX}


4 alphabetic characters


‘EONA’ — EONIA
‘EONS’ — EONIA SWAP
‘EURI’ — EURIBOR
‘EUUS’ — EURODOLLAR
‘EUCH’ — EuroSwiss
‘GCFR’ — GCF REPO
‘ISDA’ — ISDAFIX
‘LIBI’ — LIBID
‘LIBO’ — LIBOR
‘MAAA’ — Muni AAA
‘PFAN’ — Pfandbriefe
‘TIBO’ — TIBOR
‘STBO’ — STIBOR
‘BBSW’ — BBSW
‘JIBA’ — JIBAR
‘BUBO’ — BUBOR
‘CDOR’ — CDOR
‘CIBO’ — CIBOR
‘MOSP’ — MOSPRIM
‘NIBO’ — NIBOR
‘PRBO’ — PRIBOR
‘TLBO’ — TELBOR
‘WIBO’ — WIBOR
‘TREA’ — Treasury
‘SWAP’ — SWAP
‘FUSW’ — Future SWAP








Table 2


Details of the reference data to be provided for the purpose of transparency calculations









#


FIELD


DETAILS TO BE REPORTED


FORMAT FOR REPORTING




1


Instrument identification code


Code used to identify the financial instrument


{ISIN}




2


Instrument full name


Full name of the financial instrument


{ALPHANUM-350}




3


MiFIR identifier



Identification of non-equity financial instruments:







 



Securitised derivatives as defined in Table 4.1 in Section 4 of Annex III










 



Structured Finance Products (SFPs) as defined in Article 2(1)(28) of Regulation (EU) No 600/2014










 



Bonds (for all bonds except ETCs and ETNs) as defined in Article 4(1)(44)(b) of Directive 2014/65/EU










 



ETCs as defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex III










 



ETNs as defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex III










 



Emission allowances as defined in Table 12.1 of Section 12 of Annex III










 



Derivative as defined in Annex I, Section C (4) to (10) of Directive 2014/65/EU







Non-equity financial instruments:







 


‘SDRV’ — Securitised derivatives










 


‘SFPS’ — Structured Finance Products (SFPs)










 


‘BOND’ — Bonds










 


‘ETCS’ — ETCs










 


‘ETNS’ — ETNs










 


‘EMAL’ — Emission Allowances










 


‘DERV’ — Derivative








4


Asset class of the underlying


To be populated when the MiFIR identifier is a securitised derivative or a derivative.


‘INTR’ — Interest rate
‘EQUI’ — Equity
‘COMM’ — Commodity
‘CRDT’ — Credit
‘CURR’ — Currency
‘EMAL’ — Emission Allowances




5


Contract type


To be populated when the MiFIR identifier is a derivative.


‘OPTN’ — Options
‘FUTR’ — Futures
‘FRAS’ — Forward Rate Agreement (FRA)
‘FORW’ — Forwards
‘SWAP’ — Swaps
‘PSWP’ — Portfolio Swaps
‘SWPT’ — Swaptions
‘FONS’ — Futures on a swap
‘FWOS’ — Forwards on a swap
‘FFAS’ — Forward Freight Agreements (FFAs)
‘SPDB’ — Spread betting
‘CFDS’ — CFD
‘OTHR’ — Other




6


Reporting day


Day for which the reference data is provided


{DATEFORMAT}




7


Trading venue


Segment MIC for the trading venue, where available, otherwise operational MIC.


{MIC}




8


Maturity


Maturity of the financial instrument. Field applicable for the asset classes of bonds, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives C10 derivatives and derivatives on emission allowances.


{DATEFORMAT}





Bonds (all bond types except ETCs and ETNs) related fields






9


Bond type


Bond type as specified in Table 2.2 of Section 2 of Annex III. To be populated only when the MiFIR identifier is equal to bonds.


‘EUSB’ — Sovereign Bond
‘OEPB’ — Other Public Bond
‘CVTB’ — Convertible Bond
‘CVDB’ — Covered Bond
‘CRPB’ — Corporate Bond
‘OTHR’ — Other




10


Issuance date


Date on which a bond is issued and begins to accrue interest.


{DATEFORMAT}





Emission Allowances related fields





The fields in this section should only be populated for emission allowances as defined in Table 12.1 of Section 12 of Annex III




11


Emissions Allowances sub type


Emissions Allowances


‘CERE’ — CER
‘ERUE’ — ERU
‘EUAE’ — EUA
‘EUAA’ — EUAA





Derivatives related fields







Commodity derivatives and C10 derivatives






12


Specification of the size related to the freight sub-type


To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight.


{ALPHANUM-25}




13


Specific route or time charter average


To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight.


{ALPHANUM-25}




14


Delivery/cash settlement location


To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to energy.


{ALPHANUM-25}




15


Notional currency


Currency in which the notional is denominated.


{CURRENCYCODE_3}





Interest rate derivatives





The fields in this section should only be populated for interest rate derivatives as defined in Table 5.1 of Section 5 of Annex III




16


Underlying type


To be populated for contract type different from swaps, swaptions, futures on a swap and forwards on a swap with one of the following alternatives
To be populated for the contract types of swaps, swaptions, futures on a swap and forwards on a swap with regard to the underlying swap with one of the following alternatives


‘BOND’ — Bond
‘BNDF’ — Bond Futures
‘INTR’ — Interest rate
‘IFUT’ — Interest rate Futures-FRA
‘FFMC’ — FLOAT TO FLOAT MULTI-CURRENCY SWAPS
‘XFMC’ — FIXED TO FLOAT MULTI-CURRENCY SWAPS
‘XXMC’ — FIXED TO FIXED MULTI-CURRENCY SWAPS
‘OSMC’ — OIS MULTI-CURRENCY SWAPS
‘IFMC’ — INFLATION MULTI-CURRENCY SWAPS
‘FFSC’ — FLOAT TO FLOAT SINGLE-CURRENCY SWAPS
‘XFSC’ — FIXED TO FLOAT SINGLE-CURRENCY SWAPS
‘XXSC’ — FIXED TO FIXED SINGLE-CURRENCY SWAPS
‘OSSC’ — OIS SINGLE-CURRENCY SWAPS
‘IFSC’ — INFLATION SINGLE-CURRENCY SWAPS




17


Issuer of the underlying bond


To be populated when the underlying type is a bond or a bond future with the legal entity identifier code (LEI) of the issuer of the direct or ultimate underlying bond.


{LEI}




18


Maturity date of the underlying bond


To be populated with the date of maturity of the underlying bond.
The field applies to debt instruments with defined maturity.


{DATEFORMAT}




19


Issuance date of the underlying bond


To be populated with the issuance date of the underlying bond


{DATEFORMAT}




20


Notional currency of the swaption


To be populated for swaptions.


{CURRENCYCODE_3}




21


Maturity of the underlying swap


To be populated for swaptions, futures on swaps and forwards on a swap only.


{DATEFORMAT}




22


Inflation index ISIN code


In case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap; whenever the inflation index has an ISIN, the field has to be populated with the ISIN code for that index.


{ISIN}




23


Inflation index name


To be populated with standardised name of the index in case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap.


{ALPHANUM-25}




24


Reference rate


Name of the reference rate.


{INDEX}
or
{ALPHANUM-25}- if the reference rate is not included in the {INDEX} list




25


IR Term of contract


This field states the term of the contract. The term shall be expressed in days, weeks, months or years.


{INTEGER-3}+‘DAYS’ — days
{INTEGER-3}+‘WEEK’ — weeks
{INTEGER-3}+‘MNTH’ — months
{INTEGER-3}+‘YEAR’ — years





Foreign exchange derivatives





The fields in this section should only be populated for foreign exchange derivatives as defined in Table 8.1 of Section 8 of Annex III




26


Contract sub-type


To be populated so as to differentiate deliverable and non-deliverable forwards, options and swaps as defined in Table 8.1 of Section 8 of Annex III.


‘DLVB’ — Deliverable
‘NDLV’ — Non-deliverable





Equity derivatives





The fields should only be populated for equity derivatives as defined in Table 6.1 of Section 6 of Annex III




27


Underlying type


To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is neither swaps nor portfolio swaps.


‘STIX’ — Stock Index
‘SHRS’ — Share/Stock
‘DIVI’ — Dividend Index
‘DVSE’ — Stock dividend
‘BSKT’ — Basket of shares resulting from a corporate action
‘ETFS’ — ETFs
‘VOLI’ — Volatility Index
‘OTHR’ — Other (including depositary receipts, certificates and other equity like financial instrument)




To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a single name.


‘SHRS’ — Share/Stock
‘DVSE’ — Stock dividend
‘ETFS’ — ETFs
‘OTHR’ — Other (including depositary receipts, certificates and other equity like financial instrument)




To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is an index.


‘STIX’ — Stock Index
‘DIVI’ — Dividend Index
‘VOLI’ — Volatility Index
‘OTHR’ — Other




To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a basket.


‘BSKT’ — Basket




28


Parameter


To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is one of the following: swaps, portfolio swaps.


‘PRBP’ — Price return basic performance parameter
‘PRDV’ — Parameter return dividend
‘PRVA’ — Parameter return variance
‘PRVO’ — Parameter return volatility





Contracts for difference (CFDs)





The fields should only be populated when the contract type is equal to contract for difference or spread betting




29


Underlying type


To be populated when the MiFIR identifier is a derivative and the contract type is equal to contract for difference or spread betting.


‘CURR’ — Currency
‘EQUI’ — Equity
‘BOND’ — Bonds
‘FTEQ’ — Futures on an equity
‘OPEQ’ — Options on an equity
‘COMM’ — Commodity
‘EMAL’ — Emission Allowances
‘OTHR’ — Other




30


Notional currency 1


Currency 1 of the underlying currency pair. This field is applicable when the underlying type is currency.


{CURRENCYCODE_3}




31


Notional currency 2


Currency 2 of the underlying currency pair. This field is applicable when the underlying type is currency.


{CURRENCYCODE_3}





Credit derivatives






32


ISIN code of the underlying credit default swap


To be populated for derivatives on a credit default swaps with the ISIN code of the underlying swap.


{ISIN}




33


Underlying Index code


To be populated for derivatives on a CDS index with the ISIN code of the index.


{ISIN}




34


Underlying Index name


To be populated for derivatives on a CDS index with the standardised name of the index.


{ALPHANUM-25}




35


Series


The series number of the composition of the index if applicable.
To be populated for a CDS Index or a derivative on a CDS Index with the series of the CDS Index.


{DECIMAL-18/17}




36


Version


A new version of a series is issued if one of the constituents defaults and the index has to be re-weighted to account for the new number of total constituents within the index.
To be populated for a CDS Index or a derivative on a CDS Index with the version of the CDS Index.


{DECIMAL-18/17}




37


Roll months


All months when the roll is expected as established by the index provider for a given year. Field should be repeated for each month in the roll.
To be populated for a CDS Index or a derivative on a CDS Index.


‘01’, ‘02’, ‘03’, ‘04’, ‘05’, ‘06’, ‘07’, ‘08’, ‘09’, ‘10’, ‘11’, ‘12’




38


Next roll date


To be populated in the case of a CDS Index or a derivative on a CDS Index with the next roll date of the index as established by the index provider.


{DATEFORMAT}




39


Issuer of sovereign and public type


To be populated when the reference entity of a single name CDS or a derivative on single name CDS is a sovereign issuer as defined in Table 9.1 Section 9 of Annex III.


‘TRUE’ — the reference entity is an issuer of sovereign and public type
‘FALSE’ — the reference entity is not an issuer of sovereign and public type




40


Reference obligation


To be populated for a derivative on a single name credit default swap with the ISIN of the reference obligation.


{ISIN}




41


Reference entity


To be populated with the reference entity of a single name CDS or a derivative on single name CDS.


{COUNTRYCODE_2}
or
ISO 3166-2 — 2 character country code followed by dash ‘-’ and up to 3 alphanumeric character country subdivision code
or
{LEI}




42


Notional currency


Currency in which the notional is denominated.


{CURRENCYCODE_3}





Emission allowance derivatives





The fields in this section should only be populated for emission allowance derivatives as defined in Table 13.1 of Section 13 of Annex III




43


Emission Allowances derivative sub type


To be populated when variable #3 ‘MiFIR identifier’ is ‘DERV’-derivative and variable #4 ‘asset class of the underlying’ is ‘EMAL’-emission allowances.


‘CERE’ — CER
‘ERUE’ — ERU
‘EUAE’ — EUA
‘EUAA’ — EUAA
‘OTHR’ — Other