COMMISSION DELEGATED REGULATION (EU) 2026/1763

of 13 July 2026 amending the regulatory technical standards laid down in Delegated Regulations (EU) 2017/583 as regards transparency requirements for trading venues and investment firms in respect of derivatives, (EU) 2017/2194 as regards package orders and (EU) 2025/1155 as regards input and output data of the OTC derivatives consolidated tape, and correcting Delegated Regulation (EU) 2017/587 (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 7(2), Article 9(5), Article 9(6), Article 11a(3), Article 21(5), and Article 22b(3) thereof,

Whereas:

(1)
To ensure that the pre- and post-trade transparency regime for derivatives is simple and, at the same time, appropriately calibrated, derivatives should be specified by reference to the contract type, type of underlying and time to maturity. In view of the heterogeneity of commodity derivatives markets, commodity derivatives contracts should be specified by reference to additional contract characteristics, including the load type and the delivery location of energy derivatives.
(2)
To ensure a simple and stable pre-trade transparency regime for derivatives, it is appropriate to introduce static thresholds for determining when an order in derivatives is large in scale. To allow for a better calibration of the large in scale thresholds across different exchange-traded equity derivatives, those derivatives should be further grouped into subclasses and, for each subclass, the large in scale thresholds should be calibrated by using liquidity bands based on average daily notional amounts.
(3)
Article 11a of Regulation (EU) No 600/2014 lays down requirements on deferred publication in respect of derivatives and empowers the European Securities and Markets Authority (ESMA) and the Commission to determine which derivatives or classes of derivatives are liquid, which are illiquid, above which transaction size it is possible to defer the publication of the details of the transaction, and the duration of deferrals. It is therefore necessary to determine the details of the regime on deferred publication in respect of derivatives.
(4)
To ensure a simple and stable transparency regime for derivatives, it is appropriate to introduce a static determination of liquidity for the purposes of the deferral regime set out in Article 11a of Regulation (EU) No 600/2014. For the same reason, that static determination of liquidity should also apply for the purposes of the illiquid waiver for derivatives set out in Article 9(1), point (c), of Regulation (EU) No 600/2014.
(5)
To ensure a simple and stable post-trade transparency regime for derivatives, the deferral regime set out in Article 11a of Regulation (EU) No 600/2014 should be based on static thresholds to determine what constitutes a transaction of a medium size, of a large size and of a very large size. Those size thresholds should be minimum thresholds. Market operators and investment firms operating a trading venue should therefore be able to adopt higher thresholds, where appropriate. To allow for a better calibration of the medium, large and very large size thresholds across different exchange-traded equity derivatives, those derivatives should be further grouped into subclasses and, for each subclass, the medium, large and very large size thresholds should be calibrated by using liquidity bands based on average daily notional amounts.
(6)
Article 11(3) of Regulation (EU) No 600/2014 allows ESMA and competent authorities to supplement the deferral regime pursuant to that Regulation only with respect to sovereign debt instruments. Article 11 of Commission Delegated Regulation (EU) 2017/583 (2) should therefore be deleted.
(7)
Article 1(8), first subparagraph, of Regulation (EU) No 600/2014 requires ESMA to specify the monetary, foreign exchange and financial stability policy operations and the types of transactions to which Article 1(6) and (7) of that Regulation apply with regard to members of the European System of Central Banks (ESCB) that are not members of the Eurosystem. Since the scope of the empowerment laid down in Article 1(8), third subparagraph, of Regulation (EU) No 600/2014 only covers transactions entered into by members of the ESCB that are not members of the Eurosystem, Articles 14 and 15 of Delegated Regulation (EU) 2017/583 should be amended accordingly.
(8)
Article 16 of Delegated Regulation (EU) 2017/583 on the temporary suspension of transparency obligations contains references to other provisions of that Regulation and of Regulation (EU) No 600/2014. In view of the amendments to Regulation (EU) No 600/2014 introduced by Regulation (EU) 2024/791 of the European Parliament and of the Council (3) and the amendments to Delegated Regulation (EU) 2017/583, those references should be updated accordingly.
(9)
Delegated Regulation (EU) 2017/583 should therefore be amended accordingly.
(10)
As a result of the amendments to Annex III to Delegated Regulation (EU) 2017/583, the references to that Annex in Article 1(a), point (ii), and Articles 3, 4 and 5 of Commission Delegated Regulation (EU) 2017/2194 (4) should be replaced with references specifying the exact scope of asset classes covered by those provisions. Furthermore, Article 2 of Delegated Regulation (EU) 2017/2194 should be aligned with the scope of OTC derivatives subject to transparency requirements pursuant to Article 8a(2) of Regulation (EU) No 600/2014.
(11)
Package orders consist of interlinked orders which are priced as a single economic unit, with each component bearing material economic or financial risk in relation to the others. Requiring pre-trade transparency for such a package where at least one of its components is not subject to pre-trade transparency requirements would be inconsistent with that nature. Package orders should therefore be subject to pre-trade transparency requirements only where all their components are subject to those requirements.
(12)
Delegated Regulation (EU) 2017/2194 should therefore be amended accordingly.
(13)
The input and output data necessary for the operation of the consolidated tape for bonds, as set out in Commission Delegated Regulation (EU) 2025/1155 (5), are based on the transparency requirements set out in Delegated Regulation (EU) 2017/583, and, as such, also comprise data on exchange-traded commodities (‘ETCs’) and exchange-traded notes (‘ETNs’). However, the inclusion of data on ETCs and ETNs in the consolidated tape for bonds can be misleading, since ETCs and ETNs trade more similar to shares and ETFs than to bonds. Therefore, data on ETCs and ETNs should not be reported to and disseminated by the consolidated tape for bonds.
(14)
Delegated Regulation (EU) 2025/1155 specifies the input and output data of the consolidated tape for bonds and the consolidated tape for shares and ETFs. In view of the establishment of a consolidated tape for OTC derivatives, it is necessary to also specify input and output data of the consolidated tape for OTC derivatives. To avoid an undue burden on data contributors, when determining the content of the data to be transmitted to and disseminated by the consolidated tape for OTC derivatives, it is important to ensure consistency with the pre- and post-trade transparency requirements for derivatives laid down in Delegated Regulation (EU) 2017/583 and, to the extent possible, with the data to be transmitted to and disseminated by the other consolidated tapes.
(15)
Delegated Regulation (EU) 2025/1155 should therefore be amended accordingly.
(16)
Commission Delegated Regulation (EU) 2025/1246 (6) amended Article 12 of Commission Delegated Regulation (EU) 2017/587 (7). That amendment inadvertently deleted Article 12(6) that required investment firms to take all reasonable steps to ensure that the transaction is made public as a single transaction. Delegated Regulation (EU) 2025/1246 also inadvertently retained Article 12(4) of Delegated Regulation (EU) 2017/587.
(17)
Delegated Regulation (EU) 2017/587 should therefore be corrected accordingly.
(18)
To provide market participants with sufficient time to prepare for the new requirements, while ensuring the timely establishment of the OTC derivatives consolidated tape, the date of application of the amendments to Delegated Regulation (EU) 2017/583 and Delegated Regulation (EU) 2017/2194, and the amendments to Delegated Regulation (EU) 2025/1155 which relate to the input and output data of the OTC derivatives consolidated tape should be deferred.
(19)
This Regulation is based on the draft regulatory technical standards submitted to the Commission by ESMA. 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 advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (8).
(20)
The expert stakeholder group on equity and non-equity market data quality and transmission protocols was consulted in accordance with Article 11a(3) and Article 22b(3) of Regulation (EU) No 600/2014.
(21)
To ensure an effective transparency regime and the successful establishment of the consolidated tape for OTC derivatives, and considering that all provisions of this Regulation concern pre- and post-trade transparency, it is necessary to include the amendments to Delegated Regulations (EU) 2017/583, (EU) 2017/2194 and (EU) 2025/1155 and the correction to Delegated Regulation (EU) 2017/587 into a single Regulation,

HAS ADOPTED THIS REGULATION:

Article 1

Amendments to Delegated Regulation (EU) 2017/583

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

(1)
Article 1a is deleted;
(2)
Article 3 is replaced by the following:

‘Article 3

Orders which are large in scale for derivatives

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

1. An order in exchange-traded derivatives shall be large in scale compared with normal market size where, at the point of entry of the order or following any amendment to the order, it is equal to or larger than the following thresholds:

(a)
for equity derivatives, the pre-trade large in scale thresholds set out in Table 4.1 of Annex III;
(b)
for interest rate derivatives, the pre-trade large in scale thresholds set out in Table 4.2 of Annex III;
(c)
for commodity and emission allowance derivatives, the pre-trade large in scale thresholds set out in Table 4.3 of Annex III;
(d)
for credit derivatives, the pre-trade large in scale threshold set out in Table 4.4 of Annex III;
(e)
for foreign exchange derivatives, the pre-trade large in scale threshold set out in Table 4.5 of Annex III;
(f)
for securitised derivatives, the pre-trade large in scale threshold set out in Table 4.6 of Annex III;
(g)
for other derivatives, the pre-trade large in scale threshold set out in Table 4.7 of Annex III.

2. An order in OTC derivatives referred to in Article 8a(2) of Regulation (EU) No 600/2014 shall be large in scale compared with normal market size where, at the point of entry of the order or following any amendment to the order, it is equal to or larger than the following thresholds:

(a)
for the credit default swaps that fall within the scope of Article 8a(2), point (a), of Regulation (EU) No 600/2014, the pre-trade large in scale thresholds set out in Table 5.1 of Annex III;
(b)
for the interest rate derivatives referred to in Article 8a(2), point (a), of Regulation (EU) No 600/2014, the pre-trade large in scale thresholds set out in Table 5.2 of Annex III;
(c)
for the single-name credit default swaps referred to in Article 8a(2), point (b), of Regulation (EU) No 600/2014, the pre-trade large in scale thresholds set out in Table 5.3 of Annex III;
(d)
for the credit default swaps referred to in Article 8a(2), point (c), of Regulation (EU) No 600/2014, the pre-trade large in scale thresholds set out in Table 5.4 of Annex III.’
(3)
Article 6 is replaced by the following:

‘Article 6

The classes of derivatives for which there is not a liquid market

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

1. To determine whether an exchange-traded derivative is to be considered not to have a liquid market, the following static determination of liquidity shall apply:

(a)
for equity derivatives, the determination set out in Table 4.1 of Annex III;
(b)
for interest rate derivatives, the determination set out in Table 4.2 of Annex III;
(c)
for commodity and emission allowance derivatives, the determination set out in Table 4.3 of Annex III;
(d)
for credit derivatives, the determination set out in Table 4.4 of Annex III;
(e)
for foreign exchange derivatives, the determination set out in Table 4.5 of Annex III;
(f)
for securitised derivatives, the determination set out in Table 4.6 of Annex III;
(g)
for other derivatives, the determination set out in Table 4.7 of Annex III.

2. To determine whether an OTC derivative referred to in Article 8a(2) of Regulation (EU) No 600/2014 is to be considered not to have a liquid market, the following static determination of liquidity shall apply:

(a)
for the credit default swaps that fall within the scope of Article 8a(2), point (a), of Regulation (EU) No 600/2014, the determination set out in Table 5.1 of Annex III;
(b)
for the interest rate derivatives referred to in Article 8a(2), point (a), of Regulation (EU) No 600/2014, the determination set out in Table 5.2 of Annex III;
(c)
for the single-name credit default swaps referred to in Article 8a(2), point (b), of Regulation (EU) No 600/2014, the determination set out in Table 5.3 of Annex III;
(d)
for the credit default swaps referred to in Article 8a(2), point (c), of Regulation (EU) No 600/2014, the determination set out in Table 5.4 of Annex III.’
(4)
in Article 7, paragraph 8 is replaced by the following:

‘8. Information relating to a package transaction shall include the package transaction flag or the exchange for physicals transaction flags specified in Table 3 of Annex II. Where the package transaction is eligible for deferred publication, information on all components shall be made available after the deferral period for the transaction has lapsed.’

(5)
Article 8 is replaced by the following:

‘Article 8

Deferred publication of transactions for derivatives

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

1. Market operators operating a regulated market may defer the publication of the details of transactions in respect of exchange-traded derivatives, in accordance with the following:

(a)
for equity derivatives, a volume deferral and a price deferral not exceeding the duration set out in Table 4.1 of Annex III, for each category of transactions referred to in Article 11a(1) of Regulation (EU) No 600/2014 and specified in that Table;
(b)
for interest rate derivatives, a volume deferral and a price deferral not exceeding the duration set out in Table 4.2 of Annex III, for each category of transactions referred to in Article 11a(1) of Regulation (EU) No 600/2014 and specified in that Table;
(c)
for commodity and emission allowance derivatives, a volume deferral and a price deferral not exceeding the duration set out in Table 4.3 of Annex III, for each category of transactions referred to in Article 11a(1) of Regulation (EU) No 600/2014 and specified in that Table;
(d)
for credit derivatives, a volume deferral and a price deferral not exceeding the duration set out in Table 4.4 of Annex III, for each category of transactions referred to in Article 11a(1) of Regulation (EU) No 600/2014 and specified in that Table;
(e)
for foreign exchange derivatives, a volume deferral and a price deferral not exceeding the duration set out in Table 4.5 of Annex III, for each category of transactions referred to in Article 11a(1) of Regulation (EU) No 600/2014 and specified in that Table;
(f)
for securitised derivatives, a volume deferral and a price deferral not exceeding the duration set out in Table 4.6 of Annex III, for each category of transactions referred to in Article 11a(1) of Regulation (EU) No 600/2014 and specified in that Table;
(g)
for other derivatives, a volume deferral and a price deferral not exceeding the duration set out in Table 4.7 of Annex III, for each category of transactions referred to in Article 11a(1) of Regulation (EU) No 600/2014 and specified in that Table.

2. Market operators and investment firms operating an MTF or an OTF and investment firms trading outside of a trading venue may defer the publication of the details of transactions in respect of OTC derivatives referred to in Article 8a(2) of Regulation (EU) No 600/2014 in accordance with the following:

(a)
for the credit default swaps that fall within the scope of Article 8a(2), point (a), of Regulation (EU) No 600/2014, a volume deferral and a price deferral not exceeding the duration set out in Table 5.1 of Annex III, for each category of transactions referred to in Article 11a(1) of Regulation (EU) No 600/2014 and specified in that Table;
(b)
for the interest rate derivatives referred to in Article 8a(2), point (a), of Regulation (EU) No 600/2014, a volume deferral and a price deferral not exceeding the duration set out in Table 5.2 of Annex III, for each category of transactions referred to in Article 11a(1) of Regulation (EU) No 600/2014 and specified in that Table;
(c)
for the single-name credit default swaps referred to in Article 8a(2), point (b), of Regulation (EU) No 600/2014, a volume deferral and a price deferral not exceeding the duration set out in Table 5.3 of Annex III, for each category of transactions referred to in Article 11a(1) of Regulation (EU) No 600/2014 and specified in that Table;
(d)
for the credit default swaps referred to in Article 8a(2), point (c), of Regulation (EU) No 600/2014, a volume deferral and a price deferral not exceeding the duration set out in Table 5.4 of Annex III, for each category of transactions referred to in Article 11a(1) of Regulation (EU) No 600/2014 and specified in that Table.’
(6)
Articles 9, 10 and 11 are deleted;
(7)
Article 13 is replaced by the following:

‘Article 13

Methodology to determine the transparency thresholds for equity derivatives

(Article 9(1), point (a), and Article 11a(1) of Regulation (EU) No 600/2014)

1. To determine the applicable pre-trade large in scale threshold and post-trade size threshold for a particular exchange-traded equity derivative, market operators operating a regulated market shall segment each class of equity derivatives into subclasses, as set out in Table 4.1. of Annex III, and shall apply, to each subclass, the average daily notional amount (“ADNA”) bands set out in that Table.

2. Market operators operating a regulated market shall perform, every two years, the calculations necessary to determine the ADNA of a particular subclass of exchange-traded equity derivatives, on the basis of the ADNA recorded from 1 January to 31 December of the preceding two years.

3. Market operators operating a regulated market shall publish the results of the calculations performed in accordance with paragraph 2 at the latest one month before the application of the thresholds referred to in paragraph 1.’

(8)
Articles 14, 15 and 16 are replaced by the following:

‘Article 14

Transactions entered into by members of the ESCB that are not members of the Eurosystem and to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 applies

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

Where a transaction meets any of the following requirements, it shall be considered to be entered into by a member of the European System of Central Banks (ESCB) that is not a member of the Eurosystem in performance of monetary, foreign exchange and financial stability policy:

(a)
the transaction is carried out for the purposes of monetary policy, including an operation carried out under national provisions equivalent to 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 the Functioning of the European Union (*1);
(b)
the transaction is a foreign-exchange operation, including operations carried out to hold or manage official foreign reserves of a Member State whose currency is not the euro, and reserve management services provided by a member of the ESCB that is not a member of the Eurosystem to third-country central banks, where the exemption set out in Article 1(6) of Regulation (EU) No 600/2014 has been extended to those central banks in accordance with Article 1(9) of that Regulation;
(c)
the transaction is carried out for the purposes of financial stability policy.

Article 15

Transactions entered into by members of the ESCB that are not members of the Eurosystem and 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 that is not a member of the Eurosystem 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 of this Regulation:

(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, including 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(4) of Regulation (EU) No 600/2014)

1. For financial instruments for which there is a liquid market, as determined on the basis of the methodology set out in Article 6a of this Regulation for bonds, structured finance products and emission allowances, and in Article 6 of this Regulation for derivatives, competent authorities may temporarily suspend the obligations set out in Articles 8, 8a and 10 of Regulation (EU) No 600/2014 where, for a class of bonds, structured finance products, emission allowances or derivatives, the total volume as referred to in Table 4 of Annex II to this Regulation 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, as determined on the basis of the methodology set out in Article 6a of this Regulation for bonds, structured finance products and emission allowances, and in Article 6 of this Regulation for derivatives, competent authorities may temporarily suspend the obligations referred to in Articles 8, 8a and 10 of Regulation (EU) No 600/2014 where for a class of bonds, structured finance products, emission allowances or derivatives, the total volume as referred to in Table 4 of Annex II to this Regulation 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. Competent authorities shall perform those calculations at the level of the class of financial instruments to which the liquidity determination set out in Article 6a for bonds, structured finance products and emission allowances, and in Article 6 for derivatives, is applied.

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

(*1) Protocol (No 4) on the Statute of the European System of Central Banks and of the European Central Bank (OJ C 202, 7.6.2016, p. 230)." () Protocol (No 4) on the Statute of the European System of Central Banks and of the European Central Bank (OJ C 202, 7.6.2016, p. 230).

(9)
Annex II and Annex III are amended in accordance with Annex I to this Regulation;
(10)
Annex IV and Annex V are deleted.

Article 2

Amendments to Delegated Regulation (EU) 2017/2194

Delegated Regulation (EU) 2017/2194 is amended as follows:

(1)
Article 1 is amended as follows:
- (a)
- in point (a), point (ii) is replaced by the following:
  - ‘(ii)
  - the components of the package order do not exclusively belong to one of the asset classes of equity derivatives, commodity derivatives, interest rate derivatives and credit derivatives set out in Commission Delegated Regulation (EU) 2017/583 (*2);

(*2) 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 (OJ L 87, 31.3.2017, p. 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 (OJ L 87, 31.3.2017, p. 229).’;

(b)
in point (b), the following point (iiia) is inserted:
- ‘(iiia)
- all the components of the package order are subject to the pre-trade transparency requirements set out in Article 8a of Regulation (EU) No 600/2014;’;
(2)
Article 2 is amended as follows:
- (a)
- the first paragraph is amended as follows:
  - (i)
  - the introductory sentence is replaced by the following:

‘The asset-class specific criteria referred to in Article 1, point (b)(iv), for package orders consisting exclusively of interest rates derivatives shall be the following:’;

- (ii)

- point (b) is replaced by the following:

- ‘(b)

- all components of the package order belong to the same sub-asset class of interest rate derivatives, which shall be any of the following:

- (i)

- interest rate futures;

- (ii)

- interest rate options;

- (iii)

- bond futures;

- (iv)

- bond options;

- (v)

- swaptions;

- (vi)

- fixed-to-float single currency swaps;

- (vii)

- float-to-float single currency swaps;

- (viii)

- single currency OISs;

- (ix)

- fixed-to-fixed single currency swaps.

- (x)

- inflation single currency swaps;

- (xi)

- fixed-to-float multi-currency swaps;

- (xii)

- float-to-float multi-currency swaps;

- (xiii)

- multi-currency OISs;

- (xiv)

- fixed-to-fixed multi-currency swaps;

- (xv)

- inflation multi-currency swaps;’;

- (iii)

- point (d) is replaced by the following:

- ‘(d)

- where the package order consists of interest rate swaps, the components of that package order have one of the tenors set out in Article 8a(2), point (a), of Regulation (EU) No 600/2014;’;

(b)
the second paragraph is replaced by the following:

‘For the purposes of point (d), a component of a package order shall be deemed to have one of the tenors set out in Article 8a(2), point (a), of Regulation (EU) No 600/2014 where the period of time between the effective date of the contract and the expiry date of the contract is equal to one of the time periods listed in that Article.’;

(3)
Article 3 is amended as follows:
- (a)
- the introductory sentence is replaced by the following:

‘The asset-class specific criteria referred to in Article 1, point (b)(iv), for package orders consisting exclusively of equity derivatives shall be the following:’;

(b)
point (b) is replaced by the following:
- ‘(b)
- all components of the package order belong to the same sub-asset class of equity derivatives, which shall be any of the following:
  - (i)
  - stock options
  - (ii)
  - stock futures;
  - (iii)
  - stock index options;
  - (iv)
  - stock index futures;
  - (v)
  - dividend index futures;
(vi)
dividend index options;
(vii)
stock dividend futures;
(viii)
stock dividend options;
(ix)
volatility index options;
(x)
volatility index futures;
(xi)
ETF options;
(xii)
ETF futures;
(xiii)
swaps;
(xiv)
portfolio swaps;’;
(4)
in Article 4, point (b) is replaced by the following:

‘(b) all components of the package order are index credit default swaps, that is to say, swaps in which the cash flows are linked to the creditworthiness of several issuers of financial instruments constituting an index and to the occurrence of credit events;’;

(5)
in Article 5, point (b) is replaced by the following:

‘(b) all components of the package order are commodity derivative futures with underlying agricultural, energy or metal commodity;’.

Article 3

Amendments to Delegated Regulation (EU) 2025/1155

Delegated Regulation (EU) 2025/1155 is amended as follows:

(1)
in Article 5, paragraph 1 is replaced by the following:

‘1. With regard to core market data for a given bond, except for exchange-traded commodities and exchange-traded notes, data contributors shall transmit to the data centre of the CTP, by reference to each transaction, the details set out in Table 6 of Annex II that are flagged as “input” or “both” in the last column of Table 6.’

(2)
the following Article 6a is inserted:

‘Article 6a

Data to be transmitted to the CTP for OTC derivatives

(Article 22b(1) and Article 22b(3), point (d), of Regulation (EU) No 600/2014)

1. With regard to core market data for a given OTC derivative, data contributors shall transmit to the data centre of the CTP, by reference to each transaction, the details set out in Table 10 of Annex II that are flagged as “input” or “both” in the last column of Table 10.

2. With regard to regulatory data, data contributors shall transmit to the data centre of the CTP, by reference to each financial instrument, the details set out in Table 8 of Annex II that are flagged as “both” in the last column of Table 8.

3. With regard to regulatory data, data contributors shall transmit to the data centre of the CTP, by reference to each trading system, the details set out in Table 9 of Annex II that are flagged as “both” in the last column of Table 9.’

(3)
in Article 7, paragraph 1 is replaced by the following:

‘1. With regard to core market data for a given bond, except for exchange-traded commodities and exchange-traded notes, the CTP shall disseminate, by reference to each transaction, the details set out in Table 6 of Annex II that are flagged as “output” or “both” in the last column of Table 6.’

(4)
the following Article 8a is inserted:

‘Article 8a

Data to be disseminated by the CTP for OTC derivatives

(Article 22b(1) and Article 22b(3), point (b), of Regulation (EU) No 600/2014)

1. With regard to core market data for a given OTC derivative, the CTP shall disseminate, by reference to each transaction, the details set out in Table 10 of Annex II that are flagged as “output” or “both” in the last column of Table 10.

2. With regard to regulatory data relating to OTC derivatives, the CTP shall disseminate:

(a)
by reference to each financial instrument, the details set out in Table 8 of Annex II that are flagged as “output” or “both” in the last column of Table 8;
(b)
by reference to each trading system, the details set out in Table 9 of Annex II that are flagged as “output” or “both” in the last column of Table 9.’
(5)
Annex II is amended in accordance with Annex II to this Regulation;
(6)
Annex IV is amended in accordance with Annex III to this Regulation.

Article 4

Corrections to Delegated Regulation (EU) 2017/587

In Delegated Regulation (EU) 2017/587, Article 12 is corrected as follows:

(1)
paragraph 4 is deleted;
(2)
the following paragraph 6 is inserted:

‘6. 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.’

Article 5

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.

Article 1, Article 2 and Article 3(1) to (5) shall apply from 1 March 2027.

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

Done at Brussels, 13 July 2026.
For the Commission
The President
Ursula VON DER LEYEN

(1) OJ L 173, 12.6.2014, p. 84, ELI: http://data.europa.eu/eli/reg/2014/600/oj.

(2) 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 (OJ L 87 31.3.2017, p. 229, ELI: http://data.europa.eu/eli/reg_del/2017/583/oj).

(3) Regulation (EU) 2024/791 of the European Parliament and of the Council of 28 February 2024 amending Regulation (EU) No 600/2014 as regards enhancing data transparency, removing obstacles to the emergence of consolidated tapes, optimising the trading obligations and prohibiting receiving payment for order flow (OJ L, 2024/791, 8.3.2024, ELI: http://data.europa.eu/eli/reg/2024/791/oj).

(4) Commission Delegated Regulation (EU) 2017/2194 of 14 August 2017 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to package orders (OJ L 312, 28.11.2017, p. 1, ELI: http://data.europa.eu/eli/reg_del/2017/2194/oj).

(5) Commission Delegated Regulation (EU) 2025/1155 of 12 June 2025 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards specifying the input and output data of consolidated tapes, the synchronisation of business clocks and the revenue redistribution by the consolidated tape provider for shares and ETFs, and repealing Commission Delegated Regulation (EU) 2017/574 (OJ L, 2025/1155, 3.11.2025, ELI: http://data.europa.eu/eli/reg_del/2025/1155/oj).

(6) Commission Delegated Regulation (EU) 2025/1246 of 18 June 2025 amending the regulatory technical standards laid down in Delegated Regulations (EU) 2017/583 and (EU) 2017/587 as regards transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances, and equity instruments (OJ L, 2025/1246, 3.11.2025, ELI: http://data.europa.eu/eli/reg_del/2025/1246/oj).

(7) Commission Delegated Regulation (EU) 2017/587 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 shares, depositary receipts, exchange-traded funds, certificates and other similar financial instruments and on transaction execution obligations in respect of certain shares on a trading venue or by a systematic internaliser (OJ L 087 31.3.2017, p. 387, ELI: http://data.europa.eu/eli/reg_del/2017/587/oj).

(8) 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, ELI: http://data.europa.eu/eli/reg/2010/1095/oj).

ANNEX I

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

(1)
in Annex II, Tables 2 and 3 are replaced by the following:

‘Table 2

List of details for the purpose of post-trade transparency

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

Field identifier

Financial instruments

Description and details to be published

Type of execution or publication venue

Format to be populated as specified 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 12 of Commission Delegated Regulation (EU) 2025/1155 (1).

For transactions not executed on a trading venue, the date and time when the parties agreed on the content of the following fields: quantity, price, currencies, as specified in fields 31, 34 and 44 of Table 2 of Annex I to Commission Delegated Regulation (EU) 2017/590 (2), 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 and the conditions for transmission set out in Article 4 of Delegated Regulation (EU) 2017/590 were not satisfied, the date and time of the transaction rather than the time of the order transmission.

Regulated Market (RM)

Multilateral Trading Facility (MTF)

Organised Trading Facility (OTF)

Approved Publication Arrangement (APA)

{DATE_TIME_ FORMAT}

Instrument identification code

For all financial instruments

Code used to identify the financial instrument.

For OTC derivatives as referred to in Article 8a(2) of Regulation (EU) No 600/2014, the identification of the instrument shall be done in accordance with Commission Delegated Regulation (EU) 2025/1003 (3).

RM, MTF, OTF, APA

{ISIN} except for OTC derivatives as referred to in Article 8a(2) of Regulation (EU) No 600/2014

Effective date

For OTC interest rate derivatives

Date on which the obligations under the interest rate derivative contract come into effect.

MTFs, OTFs, APAs

{DATEFORMAT}

Expiry date

For OTC interest rate derivatives

Expiry date of the interest rate derivative contract.

MTFs, OTFs, APAs

{DATEFORMAT}

Price

For all financial instruments

Traded price of the transaction excluding, where applicable, commission and accrued interest.

The traded price shall be reported in accordance with standard market convention. The value provided in this field shall be consistent with the value provided in the “Price Notation” field.

Where price is currently not available but pending (“PNDG”) or not applicable (“NOAP”), this field shall not be populated.

RM, MTF, OTF, APA

{DECIMAL-18/13} in case the price is expressed as monetary value

{DECIMAL-11/10} in case the price is expressed as percentage or yield

{DECIMAL-18/17} in case the price is expressed as basis points

Missing Price

For all financial instruments

Where price is currently not available but pending, the value shall be “PNDG”.

Where price is not applicable the value shall be “NOAP”.

RM, MTF, OTF, APA

“PNDG” in case the price is not available

“NOAP” in case the price is not applicable

Price currency

For all financial instruments

Major currency in which the price is expressed (applicable if the price is expressed as monetary value).

RM, MTF, OTF, APA

{CURRENCY CODE_3}

Price notation

For all financial instruments

Indication as to whether the price is expressed in monetary value, in percentage, in basis points or in yield.

The price notation shall be reported in accordance with standard market convention.

For credit default swaps, this field shall be populated with “BAPO”.

For bonds (other than ETNs and ETCs) this field shall be populated with percentage (PERC) of the notional amount. Where a price in percentage is not the standard market convention, it shall be populated with YIEL, BAPO or MONE, in accordance with the standard market convention.

The value provided in this field shall be consistent with the value provided in the field “Price”.

Where the price is reported in monetary terms, it shall be provided in the major currency unit.

Where the price is currently not available but pending (“PNDG”) or not applicable (“NOAP”), this field shall not be populated.

RM, MTF, OTF, APA

“MONE” – Monetary value

“PERC” – Percentage

“YIEL” – Yield

“BAPO” – Basis points

Quantity

For all financial instruments

For financial instruments traded in units, the number of units of the financial instrument. Otherwise empty.

RM, MTF, OTF, APA

{DECIMAL- 18/17}

Quantity in measurement unit

For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances.

The equivalent amount of commodity or emission allowance traded expressed in measurement unit.

RM, MTF, OTF, APA

{DECIMAL- 18/17}

Notation of the quantity in measurement unit

For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances.

Indication of the notation in which the quantity in measurement unit is expressed.

RM, MTF, OTF, APA

“TOCD” – tonnes of carbon dioxide equivalent, for any contract related to emission allowances

“TONE” – metric tonnes

“MWHO” – megawatt hours

“MBTU” – one million British thermal units

“THMS” Therms

“DAYS” – days or

{ALPHANUM-4}

otherwise

Notional amount

For all financial instruments

This field shall be populated:

(i)

for bonds (excluding ETCs and ETNs), with the face value, which is the amount repaid at redemption to the investor;

(ii)

for ETCs and ETNs and securitised derivatives, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field;

(iii)

for structured finance products (SFPs), with the nominal value per unit multiplied by the number of instruments at the time of the transaction;

(iv)

for credit default swaps, with the notional amount for which the protection is acquired or disposed of;

(v)

for options, swaptions, swaps other than those referred to in point (iv), futures and forwards, with the notional amount of the contract;

(vi)

for emission allowances, with the resulting amount of the quantity at the relevant price set in the contract at the time of the transaction. Equivalently, with the price field multiplied by the quantity in the measurement unit field;

(vii)

for spread bets, with the monetary value wagered per point movement in the underlying financial instrument at the time of the transaction;

(viii)

for contracts for difference, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field.

RM, MTF, OTF, APA

{DECIMAL-18/5}

Notional currency

For all financial instruments

Major currency in which the notional amount is denominated.

In the case of an FX derivative contract or a multi-currency swap or a swaption where the underlying swap is multi-currency or a currency CFD or spread-betting contract, this shall be the notional currency of leg 1.

RM, MTF, OTF, APA

{CURRENCY CODE_3}

[deleted]

Venue of execution

For all financial instruments

Identification of the venue where the transaction was executed.

Use the segment MIC for transactions executed on an EU trading venue. Where the segment MIC does not exist, use the operating MIC.

Use “SINT” for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser.

Use MIC code “XOFF” for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed neither on an EU trading venue nor by a systematic internaliser. If the transaction is executed on an organised trading platform outside the EU, then, in addition to “XOFF”, the “Third-country trading venue of execution” field shall also be populated.

RM, MTF, OTF, APA

{MIC} – EU trading venues or

“SINT” – systematic internaliser

“XOFF” – otherwise

Third-country trading venue of execution

For all financial instruments

Identification of the third-country trading venue where the transaction was executed.

Use the segment MIC. Where the segment MIC does not exist, use the operating MIC. Where the transaction is not executed on a third- country trading venue, the field need not be populated.

APA

{MIC}

Publication Date and Time

For all financial instruments

Date and time when the transaction was published by a trading venue or APA.

For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 12 of Delegated Regulation (EU) 2025/1155.

For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second.

RM, MTF, OTF, APA

{DATE_TIME_ FORMAT}

Venue of publication

For all financial instruments

Code used to identify the trading venue and APA publishing the transaction.

RM, MTF, OTF, APA

{MIC}

Transaction Identification Code

For all financial instruments

Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580 (4)) and APAs and used in any subsequent reference to the specific trade.

RM, MTF, OTF, APA

{ALPHA NUMERICAL-52}

[deleted]

Flags

For all financial instruments

One or more fields shall be populated with the applicable flags as described in Table 3 of Annex II.

Where none of the specified circumstances apply, the transaction shall be published without a flag.

Where a combination of flags is possible and reported in one field, the flags shall be reported separated by commas.

RM, MTF, OTF, APA

As specified in Table 3 of Annex II

Trading System

For all financial instruments

Type of trading system on which the transaction was executed.

When the “Venue of execution” field is populated with “SINT” or “XOFF”, this field shall not be populated.

RM, MTF, OTF

“CLOB” – central limit order book trading system.

“QDTS” – quote driven trading systems, meaning a system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself.

“PATS” – periodic auction trading systems.

“RFQT” – request for quote trading systems, meaning a trading system where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request.

“VOIC” – voice trading system, meaning a trading system where transactions between members are arranged through voice negotiation.

“HYBR” – hybrid trading system meaning a system falling into two or more of the types of trading systems referred to above.

“OTHR” – any other trading system, meaning any other type of trading system not covered above.

Number of transactions

For sovereign debt instruments

This field shall be populated with the number of transactions executed when deferred publication of details of several transactions in an aggregated form is required under Article 11(3), point (b), of Regulation (EU) No 600/2014.

RM, MTF, OTF, APA

{DECIMAL-18/17}

(1) Commission Delegated Regulation (EU) 2025/1155 of 12 June 2025 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards specifying the input and output data of consolidated tapes, the synchronisation of business clocks and the revenue redistribution by the consolidated tape provider for shares and ETFs, and repealing Commission Delegated Regulation (EU) 2017/574 (OJ L, 2025/1155, 3.11.2025, ELI: http://data.europa.eu/eli/reg_del/2025/1155/oj).

(2) Commission Delegated Regulation (EU) 2017/590 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 (OJ L 87, 31.3.2017, p. 449, ELI: http://data.europa.eu/eli/reg_del/2017/590/oj).

(3) Commission Delegated Regulation (EU) 2025/1003 of 24 January 2025 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council as regards OTC derivatives identifying reference data to be used for the purposes of the transparency requirements laid down in Article 8a(2) and Articles 10 and 21 (OJ L, 2025/1003, 22.5.2025, ELI: http://data.europa.eu/eli/reg_del/2025/1003/oj).

(4) Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (OJ L 87, 31.3.2017, p. 193, ELI: http://data.europa.eu/eli/reg_del/2017/580/oj).

Table 3

List of flags for the purpose of post-trade transparency

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

Flag

Name

Type of execution or publication venue

Description

MLF1

Medium Liquid Flag

RM, MTF, OTF, APA

Transactions in bonds benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is a liquid market in accordance with Article 8a(1), point (a), of this Regulation.

Transactions in derivatives benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is a liquid market in accordance with Article 8 of this Regulation.

MIF2

Medium Illiquid Flag

RM, MTF, OTF, APA

Transactions in bonds benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1), point (b), of this Regulation.

Transactions in derivatives benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is not a liquid market in accordance with Article 8 of this Regulation.

LLF3

Large Liquid Flag

RM, MTF, OTF, APA

Transactions in bonds benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is a liquid market in accordance with Article 8a(1), point (c), of this Regulation.

Transactions in credit derivatives benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is a liquid market in accordance with Article 8 of this Regulation.

Transactions in interest rate derivatives benefiting from a deferral applicable to transactions of a large/very large size in a financial instrument for which there is a liquid market in accordance with Article 8 of this Regulation.

LIF4

Large Illiquid Flag

RM, MTF, OTF, APA

Transactions in bonds benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1), point (d), of this Regulation.

Transactions in credit derivatives benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is not a liquid market in accordance with Article 8 of this Regulation.

Transactions in interest rate derivatives benefiting from a deferral applicable to transactions of a large/very large size in a financial instrument for which there is not a liquid market in accordance with Article 8 of this Regulation

VLF5

Very Large Liquid Flag

RM, MTF, OTF, APA

Transactions in bonds benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is a liquid market in accordance with Article 8a(1), point (e), of this Regulation.

Transactions in credit derivatives benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is a liquid market in accordance with Article 8 of this Regulation.

VIF5

Very Large Illiquid Flag

RM, MTF, OTF, APA

Transactions in bonds benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1), point (e), of this Regulation.

Transactions in credit derivatives benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is a not liquid market in accordance with Article 8 of this Regulation.

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

Flag

Name

Type of execution or publication venue

Description

DEFF

Deferral for ETCs, ETNs, SFPs, emission allowances and certain derivatives

RM, MTF, OTF, APA

Transactions in ETCs, ETNs, SFPs and emission allowances, which benefit from a deferral as specified under Article 8a(2) and (3) of this Regulation.

Transactions in derivatives benefiting from a deferral applicable to transactions for which there is only one deferral size available.

SUPPLEMENTARY DEFERRAL FLAGS FOR SOVEREIGN BONDS

Article 11(3), point (a)

“OMIS”

Volume omission flag

RM, MTF, OTF, APA

Transaction for which limited details are published in accordance with Article 11(3), point (a), of Regulation (EU) No 600/2014.

“FULO”

Full details flag

RM, MTF, OTF, APA

Transaction for which limited details have been previously published in accordance with Article 11(3), point (a) of Regulation (EU) No 600/2014.

Article 11(3), point (b)

“AGFW”

Four weeks aggregation flag

RM, MTF, OTF, APA

Publication of aggregated transactions in accordance with Article 11(3), point (b), of Regulation (EU) No 600/2014.

“FULG”

Full details flag

RM, MTF, OTF, APA

Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(3), point (b), of Regulation (EU) No 600/2014.

OTHER FLAGS

Flag

Name

Type of execution or publication venue

Description

“BENC”

Benchmark transaction flag

RM, MTF, OTF, APA

Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price.

“NPFT”

Non-price forming transaction flag

RM, MTF, OTF, APA

Non-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590.

“TPAC”

Package transaction flag

RM, MTF, OTF, APA

Package transactions, which are not exchange for physicals, as defined in Article 2(1), point (50)(b), of Regulation (EU) No 600/2014.

“XFPH”

Exchange for physicals transaction flag

RM, MTF, OTF, APA

Exchange for physicals as defined in Article 2(1), point (48), of Regulation (EU) No 600/2014.

“CANC”

Cancellation flag

RM, MTF, OTF, APA

When a previously published transaction is cancelled.

“AMND”

Amendment flag

RM, MTF, OTF, APA

When a previously published transaction is amended.

“PORT”

Portfolio trade flag

RM, MTF, OTF, APA

Transaction in five or more different financial instruments where those transactions are traded at the same time by the same client and against a single lot price and that is not a “package transaction” as defined in Article 2(1), point (50), of Regulation (EU) No 600/2014.

“MTCH”

Matched principal trading flag

OTF

Matched principal transactions as set out in Article 4(1), point (38), of Directive 2014/65/EU of the European Parliament and of the Council (5).

“NEGO”

Negotiated transaction flag

RM, MTF, OTF

Transactions which are negotiated privately but reported under the rules of a trading venue.

(5) 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, ELI: http://data.europa.eu/eli/dir/2014/65/oj).’

(2) Annex III is amended as follows:

(a) Section 1 is replaced by the following:

‘1. Instructions for the purpose of this Annex

The reference to outstanding bond issuance size in Table 2.2 refers to the total value of bonds that have been issued and are currently held by investors.
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.
“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(2), 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.
“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, 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.
“Future” means a contract to buy or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller. Every futures contract has standard terms that dictate the minimum quantity and quality that can be bought or sold, the smallest amount by which the price may change, delivery procedures, maturity date and other characteristics related to the contract.
“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.
“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.
“Portfolio Swap” means a contract by which end-users can trade multiple swaps.
“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.
“Swaption” or “Option on a swap” means a contract that gives the owner the right, but not the obligation, to enter a swap at or up to a certain future date or exercise date.
“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.
“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.’;

(b) in Section 2, Table 2.2 is replaced by the following:

‘Table 2.2

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

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

Sovereign and other public bonds

Group ID

MiFIR ID

Bond type

Issuer or issuer country

Remaining maturity

Type of coupon

Outstanding issuance size

RTS2#3

RTS2#9

The country of the issuer reported under Commission Delegated Regulation (EU) 2017/585 (6) (“RTS23”) field “Issuer or operator of the trading venue identifier”

The time remaining until the maturity date reported under RTS23 field “Maturity date”

The third letter of the CFI code reported under RTS23 field “Instrument classification”

RTS23 field “Total issued nominal amount” converted to EUR

BOND

EUSB

EUSB means a bond which is neither a convertible nor a covered bond and is issued by a sovereign issuer: (a) the Union; (b) a Member State including a government department, an agency or a special-purpose vehicle of a Member State; (c) in the case of a federal Member State, a member of the federation; (d) a special-purpose vehicle for several Member States; (e) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems; (f) the European Investment Bank; (g) a sovereign entity of a third country.

The issuer country is a Member State, the United States or the United Kingdom;

The issuer is the Union;

The issuer is the European Investment Bank;

The issuer is an international financial institution established by two or more Member States which has the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or threatened by severe financing problems.

Up to and including 10 years

F (fixed coupon)

Less than EUR 5 000 000 000

BOND

EUSB or OEPB

OEPB means a bond which is neither a convertible nor a covered bond and is issued by a public entity which is not a sovereign issuer.

Any instrument not in G1

Less than EUR 1 000 000 000

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

Corporate, convertible and other bonds

Group ID

MiFIR ID

Bond type

Currency

Credit rating

Outstanding issuance size

RTS2#3

RTS2#9

The currency of the instrument reported under RTS23 field “Notional currency 1”

RTS23 field “Total issued nominal amount” converted to EUR

BOND

CRPB, CVTB or OTHR

CRPB means a bond which is neither a convertible nor a covered bond and that is issued by a Societas Europaea established in accordance with Council Regulation (EC) No 2157/2001 (7) or a type of company listed in Annex I or Annex II to Directive 2013/34/EU of the European Parliament and of the Council (8) or equivalent in third countries.

CVTB means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity.

EUR, GBP, USD

Investment grade

Less than EUR 500 000 000

BOND

CRPB, CVTB or OTHR

Any instrument not in G3

Less than EUR 500 000 000

(7) Council Regulation (EC) No 2157/2001 of 8 October 2001 on the Statute for a European company (SE) (OJ L 294, 10.11.2001, p. 1, ELI: http://data.europa.eu/eli/reg/2001/2157/oj).

(8) Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19, ELI: http://data.europa.eu/eli/dir/2013/34/oj).

Covered bonds

Group ID

MiFIR ID

Bond type

Outstanding issuance size

RTS2#3

RTS2#9

RTS23 field “Total issued nominal amount” converted to EUR

BOND

CVDB

CVDB means bonds as referred to in Article 52(4) of Directive 2009/65/EC

Less than EUR 500 000 000 ’

‘4. Exchange-traded derivatives

Table 4.1

Equity derivatives – liquidity determination, ADNA ranges, pre-trade LIS threshold, and deferral regime

Class ID

Class

To determine the pre-trade LIS and the transaction size thresholds, each class shall be further segmented into subclasses, as defined below

Liquidity determination

Average daily notional amount (ADNA) ranges

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large-size post-trade thresholds

Very large-size post-trade thresholds

EQ1

Stock index options

A stock index option subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying stock index

Liquid

ADNA < EUR 100 m

EUR 25 000

EUR 1 000 000

EUR 1 500 000

EUR 3 000 000

EUR 100 m ≤ ADNA < EUR 200 m

EUR 3 000 000

EUR 25 000 000

EUR 30 000 000

EUR 60 000 000

EUR 200 m ≤ ADNA < EUR 600 m

EUR 5 500 000

EUR 50 000 000

EUR 55 000 000

EUR 110 000 000

ADNA ≥ EUR 600 m

EUR 20 000 000

EUR 150 000 000

EUR 160 000 000

EUR 320 000 000

EQ2

Stock index futures

A stock index future/forward subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying stock index

Liquid

ADNA < EUR 100 m

EUR 25 000

EUR 1 000 000

EUR 1 500 000

EUR 3 000 000

EUR 100 m ≤ ADNA < EUR

1 bn

EUR 550 000

EUR 5 000 000

EUR 5 500 000

EUR 11 000 000

EUR 1 bn ≤ ADNA < EUR

3 bn

EUR 5 500 000

EUR 50 000 000

EUR 55 000 000

EUR 110 000 000

EUR 3 bn ≤ ADNA < EUR

5 bn

EUR 20 000 000

EUR 150 000 000

EUR 160 000 000

EUR 320 000 000

ADNA ≥

EUR 5 bn

EUR 30 000 000

EUR 250 000 000

EUR 260 000 000

EUR 520 000 000

EQ3

Single stock options

A stock option subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying share

Liquid

ADNA < EUR 5 m

EUR 25 000

EUR 1 000 000

EUR 1 250 000

EUR 2 500 000

EUR 5 m ≤ ADNA < EUR

10 m

EUR 300 000

EUR 1 250 000

EUR 1 500 000

EUR 3 000 000

EUR 10 m ≤ ADNA < EUR

20 m

EUR 550 000

EUR 2 500 000

EUR 3 000 000

EUR 6 000 000

ADNA ≥ EUR 20 m

EUR 1 500 000

EUR 5 000 000

EUR 5 500 000

EUR 11 000 000

EQ4

Single stock futures

A stock future/forward subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying share

Liquid

ADNA < EUR

5 m

EUR 25 000

EUR 1 000 000

EUR 1 250 000

EUR 2 500 000

EUR 5 m ≤ ADNA < EUR

10 m

EUR 300 000

EUR 1 250 000

EUR 1 500 000

EUR 3 000 000

EUR 10 m ≤ ADNA < EUR

20 m

EUR 550 000

EUR 2 500 000

EUR 3 000 000

EUR 6 000 000

ADNA ≥ EUR 20 m

EUR 1 500 000

EUR 5 000 000

EUR 5 500 000

EUR 11 000 000

EQ5

Stock dividend options

A stock dividend option subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying share entitling to dividends

Liquid

ADNA < EUR

5 m

EUR 25 000

EUR 400 000

EUR 450 000

EUR 900 000

EUR 5 m ≤ ADNA < EUR

10 m

EUR 30 000

EUR 500 000

EUR 550 000

EUR 1 100 000

EUR 10 m ≤ ADNA < EUR

20 m

EUR 100 000

EUR 1 000 000

EUR 1 500 000

EUR 3 000 000

ADNA ≥ EUR 20 m

EUR 150 000

EUR 2 000 000

EUR 2 500 000

EUR 5 000 000

EQ6

Stock dividend futures

A stock dividend future/forward subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying share entitling to dividends

Liquid

ADNA < EUR

5 m

EUR 25 000

EUR 400 000

EUR 450 000

EUR 900 000

EUR 5 m ≤ ADNA < EUR

10 m

EUR 30 000

EUR 500 000

EUR 550 000

EUR 1 100 000

EUR 10 m ≤ ADNA < EUR

20 m

EUR 100 000

EUR 1 000 000

EUR 1 500 000

EUR 3 000 000

ADNA ≥ EUR 20 m

EUR 150 000

EUR 2 000 000

EUR 2 500 000

EUR 5 000 000

EQ7

Dividend index options

A dividend index option subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying dividend index

Liquid

ADNA < EUR 100 m

EUR 25 000

EUR 1 000 000

EUR 1 500 000

EUR 3 000 000

EUR 100 m ≤

ADNA < EUR 200 m

EUR 3 000 000

EUR 25 000 000

EUR 30 000 000

EUR 60 000 000

EUR 200 m ≤ ADNA < EUR 600 m

EUR 5 500 000

EUR 50 000 000

EUR 55 000 000

EUR 110 000 000

ADNA ≥ EUR 600 m

EUR 20 000 000

EUR 150 000 000

EUR 160 000 000

EUR 320 000 000

EQ8

Dividend index futures

A dividend index future/forward subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying dividend index

Liquid

ADNA < EUR 100 m

EUR 25 000

EUR 1 000 000

EUR 1 500 000

EUR 3 000 000

EUR 100 m ≤ ADNA < EUR

1 bn

EUR 550 000

EUR 5 000 000

EUR 5 500 000

EUR 11 000 000

EUR 1 bn ≤ ADNA < EUR

3 bn

EUR 5 500 000

EUR 50 000 000

EUR 55 000 000

EUR 110 000 000

EUR 3 bn ≤ ADNA < EUR

5 bn

EUR 20 000 000

EUR 150 000 000

EUR 160 000 000

EUR 320 000 000

ADNA ≥

EUR 5 bn

EUR 30 000 000

EUR 250 000 000

EUR 260 000 000

EUR 520 000 000

EQ9

Volatility index options

A volatility index option subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying volatility index

Liquid

ADNA < EUR 100 m

EUR 25 000

EUR 1 000 000

EUR 1 500 000

EUR 3 000 000

EUR 100 m ≤

ADNA < EUR 200 m

EUR 3 000 000

EUR 25 000 000

EUR 30 000 000

EUR 60 000 000

EUR 200 m ≤

ADNA < EUR 600 m

EUR 5 500 000

EUR 50 000 000

EUR 55 000 000

EUR 110 000 000

ADNA ≥ EUR 600 m

EUR 20 000 000

EUR 150 000 000

EUR 160 000 000

EUR 320 000 000

EQ10

Volatility index futures

A volatility index future/forward subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying volatility index

Liquid

ADNA < EUR 100 m

EUR 25 000

EUR 1 000 000

EUR 1 500 000

EUR 3 000 000

EUR 100 m ≤ ADNA < EUR 1 bn

EUR 550 000

EUR 5 000 000

EUR 5 500 000

EUR 11 000 000

EUR 1 bn ≤ ADNA < EUR

3 bn

EUR 5 500 000

EUR 50 000 000

EUR 55 000 000

EUR 110 000 000

EUR 3 bn ≤ ADNA < EUR

5 bn

EUR 20 000 000

EUR 150 000 000

EUR 160 000 000

EUR 320 000 000

ADNA ≥

EUR 5 bn

EUR 30 000 000

EUR 250 000 000

EUR 260 000 000

EUR 520 000 000

EQ11

ETF options

An ETF option subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying ETF

Liquid

ADNA < EUR

5 m

EUR 25 000

EUR 1 000 000

EUR 1 250 000

EUR 2 500 000

EUR 5 m ≤ ADNA < EUR

10 m

EUR 300 000

EUR 1 250 000

EUR 1 500 000

EUR 3 000 000

EUR 10 m ≤ ADNA < EUR

20 m

EUR 550 000

EUR 2 500 000

EUR 3 000 000

EUR 6 000 000

ADNA ≥ EUR 20 m

EUR 1 500 000

EUR 5 000 000

EUR 5 500 000

EUR 11 000 000

EQ12

ETF futures

An ETF future/forward subclass shall be defined by the following segmentation criteria: Segmentation criterion 1 – underlying ETF

Liquid

ADNA < EUR

5 m

EUR 25 000

EUR 1 000 000

EUR 1 250 000

EUR 2 500 000

EUR 5 m ≤ ADNA < EUR

10 m

EUR 300 000

EUR 1 250 000

EUR 1 500 000

EUR 3 000 000

EUR 10 m ≤ ADNA < EUR

20 m

EUR 550 000

EUR 2 500 000

EUR 3 000 000

EUR 6 000 000

ADNA ≥

EUR 20 m

EUR 1 500 000

EUR 5 000 000

EUR 5 500 000

EUR 11 000 000

EQ13

Swaps

Illiquid

EUR 25 000

EUR 100 000

EUR 150 000

EUR 300 000

EQ14

Portfolio swaps

Illiquid

EUR 25 000

EUR 100 000

EUR 150 000

EUR 300 000

EQ15

Other equity derivatives

Illiquid

EUR 25 000

EUR 100 000

EUR 150 000

EUR 300 000

Deferral duration

End of day

T +1

T +2

Table 4.2

Interest rate derivatives – liquidity determination, pre-trade LIS threshold, and deferral regime

Class ID

Class

Liquidity determination

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large-size post-trade thresholds

Very large-size post-trade thresholds

IR01

BOBL futures

Liquid

EUR 500 000

EUR 1 000 000

EUR 5 000 000

EUR 10 000 000

IR02

BUND futures

Liquid

EUR 250 000

EUR 500 000

EUR 2 500 000

EUR 5 000 000

IR03

BUXL futures

Liquid

EUR 250 000

EUR 500 000

EUR 2 500 000

EUR 5 000 000

IR04

Schatz futures

Liquid

EUR 1 000 000

EUR 2 000 000

EUR 10 000 000

EUR 20 000 000

IR05

Euro-OAT futures

Liquid

EUR 250 000

EUR 500 000

EUR 2 500 000

EUR 5 000 000

IR06

Long-term Euro-BTP futures

Liquid

EUR 250 000

EUR 500 000

EUR 2 500 000

EUR 5 000 000

IR07

Short-term Euro-BTP futures

Liquid

EUR 500 000

EUR 1 000 000

EUR 5 000 000

EUR 10 000 000

IR08

Three-month Euro STR futures

Liquid

EUR 1 250 000

EUR 2 500 000

EUR 12 500 000

EUR 25 000 000

IR09

Options on BOBL futures

Liquid

EUR 1 250 000

EUR 2 500 000

EUR 3 750 000

EUR 5 000 000

IR10

Options on BUND futures

Liquid

EUR 2 750 000

EUR 5 500 000

EUR 8 250 000

EUR 11 000 000

IR11

Any other interest rate derivatives

Illiquid

EUR 50 000

EUR 100 000

EUR 500 000

EUR 1 000 000

Deferral duration

End of day

T +1

T +2

Table 4.3

Commodity and emission allowance derivatives – liquidity determination, pre-trade LIS threshold, and deferral regime

Class ID

Class

Liquidity determination

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large-size post-trade thresholds

Very large-size post-trade thresholds

AG01

Milling wheat futures

Liquid

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EUR 2 000 000

AG02

Rapeseed futures

Liquid

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EUR 2 000 000

AG03

Corn futures

Liquid

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EUR 2 000 000

EA01

European Union emission allowance futures

Liquid

50 000 tonnes of carbon dioxide equivalent

100 000 tonnes of carbon dioxide equivalent

150 000 tonnes of carbon dioxide equivalent

200 000 tonnes of carbon dioxide equivalent

EL01

German power futures (baseload monthly)

Liquid

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EUR 2 000 000

EL02

French power futures (baseload monthly)

Liquid

EUR 250 000

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EL03

Italian power futures (baseload monthly)

Liquid

EUR 250 000

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EL04

Nordic power futures (baseload, monthly)

Liquid

EUR 250 000

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EL05

Spanish power futures (baseload, monthly)

Liquid

EUR 250 000

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EL06

Dutch power futures (baseload, monthly)

Liquid

EUR 250 000

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EL07

Hungarian power futures (baseload, monthly)

Liquid

EUR 250 000

EUR 500 000

EUR 1 000 000

EUR 1 500 000

NG01

Dutch TTF gas futures (monthly)

Liquid

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EUR 2 000 000

NG02

German THE gas futures (monthly)

Liquid

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EUR 2 000 000

NG03

Options on Dutch TTF gas futures (monthly)

Liquid

EUR 500 000

EUR 1 000 000

EUR 1 500 000

EUR 2 000 000

Deferral duration

End of day

T +1

T +2

Class ID

Class

Liquidity determination

Pre-trade LIS thresholds

Medium- / large- / very large-size post-trade thresholds (above or equal to)

Any other commodity and emission allowance derivatives

Illiquid

EUR 100 000

EUR 200 000

Deferral duration

T +2

Table 4.4

Credit derivatives – liquidity determination, pre-trade LIS threshold, and deferral regime

Class ID

Class

Liquidity determination

Pre-trade LIS threshold

Medium- / large- / very large-size post-trade thresholds (above or equal to)

CR01

Credit derivatives

Illiquid

EUR 5 000 000

EUR 10 000 000

Deferral duration

T +2

Table 4.5

FX derivatives – liquidity determination, pre-trade LIS threshold, and deferral regime

Class ID

Class

Liquidity determination

Pre-trade LIS threshold

Medium- / large- / very large-size post-trade thresholds (above or equal to)

FX01

FX derivatives

Illiquid

EUR 12 500 000

EUR 25 000 000

Deferral duration

T +2

Table 4.6

Securitised derivatives – liquidity determination, pre-trade LIS threshold, and deferral regime

Class ID

Class

Liquidity determination

Pre-trade LIS threshold

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large-size post-trade thresholds

Very large-size post-trade thresholds

SD01

Securitised derivatives

Liquid

EUR 50 000

EUR 60 000

EUR 90 000

EUR 100 000

Deferral duration

End of day

T +1

T +2

Table 4.7

Other derivatives – liquidity determination, pre-trade LIS threshold, and deferral regime

Class ID

Class

Liquidity determination

Pre-trade LIS threshold

Medium- / large- / very large-size post-trade thresholds (above or equal to)

OT01

Other derivatives

Illiquid

EUR 50 000

EUR 100 000

Deferral duration

T +2

5. OTC derivatives referred to in Article 8a(2) of Regulation (EU) No 600/2014

Table 5.1

Credit default swaps that fall within the scope of Article 8a(2), point (a), of Regulation (EU) No 600/2014 – liquidity determination, pre-trade LIS threshold, and deferral regime

Credit default swaps within the scope of Article 8a(2), point (a), of Regulation (EU) No 600/2014

Feature

Liquidity determination

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large-size post-trade thresholds

Very large-size post-trade thresholds

iTraxx Europe Main

5Y on-the-run and first off-the-run

Liquid

EUR 15 000 000

EUR 30 000 000

EUR 50 000 000

EUR 500 000 000

iTraxx Europe Crossover

Liquid

EUR 5 000 000

EUR 10 000 000

EUR 30 000 000

EUR 200 000 000

Volume deferral duration

15 minutes

End of day

Three months

Price deferral duration

15 minutes

Any other credit default swap that falls within the scope of Article 8a(2), point (a), of Regulation (EU) No 600/2014

Any

Illiquid

EUR 5 000 000

EUR 10 000 000

EUR 30 000 000

EUR 200 000 000

Volume deferral duration

One week

Two weeks

Three months

Price deferral duration

End of day

Table 5.2

Interest rate derivatives referred to in Article 8a(2), point (a), of Regulation (EU) No 600/2014 – liquidity determination, pre-trade LIS threshold, and deferral regime

Class – Fixed-to-float EURIBOR

Tenors (years)

Liquidity determination

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large- / very large-size post-trade thresholds

Liquid

EUR 200 000 000

EUR 400 000 000

EUR 750 000 000

Liquid

EUR 125 000 000

EUR 250 000 000

EUR 400 000 000

Liquid

EUR 100 000 000

EUR 200 000 000

EUR 400 000 000

Liquid

EUR 50 000 000

EUR 100 000 000

EUR 200 000 000

Liquid

EUR 50 000 000

EUR 100 000 000

EUR 200 000 000

Liquid

EUR 37 500 000

EUR 75 000 000

EUR 100 000 000

Liquid

EUR 37 500 000

EUR 75 000 000

EUR 100 000 000

Liquid

EUR 37 500 000

EUR 75 000 000

EUR 100 000 000

Liquid

EUR 25 000 000

EUR 50 000 000

EUR 100 000 000

Liquid

EUR 25 000 000

EUR 50 000 000

EUR 100 000 000

Liquid

EUR 15 000 000

EUR 30 000 000

EUR 50 000 000

Volume deferral duration

End of day

Three months

Price deferral duration

End of day

Class – OIS FedFunds

Tenors (years)

Liquidity determination

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large- / very large-size post-trade thresholds

Illiquid

USD 125 000 000

USD 250 000 000

USD 400 000 000

Illiquid

USD 75 000 000

USD 150 000 000

USD 250 000 000

Illiquid

USD 50 000 000

USD 100 000 000

USD 200 000 000

Volume deferral duration

T +1

Three months

Price deferral duration

T +1

Class – OIS SOFR

Tenors (years)

Liquidity determination

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large- / very large-size post-trade thresholds

Liquid

USD 125 000 000

USD 250 000 000

USD 500 000 000

Liquid

USD 75 000 000

USD 150 000 000

USD 250 000 000

Liquid

USD 50 000 000

USD 100 000 000

USD 200 000 000

Liquid

USD 50 000 000

USD 100 000 000

USD 150 000 000

Liquid

USD 37 500 000

USD 75 000 000

USD 150 000 000

Liquid

USD 25 000 000

USD 50 000 000

USD 75 000 000

Liquid

USD 25 000 000

USD 50 000 000

USD 75 000 000

Liquid

USD 25 000 000

USD 50 000 000

USD 75 000 000

Liquid

USD 25 000 000

USD 50 000 000

USD 75 000 000

Liquid

USD 25 000 000

USD 50 000 000

USD 75 000 000

Liquid

USD 15 000 000

USD 30 000 000

USD 50 000 000

Volume deferral duration

End of day

Three months

Price deferral duration

End of day

Class – OIS SONIA

Tenors (years)

Liquidity determination

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large- / very large-size post-trade thresholds

Liquid

GBP 87 500 000

GBP 175 000 000

GBP 355 000 000

Liquid

GBP 67 500 000

GBP 135 000 000

GBP 175 000 000

Liquid

GBP 67 500 000

GBP 135 000 000

GBP 175 000 000

Liquid

GBP 32 500 000

GBP 65 000 000

GBP 90 000 000

Liquid

GBP 32 500 000

GBP 65 000 000

GBP 90 000 000

Liquid

GBP 22 500 000

GBP 45 000 000

GBP 65 000 000

Liquid

GBP 22 500 000

GBP 45 000 000

GBP 65 000 000

Liquid

GBP 22 500 000

GBP 45 000 000

GBP 65 000 000

Liquid

GBP 22 500 000

GBP 45 000 000

GBP 65 000 000

Liquid

GBP 22 500 000

GBP 45 000 000

GBP 65 000 000

Liquid

GBP 10 000 000

GBP 20 000 000

GBP 25 000 000

Volume deferral duration

End of day

Three months

Price deferral duration

End of day

Class – OIS TONA

Tenors (years)

Liquidity determination

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large- / very large-size post-trade thresholds

Liquid

JPY 17 500 000 000

JPY 35 000 000 000

JPY 55 000 000 000

Liquid

JPY 10 000 000 000

JPY 20 000 000 000

JPY 30 000 000 000

Liquid

JPY 10 000 000 000

JPY 20 000 000 000

JPY 30 000 000 000

Liquid

JPY 5 000 000 000

JPY 10 000 000 000

JPY 15 000 000 000

Liquid

JPY 5 000 000 000

JPY 10 000 000 000

JPY 15 000 000 000

Liquid

JPY 3 500 000 000

JPY 7 000 000 000

JPY 10 000 000 000

Liquid

JPY 3 500 000 000

JPY 7 000 000 000

JPY 10 000 000 000

Liquid

JPY 2 500 000 000

JPY 5 000 000 000

JPY 7 000 000 000

Liquid

JPY 1 500 000 000

JPY 3 000 000 000

JPY 5 000 000 000

Liquid

JPY 1 500 000 000

JPY 3 000 000 000

JPY 5 000 000 000

Liquid

JPY 1 500 000 000

JPY 3 000 000 000

JPY 5 000 000 000

Volume deferral duration

End of day

Three months

Price deferral duration

End of day

Class – OIS EuroSTR

Tenors (years)

Liquidity determination

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large- / very large-size post-trade thresholds

Liquid

EUR 150 000 000

EUR 300 000 000

EUR 750 000 000

Liquid

EUR 100 000 000

EUR 200 000 000

EUR 300 000 000

Liquid

EUR 100 000 000

EUR 200 000 000

EUR 300 000 000

Volume deferral duration

End of day

Three months

Price deferral duration

End of day

Table 5.3

Single-name credit default swaps referred to in Article 8a(2), point (b), of Regulation (EU) No 600/2014 – liquidity determination, pre-trade LIS threshold, and deferral regime

Class – Single-name credit default swaps referred to in Article 8a(2), point (b), of Regulation (EU) No 600/2014

Tenors (years)

Liquidity determination

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade threshold

Large-size post-trade threshold

Very large-size post-trade threshold

Illiquid

EUR 500 000

EUR 1 000 000

EUR 5 000 000

EUR 50 000 000

Volume deferral duration

T +1

Two weeks

Three months

Price deferral duration

T +1

Any other tenor

Illiquid

EUR 500 000

EUR 1 000 000

EUR 5 000 000

EUR 50 000 000

Volume deferral duration

One week

Two weeks

Three months

Price deferral duration

One week

Table 5.4

Credit default swaps referred to in Article 8a(2), point (c), of Regulation (EU) No 600/2014 – liquidity determination, pre-trade LIS threshold, and deferral regime

Credit default swaps that reference an index comprising global systemically important banks

Feature

Liquidity determination

Pre-trade LIS thresholds

Transaction size thresholds (above or equal to)

Medium-size post-trade thresholds

Large-size post-trade thresholds

Very large-size post-trade thresholds

iTraxx Europe Senior Financials

5Y on-the-run and first off-the-run

Illiquid

EUR 15 000 000

EUR 30 000 000

EUR 50 000 000

EUR 300 000 000

iTraxx Europe Subordinate Financial

Illiquid

EUR 5 000 000

EUR 10 000 000

EUR 30 000 000

EUR 200 000 000

Volume deferral duration

One week

Two weeks

Three months

Price deferral duration

15 minutes

End of day

Any other credit default swaps that reference an index referred to in Article 8a(2), point (c), of Regulation (EU) No 600/2014

Any

Illiquid

EUR 5 000 000

EUR 10 000 000

EUR 30 000 000

EUR 200 000 000

Volume deferral duration

One week

Two weeks

Three months

Price deferral duration

End of day

End of day’

(d)
Section 13 is deleted.

ANNEX II

Annex II to Delegated Regulation (EU) 2025/1155 is amended as follows:

(1)
the title is replaced by the following:
‘Regulatory data and post-trade core market data to be transmitted to and disseminated by the CTP for bonds, the CTP for shares and ETFs, and the CTP for OTC derivatives according to Articles 5, 6, 6a, 7, 8, and 8a’;
(2)
in Table 1, the title is replaced by the following:
‘Symbols used in Tables 2, 3, 4, 5, 6, 7, 8, 9, and 10’;
(3)
the following Tables 8, 9, and 10 are added:

‘Table 8

Regulatory data for OTC derivatives, per instrument

Field identifier

Description

Format

Equivalent formats can be used, depending on the syntax used for data transmission

Input /Output data field

Instrument identification code

Code used to identify the financial instrument

The identification of the financial instrument shall be done in accordance with Commission Delegated Regulation (EU) 2025/1003

Both

Instrument status start date and time

Date and time from which the instrument status is valid.

The level of granularity shall be in accordance with the requirements set out in Article 12.

{DATE_TIME_FORMAT}

Both

Currency

Major currency in which the instrument is traded

{CURRENCYCODE_3}

Both

Dissemination date and time

Date and time when the instrument status is disseminated by the CTP.

The level of granularity shall be in accordance with the requirements set out in Article 15.

{DATE_TIME_FORMAT}

Output

Instrument status

Description of the status of the financial instrument.

The status of the financial instrument shall be one of the following:

(1)

suspended from trading, on the trading venue identified in the field “Trading venue”, in accordance with Article 32 of Directive 2014/65/EU

(2)

removed from trading, on the trading venue identified in the field “Trading venue”, in accordance with Article 32 of Directive 2014/65/EU

(3)

subject to a trading halt, on the trading venue identified in the field “Trading venue”, in accordance with Article 18(5) of Directive 2014/65/EU

(4)

available for trading after a suspension, removal or halt.

“SUSP” – the instrument is suspended

“REMV” – the instrument is removed

“HALT” – the instrument is subject to a trading halt

“ACTV” – the instrument is available for trading after a suspension, removal or halt

Both

Trading venue

Identification of the trading venue on which the instrument status is valid (segment MIC where available, otherwise operating MIC).

The trading venue is an MTF or an OTF.

{MIC}

Both

Trading system

Type of trading system on which the instrument is traded

“CLOB” – Central Limit Order Book

“QDTS” – Quote Driven Market

“PATS” – Periodic Auction

“RFQT” Request for Quotes

“VOIC” – Voice trading system

“HYBR” – Hybrid System

“OTHR” – Any Other

Both

Table 9

Regulatory data for OTC derivatives, per order matching system

Field identifier

Description

Format

Equivalent formats can be used, depending on the syntax used for data transmission

Input /Output data field

Trading venue

Identification of the trading venue on which the order matching system status is valid (segment MIC, where available, otherwise operating MIC).

The trading venue is an MTF or an OTF.

{MIC}

Both

Trading system

Type of trading system on which the system status is provided

“CLOB” – Central Limit Order Book

“QDTS” – Quote Driven Market

“PATS” – Periodic Auction

“RFQT” Request for Quotes

“VOIC” – Voice trading system

“HYBR” – Hybrid System

“OTHR” – Other

Both

System status start date and time

Date and time from which the system status is valid.

The level of granularity shall be in accordance with the requirements set out in Article 12.

{DATE_TIME_FORMAT}

Both

Dissemination date and time

Date and time on which the system status is disseminated by the CTP.

The level of granularity shall be in accordance with the requirements set out in Article 15.

{DATE_TIME_FORMAT}

Output

Trading system status

Status of the trading system on which the instrument is traded.

“ACTV” – Active System

“OTAG” – Outage of the trading system

“POTG” – Partial outage of the trading system

Both

Table 10

Post-trade core market data for OTC derivatives

Field identifier

Description and details to be published

Type of execution or publication venue

Format to be populated as defined in Table 1

Equivalent formats can be used, depending on the syntax used for data transmission

Input /Output data field

Trading date and time

Table 2, Field 1, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Instrument identification code

Table 2, Field 2, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Effective date

Table 2, Field 2a, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Expiry date

Table 2, Field 2b, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Price

Table 2, Field 3, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Missing Price

Table 2, Field 4, of Annex II to Delegated Regulation (EU) 2017/583

Both

Price currency

Table 2, Field 5, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Price notation

Table 2, Field 6, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Quantity

Table 2, Field 7, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Notional amount

Table 2, Field 10, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Notional currency

Table 2, Field 11, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Venue of execution

Table 2, Field 13, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Third-country trading venue of execution

Table 2, Field 14, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Date and Time when the data contributor received the data

Date and time when the transaction report was received by an APA.

The level of granularity shall be in accordance with the requirements set out in Article 15.

APA

{DATE_TIME_ FORMAT}

Input

Date and Time when the data contributor published the transaction

Table 2, Field 15, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Venue of publication

Table 2, Field 16, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Transaction Identification Code

Table 2, Field 17, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Date and Time of reception by the CTP

Date and time when the transaction was received by the CTP.

The level of granularity shall be in accordance with the requirements set out in Article 15.

CTP

{DATE_TIME_ FORMAT}

Output

Date and Time of publication by the CTP

Date and time when the transaction was published by the CTP.

The level of granularity shall be in accordance with the requirements set out in Article 15.

CTP

{DATE_TIME_ FORMAT}

Output

Flags

Table 2, Field 19, of Annex II to Delegated Regulation (EU) 2017/583.

Both

Suspicious Data Flag

Data quality flag to be populated by the CTP when the APA or the CTP have identified trades that, in their view, might be subject to data quality issues.

CTP

TRUE or FALSE

Output

Trading System Type

Table 2, Field 20, of Annex II to Delegated Regulation (EU) 2017/583.

Both’

ANNEX III

In Annex IV of Delegated Regulation (EU) 2025/1155, Table 2 is replaced by the following:

‘Table 2

Level of accuracy for members, participants or users of a trading venue

Type of trading activity

Description

Maximum divergence from UTC

Granularity of the timestamp

Activity using high frequency algorithmic trading technique

High frequency algorithmic trading technique.

100 microseconds

0,1 microseconds or better

Activity on voice trading systems

Voice trading systems as defined in Table 2 of Annex II to Delegated Regulation (EU) 2017/583.

1 second

1 second or better

Activity on request for quote systems where the response requires human intervention or where the system does not allow algorithmic trading

Request for quotes systems as defined in Table 2 of Annex II to Delegated Regulation (EU) 2017/583.

1 second

1 second or better

Activity of concluding negotiated transactions

Negotiated transaction as set out in Article 4(1)(b) of Regulation (EU) No 600/2014.

1 second

1 second or better

Any other trading activity

All other trading activity not covered by this Table

1 millisecond

1 millisecond or better’

ELI: http://data.europa.eu/eli/reg_del/2026/1763/oj ISSN 1977-0677 (electronic edition)

COMMISSION DELEGATED REGULATION (EU) 2026/1763

Article 1

Amendments to Delegated Regulation (EU) 2017/583

‘Article 3

Orders which are large in scale for derivatives

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

‘Article 6

The classes of derivatives for which there is not a liquid market

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

‘Article 8

Deferred publication of transactions for derivatives

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

‘Article 13

Methodology to determine the transparency thresholds for equity derivatives

(Article 9(1), point (a), and Article 11a(1) of Regulation (EU) No 600/2014)

‘Article 14

Transactions entered into by members of the ESCB that are not members of the Eurosystem and to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 applies

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

Article 15

Transactions entered into by members of the ESCB that are not members of the Eurosystem and 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 16

Temporary suspension of transparency obligations

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

Article 2

Amendments to Delegated Regulation (EU) 2017/2194

Article 3

Amendments to Delegated Regulation (EU) 2025/1155

‘Article 6a

Data to be transmitted to the CTP for OTC derivatives

(Article 22b(1) and Article 22b(3), point (d), of Regulation (EU) No 600/2014)

‘Article 8a

Data to be disseminated by the CTP for OTC derivatives

(Article 22b(1) and Article 22b(3), point (b), of Regulation (EU) No 600/2014)

Article 4

Corrections to Delegated Regulation (EU) 2017/587

Article 5

Entry into force and application

ANNEX I

‘Table 2

List of details for the purpose of post-trade transparency

Table 3

‘1. Instructions for the purpose of this Annex

‘Table 2.2

‘4. Exchange-traded derivatives

Table 4.1

5. OTC derivatives referred to in Article 8a(2) of Regulation (EU) No 600/2014

ANNEX II

ANNEX III

Lineage: In force