28 September 2015 | ESMA/2015/1464
Regulatory technical and implementing standards – Annex I MiFID II / MiFIR

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Table of Contents
CHAPTER 2: TRANSPARENCY............................................................................................. 4
RTS 1: Draft regulatory technical standards on transparency requirements in respect of shares, depositary receipts, exchange-traded funds, certificates and other similar financial instruments
.................................................................................................................................................... 4
Annex I: Information to be made public .............................................................................. 25
Annex II: Orders large in scale compared with normal market size, standard market sizes
and deferred publications and delays.................................................................................... 34
Annex III: Reference data to be provided for the purpose of transparency calculations ..... 38
RTS 2: Draft regulatory technical standards on transparency requirements in respect of bonds,
structured finance products, emission allowances and derivatives.......................................... 39
Annex I: Description of the type of system and the related information to be made public in
accordance with Article 2 ..................................................................................................... 65
Annex II: Details of transactions to be made available to the public ................................... 66
Annex III: Liquidity assessment, LIS and SSTI thresholds for non-equity financial
instruments............................................................................................................................ 74
Annex IV: Reference data to be provided for the purpose of transparency calculations... 165
RTS 3: Draft regulatory technical standards on the volume cap mechanism and the provision
of information for the purposes of transparency and other calculations................................ 173
Annex.................................................................................................................................. 184
RTS 4: Draft regulatory technical standards on criteria for determining whether derivatives
should be subject to the trading obligation (Article 32(6) of MiFIR).................................... 186
RTS 5: Draft regulatory technical standards on criteria for determining whether derivatives
have a direct, substantial and foreseeable effect within the EU (Article 28(5) of MiFIR) .... 193
CHAPTER 3: MICROSTRUCTURAL ISSUES................................................................... 200
RTS 6: Regulation on the regulatory technical standards specifying the organisational requirements of investment firms engaged in algorithmic trading, providing direct electronic
access and acting as general clearing members...................................................................... 200
Annex I: Parameters to be considered in the investment firm’s self-assessment................... 224
Annex II: Content and format of order records...................................................................... 227
RTS 7: Draft regulatory technical standards on organisational requirements of regulated markets, multilateral trading facilities and organised trading facilities enabling or allowing
algorithmic trading through their systems.............................................................................. 247
Annex: Parameters to be considered in the trading venues’ self-assessment......................... 273

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RTS 8: Draft regulatory technical standards on market making agreements and market making
schemes .................................................................................................................................. 275
RTS 9: Draft regulatory technical standards on the ratio of unexecuted orders to transactions
................................................................................................................................................ 284
Annex I: Order types.............................................................................................................. 289
RTS 10: Draft regulatory technical standards on requirements to ensure co-location and fee
structures are fair and non-discriminatory ............................................................................. 294
RTS 11: Draft regulatory technical standards on the tick size regime for shares, depositary
receipts and exchange traded funds........................................................................................ 300
Annex ..................................................................................................................................... 308
RTS 12: Draft regulatory technical standards on the determination of a material market in
terms of liquidity relating to trading halt notifications .......................................................... 309
CHAPTER 4: DATA PUBLICATION AND ACCESS ........................................................ 313
RTS 13: Draft regulatory technical standards on authorisation, organisational requirements
and the publication of transactions for data reporting services providers.............................. 313
RTS 14: Draft regulatory technical standards on data disaggregation................................... 336
RTS 15: Draft regulatory technical standards on access in respect of central counterparties and
trading venues ........................................................................................................................ 341
Annex ..................................................................................................................................... 356
RTS 16: Draft regulatory technical standards on access in respect of benchmarks............... 359
CHAPTER 5: REQUIREMENTS APPLYING ON AND TO TRADING VENUES .......... 369
RTS 17: Draft regulatory technical standards on the admission of financial instruments to
trading on regulated markets.................................................................................................. 369
RTS 18: Draft regulatory technical standards on suspension and removal of financial
instruments from trading ........................................................................................................ 378
ITS 19: Implementing technical standards of the description of the functioning of MTFs and
OTFs....................................................................................................................................... 382
Annex: Formats...................................................................................................................... 392
CHAPTER 6: COMMODITY DERIVATIVES .................................................................... 393
RTS 20: Draft regulatory technical standards on criteria for establishing when an activity is to
be considered to be ancillary to the main business ................................................................ 393
RTS 21: Draft regulatory technical standards on methodology for the calculation and the application of position limits for commodity derivatives traded on trading venues and
economically equivalent OTC contracts ................................................................................ 403
CHAPTER 7: MARKET DATA REPORTING .................................................................... 422
RTS 22: Draft regulatory technical standards on reporting obligations under Article 26 of
MiFIR..................................................................................................................................... 422

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Annex I: .............................................................................................................................. 441
Annex II:............................................................................................................................. 458
RTS 23: Draft regulatory technical standards on supply of financial instruments reference data
under Article 27 of MiFIR ..................................................................................................... 460
Annex.................................................................................................................................. 466
RTS 24: Draft regulatory technical standards on the maintenance of relevant data relating to
orders in financial instruments............................................................................................... 479
Annex.................................................................................................................................. 489
RTS 25: Draft regulatory technical standards on clock synchronization............................... 501
Annex.................................................................................................................................. 506
CHAPTER 8: POST-TRADING ISSUES ............................................................................. 508
RTS 26: Draft regulatory technical standards on the obligation to clear derivatives traded on
regulated markets and timing of acceptance for clearing (STP) ............................................ 508
CHAPTER 9: BEST EXECUTION....................................................................................... 517
RTS 27: Draft regulatory technical standards under Article 27(10)(a) of MiFID II.............. 517
Annex I ............................................................................................................................... 533
RTS 28: Draft regulatory technical standards under Article 27(10)(b) of MiFID II ............. 538
Annex I: Classes of financial instruments.......................................................................... 547
Annex II.............................................................................................................................. 549

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CHAPTER 2: TRANSPARENCY
RTS 1: Draft regulatory technical standards on transparency requirements in respect of shares, depositary receipts, exchange￾traded funds, certificates and other similar financial instruments EUROPEAN COMMISSION Brussels, XXX … XXX draft COMMISSION DELEGATED REGULATION (EU) No …/.. of XXX […]

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COMMISSION DELEGATED REGULATION (EU) …/.. of [date] 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 the obligation for investment firms to execute transactions in certain shares on a trading venue or a systematic internaliser (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 648/20121 , and in particular Articles 4(6), 7(2), 14(7), 20(3), 22(4) and 23(3) thereof, Whereas:
(1) A high degree of transparency is essential to ensure that investors are adequately informed as to the true level of actual and potential transactions in shares, depositary receipts, exchange-traded funds (ETFs), certificates and other similar financial instruments irrespective of whether those transactions take place on regulated markets, multilateral trading facilities (MTFs), systematic internalisers, or outside those facilities. This high degree of transparency should also establish a level playing field between trading venues so that the price discovery process in respect of particular financial instruments is not impaired by the fragmentation of liquidity, and investors are not thereby penalised. (2) At the same time, it is essential to recognise that there may be circumstances where exemptions from pre-trade transparency or deferrals from post-trade transparency obligations should be provided to avoid the impairment of liquidity as an unintended consequence of obligations to disclose orders and transactions and thereby to make public risk positions. Therefore, it is appropriate to specify the precise circumstances

1 OJ L 173, 12.6.2014, p. 84.

EN 6 EN under which waivers from pre-trade transparency and deferrals from post-trade transparency may be granted. (3) The provisions in this Regulation are closely linked, since they deal with the transparency requirements applicable to trading venues and investment firms in respect of shares, depositary receipts, ETFs, certificates and other similar financial instruments. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and efficient access for stakeholders, in particular those subject to the obligations, it is desirable to include these regulatory technical standards in a single Regulation. (4) Where competent authorities grant waivers in relation to pre-trade transparency requirements or authorise the deferral of post-trade transparency obligations, they should treat all regulated markets, multilateral trading facilities and investment firms trading outside of trading venues equally and in a non-discriminatory manner. (5) It is appropriate to provide for clarification of a limited number of technical terms. Those technical definitions are necessary to ensure the uniform application in the Union of the provisions contained in this Regulation and, hence, contribute to the establishment of a single rulebook for financial markets in the Union. Those definitions are purely functional for the purpose of setting out the transparency obligations for equity and equity-like financial instruments and should be strictly limited to understanding this Regulation. (6) Regulation (EU) No 600/2014 brings within the scope of the transparency regime equity-like instruments such as depositary receipts, ETFs and certificates, as well as shares and other equity-like instruments only traded on a MTF. It is necessary, in order to establish a comprehensive and uniform transparency regime, to update Commission Regulation (EC) No 1287/2006 of 10 August 20062 by calibrating the content of the pre-trade information to be made public by trading venues. (7) A trading venue operating a request for quote (RFQ) system should at least make public all the firm bid and offer prices or actionable indications of interest and the depth attached to those prices no later than at the time when the requester is able to execute a transaction under the system’s rules. This is to ensure that members or participants who are providing their quotes to the requester first are not put at a disadvantage. (8) While this Regulation sets out the specific methodology and data necessary to perform calculations for the purpose of specifying the transparency regime applicable to equity

2 Commission Regulation (EC) No 1287/2006 of 10 August 2006 implementing Directive 2004/39/EC of the European Parliament and of the Council as regards recordkeeping obligations for investment firms, transaction reporting, market transparency, admission of financial instruments to trading, and defined terms for the purposes of that Directive (OJ L 241, 2.9.2006, p. 1).

EN 7 EN and equity-like financial instruments, it should be applied in conjunction with Regulation (EU) No [RTS on Article 22 and Double Volume Cap] which specifies in more general terms, the common elements with regard to the content and frequency of data requests to be addressed to trading venues, Approved Publication Arrangements (APAs) and Consolidated Tape Providers (CTPs) for the purposes of transparency and other calculations. (9) This Regulation should ensure that the pre-trade and post-trade transparency regime established by Regulation (EU) No 600/2014 is appropriately calibrated to the market. In particular, a static determination of the most relevant markets in terms of liquidity, the sizes of orders that are large in scale and standard market sizes would not adequately capture regular modifications of trading patterns affecting equity and equity-like instruments. Therefore, it is essential that this Regulation lays down the necessary calculations to be performed, including their periods and methods as well as the identification of the competent authority responsible for making the calculations in accordance with the determination of the relevant competent authority for the purpose of Article 26 Regulation (EU) No 600/2014 specified in Article xx of Commission Delegated Regulation (EU) [insert reference to Article 18 of RTS on reporting obligations under Article 26 of MiFIR]. In this respect, to avoid market distorting effects, the calculation periods specified in this Regulation should ensure that the relevant thresholds of the regime are updated at appropriate intervals to reflect market conditions. It is also appropriate to provide for the centralised publication of the results of the calculations so that they are made available to all financial market participants and competent authorities in the Union in a single place and in a user-friendly manner. To that end, competent authorities should notify ESMA of the results of their calculations and then ESMA should publish those calculations on its website. (10) It is also appropriate to ensure that the pre-trade and post-trade transparency regime established by Regulation (EU) No 600/201 is applied in a uniform manner throughout the Union. In order to carry out the calculations for determining the requirements for the pre-trade and post-trade transparency in accordance with Article 22(1) of Regulation (EU) No 600/2014, the content, frequency of data requests and the formats and timeframe in which trading venues, APAs and CTPs must respond to such requests in accordance with Article 22(4) of Regulation (EU) No 600/2014 should be developed. The results of the calculations made on the basis of the data collected according to Article 22(1) of Regulation (EU) No 600/2014 need to be published in order to inform market participants and achieve pre- and post-trade transparency in practice. It is also appropriate to provide for the possibility of centralised publication of the results of the
calculations so that they are made available to all financial market participants and competent authorities in the Union in a single place and in a user￾friendly manner. To that end, competent authorities should notify European Securities and Markets Authority (ESMA) of the results of their calculations and then ESMA should publish those calculations on its website.

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(11) For ETFs, and contrary to shares, depositary receipts, certificates and other similar financial instruments, the average daily turnover does not appear as an appropriate proxy for the calibration of the large in scale thresholds. For these instruments, the measure of actual liquidity is not adequately captured by the average daily turnover since the creation and redemption mechanisms inherent to ETFs allow to access additional and non-displayed liquidity. In order to reduce the risk of circumvention, it is also important that two ETFs on the same underlying have the same large in scale thresholds regardless of whether they have similar average daily turnover or not. Therefore, this Regulation should establish a single large in scale threshold for all ETFs which should apply regardless of their underlying or of their liquidity. (12) Information which is required to be made available as close to real time as possible should be made available as instantaneously as technically possible, assuming a reasonable level of efficiency and of expenditure on systems on the part of the person concerned. The information should only be published close to the prescribed maximum time limit in exceptional cases where the systems available do not allow for publication in a shorter period of time. (13) Investment firms should make public the details of transactions executed outside a trading venue through an APA. This Regulation should set out the way investment firms report the details of the transactions to APAs and should apply in conjunction with the Regulation on [RTS 13 on DRSP] where the specific requirements applicable to APAs are specified. (14) The transparency requirements aim to ensure that investors have reliable and timely information about the level of trading interest in financial instruments. Information on certain types of transactions such as the transfer of financial instruments as collateral would not provide meaningful information to investors in respect of the level of genuine trading interest in a financial instrument. Requiring investment firms to make public those transactions would cause significant operational challenges and costs without improving the price formation process. Therefore, post-trade transparency obligations in respect of transactions executed outside a trading venue should only apply in the case of a purchase or sale of a share, depositary receipt, ETF, certificate or other similar financial instrument. It is essential that certain transactions such as those involving the use of any such instruments for collateral lending or other purposes where the exchange is determined by factors other than the current market valuation should not be published as they do not contribute to the price discovery process, would only blur the picture for investors and be a hindrance to achieving best execution. (15) Pursuant to Regulation (EU) No 600/2014, transactions executed on a trading venue should be made public by market operators
and investment firms operating a trading venue. In respect of transactions executed outside the rules of a trading venue, it is essential to clarify which investment firm should make public a transaction in cases where both parties to the transaction are investment firms established in the Union to ensure the publication of transactions without duplication. Therefore, the

EN 9 EN responsibility to make a transaction public should always fall on the selling investment firm unless only one of the counterparties is a systematic internaliser and it is the buying firm. (16) Where only one of the counterparties is a systematic internaliser in a given financial instrument and it is also the buying firm for that instrument, it should be responsible for making the transaction public as its clients would expect it to do so and it is better placed to fill in the reporting field mentioning its status of systematic internaliser. To ensure that a transaction is only published once, the systematic internaliser should inform the other party that it is making the transaction public. (17) It is important to maintain current standards for the publication of transactions carried out as back-to-back trades to avoid the publication of a single transaction as multiple trades and to provide legal certainty on which investment firm is responsible for publishing a transaction. Therefore, two matching trades entered at the same time and for the same price with a single party interposed should be published as a single transaction. (18) The new legislation of the European Parliament and of the Council on markets in financial instruments set out in Directive 2014/65/EU and Regulation (EU) No 600/2014 applies from 3 January 2017. To ensure consistency and legal certainty, this Regulation should apply from the same date. However, to ensure that the new transparency regulatory regime can operate effectively from 3 January 2017, and that market participants have sufficient time to implement the new requirements by that date, it is necessary for certain transitional provisions to apply from the date of entry into force of this Regulation. These transitional provisions should enable the collection of data for the calculations and provide for an earlier publication of the most relevant markets in terms of liquidity, the sizes of orders that are large in scale, the deferred publication thresholds and standard market sizes. (19) This Regulation is based on the draft regulatory technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission. (20) ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council3 ,

3 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).

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HAS ADOPTED THIS REGULATION:
CHAPTER I
GENERAL
Article 1
Definitions
For the purposes of this Regulation, the following definitions apply:
(1) ‘portfolio trade’ means transactions in five or more different financial instruments where those transactions are traded at the same time by the same client and as a single lot against a specific reference price; (2) ‘give-up’ or ‘give-in’ means a transaction where an investment firm passes a client trade to, or receives a client trade from, another investment firm for the purpose of post-trade processing; (3) ‘securities financing transaction’ means a securities financing transaction as defined in (EU) Regulation [Article 3(6) of Regulation on reporting and transparency of securities financing transactions];
Article 2
(Article 23(1) of Regulation (EU) No 600/2014) Transactions not contributing to the price discovery process A transaction in shares does not contribute to the price discovery process if any of the following circumstances apply:
(a) the transaction is executed by reference to a price that is calculated over multiple time instances according to a given benchmark, including transactions executed by reference to a volume-weighted average price or a time-weighted average price; (b) the transaction is part of a portfolio trade which includes five or more different shares; (c) the transaction is contingent on the purchase, sale, creation or redemption of a derivative contract or other financial instrument where all the components of the trade are to be executed only as a single lot such as exchanges for related positions; (d) the transaction is executed by a management company as defined in Article 2(1)(b) of Directive 2009/65/EC or an alternative investment fund manager as defined in Article 4(1)(b) of Directive 2011/61/EU which transfers the beneficial ownership of shares

EN 11 EN from one collective investment undertaking to another and where no investment firm is a party to the transaction; (e) the transaction is a give-up or a give-in; (f) the transaction has as its purpose the transferring of shares as collateral in bilateral transactions or in the context of central counterparty margin or collateral requirements or as part of the default management process of a central counterparty; (g) the transaction results in the delivery of shares in the context of the exercise of convertible bonds, options, covered warrants or other similar derivatives; (h) the transaction is a securities financing transaction; (i) the transaction is carried out under the rules or procedures of a trading venue, a central counterparty or a central securities depository to effect a buy-in of unsettled transactions in accordance with Regulation (EU) No 909/2014.
CHAPTER II
PRE-TRADE TRANSPARENCY
SECTION 1
Pre-trade transparency for trading venues
Article 3
(Article 3(1) and (2) of Regulation (EU) No 600/2014) Pre-trade transparency obligations

1. Market operators and investment firms operating a trading venue shall make public the
   range of bid and offer prices and the depth of trading interest at those prices in accordance with the type of trading system they operate and the information requirements set out in Table 1 of Annex I.
2. The transparency requirements referred to in paragraph 1 shall also apply to any
   'actionable indication of interest' as defined in Article 2(1)(33) of Regulation (EU) No 600/2014.
   Article 4
   (Article 4(1)(a) of Regulation (EU) No 600/2014) Most relevant market in terms of liquidity

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1. The most relevant market in terms of liquidity for a share, depositary receipt, ETF,
   certificate or other similar financial instrument shall be the trading venue with the highest turnover within the Union for that financial instrument.
2. For the purpose of determining the most relevant markets in terms of liquidity, competent
   authorities shall calculate the turnover as specified in Article 17(4) in respect of each financial instrument for which they are the competent authority and for each trading venue where that financial instrument is traded.
3. The calculation referred to in paragraph 2 shall have the following characteristics:
   (a) it shall include, for each trading venue, transactions executed under the rules of that trading venue excluding reference price and negotiated transactions as set out in Table 4 of Annex I and transactions executed on the basis of at least one order that has benefitted from a large in scale waiver and where the transactions’ size is above the applicable large in scale threshold as determined in accordance with Article 7; (b) it shall cover the period in the preceding year beginning on 1 January and ending on 31 December 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. This paragraph and paragraph 2 shall not apply to shares, depositary receipts, ETFs, certificates and other similar financial instruments that were first admitted to trading or first traded on a trading venue later than 30 November of the preceding year.
4. Until the most relevant market in terms of liquidity for a specific financial instrument is
   determined in accordance with the procedure specified in paragraphs 1 to 3, the most relevant market in terms of liquidity shall be the trading venue where that financial instrument is first admitted to trading or first traded.
   Article 5
   (Article 4(1)(b) of Regulation (EU) No 600/2014) Specific characteristics of negotiated transactions A negotiated transaction in a share, depositary receipt, ETF, certificate or other similar financial instrument shall be a transaction which is negotiated privately but reported under the rules of a trading venue and where any one of the following circumstances applies:
   (a) two members or participants of that trading venue are involved in any one of the following capacities:
   (i) one is dealing on own account when the other is acting on behalf of a client;

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(ii) both are dealing on own account;
(iii) both are acting on behalf of a client.
(b) one member or participant of that trading venue is either of the following:
(i) acting on behalf of both the buyer and seller; (ii) dealing on own account against a client order.
Article 6
(Article 4(1)(b) of Regulation (EU) No 600/2014) Negotiated transactions subject to conditions other than the current market price A negotiated transaction in shares, depositary receipts, ETFs, certificates and other similar financial instruments is subject to conditions other than the current market price if any of the following circumstances applies:
(a) the transaction is executed in reference to a price that is calculated over multiple time instances according to a given benchmark, including transactions executed by reference to a volume-weighted average price or a time-weighted average price; (b) the transaction is part of a portfolio trade; (c) the transaction is contingent on the purchase, sale, creation or redemption of a derivative contract or other financial instrument where all the components of the trade are meant to be executed only as a single lot such as exchanges for related positions; (d) the transaction is executed by a management company as defined in Article 2(1)(b) of Directive 2009/65/EC or an alternative investment fund manager as defined in Article 4(1)(b) of Directive 2011/61/EU of the European Parliament and of the Council4 which transfers the beneficial ownership of financial instruments from one collective investment undertaking to another and where no investment firm is a party to the transaction; (e) the transaction is a give-up or a give-in;

4 Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010, OJ L 174, 1.7.2011, p.16

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(f) the transaction has as its purpose the transferring of financial instruments as collateral in bilateral transactions or in the context of a central counterparty margin or collateral requirements or as part of the default management process of a central counterparty; (g) the transaction results in the delivery of financial instruments in the context of the exercise of convertible bonds, options, covered warrants or other similar financial derivative; (h) the transaction is a securities financing transaction; (i) the transaction is carried out under the rules or procedures of a trading venue, a central counterparty or a central securities depository to effect buy-in of unsettled transactions in accordance with Regulation (EU) No 909/2014; (j) any other transaction equivalent to those described in points (a) to (i) and which is contingent on technical characteristics which are unrelated to the current market valuation of the financial instrument traded.
Article 7
(Article 4(1)(c) of Regulation (EU) No 600/2014) Size of orders which are large in scale

1. An order in respect of a share, depositary receipt, certificate or other similar financial
   instrument shall be considered to be large in scale compared with normal market size if, on the basis of the average daily turnover for that financial instrument, the order is equal to or larger than the minimum size of orders set out in Tables 1 and 2 of Annex II.
2. An order in respect of an ETF shall be considered to be large in scale compared with
   normal market size if the order is equal to or larger than EUR 1,000,000.
3. For the purpose of determining sizes of orders that are large in scale, competent
   authorities shall calculate the average daily turnover in respect of shares, depositary receipts, certificates and other similar financial instruments traded on a trading venue.
4. The calculation referred to in paragraph 3 shall have the following characteristics:
   (a) it shall include transactions executed in the Union in respect of the financial instrument, whether traded on or outside a trading venue; (b) it shall cover the period in the preceding year beginning on 1 January and ending on 31 December 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.

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This paragraph and paragraph 3 shall not apply to shares, depositary receipts, certificates and other similar financial instruments first admitted to trading or first traded on a trading venue after 30 November of the preceding year.
5. Unless the price or other relevant conditions for the execution of an order are amended,
the waiver from the obligation referred to in Article 3(1) of Regulation (EU) No 600/2014 shall continue to apply in respect of an order that is large in scale compared with normal market size when entered into an order book but that, following partial execution, falls below the threshold applicable for that financial instrument as determined in accordance with paragraphs 1 and 2.
6. Before a share, depositary receipt, certificate or other similar financial instrument is
traded for the first time on a trading venue in the Union, the competent authority shall estimate and publish the average daily turnover for that financial instrument. In doing so, the competent authority shall take into account any previous trading history of that financial instrument and of other financial instruments that are considered to have similar characteristics.
7. The estimated average daily turnover laid down in paragraph 6 shall apply during a six￾week period following the date that the share, depositary receipt, certificate or other similar
financial instrument was admitted to trading or first traded on a trading venue.
8. Before the end of the six-week period, the competent authority shall calculate and publish
the average daily turnover based on the first four weeks of trading.
9. The average daily turnover referred to in paragraph 8 shall apply immediately after its
publication and until an average daily turnover calculated in accordance with paragraph 3 applies.
10. For the purposes of this Article, the average daily turnover shall be calculated by dividing
the total turnover for a particular financial instrument as specified in Article 17(4) by the number of trading days in the period considered on the most relevant market in terms of liquidity for that financial instrument as determined in accordance with Article 4.
Article 8
(Article 4(1)(d) of Regulation (EU) No 600/2014) Type and minimum size of orders held in an order management facility

1. The type of order held in an order management facility of a trading venue pending
   disclosure for which pre-trade transparency obligations may be waived is an order which:
   (a) is intended to be disclosed to the order book operated by the trading venue and is contingent on objective conditions that are defined in advance by the system’s protocol;

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(b) cannot interact with other trading interest prior to disclosure to the order book operated by the trading venue; (c) once disclosed to the order book, interacts with other orders in accordance with the rules applicable to orders of that kind at the time of disclosure.
2. Orders held in an order management facility of a trading venue pending disclosure for
which pre-trade transparency obligations may be waived shall, at the point of entry and following any amendment, have one of the following sizes:
(a) in the case of a reserve order, a size that is greater than or equal to EUR 10,000; (b) for all other orders, a size that is greater than or equal to the minimum tradable quantity set in advance by the system operator under its rules and protocols.
3. A reserve order as referred to in paragraph 2(a) is to be considered a limit order
consisting of a disclosed order relating to a portion of a quantity and a non-disclosed order relating to the remainder of the quantity, where the non-disclosed quantity is capable of execution only after its release to the order book as a new disclosed order.
SECTION 2
Pre-trade transparency for systematic internalisers and investment firms trading outside a trading venue
Article 9
(Article 14(1) of Regulation (EU) No 600/2014) Arrangements for the publication of a firm quote Any arrangement that a systematic internaliser adopts in order to comply with the obligation to make public firm quotes shall satisfy the following conditions:
(a) it includes all reasonable steps necessary to ensure that the information to be published is reliable, monitored continuously for errors, and corrected as soon as errors are detected; (b) it complies with technical arrangements equivalent to those specified for APAs in
Article 15 of Commission Delegated Regulation (EU) [insert reference to RTS DRSP
authorisation, organisational requirement and publication of transactions] that facilitate the consolidation of the data with similar data from other sources; (c) it makes the information available to the public on a non-discriminatory basis; (d) it includes the publication of the time the quotes have been entered or amended in accordance with Article 50 of Directive 2014/65/EU of the European Parliament and of

EN 17 EN the Council5 as specified in Commission Delegated Regulation (EU) [insert reference to RTS on clock synchronisation].
Article 10
(Article 14(3) of Regulation (EU) No 600/2014) Prices reflecting prevailing market conditions The prices published by a systematic internaliser reflect prevailing market conditions where they are close in price to quotes of equivalent sizes for the same financial instrument on the most relevant market in terms of liquidity as determined in accordance with Article 4 for that financial instrument at the time of publication.
Article 11
(Article 14(2) and (4) of Regulation (EU) 600/2014) Standard market size

1. The standard market size for shares, depositary receipts, ETFs, certificates and other
   similar financial instruments for which there is a liquid market shall be determined on the basis of the average value of transactions for each financial instrument and in accordance with
   Table 3 of Annex II.
2. For the purpose of determining the standard market size which is applicable to a specific
   financial instrument as set out in paragraph 1, competent authorities shall calculate the average value of transactions in respect of all the shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on a trading venue for which there is a liquid market and for which they are the competent authority.
3. The calculation referred to in paragraph 2 shall have the following characteristics:
   (a) it shall take into account the transactions executed in the Union in respect of the financial instrument concerned whether executed on or outside a trading venue ; (b) it shall cover the period in the preceding year beginning on 1 January and ending on 31 December or, where applicable, that part of the year during which the financial instrument was traded on a trading venue and was not suspended from trading;

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.

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(c) it shall exclude reference price, negotiated and post-trade large in scale transactions as set out in Table 4 of Annex I. This paragraph and paragraph 2 shall not apply to shares, depositary receipts, ETFs, certificates and other similar financial instruments first admitted to trading or first traded on a trading venue after 30 November of the preceding year.
4. Before a share, depositary receipt, ETF, certificate or other similar financial instrument is
traded for the first time on a trading venue in the Union, the competent authority shall estimate and publish the average value of transactions for that financial instrument. In doing so, the competent authority shall take into account any previous trading history of that financial instrument as well as that of other financial instruments considered to have similar characteristics.
5. The estimated average value of transactions laid down in paragraph 4 shall apply during a
six-week period following the date that the share, depositary receipt, ETF, certificate or other similar financial instrument was first admitted to trading or first traded on a trading venue.
6. Before the end of the six-week period, the competent authority shall calculate and publish
the average value of transactions based on the first four weeks of trading.
7. The average value of transactions in paragraph 6 shall apply immediately after its
publication and until a new average value of transactions calculated in accordance with paragraphs 2 and 3 applies.
8. For the purposes of this Article, the average value of transactions shall be calculated
dividing the total turnover for a particular financial instrument as set out in Article 17(4) by the total number of transactions executed for that financial instrument in the period considered.
CHAPTER III
POST-TRADE TRANSPARENCY FOR TRADING VENUES AND INVESTMENT FIRMS TRADING OUTSIDE A TRADING VENUE
Article 12
(Article 6(1) and Article 20(1) and (2) of Regulation (EU) No 600/2014) Post-trade transparency obligations

1. Investment firms trading outside the rules of a trading venue and market operators and
   investment firms operating a trading venue shall make public, by reference to each transaction, the details set out in Tables 2 and 3 of Annex I and use each applicable flag listed in Table 4 of Annex I.

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2. Where a previously published trade report is cancelled, investment firms trading outside a
trading venue and market operators and investment firms operating a trading venue shall make public a new trade report which contains all the details of the original trade report and the cancellation flag as specified in Table 4 of Annex I.
3. Where a previously published trade report is amended, investment firms trading outside a
trading venue and market operators and investment firms operating a trading venue shall make the following information public:
(a) a new trade report that contains all the details of the original trade report and the cancellation flag as specified in Table 4 of Annex I; (b) a new trade report that contains all the details of the original trade report with all necessary details corrected and the amendment flag as specified in Table 4 of Annex I.
4. Where a transaction between two investment firms is concluded outside the rules of a
trading venue, either on own account or on behalf of clients, only the investment firm that sells the financial instrument concerned shall make the transaction public through an APA.
5. By way of derogation to paragraph 4, if only one of the investment firms party to the
transaction is a systematic internaliser in the given financial instrument and it is acting as the buying firm, only that firm shall make the transaction public through an APA, informing the seller of the action taken.
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 13
(Article 20(1) of Regulation (EU) No 600/2014) Application of post-trade transparency to certain types of transactions executed outside a trading venue The obligation in Article 20(1) of Regulation (EU) 600/2014 shall not apply to the following:
(a) excluded transactions listed under Article 3(5) of Commission Delegated Regulation (EU) No xxx/20xx [insert reference to RTS on obligation to report transactions] where applicable; (b) transactions executed by a management company as defined in Article 2(1)(b) of Directive 2009/65/EC or an alternative investment fund manager as defined in Article 4(1)(b) of Directive 2011/61/EU which transfers the beneficial ownership of financial

EN 20 EN instruments from one collective investment undertaking to another and where no investment firm is a party to the transaction; (c) give-ups and give-ins; (d) transfers of financial instruments as collateral in bilateral transactions or in the context of a central counterparty margin or collateral requirements or as part of the default management process of a central counterparty.
Article 14
(Article 6(1) of Regulation (EU) No 600/2014)
Real time publication of transactions

1. For transactions that take place on a given trading venue, post-trade information shall be
   made public:
   (a) if the transaction takes place during the daily trading hours of the trading venue, as close to real-time as is technically possible and in any case within one minute of the relevant transaction; (b) if the transaction takes place outside the daily trading hours of the trading venue, before the opening of the next trading day for that trading venue.
2. For transactions that take place outside a trading venue, post-trade information shall be
   made public in the following circumstances:
   (a) if the transaction takes place during the daily trading hours of the most relevant market in terms of liquidity determined in accordance with Article 4 for the share, depositary receipt, ETF, certificate or other similar financial instrument concerned, or during the investment firm's daily trading hours, as close to real-time as is technically possible and in any case within one minute of the relevant transaction; (b) in any case not covered by point (a), immediately upon the commencement of the investment firm's daily trading hours and at the latest before the opening of the next trading day of the most relevant market in terms of liquidity determined in accordance with Article 4.
3. Information relating to a portfolio trade shall be made available with respect to each
   constituent transaction as close to real-time as is technically possible, having regard to the need to allocate prices to particular shares, depositary receipts, ETFs, certificates and other similar financial instruments. Each constituent transaction shall be assessed separately for the purposes of determining whether deferred publication in respect of that transaction is applicable pursuant to Article 14.

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Article 15
(Article 7(1) and 20(1) and (2) of Regulation (EU) No 600/2014) Deferred publication of transactions

1. Where a competent authority authorises the deferred publication of the details of
   transactions, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public each transaction no later than at the end of the relevant period set out in Tables 4, 5 and 6 of Annex II provided that the following criteria are satisfied:
   (a) the transaction is between an investment firm dealing on own account other than through matched principal trading and another counterparty; (b) the size of the transaction is equal to or exceeds the relevant minimum qualifying size, as specified in Tables 4 to 6 of Annex II as appropriate.
2. The relevant minimum qualifying size for the purposes of point (b) in paragraph 1 shall
   be determined in accordance with the average daily turnover calculated as set out in Article 7.
3. For transactions for which deferred publication is permitted until the end of the trading
   day, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public the details of those transactions:
   (a) as close to real-time as possible after the end of the trading day which includes the closing auction, if applicable, for transactions executed more than two hours before the end of the trading day; (b) no later than noon local time on the next trading day for transactions not covered in point (a). For transactions that take place outside a trading venue, references to trading days and closing auctions shall be those of the most relevant market in terms of liquidity as determined in accordance with Article 4.
4. Where a transaction between two investment firms is executed outside the rules of a
   trading venue, the competent authority for the purpose of determining the applicable deferral regime shall be the competent authority of the investment firm responsible for making the trade public through an APA in accordance with paragraphs 5 and 6 of Article 12.
   Article 16
   References to trading day and daily trading hours

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1. A reference to a trading day in relation to a trading venue shall be a reference to any day
during which that trading venue is open for trading.
2. A reference to daily trading hours of a trading venue or an investment firm shall be a
reference to the hours which the trading venue or investment firm establishes in advance and makes public as its trading hours.
3. A reference to the opening of the trading day at a given trading venue shall be a reference
to the commencement of the daily trading hours of that trading venue.
4. A reference to the end of the trading day at a given trading venue shall be a reference to
the end of the daily trading hours of that trading venue.
CHAPTER IV
PROVISIONS COMMON TO PRE-TRADE AND POST-TRADE TRANSPARENCY CALCULATIONS
Article 17
(Article 22(1) of Regulation (EU) No 600/2014) Methodology, date of publication and date of application of the transparency calculations
1. By 1 March 2018 and by 1 March of each year thereafter, competent authorities shall, in
relation to each financial instrument for which they are the competent authority, collect the data, calculate and ensure publication of the following information:
(a) the trading venue which is the most relevant market in terms of liquidity as set out in
Article 4(2);
(b) the average daily turnover for the purpose of identifying the size of orders that are large in scale as set out in Article 7(3); (c) the average value of transactions for the purpose of determining the standard market size as set out in Article 11(2).
2. The information published in accordance with paragraph 1 shall apply from 1 April
following its publication.
3. During the course of a calendar year, competent authorities shall ensure that the
information made public as set out in paragraph 1 remains updated and appropriate for the purposes of Regulation (EU) No 600/2014. Updated calculations shall be provided whenever there is a change in relation to a specific share, depositary receipt, ETF, certificate or other similar financial instrument which significantly affects the previous calculations and the published information on an on-going basis.

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4. For the purposes of the calculations referred to in paragraph 1, the turnover in relation to
a financial instrument shall be calculated by summing the results of multiplying, for each transaction executed during a defined period of time, the number of units of that instrument exchanged between the buyers and sellers by the unit price applicable to such transaction.
5. After the end of the trading day but before the end of the day, trading venues shall submit
to competent authorities the details included in Annex III for performing the calculations referred to in paragraph 1 whenever the financial instrument is admitted to trading or first traded on that trading venue or whenever the details previously provided have changed.
Article 18
(Article 22(1) of Regulation (EU) No 600/2014) Reference to competent authorities The competent authority for a specific financial instrument responsible for performing the calculations and making public the information referred to in Articles 4, 7, 11 and 17 shall be the competent authority of the most relevant market in terms of liquidity as defined in Article 26 Regulation (EU) No 600/2014 and specified in Article xx of Commission Delegated Regulation (EU) [insert reference to Article 18 of RTS on reporting obligations under Article 26 of MiFIR].
Article 19
Transitional provisions

1. Competent authorities shall collect the necessary data, calculate and ensure the first
   publication of the information referred to in points (a) to (c) of Article 17(1):
   (a) by 1 December 2016 for financial instruments traded for the first time on a trading venue in the Union before 21 October 2016; (b) by 3 January 2017 for financial instruments traded for the first time on a trading venue in the Union between 21 October 2016 and 2 January 2017.
2. The calculations referred to in paragraph 1 shall be based on:
   (a) available data for the reference period of 1 January 2016 to 30 September 2016 for financial instruments traded for the first time on a trading venue in the Union before 1 September 2016; (b) available data for the first four weeks of trading for financial instruments traded for the first time on a trading venue in the Union between 1 September 2016 and 20 October 2016;

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(c) previous trading history of that financial instrument or of other financial instruments considered to have similar characteristics for financial instruments traded for the first time on a trading venue in the Union between 21 October 2016 and 2 January 2017.
3. The information published in accordance with paragraphs 1 and 2 shall apply from 3
January 2017 until 31 March 2018. During that period, for the financial instrument referred to in points (b) and (c) of paragraph 2, competent authorities shall ensure that the information made public remains appropriate for the purposes of Regulation (EU) No 600/2014 and, where necessary, update the information previously published on the basis of longer and more comprehensive trading history data.
Article 20
Entry into force and application
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. It shall apply from 3 January 2017, except Article 19 which shall apply immediately following the entry into force of this Regulation. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, For the Commission The President [For the Commission On behalf of the President [Position]

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Annex I: Information to be made public
Table 1
Description of the type of trading systems and the related information to be made public in accordance with Article 3 Type of trading system Description of the trading system Information to be made public Continuous auction order book trading system A system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis. The aggregate number of orders and the shares, depositary receipts, ETFs, certificates and other similar financial instruments that they represent at each price level for at least the five best bid and offer price levels. Quote-driven trading system A system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself. The best bid and offer by price of each market maker in shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on the trading system, together with the volumes attaching to those prices. The quotes made public shall be those that represent binding commitments to buy and sell the financial instruments and which indicate the price and volume of financial instruments in which the registered market makers are prepared to buy or sell. In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time. Periodic auction trading system A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention. The price at which the auction trading system would best satisfy its trading algorithm in respect of shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on the trading system and the volume that would potentially be executable at that price by participants in that system. Request for quote trading system A trading system where a quote or quotes are provided in response to a request for quote submitted by one or more members or participants. The quote is executable exclusively by the requesting member or participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request. The quotes and the attached volumes from any member or participant which, if accepted, would lead to a transaction under the system’s rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable.

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Any other trading system
Any other type of trading system, including a hybrid system falling into two or more of the types of trading systems referred to in this table. Adequate information as to the level of orders or quotes and of trading interest in respect of shares, depositary receipts, ETFs, certificates and other similar financial instruments traded on the trading system; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in that instrument, if the characteristics of the price discovery mechanism so permit.

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Table 2
Symbol table for Table 3
Symbol Data type Definition
{ALPHANUM-n}
Up to n alphanumerical characters
Free text field.
{CURRENCYCODE_3} 3 alphanumerical characters 3 letter currency code, as defined by ISO 4217 currency codes {DATE_TIME_FORMA T} ISO 8601 date and time format Date and time in the following format:
YYYY-MM-DDThh:mm:ss.ddddddZ.

• ‘YYYY’ is the year;
• ‘MM’ is the month;
• ‘DD’ is the day;
• ‘T’ – means that the letter ‘T’ shall be used
• ‘hh’ is the hour;
• ‘mm’ is the minute;
• ‘ss.dddddd’ is the second and its fraction of a second;
• Z is UTC time.
  Dates and times shall be reported in UTC.
  {DECIMAL-n/m}
  Decimal number of up to n digits in total of which up to m digits can be fraction digits Numerical field for both positive and negative values.
• decimal separator is '.' (full stop);
• negative numbers are prefixed with '-' (minus);
  Where applicable, values shall be rounded and not truncated.
  {ISIN} 12 alphanumerical characters
  ISIN code, as defined in ISO 6166
  {MIC} 4 alphanumerical characters Market identifier as defined in ISO 10383

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Table 3
List of details for the purpose of post-trade transparency Field identifier Description and details to be published Type of execution or publication venue Format to be populated as defined in Table 2 Trading date and time Date and time when the transaction was executed. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 3 of [RTS 25 on clock synchronization under article 50 of Directive 2014/65/EU]. For transactions not executed on a trading venue, the date and time when the parties agree the content of the following fields: quantity, price, currencies in fields 31,34 and 44 as specified in Table 2 of Annex 1 of [Commission Regulation (EU) on reporting obligations under Article 26 of Regulation (EU) No 600/2014)], instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 5 of [draft RTS on reporting obligations under Article 26 of MiFIR] were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission. Regulated Market (RM), Multilateral Trading Facility (MTF) ,Organised Trading Facility (OTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP) {DATE_TIME_FORMAT} Instrument identification code Code used to identify the financial instrument RM, MTF APA CTP {ISIN} Price Traded price of the transaction excluding, where applicable, commission and accrued interest. Where price is reported in monetary terms, it shall be provided in the major currency unit. Where price is currently not available but pending, the value should be ‘PNDG’. Where price is not applicable the field shall not be populated. . RM, MTF APA CTP {DECIMAL-18/13} in case the price is expressed as monetary value {DECIMAL-11/10} in case the price is expressed as percentage or yield ’PNDG’ in case the price is not available

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The information reported in this field shall be consistent with the values provided in field Quantity. Price currency Currency in which the price is expressed (applicable if the price is expressed as monetary value). RM, MTF APA CTP {CURRENCYCODE_3} Quantity Number of units of the financial instruments. The nominal or monetary value of the financial instrument. The information reported in this field shall be consistent with the values provided in field Price. RM, MTF APA CTP {DECIMAL-18/17} in case the quantity is expressed as number of units {DECIMAL-18/5} in case the quantity is expressed as monetary or nominal value Venue of execution Identification of the venue where the transaction was executed. Use the ISO 10383 segment MIC for transactions executed on a trading venue, . Where the segment MIC does not exist, use the operating MIC. Use MIC code ‘XOFF’ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue, systematic internaliser or organised trading platform outside of the Union,. 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. RM, MTF APA CTP trading venues: {MIC} Systematic internalisers:
’SINT’
Publication date and time
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 5 of [RTS 25 on clock synchronization under article 50 of Directive 2014/65/EU]. For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies in fields 31, 34 and 44 as specified in Table 2 of Annex 1 of [RTS Transaction Reporting], 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. RM, MTF APA CTP {DATE_TIME_FORMAT}

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Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 5 of [RTS Transaction Reporting] were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission. Venue of Publication Code used to identify the trading venue or APA publishing the transaction. CTP trading venue: {MIC} APA: ISO 10383 segment MIC (4 characters) where available. Otherwise, 4 character code as published in the list of data reporting services providers on ESMA’s website. Transaction identification code Alphanumerical code assigned by trading venues (pursuant to Article 12 of Regulation (EU) on [the maintenance of relevant data relating to orders in financial instruments under
Article 25 of MiFIR]] and APAs and
used in any subsequent reference to the specific trade.
The transaction identification code shall be unique, consistent and persistent per ISO10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day. Where the APA does not use MICs, it should be unique, consistent and persistent per 4-character code used to identify the APA per trading day. The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained RM, MTF APA CTP {ALPHANUMERICAL￾52}

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Table 4
List of flags for the purpose of post-trade transparency Flag Name Type of execution or publication venue Description ‘BENC’ Benchmark transactions flag RM, MTF APA CTP 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. ‘ACTX’ Agency cross transactions flag RM, MTF APA CTP Transactions where an investment firm has brought together clients’ orders with the purchase and the sale conducted as one transaction and involving the same volume and price. ‘NPFT’ Non-price forming transactions flag RM, MTF CTP Transactions where the exchange of financial instruments is determined by factors other than the current market valuation of the financial instrument as listed under Article 13. ‘TNCP’ Transactions not contributing to the price discovery process for the purposes of Article 23 of Regulation (EU) No 600/2014 flag RM, MTF APA CTP Transaction not contributing to the price discovery process for the purposes of Article 23 of Regulation (EU) No 600/2014 and as set out in
Article 2.
‘SDIV’ Special dividend transaction flag
RM, MTF
APA
CTP
Transactions that are either:
executed during the ex￾dividend period where the dividend or other form of distribution accrues to the buyer instead of the seller; or executed during the cum￾dividend period where the dividend or other form of distribution accrues to the seller instead of the buyer. “LRGS” Post-trade large in scale transaction flag RM, MTF APA CTP Transactions that are large in scale compared with normal market size for which deferred publication is permitted under Article 14.

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‘RFPT’ Reference price transaction flag
RM, MTF
CTP
Transactions which are executed under systems operating in accordance with Article 4(1)(a) of Regulation (EU) No 600/2014. ‘NLIQ’ Negotiated transaction in liquid financial instruments flag RM, MTF CTP Transactions executed in accordance with Article 4(1)(b)(i) of Regulation (EU) No 600/2014. ‘OILQ’ Negotiated transaction in illiquid financial instruments flag RM, MTF CTP Transactions executed in accordance with Article 4(1)(b)(ii) of Regulation (EU) No 600/2014. ‘PRIC’ Negotiated transaction subject to conditions other than the current market price flag RM, MTF CTP Transactions executed in accordance with Article 4(1)(b)(iii) of Regulation (EU) No 600/2014 and as set out in Article 6. ‘ALGO’ Algorithmic transaction flag RM, MTF CTP Transactions executed as a result of an investment firm engaging in algorithmic trading as defined in Article 4(1)(39) of Directive 2014/65/EU. ‘SIZE’ Transaction above the standard market size flag APA CTP Transactions executed on a systematic internaliser where the size of the incoming order was above the standard market size as determined in accordance with Article 11. ‘ILQD’ Illiquid instrument transaction flag APA CTP Transactions in illiquid instruments as determined in accordance with
Article
s 1 to 9 of
Commission Delegated
Regulation [MiFIR Level
2] executed on a systematic internaliser.
‘RPRI’
Transactions which have received price improvement flag APA CTP Transactions executed on a systematic internaliser with a price improvement in accordance with Article 15(2) of Regulation (EU) No 600/2014. ‘CANC’ Cancellation flag RM, MTF APA CTP When a previously published transaction is cancelled. ‘AMND’ Amendment flag RM, MTF APA CTP When a previously published transaction is amended.

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‘DUPL’ Duplicative trade reports flag APA
When a transaction is reported to more than one APA in accordance with
Article 17(1) of
Commission Delegated
Regulation (EU) on
[DRSP RTS}

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Annex II: Orders large in scale compared with normal market size, standard market sizes and deferred publications and
delays
Table 1
Orders large in scale compared with normal market size for shares and depositary receipts Average daily turnover (ADT) in EUR ADT < 50 000 50 000 ≤ ADT < 100 000 100 000 ≤ ADT < 500 000 500 000 ≤ ADT < 1 000 000 1 000 000 ≤ ADT < 5 000 000 5 000 000 ≤ ADT < 25 000 000 25 000 000 ≤ ADT < 50 000 000 50 000 000 ≤ ADT < 100 000 000 ADT ≥ 100 000 000 Minimum size of orders qualifying as large in scale compared with normal market size in EUR 15 000 30 000 60 000 100 000 200 000 300 000 400 000 500 000 650 000
Table 2
Orders large in scale compared with normal market size certificates and other similar financial instruments Average daily turnover (ADT) in EUR ADT < 50 000 ADT ≥ 50 000 Minimum size of orders qualifying as large in scale compared with normal market size in EUR 15 000 30 000

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Table 3
Standard market sizes
Average value of transactions
(AVT) in EUR
AVT< 20 000 20 000 ≤ AVT <
40 000
40 000 ≤ AVT <
60 000
60 000 ≤ AVT <
80 000
80 000 ≤ AVT <
100 000
100 000 ≤ AVT
< 120 000
120 000 ≤ AVT
< 140 000 Etc.
Standard market size 10 000 30 000 50 000 70 000 90 000 110 000 130 000 Etc.

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Table 4
Deferred publication thresholds and delays for shares and depositary receipts Average daily turnover (ADT) in EUR Minimum qualifying size of transaction for permitted delay in EUR Timing of publication after the transaction

100m
10,000,000 60 minutes
20,000,000 120 minutes
35,000,000 End of the trading day
50m – 100m
7,000,000 60 minutes
15,000,000 120 minutes
25,000,000 End of the trading day
25m – 50m
5,000,000 60 minutes
10,000,000 120 minutes
12,000,000 End of the trading day
5m – 25m
2,500,000 60 minutes
4,000,000 120 minutes
5,000,000 End of the trading day
1m – 5m
450,000 60 minutes
750,000 120 minutes
1,000,000 End of the trading day
500,000 – 1m
75,000 60 minutes
150,000 120 minutes
225,000 End of the trading day
100,000 – 500,000
30,000 60 minutes
80,000 120 minutes
120,000 End of the trading day
50,000 – 100,000
15,000 60 minutes
30,000 120 minutes
50,000 End of the trading day
< 50,000
7,500 60 minutes
15,000 120 minutes
25,000 End of the next trading day

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Table 5
Deferred publication thresholds and delays for ETFs Minimum qualifying size of transaction for permitted delay in EUR Timing of publication after the transaction 10 000 000 60 minutes 50 000 000 End of the trading day
Table 6
Deferred publication thresholds and delays for certificates and other similar financial instruments Average daily turnover (ADT) in EUR Minimum qualifying size of transaction for permitted delay in EUR Timing of publication after the transaction ADT < 50 000 15 000 120 minutes 30 000 End of the trading day ADT ≥ 50 000 30 000 120 minutes 60 000 End of the trading day

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Annex III: Reference data to be provided for the purpose of transparency
calculations
Table 1
Symbol table
Symbol Data Type Definition
{ALPHANUM-n}
Up to n alphanumerical characters
Free text field.
{ISIN} 12 alphanumerical characters ISIN code, as defined in ISO 6166 {MIC} 4 alphanumerical characters Market identifier as defined in ISO 10383
Table 2
Details of the reference data to be provided for the purpose of transparency calculations

Field Details to be reported Format and standards for

reporting
1
Instrument identification code Code used to identify the financial instrument {ISIN} 2 Instrument full name Full name of the financial instrument {ALPHANUM-350} 3 Trading venue Segment MIC for the trading venue or systematic internaliser, where available, otherwise operational MIC. {MIC} 4 MiFIR identifier Identification of equity financial instruments Shares as referred to in Article 4(44)(a) of Directive 2014/65/EU; Depositary receipts as defined in Article 4(45) of Directive 2014/65/EU; ETF ‘as defined in Article 4(46) of Directive 2014/65/EU; Certificates as defined in Article 2(1)(27) of Regulation (EU) No 600/2014; Other equity-like financial instrument is a transferable security which is an equity instrument similar to a share, ETF, depositary receipt or certificate but other than a share, ETF, depositary receipt or certificate. Equity financial instruments:
SHRS = shares
ETFS = ETFs
DPRS = depositary receipts
CRFT = certificates
OTHE = other equity-like financial instruments

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RTS 2: Draft regulatory technical standards on transparency requirements in respect of bonds, structured finance products, emission allowances and derivatives EUROPEAN COMMISSION Brussels, XXX … XXX draft COMMISSION DELEGATED REGULATION (EU) No …/.. of XXX […]

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COMMISSION DELEGATED REGULATION (EU) No …/.. of [date] supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (Text with EEA relevance) THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/20121 , and in particular Article 1(8), Article 9(5), Article 11(4), Article 21(5) and
Article 22(4) thereof,
Whereas:
(1) A high degree of transparency is essential to ensure that investors are adequately informed as to the true level of actual and potential transactions in bonds, structured finance products, emission allowances and derivatives irrespective of whether those transactions take place on regulated markets, multilateral trading facilities (MTFs), organised trading facilities, systematic internalisers, or outside those facilities. This high degree of transparency should also establish a level playing field between trading venues so that the price discovery process in respect of particular financial instruments is not impaired by the fragmentation of liquidity, and investors are not thereby penalised. (2) At the same time, it is essential to recognise that there may be circumstances where exemptions from pre-trade transparency or deferrals of post-trade transparency obligations should be provided to avoid the impairment of liquidity as an unintended consequence of obligations to disclose transactions and thereby to make public risk positions. Therefore, it is appropriate to specify the precise circumstances under which waivers from pre-trade transparency and deferrals from post-trade transparency may be granted.

1 OJ L 173, 12.6.2014, p.84.

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(3) The provisions in this Regulation are closely linked, since they deal with specifying the pre-trade and post-trade transparency requirements that apply to trading in non￾equity financial instruments. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view for stakeholders and, in particular, those subject to the obligations it is necessary to include these regulatory technical standards in a single Regulation. (4) Where competent authorities grant waivers in relation to pre-trade transparency requirements or authorise the deferral of post-trade transparency obligations, they should treat all regulated markets, multilateral trading facilities, organised trading facilities and investment firms trading outside of trading venues equally and in a non￾discriminatory manner. (5) It is appropriate to provide for clarification of a limited number of technical terms. Those technical definitions are necessary to ensure the uniform application in the Union of the provisions contained in this Regulation and, hence, contribute to the establishment of a single rulebook for Union financial markets. Those definitions are purely functional for the purpose of setting out the transparency obligations for non￾equity financial instruments and should be strictly limited to understanding this Regulation. (6) Exchange-traded-commodities (ETCs) and exchange-traded notes (ETNs) subject to this Regulation should be considered as debt instruments due to their legal structure. However, since they are traded in a similar fashion to ETFs a similar transparency regime as that of ETFs should be applied. (7) In accordance with Regulation (EU) No 600/2014, a number of instruments should be considered to be eligible for a pre-trade transparency waiver for instruments for which there is not a liquid market. This includes in particular derivatives subject to the clearing obligation but for which ESMA has determined that they shall not be subject to the trading obligation as well as bonds, derivatives, structured finance products and emission allowances which are not liquid. (8) A trading venue operating a request for quote (RFQ) system should at least make public all the firm bid and offer prices or actionable indications of interest and the depth attached to those prices no later than at the time when the requester is able to execute a transaction under the system’s rules. This is to ensure that members or participants who are providing their quotes to the requester first are not put at a disadvantage. (9) The majority of liquid covered bonds are mortgage bonds issued to grant loans for financing private individuals’ purchase of a home and the average value of which is directly related to the value of the loan. In this market, liquidity providers ensure that professional investors trading in large sizes are matched with home owners trading in small sizes. To avoid disruption of this function and
contingent detrimental

EN 42 EN consequences for home owners, the size specific to the instrument above which liquidity providers may benefit from a pre-trade transparency waiver should be set at a the trade size below which lie 40 percent of the transactions since this trade size is deemed reflective of the average price of a home. (10) Information which is required to be made available as close to real time as possible should be made available as instantaneously as technically possible, assuming a reasonable level of efficiency and of expenditure on systems on the part of the person concerned. The information should only be published close to the prescribed maximum time limit in exceptional cases where the systems available do not allow for a publication in a shorter period of time. (11) Investment firms should make public the details of transactions executed outside a trading venue through an Approved Publication Arrangement (APA). This Regulation should set out the way investment firms report their transactions to APAs and should apply in conjunction with Regulation (EU) XXX on [RTS 13 on DRSP] where the specific requirements applicable to APAs are specified. (12) Regulation (EU) No 600/2014 provides for the possibility to specify the application of the obligation of post-trade disclosure of transactions executed between two investment firms, including systematic internalisers, in bonds, structured finance products, emission allowances and derivatives which are determined by factors other than the current market valuation, such as the transfer of financial instruments as collateral. Since such transactions do not contribute to the price discovery process, risk to blur the picture for investors and hinder achieving best execution, this Regulation specifies the transactions determined by factors other than the current market valuation which should not be made public. (13) Investment firms often conduct, on own account or on behalf of clients, transactions in derivatives and other financial instruments or assets that are composed by a number of interlinked, contingent trades. Such package transactions enable investment firms and their clients to better manage their risks with the price of each component of the package transaction reflecting the overall risk profile of the package rather than the prevailing market price of each component. Package transactions can take various forms, such as exchange for physicals, trading strategies executed on trading venues or bespoke package transactions and it is important to take those specificities into account when calibrating the applicable transparency regime. It is therefore appropriate to specify for the purpose of this Regulation the conditions for applying deferrals from post-trade transparency to package transactions. Such arrangements should not be available for transactions which hedge financial instruments conducted in the normal course of the business. (14) Exchange for physicals are an integral part of financial
markets, allowing market participants to organise and execute exchange-traded derivatives transactions which are linked directly to a transaction in the underlying physical market. They are widely

EN 43 EN used and they involve a multitude of actors, such as farmers, producers, manufacturers and processors of commodities. Typically an exchange for physical transaction will take place when a seller of a physical asset seeks to close out his corresponding hedging position in a derivative contract with the buyer of the physical asset, when the latter happens to also hold a corresponding hedge in the same derivative contract. They therefore facilitate the efficient closing out of hedging positions which are not necessary anymore. (15) Pursuant to Regulation (EU) No 600/2014, transactions executed on a trading venue should be made public by market operators and investment firms operating a trading venue. In respect of transactions concluded outside the rules of a trading venue, it is essential to clarify which investment firm should make public a transaction in cases where both parties to the transaction are investment firms established in the Union to ensure the publication of transactions without duplication. Therefore, the responsibility to make a transaction public should always fall on the selling investment firm unless only one of the counterparties is a systematic internaliser and it is the buying firm. (16) Where only one of the counterparties is a systematic internaliser in a given financial instrument and it is also the buying firm for that instrument, it should be responsible for making the transaction public as its clients would expect it to do so and it is better placed to fill in the reporting field mentioning its status of systematic internaliser. To ensure that a transaction is only published once, the systematic internaliser should inform the other party that it is making the transaction public. (17) It is important to maintain current standards for the publication of transactions carried out as back-to-back trades to avoid the publication of a single transaction as various trades and to provide legal certainty on which investment firm is responsible for publishing a transaction. Therefore, two matching trades entered at the same time and for the same price with a single party interposed should be published as a single transaction. (18) Regulation (EU) 600/2014 allows competent authorities to require the publication of supplementary details when publishing information benefitting from a deferral, or to allow deferrals for an extended time period. In order to contribute to the uniform application of these provisions across the Union, it is necessary to frame the condition and criteria under which supplementary deferrals may be allowed by competent authorities. (19) Trading in many non-equity financial instruments, and in particular derivatives, is episodic, variable and subject to regular modifications of trading patterns. Static determinations of financial instruments which do not have a liquid market and of the various thresholds for the purpose of calibrating pre-trade and post-trade transparency obligations without providing
for the possibility to adapt the liquidity status and the thresholds in light of changes in trading patterns would therefore not be suitable. It is

EN 44 EN appropriate to set out the methodology and parameters which are necessary to perform the liquidity assessment and the calculation of the thresholds for the application of pre￾trade transparency waivers and deferral of post-trade transparency on a periodic basis. (20) In order to ensure consistent application of the waivers to pre-trade transparency and the post-trade deferrals it is necessary to create uniform rules regarding the content and frequency of data competent authorities may request from trading venues, APAs and Consolidated Tape Providers (CTPs) for transparency purposes as well as the methodology for calculating the respective thresholds and for publishing the information across the Union. Rules on the specific methodology and data necessary to perform calculations for the purpose of specifying the transparency regime applicable to non-equity financial instruments should be applied in conjunction with Regulation (EU) No [RTS 3 on Article 22 and DVC] which specifies in more general terms, the common elements with regard to the content and frequency of data requests to be addressed to trading venues, APAs and CTPs for the purposes of transparency and other calculations. (21) For bonds, except ETCs and ETNs, transactions below EUR 100,000 should be excluded from the calculations of pre-trade and post-trade transparency thresholds, as those are considered to be of a retail size in accordance with Article 3(2) of Directive 2003/71/EC of the European Parliament and of the Council 2 . Those retail-sized transactions should in all cases benefit from the new transparency regime and any threshold giving rise to a waiver or deferral from transparency should be set above that level. (22) The purpose of the exemption from transparency obligations set out in Regulation (EU) No 600/2014 is to ensure that the effectiveness of operations conducted by the Eurosystem in the performance of primary tasks as set out in the Statute of the European System of Central Banks and of the European Central Bank annexed to the Treaty on the European Union (the Statute), and under equivalent national provisions for members of the European System of Central Banks (ESCB) in Member States whose currency is not the euro, which relies on the timeliness and confidentiality of transactions, should not be compromised by disclosure of information on such transactions. It is crucial for central banks to be able to control whether, when and how information about their actions is disclosed so as to maximise the intended impact and limit any unintended impact on the market. Therefore, legal certainty should be provided for the members of the ESCB and their respective counterparties as to the scope of the exemption from transparency requirements.

2 Directive 2003/71/EC of the European Parliament and of the Council of 4 November 2003 on the prospectus to be published when securities are offered to the public or admitted to trading and amending Directive 2001/34/EC (OJ L 345, 31.12.2003, p. 64).

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(23) One of the primary ESCB tasks under the Treaty on the Functioning of the EU (TFEU) and the Statute and under equivalent national provisions for members of the ESCB in Member States whose currency is not the euro, appears to be the performance of foreign exchange policy, which entails holding and managing foreign reserves to ensure that, whenever needed, there is a sufficient amount of liquid resources available for its foreign exchange policy operations. The application of transparency requirements to foreign reserve management operations may result in unintended signals to the market, which could interfere with the foreign exchange policy of the Eurosystem and of members of the ESCB in Member States whose currency is not the euro. Similar considerations may also apply to foreign reserve management operations in the performance of monetary and financial stability policy on a case-by-case basis. (24) The exemption from transparency obligations for transactions where the counterparty is a member of the ESCB should not apply in respect of transactions entered into by any member of the ESCB in performance of their investment operations. This should include operations conducted for administrative purposes or for the staff of the member of the ESCB, including transactions conducted in the capacity as an administrator of a pension scheme in accordance with Article 24 of the Statute. (25) The temporary suspension of liquidity obligations should only be imposed in exceptional situations which represent a significant decline in liquidity across a class of financial instruments based on objective and measurable factors. It is necessary to differentiate between classes initially determined as having or not having a liquid market as a further significant decline in relative terms in a class already determined as illiquid is likely to occur more easily. Therefore, a suspension of transparency requirements in instruments determined as not having a liquid market should be imposed only if a decline by a higher relative threshold has occurred. (26) This Regulation should ensure that the pre-trade and post-trade transparency regime established by Regulation (EU) No 600/2014 is appropriately calibrated to the market and is applied in a uniform manner throughout the Union. It is therefore essential that this Regulation lays down the necessary calculations to be performed, including their periods and methods. In this respect, to avoid market distorting effects, the calculation periods specified in this Regulation should ensure that the relevant thresholds of the regime are updated at appropriate intervals to reflect market conditions. It is also appropriate to provide for the centralised publication of the results of the calculations so that they are made available to all financial market participants and competent authorities in the Union in a single place and in a user-friendly manner. To that end, competent authorities should notify ESMA of the results of
their calculations and then ESMA should publish those calculations on its website. (27) For the purpose of the transparency calculations, reference data is necessary as to determine unequivocally to which sub-asset class each financial instrument belongs. Therefore, this Regulation requires trading venues to provide additional reference data

EN 46 EN to that established by Regulation (EU) No. xx/xxxx [RTS on Art 27 MiFIR – Reference data]. (28) For the purpose of the determination of the sub-classes of financial instruments not having a liquid market for the asset-class of foreign exchange derivatives, the lack of data allowing a comprehensive analysis of the entire market permitted the definition of the qualitative liquidity criteria to be considered for the segmentation of the asset class but prevented the determination of the liquidity thresholds. As a result, until data of better quality is available, the asset class of foreign exchange derivatives should be considered not to have a liquid market. (29) The new legislation of the European Parliament and of the Council on markets in financial instruments set out in Directive 2014/65/EU and Regulation (EU) No 600/2014 applies from 3 January 2017. To ensure consistency and legal certainty, this Regulation should apply from the same date. However, to ensure that the new transparency regulatory regime can operate effectively from 3 January 2017, and that market participants have sufficient time to implement the new requirements by that date, it is necessary for certain transitional provisions to apply from the date of entry into force of this Regulation. These transitional provisions should enable the collection of data on a best effort basis for the transparency purposes and provide for an earlier publication of instruments or classes of instruments for which there is not a liquid market and of the thresholds for pre-trade waivers and deferrals to post-trade transparency. (30) This Regulation is based on the draft regulatory technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission. (31) ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council3 , HAS ADOPTED THIS REGULATION:
CHAPTER I
DEFINITIONS
Article 1

3 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).

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Definitions
For the purposes of this Regulation, the following definitions shall apply:
(1) ‘Exchange for physical’ (EFP) means a transaction in a derivative contract or other financial instrument contingent on the simultaneous execution of an equivalent quantity of an underlying physical asset. (2) ‘Package transaction’ means:
(a) an EFP; or
(b) a transaction involving the execution of two or more: component transactions in financial instruments:
(i) which is executed between two or more counterparties; (ii) where each component bears meaningful economic or financial risk which is related with all the other components; (iii) where the execution of each component is simultaneous and contingent upon the execution of all other components.
CHAPTER II
PRE-TRADE TRANSPARENCY FOR REGULATED MARKETS, MULTILATERAL TRADING FACILITIES AND ORGANISED TRADING FACILITIES
Article 2
(Article 8(1) and (2) of Regulation (EU) No 600/2014) Pre-trade transparency obligations Market operators and investment firms operating a trading venue shall make public the range of bid and offer prices and the depth of trading interest at those prices, in accordance with the type of trading system they operate and the information requirements set out in Annex I.
Article 3
(Article 9(1)(a) of Regulation (EU) No 600/2014) Size of orders which are large in scale An order is large in scale compared with normal market size if, at the point of entry or following any amendment, it is equal to or larger than the minimum size of order which shall be determined in accordance with the procedure set out in Article 13.

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Article 4
(Article 9(1)(a) of Regulation (EU) No 600/2014) Type and minimum size of orders held in an order management facility
1. The type of order held in an order management facility of a trading venue pending
disclosure for which pre-trade transparency obligations may be waived is an order which:
(a) is intended to be disclosed to the order book operated by the trading venue and is contingent on objective conditions that are defined in advance by the system’s protocol; (b) cannot interact with other trading interest prior to disclosure to the order book operated by the trading venue; (c) once disclosed to the order book it interacts with other orders in accordance with the rules applicable to orders of that kind at the time of disclosure.
2. Orders held in an order management facility of a trading venue pending disclosure for
which pre-trade transparency obligations may be waived shall, at the point of entry and following any amendment, have one of the following sizes:
(a) in the case of a reserve order, a size that is greater than or equal to EUR10,000; (b) for all other orders, a size that is greater than or equal to the minimum tradable quantity set in advance by the system operator under its rules and protocols.
3. A reserve order as referred to in paragraph 2(a) is to be considered a limit order
consisting of a disclosed order relating to a portion of the quantity and a non-disclosed order relating to the remainder of the quantity, where the non-disclosed quantity is capable of execution only after its release to the order book as a new disclosed order.
Article 5
(Articles 8(4) and 9(1)(b) of Regulation (EU) No 600/2014) Size specific to the financial instrument and definitions of request-for-quote and voice￾trading systems
1. An actionable indication of interest is above the size specific to the financial instrument
if, at the point of entry or following any amendment, it is equal to or larger than the minimum size of an actionable indication of interest which shall be determined in accordance with the procedure set out in Article 13.
2. Indicative pre-trade prices for actionable indications of interest that are above the size
specific to the financial instrument determined in accordance with paragraph 1 and smaller

EN 49 EN than the relevant large in scale size determined in accordance with Article 3 shall be considered close to the price of the trading interests if the trading venue makes public any of the following:
(a) the best available price;
(b) a simple average of prices;
(c) an average price weighted on the basis of the volume, price, time or the number of actionable indications of interest.
3. Market operators and investment firms operating a trading venue shall make public the
methodology for calculating and the time of publication when entering and updating indicative pre-trade prices.
4. A ‘request-for-quote system’ means a trading system where the following conditions are
met:
(a) a quote or quotes by a member or participant are provided in response to a request for a quote submitted by one or more other members or participants; (b) the quote is executable exclusively by the requesting member or participant; (c) the requesting member or market participant may conclude a transaction by accepting the quote or quotes provided to it on request.
5. A ‘voice trading system’ means a trading system where transactions between members
are arranged through voice negotiation.
Article 6
(Articles 9(1)(c) of Regulation (EU) No 600/2014) The classess of financial instruments for which there is not a liquid market A financial instrument or a class of financial instruments shall be considered not to have a liquid market if so specified in accordance with the procedure set out in Article 13.
CHAPTER II
POST-TRADE TRANSPARENCY FOR TRADING VENUES AND INVESTMENT FIRMS TRADING OUTSIDE A TRADING VENUE
Article 7
(Articles 10(1) and Article 21(1) of Regulation (EU) No 600/2014)

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Post-trade transparency obligations

1. Investment firms trading outside the rules of a trading venue and market operators and
   investment firms operating a trading venue shall make public by reference to each transaction the details set out in Tables 1 and 2 of Annex II and use each applicable flag listed in Table 3 of Annex II.
2. Where a previously published trade report is cancelled, investment firms trading outside a
   trading venue and market operators and investment firms operating a trading venue shall make public a new trade report which contains all the details of the original trade report and the cancellation flag as specified in Table 3 of Annex II.
3. Where a previously published trade report is amended, investment firms trading outside a
   trading venue and market operators and investment firms operating a trading venue shall make the following information public:
   (a) a new trade report that contains all the details of the original trade report and the cancellation flag as specified in Table 3 of Annex II; (b) a new trade report that contains all the details of the original trade report with all necessary details corrected and the amendment flag as specified in Table 3 of Annex II.
4. Post-trade information shall be made available as close to real time as is technically
   possible and in any case:
   (a) within 15 minutes after the execution of the relevant transaction from 3 January 2017 until 1 January 2020; (b) within 5 minutes after the execution of the relevant transaction after 1 January 2020.
5. Where a transaction between two investment firms is concluded outside the rules of a
   trading venue, either on own account or on behalf of clients, only the investment firm that sells the financial instrument concerned shall make the transaction public through an APA.
6. By way of derogation to paragraph 5, if only one of the investment firms party to the
   transaction is a systematic internaliser in the given financial instrument and it is acting as the buying firm, only that firm shall make the transaction public through an APA, informing the seller of the action taken.
7. Investment firms shall take all reasonable steps to ensure that the transaction is made
   public as a single transaction. For that purpose, two matching trades entered at the same time and for the same price with a single party interposed shall be considered to be a single transaction.
8. Information relating to a package transaction shall be made available with respect to each
   component as close to real-time as is technically possible, having regard to the need to

EN 51 EN allocate prices to particular financial instruments and including the package transaction flag or the exchange for physicals transaction flag as specified in Table 3 of Annex II. Where the package transaction is eligible for deferred publication, information on all components shall be made available after the deferral period for the transaction has lapsed.
Article 8
(Article 11(1) and (3) and Article 21(4) of Regulation (EU) No 600/2014) Deferred publication of transactions

1. Where a competent authority authorises the deferred publication of the details of
   transactions, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public each transaction no later than 19:00 local time on the second working day after the date of the transaction, provided one of the following conditions is satisfied:
   (a) The transaction is large in scale compared with the normal market size as specified in
   Article 9;
   (b) The transaction is in a financial instrument or a class of financial instruments for which there is not a liquid market as specified in accordance with the procedure set out in
   Article 13;
   (c) The transaction is executed between an investment firm dealing on own account other than on a matched principal basis as per article 4(1)(38) of Directive 2014/65/EU and another counterparty and is above a size specific to the instrument as specified in Article 10; (d) It is a package transaction which meets one of the following criteria:
   (i) one or more of its components are financial instruments which do not have a liquid market; (ii) one or more of its components are transactions in financial instruments that are large in scale compared with the normal market size as specified in Article 9; (iii) the transaction is executed between an investment firm dealing on own account other than on a matched principal basis as per Article 4(1)(38) of Directive 2014/65/EU and another counterparty and one or more of its components are transactions in financial instruments that are above the size specific to the instrument as specified in Article 10.
2. When the time limit of deferral set out in paragraph 1 has lapsed, all the details of the
   transaction on an individual basis shall be published unless an extended or an indefinite time period of deferral is granted in accordance with Article 11.

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3. Where a transaction between two investment firms, either on own account or on behalf of
clients, is executed outside the rules of a trading venue, the relevant competent authority for the purposes of determining the applicable deferral regime shall be the competent authority of the investment firm responsible for making the trade public through an APA in accordance with paragraphs 5, 6 and 7 of Article 7.
Article 9
(Article 11(1)(a) of Regulation (EU) No 600/2014) Size of transactions which are large in scale A transaction is large in scale compared with normal market size if it is equal to or larger than the minimum size of transaction which shall be determined in accordance with the procedure set out in Article 13.
Article 10
(Article 11(1)(c) of Regulation (EU) No 600/2014) The size specific to the financial instrument A transaction is above a size specific to the financial instrument if it is equal to or larger than the minimum size of transaction which shall be determined in accordance with the procedure set out in Article 13.
Article 11
(Article 11(3) of Regulation (EU) No 600/2014) Transparency requirements in conjunction with deferred publication at the discretion of the competent authorities

1. Where competent authorities exercise their rights in conjunction with an authorisation of
   deferred publication pursuant to Article 11(3) of Regulation (EU) No 600/2014 the following shall apply:
   (a) Where Article 11(3)(a) of Regulation (EU) No 600/2014 applies, competent authorities shall request the publication of any of the following information during the full time period of the deferral as set out in Article 8:
   (i) all the details of a transaction laid down in Tables 1 and 2 of Annex II with the exception of details relating to volume;

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(ii) transactions in a daily aggregated form for a minimum number of 5 transactions executed on the same day, to be made public the following working day before
09.00 local time.
(b) Where Article 11(3)(b) of Regulation (EU) No 600/2014 applies, competent authorities shall allow the omission of the publication of the volume of an individual transaction for an extended time period of deferral of four weeks. (c) In respect of non-equity instruments that are not sovereign debt and where Article 11(3)(c) of Regulation (EU) No 600/2014 applies, competent authorities shall allow the aggregation of several transactions executed over the course of one calendar week to be published on the following Tuesday before 09:00 local time for an extended time period of deferral of four weeks. (d) In respect of sovereign debt instruments and where Article 11(3)(d) of Regulation (EU) No 600/2014 applies, competent authorities shall allow the aggregation of several transactions executed over the course of one calendar week to be published on the following Tuesday before 09.00 local time for an indefinite period of time.
2. When the extended time period set out in paragraph 1(b) has lapsed, competent
authorities shall request the following information:
(a) in respect of all instruments that are not sovereign debt, the full details of all individual transactions to be published on the next working day before 09.00 local time; (b) in respect of sovereign debt instruments where competent authorities decide not to use the options provided for in Article 11(3)(b) and (d) of Regulation (EU) No 600/2014 consecutively pursuant to the second subparagraph of Article 11(3) of Regulation (EU) No 600/2014, the full details of all individual transactions to be published on the next working day before 09.00 local time; (c) in respect of sovereign debt instruments, where competent authorities apply the options provided for in Article 11(3)(b) and (d) of Regulation (EU) No 600/2014 consecutively pursuant to the second subparagraph of Article 11(3) of Regulation (EU) No 600/2014, several transactions executed in the same calendar week to be published in an aggregated form on the Tuesday following the expiry of the extended period of deferral of four weeks counting from the last day of that calendar week before 09:00 local time.
3. In respect of all instruments that are not sovereign debt, all the details of the transactions
on an individual basis shall be published four weeks after the publication of the aggregated details in accordance with paragraph 1(c) before 09:00 local time.
4. The aggregated daily or weekly data referred to in paragraphs 1 and 2 shall contain the
following information for bonds, structured finance products, derivatives and emission allowances in respect of each day or week of the calendar period concerned:

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(a) the weighted average price;
(b) the total volume traded as referred to in Table 4 of Annex II; (c) the total number of transactions.
5. Transactions shall be aggregated per ISIN-code. Where the ISIN code is not available,
transactions shall be aggregated at the level of the class of financial instruments to which the liquidity test is applied.
6. Where the weekday foreseen for the publications set out in points (c) and (d) of paragraph
1, and paragraphs 2 and 3, is not a working day, the publications shall be effected on the following working day before 09:00 local time.
Article 12
(Article 21(1) of Regulation (EU) No 600/2014) Application of post-trade transparency to certain transactions executed outside a trading venue The obligation to make public the volume and price of transactions and the time at which they were concluded as set out in Article 21(1) of Regulation (EU) No 600/2014 shall not apply to any of the following:
(a) transactions listed in Article 3(5) of Commission Delegated Regulation (EU) No [RTS 22 on obligation to report transactions]; (b) transactions executed by a management company as defined in Article 2(1)(b) of Directive 2009/65/EC or an alternative investment fund manager as defined in Article 4(1)(b) of Directive 2011/61/EU which transfer the beneficial ownership of financial instruments from one collective investment undertaking to another and where no investment firm is a party to the transaction; (c) ‘give-up’ or ‘give-in’ defined as a transaction where an investment firm passes a client trade to, or receives a client trade from, another investment firm for the purpose of post￾trade processing; (d) transfers of financial instruments such as collateral in bilateral transactions or in the context of a central counterparty (CCP) margin or collateral requirements or as part of the default management process of a central counterparty.
CHAPTER III
PROVISIONS COMMON TO PRE-TRADE AND POST-TRADE TRANSPARENCY

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Article 13
(Article 9(1) and (2), Article 11(1) and Article 22(1) of Regulation (EU) No 600/2014) Methodology to perform the transparency calculations

1. For determining financial instruments or classes of financial instruments for which there
   is not a liquid market for the purposes of Articles 6 and 8(1)(b) the following methodologies shall be applied across asset classes:
   (a) Static determination of liquidity for:
   (i) the asset class of securitised derivatives as defined in Table 4.1 of Annex III; (ii) the following sub-asset classes of equity derivatives: stock index options, stock index futures/forwards, stock options, stock futures/forwards, stock dividend options, stock dividend futures/forwards, dividend index options, dividend index futures/forwards, volatility index options, volatility index futures/forwards, ETF options, ETF futures/forwards and other equity derivatives as defined in Table
   6.1 of Annex III;
   (iii) the asset class of foreign exchange derivatives as defined in Table 8.1 of Annex III; (iv) the sub-asset classes of other interest rate derivatives, other commodity derivatives, other credit derivatives, other C10 derivatives, other contracts for difference (CFDs), other emission allowances and other emission allowance derivatives as defined in Tables 5.1, 7.1, 9.1, 10.1, 11.1, 12.1 and 13.1 of Annex III. (b) Periodic assessment based on quantitative and, where applicable, qualitative liquidity criteria for:
   (i) all bond types except ETCs and ETNs as defined in Table 2.1 of Annex III; (ii) ETC and ETN bond types as defined in Table 2.4 of Annex III; (iii) the asset-class of interest rate derivatives except the sub-asset class of other interest rate derivatives as defined in Table 5.1of Annex III; (iv) the following sub-asset classes of equity derivatives: swaps and portfolio swaps as defined in Table 6.1 of Annex III; (v) the asset-class of commodity derivatives except the sub-asset class of other commodity derivatives as defined in Table 7.1 of Annex III; (vi) the following sub-asset classes of credit derivatives: index credit default swaps and single name credit default swaps as defined in Table 9.1 of Annex III;

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(vii)the asset-class of C10 derivatives except the sub-asset class of other C10 derivatives as defined in Table 10.1 of Annex III; (viii) the following sub-asset classes of contracts for difference (CFDs): currency CFDs and commodity CFDs as defined in Table 11.1 of Annex III; (ix) the asset-class of emission allowances except the sub-asset class of other emission allowances as defined in Table 12.1 of Annex III; (x) the asset-class of emission allowance derivatives except the sub-asset class of other emission allowance derivatives as defined in Table 13.1 of Annex III. (c) Periodic assessment based on qualitative liquidity criteria for:
(i) the following sub-asset classes of credit derivatives: CDS index options and single name CDS options as defined in Table 9.1 of Annex III; (ii) the following sub-asset classes of contracts for difference (CFDs): equity CFDs, bond CFDs, CFDs on an equity future/forward and CFDs on an equity option as defined in Table 11.1 of Annex III. (d) Periodic assessment based on a two tests procedure for structured finance products as defined in Table 3.1 of Annex III.
2. For determining the size specific to the financial instrument referred to in Article 5 and
the size of orders large in scale compared with normal market size referred to in Article 3, the following methodologies shall be applied:
(a) the threshold value for:
(i) ETC and ETN bond types as defined in Table 2.5 of Annex III; (ii) the asset class of securitised derivatives as defined in Table 4.2 of Annex III; (iii) each sub-class of equity derivatives as defined in Tables 6.2 and 6.3 of Annex III; (iv) each sub-class of foreign exchange derivatives as defined in Table 8.2 of Annex III; (v) each sub-class considered not to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and contracts for difference (CFDs) as defined in Tables 5.3, 7.3, 9.3,
10.3 and 11.3 of Annex III;

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(vi) each sub-asset class considered not to have a liquid market for the asset classes of emission allowances and emission allowance derivatives as defined in Tables
12.3 and 13.3 of Annex III;
(vii)each structured finance product where Test-1 under paragraph 1(d) is not passed as defined in Table 3.2 of Annex III; (viii) each structured finance product considered not to have a liquid market where only Test-1 under paragraph 1(d) is passed as defined in Table 3.3 of Annex III. (b) the trade size below which lies the percentage of the transactions corresponding to the trade percentile for each bond type, except ETCs and ETNs, as defined in Table 2.3 of
Annex III.
(c) the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor for:
(i) each sub-class having a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and CFDs as defined in Tables 5.2, 7.2, 9.2, 10.2 and 11.2 of Annex III; (ii) each sub-asset class having a liquid market for the asset classes of emission allowances and emission allowance derivatives as defined in Tables 12.2 and
13.2 of Annex III;
(iii) each structured finance product considered to have a liquid market where Test-1 and Test-2 under paragraph 1(d) are passed as defined in Table 3.3 of Annex III.
3. For the determination of the size specific to the financial instrument referred to in Article
8(1)(c) and the size of transactions large in scale compared with normal market size referred to in Article 8(1)(a), the following methodologies shall be applied:
(a) The threshold value for:
(i) ETC and ETN bond types as defined in Table 2.5 of Annex III; (ii) the asset class of securitised derivatives as defined in Table 4.2 of Annex III; (iii) each sub-class of equity derivatives as defined in Tables 6.2 and 6.3 of Annex III; (iv) each sub-class of foreign exchange derivatives as defined in Table 8.2 of Annex III; (v) each sub-class considered not to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10

EN 58 EN derivatives and contracts for difference (CFDs) as defined in Tables 5.3, 7.3, 9.3, 10.3, 11.3 of Annex III; (vi) each sub-asset class considered not to have a liquid market for the asset class of emission allowances and emission allowance derivatives as defined in Tables
12.3 and 13.3 of Annex III;
(vii)each structured finance product where Test-1 under paragraph 1(d) is not passed as defined in Table 3.2 of Annex III; (viii) each structured finance product considered not to have a liquid market where only Test-1 under paragraph 1(d) is passed as defined in Table 3.3 of Annex III. (b) the trade size below which lies the percentage of the transactions corresponding to the trade percentile for each bond type, except ETCs and ETNs, as defined in Table 2.3 of
Annex III;
(c) the greatest of the trade size below which lies the percentage of the transactions corresponding to the trade percentile, the trade size below which lies the percentage of volume corresponding to the volume percentile and the threshold floor for:
(i) each sub-class considered to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and CFDs as provided in Tables 5.2, 7.2, 9.2, 10.2 and 11.2 of Annex III. (d) the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor for:
(i) each sub-asset class considered to have a liquid market for the asset classes of emission allowances and emission allowance derivatives as provided in Tables
12.2 and 13.2 of Annex III;
(ii) each structured finance product considered to have a liquid market where the Test-1 and Test-2 under paragraph 1(d) are passed as defined in Table 3.3 of
Annex III.
4. For the purpose of paragraph 3(c) where the trade size corresponding to the volume
percentile for the determination of the transaction that is large in scale compared with normal market size is higher than the 97.5 trade percentile, the trade volume shall not be taken into consideration and the size specific to the financial instrument referred to in Article 8(1)(c) and the size of transactions large in scale compared with normal market size referred to in Article 8(1)(a) shall be determined as the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor.

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5. In accordance with Regulation (EU) No [RTS on Art 22 and DVC] competent authorities
shall collect on a daily basis the data from trading venues, APAs and CTPs which is necessary to perform the calculations to determine:
(a) the financial instruments and classes of financial instruments not having a liquid market as set out in paragraph 1; (b) the sizes large in scale compared to normal market size and the size specific to the instrument as set out in paragraphs 2 and 3.
6. Competent authorities for performing the calculations for a class of financial instruments
shall establish cooperation arrangements between each other as to ensure the aggregation of the data across the Union necessary for the calculations.
7. For the purpose of paragraphs 1(b) and (d), 2(b) and (c) and 3(b), (c) and (d), competent
authorities shall take into account transactions executed in the Union between 1 January and 31 December of the preceding year.
8. The trade size for the purpose of paragraphs 2(b) and (c) and 3(b), (c) and (d) shall be
determined according to the measure of volume as defined in Table 4 of Annex II. Whenever, the trade size defined for the purpose of paragraphs 2 and 3 is expressed in monetary value and the financial instrument is not denominated in Euros, the trade size shall be converted to the currency in which that financial instrument is denominated by applying the European Central Bank Euro foreign exchange reference rate as of 31 December of the preceding year.
9. Market operators and investment firms operating a trading venue may convert the trade
sizes determined according to paragraphs 2 and 3 to the corresponding number of lots as defined in advance by that trading venue for the respective sub-class or sub-asset class. Market operators and investment firms operating a trading venue may maintain such trade sizes until application of the results of the next calculations performed in accordance to paragraph 17.
10. The calculations referred to in paragraphs 2(b) and 3(b) shall exclude transactions with a
size equal to or smaller than EUR 100,000.
11. For the purpose of the determinations referred to in paragraphs 2 and 3, sub-paragraphs
(b) and (c) of paragraph 2 and sub-paragraphs (b), (c) and (d) of paragraph 3 shall not apply whenever the number of transactions considered for calculations is smaller than 1000 and the following thresholds shall be applied:
(a) EUR 100,000 for all bond types except ETCs and ETNs; (b) the threshold floors defined in paragraphs 2(a) and 3(a) for all financial instruments not covered in sub-paragraph (a).

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12. The calculations referred to in paragraphs 2(b) and (c) and 3(b), (c) and (d) shall be
rounded up to the next:
(a) 100,000 if the threshold value is smaller than 1 million; (b) 500,000 if the threshold value is equal to or greater than 1 million but smaller than 10 million; (c) 5 million if the threshold value is equal to or greater than 10 million but smaller than 100 million; (d) 25 million if the threshold value is equal to or greater than 100 million.
13. For the purpose of paragraph 1, the quantitative liquidity criteria specified for each asset
class in Annex III shall be determined according to Section 1 of Annex III of this Regulation.
14. For equity derivatives that are admitted to trading or first traded on a trading venue, that
do not belong to a sub-class for which the size specific to the financial instrument referred to in Articles 5 and 8(1)(c) and the size of orders and transactions large in scale compared with normal market size referred to in Articles 3 and 8(1)(a) have been published and which belong to one of the sub-asset classes specified in paragraph 1(a)(ii), the size specific to the financial instrument and the size of orders and transactions large in scale compared with normal market size shall be those applicable to the smallest average daily notional amount (ADNA) band of the sub-asset class to which the equity derivative belongs.
15. Financial instruments admitted to trading or first traded on a trading venue which do not
belong to any sub-class for which the size specific to the financial instrument referred to in Articles 5 and 8(1)(c) and the size of orders and transactions large in scale compared with normal market size referred to in Articles 3 and 8(1)(a) have been published shall be considered not to have a liquid market until application of the results of the calculations performed in accordance to paragraph 17. The applicable size specific to the financial instrument referred to in Articles 5 and 8(1)(c) and the size of orders and transactions large in scale compared with normal market size referred to in Articles 3 and 8(1)(a) shall be those of the sub-classes determined not to have a liquid market belonging to the same sub-asset class.
16. After the end of the trading day but before the end of the day, trading venues shall submit
to competent authorities the details included in Annex IV for performing the calculations referred to in paragraph 5 whenever the financial instrument is admitted to trading or first traded on that trading venue or whenever the details previously provided have changed.
17. Competent authorities shall ensure the publication of the results of the calculations
referred to under paragraph 5 for each financial instrument and class of financial instrument by 30 April 2018 and by 30 April of each year thereafter. The results of the calculations shall apply from 1 June following publication.

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18. By derogation of paragraphs 7, 15 and 17, for the purpose of the calculations in paragraph
1(b)(i) competent authorities shall, in respect of bonds, except for ETCs and ETNs, ensure the publication of the calculations referred to under paragraph 5(a) on a quarterly basis, on the first day of February, May, August and November. The calculations shall include transactions executed in the Union during the preceding calendar quarter and shall apply for the 3-month period starting on the sixteenth day of February, May, August and November. Bonds, except for ETCs and ETNs, that are admitted to trading or first traded on a trading venue during the first two months of a quarter shall be considered to have a liquid market as specified in Table 2.2 of Annex III until the application of the results of the calculation of the calendar quarter. Bonds, except for ETCs and ETNs, that are admitted to trading or first traded on a trading venue during the last month of a quarter shall be considered to have a liquid market as specified in Table 2.2 of Annex III until the application of the results of the calculation of the following calendar quarter.
Article 14
(Article 1(6) of Regulation (EU) No 600/2014)
Transactions to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 shall apply A transaction shall be considered to be entered into by a member of the ESCB in performance of monetary, foreign exchange and financial stability policy if that transaction meets any of the following requirements:
(a) it is carried out for the purposes of monetary policy, including an operation carried out in accordance with Articles 18 and 20 of the Statute of the European System of Central Banks and of the European Central Bank annexed to the Treaty on European Union or an operation carried out under equivalent national provisions for members of the ESCB in Member States whose currency is not the euro; (b) it is a foreign-exchange operation, including operations carried out to hold or manage official foreign reserves of the Member States or the reserve management service provided by a member of the ESCB to central banks in other countries to which the exemption has been extended in accordance with Article 1(9) of Regulation (EU) No 600/2014; (c) it is carried out for the purposes of financial stability policy.
Article 15
(Article 1(7) of Regulation (EU) No 600/2014)

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Transactions to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 shall not apply A transaction entered into by a member of the ESCB for the performance of an investment operation that is unconnected with that member's performance of one of the tasks referred to in Article 14 shall not be covered by the exemption pursuant to Article 1(6) of Regulation (EU) No 600/2014. For this purpose, transactions for the performance of investment operations shall include transactions entered into:
(a) for the management of its own funds;
(b) for administrative purposes or for the staff of the member of the ESCB which include transactions conducted in the capacity as administrator of a pension scheme for its staff; (c) for its investment portfolio pursuant to obligations under national law.
Article 16
(Article 9(5)(a) of Regulation (EU) No 600/2014) Temporary suspension of transparency obligations

1. For financial instruments for which there is a liquid market in accordance with the
   procedure set out in Article 13, a competent authority may temporarily suspend the obligations referred to in Articles 8 and 10 Regulation (EU) No 600/2014 when for a class of bonds, structured finance products, emission allowances or derivatives, the total volume as defined in Table 4 of Annex II calculated for the previous 30 calendar days represents less than 40% of the average monthly volume calculated for the 12 full calendar months preceding those 30 calendar days.
2. For financial instruments for which there is not a liquid market in accordance with the
   procedure set out in Article 13, a competent authority may temporarily suspend the obligations referred to in Articles 8 and 10 of Regulation (EU) No 600/2014 when for a class of bonds, structured finance products, emission allowances or derivatives, the total volume as defined in Table 4 of Annex II calculated for the previous 30 calendar days represents less than 20% of the average monthly volume calculated for the 12 full calendar months preceding those 30 calendar days.
3. To perform the calculations referred to in paragraphs 1 and 2, 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. The calculations shall be performed at the level of the class of financial instruments to which a liquidity test is applied.

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4. Before competent authorities decide to suspend transparency obligations, they shall
ensure that the significant decline in liquidity across all venues is not the result of seasonal effects of the relevant class of financial instruments on liquidity.
Article 17
Transitional provisions

1. By 3 July 2016, competent authorities shall collect the necessary data, calculate and
   ensure the first publication of the details referred to in paragraph 5 (a) and (b) of Article 13.
2. For the purposes of paragraph 1:
   (a) The calculations shall be based on the reference period 1 July 2015 to 31 December 2015; (b) The information in the first publication shall apply from 3 January 2017 to 31 May 2018.
3. By derogation to paragraph 1, for all bonds, except ETCs and ETNs, competent
   authorities shall ensure the first publication of the results of the transparency calculations specified in Article 1(b)(i) by 1 December 2016, based on the reference period 1 August 2016 to 31 October 2016. The results of the calculations shall apply from 3 January 2017 to 15 May 2017.
4. Bonds, except for ETCs and ETNs, which are admitted to trading or first traded on a
   trading venue in the period from 1 October 2016 until 2 January 2017 shall be considered not to have a liquid market as set out in Table 2.2 of Annex III until 15 May 2017.
   Article 18
   Entry into force and application
   This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. It shall apply from 3 January 2017, except (a) Article 17 which shall apply immediately following the entry of force of this Regulation; (b) Paragraphs 7, 17 and 18 of Article 13 which shall apply from 1 January 2018.

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This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, For the Commission The President [For the Commission On behalf of the President [Position]

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Annex I: Description of the type of system and the related information to be
made public in accordance with Article 2
Table 1
Information to be made public in accordance with Article 2 Type of system Description of system Information to be made public Continuous auction order book trading system A system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis. For each financial instrument, the aggregate number of orders and the volume they represent at each price level, for at least the five best bid and offer price levels. Quote-driven trading system A system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself. For each financial instrument, the best bid and offer by price of each market maker in that instrument, together with the volumes attaching to those prices. The quotes made public shall be those that represent binding commitments to buy and sell the financial instruments and which indicate the price and volume of financial instruments in which the registered market makers are prepared to buy or sell. In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time. Periodic auction trading system A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention. For each financial instrument, the price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system. Request-for-quote trading system A trading system where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request. The quotes and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system’s rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable. Voice trading system A trading system where transactions between members are arranged through voice negotiation. The bids and offers and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system’s rules Trading system not covered by first 5 rows A hybrid system falling into two or more of the first five rows or a system where the price determination process is of a different nature than that applicable to the types of system covered by first five rows. Adequate information as to the level of
orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two￾way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit.

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Annex II: Details of transactions to be made available to the public
Table 1
Symbol table for Table 2
SYMBOL DATA TYPE DEFINITION
{ALPHANUM-n} Up to n alphanumerical characters Free text field.
{CURRENCYCODE_3
}
3 alphanumerical characters
3 letter currency code, as defined by ISO 4217 currency codes {DATE_TIME_FORM AT} ISO 8601 date and time format Date and time in the following format:
YYYY-MM-DDThh:mm:ss.ddddddZ.
Where ‘:

• ‘YYYY’ is the year;
• ‘MM’ is the month;
• ‘DD’ is the day;
• ‘T’ – means that the letter ‘T’ shall be used
• ‘hh’ is the hour;
• ‘mm’ is the minute;
• ‘ss.dddddd’ is the second and its fraction of a second;
• Z is UTC time.
  Dates and times shall be reported in UTC.
  {DECIMAL-n/m} Decimal number of up to n digits in total of which up to m digits can be fraction digits Numerical field for both positive and negative values:
• deecimal separator is '.' (full stop);
• negative numbers are prefixed with '-' (minus).
  Where applicable, values shall be rounded and not truncated.
  {ISIN} 12 alphanumerical characters
  ISIN code, as defined in ISO 6166
  {MIC} 4 alphanumerical characters
  Market identifier as defined in ISO 10383
  Table 2
  List of details for the purpose of post-trade transparency Details Financial instruments Description/Details to be published Type of execution/publication venue Format to be populated as defined in Table 1 Trading date and time For all financial instruments, Date and time when the transaction was executed. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in
  Article 3 of [RTS 25 on clock
  synchronization under article 50 of
  Directive 2014/65/EU].
  For transactions not executed on a trading venue, the date and time shall be when the parties agree the Regulated Market (RM), Multilateral Trading Facility ( MTF) ,Organised Trading Facility (OTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP) {DATE_TIME_FORMA T}

EN 67 EN content of the following fields:
quantity, price, currencies (in fields
31, 34 and 40 as specified in Table 2 of Annex I of [RTS Transaction Reporting], instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 5 of [RTS Transaction Reporting] were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission. Instrument identification code type For all financial instruments, Code type used to identify the financial instrument RM, MTF, OTF APA CTP ‘ISIN’ = ISIN-code, where ISIN is available ‘OTHR’ = other identifier Instrument identification code For all financial instruments, Code used to identify the financial instrument RM, MTF, OTF APA CTP {ISIN} Where Instrument identification code is not an ISIN, an identifier that identifies the derivative instrument based on the fields 3 to 5 and 10 to 40 as specified in Annex IV and fields 13 and 24 to 48 as specified in the Annex of [RTS on reference data] and the grouping of derivative instruments as set out in Annex III. Price For all financial instruments, Traded price of the transaction excluding, where applicable, commission and accrued interest. In the case of option contracts, it shall be the premium of the derivative contract per underlying security or index point. In the case of spread bets it shall be the reference price of the underlying instrument. For credit default swaps (CDS) it shall be the coupon in basis points. Where price is reported in monetary terms, it shall be provided in the major currency unit. Where price is currently not available but pending, the value should be ’PNDG’. Where price is not applicable the field shall not be populated. The information reported in this field shall be consistent with the value provided in field Quantity. RM, MTF, OTF APA CTP {DECIMAL-18/13} in case the price is expressed as monetary value {DECIMAL-11/10} in case the price is expressed as percentage or yield ’PNDG’ in case the price is not available Venue of execution For all financial instruments, Identification of the venue where the transaction was executed. RM, MTF, OTF APA {MIC} –trading venues

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Use the ISO 10383 segment MIC for transactions executed on a trading venue. Where the segment MIC does not exist, use the operating MIC. Use MIC code ‘XOFF’ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue or systematic internaliser or organised trading platform outside of the Union. Use SINT for financial instrument submitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser. CTP ‘SINT’ – systematic internaliser Price notation For all financial instruments Indication as to whether the price and the strike price is expressed in monetary value, in percentage or in yield RM, MTF, OTF APA CTP ‘MONE’ – Monetary value:
‘PERC’ – Percentage:
‘YIEL’ – Yield:
Price Currency For all financial instruments
Currency in which the price is expressed (applicable if the price is expressed as monetary value) RM, MTF, OTF APA CTP {CURRENCYCODE_3} Notation of the quantity in measurement unit For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. Indication of measurement units in which the quantity in measurement unit is expressed RM, MTF, OTF APA CTP ’TOCD’ – tons of carbon dioxide Or {ALPHANUM-25} otherwise Quantity in measurement unit For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. The equivalent amount of commodity traded expressed in measurement unit RM, MTF, OTF APA CTP {DECIMAL-18/17} Quantity For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. The number of units of the financial instrument, or the number of derivative contracts in the transaction. RM, MTF, OTF APA CTP {DECIMAL-18/17} Notional amount For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. Nominal amount or notional amount For spread bets, the notional amount shall be the monetary value wagered per point movement in the underlying financial instrument. For credit default swaps, it shall be the notional amount for which the protection is acquired or disposed of. The information reported in this field shall be consistent with the value provided in field Price RM, MTF, OTF APA CTP {DECIMAL-18/5}

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Notional currency
For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of the Regulation. Currency in which the notional is denominated RM, MTF, OTF APA CTP {CURRENCYCODE_3} Reference period For emission allowances and emission allowance derivatives only This field is only applicable for emission allowances. RM, MTF, OTF APA CTP The period specified in the Directive 2003/87/CE (e.g. 2013-2020 or subsequent trading periods) Type For emission allowances and emission allowance derivatives only This field is only applicable for emission allowances. RM, MTF, OTF APA CTP 'EUAE' – EUA 'CERE' - CER 'ERUE' - ERU ‘EUAA’ - EUAA 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 3 of [RTS 25 on clock
synchronization under article 50 of
Directive 2014/65/EU].
For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields:
quantity, price, currencies in fields
31,34 and 44 as specified in Table
1b of Annex 1 of [RTS Transaction
Reporting], instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 5 of [RTS Transaction Reporting] were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission. RM, MTF, OTF APA CTP {DATE_TIME_FORMA T} Venue of publication For all financial instruments Code used to identify the trading venue and APA publishing the transaction. CTP Trading venue: {MIC} APA: {MIC} where available. Otherwise, 4 character code as published in the list of data reporting services providers on ESMA’s website. Transaction Identification Code For all financial instruments Alphanumerical code assigned by trading venues (pursuant to Article 12 of Regulation (EU) on the maintenance of relevant data relating to orders in financial instruments under Article 25 of MiFIR) and APAs and used in any subsequent RM, MTF, OTF APA CTP {ALPHANUMERICAL￾52}

EN 70 EN reference to the specific trade.
The transaction identification code shall be unique, consistent and persistent per ISO10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day. Where the APA does not use MICs, it should be unique, consistent and persistent per 4-character code used to identify the APA per trading day. The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained Transaction to be cleared For derivatives Code to identify whether the transaction will be cleared. RM, MTF, OTF APA CTP ‘true’ - transaction to be cleared ‘false’ - transaction not to be cleared

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Table 3
List of flags for the purpose of post-trade transparency Flag Name of Flag Type of execution/publication venue Description ‘BENC’ Benchmark transaction flag RM, MTF, OTF APA CTP All kinds of volume weighted average price transactions and all other trades where the price is calculated over multiple time instances according to a given benchmark. ‘ACTX’ Agency cross transaction flag APA CTP Transactions where an investment firm has brought together two clients’ orders with the purchase and the sale conducted as one transaction and involving the same volume and price. ‘NPFT’ Non-price forming transaction flag RM, MTF, OTF CTP All types of transactions listed under
Article 11 of this Regulation and
which do not contribute to the price formation.
‘LRGS’ Post-trade LIS transaction flag RM, MTF, OTF APA CTP Transactions executed under the post-trade large in scale deferral. ‘ILQD’ Illiquid instrument transaction flag RM, MTF, OTF APA CTP Transactions executed under the deferral for instruments for which there is not a liquid market. ‘SIZE’ Post-trade SSTI transaction flag RM, MTF, OTF APA CTP Transactions executed under the post-trade size specific to the instrument deferral. ‘TPAC’ Package transaction flag RM, MTF, OTF APA CTP Package transactions which are not exchange for physicals as defined in
Article 1.
‘XFPH’ Exchange for physicals transaction flag RM, MTF, OTF APA CTP Exchange for physicals as defined in
Article 1
‘CANC’ Cancellation flag RM, MTF, OTF
APA
CTP
When a previously published transaction is cancelled.
‘AMND’ Amendment flag RM, MTF, OTF
APA
CTP
When a previously published transaction is amended.
SUPPLEMENTARY DEFERRAL FLAGS
Article
11(1)(a)(i).
‘LMTF’ Limited details flag RM, MTF, OTF
APA
CTP
First report with publication of limited details in accordance with
Article 11(1)(a)(i).
‘FULF’ Full details flag Transaction for which limited details have been previously published in accordance with Article 11(1)(a)(i).
Article
11(1)(a)(ii).
‘DATF’ Daily aggregated transaction flag
RM, MTF, OTF
APA
CTP
Publication of daily aggregated transaction in accordance with
Article 11(1)(a)(ii).
‘FULA’ Full details flag RM, MTF, OTF
APA
CTP
Individual transactions for which aggregated details have been previously published in accordance with Article 11(1)(a)(ii).

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Article
11(1)(b)
‘VOLO’ Volume omission flag RM, MTF, OTF
APA
CTP
Transaction for which limited details are published in accordance with
Article 11(1)(b).
‘FULV’ Full details flag RM, MTF, OTF
APA
CTP
Transaction for which limited details have been previously published in accordance with Article 11(1)(b)
Article
11(1)(c
‘FWAF’ Four weeks aggregation flag RM, MTF, OTF APA CTP Publication of aggregated transactions in accordance with
Article 11(1)(c).
‘FULJ’ Full details flag RM, MTF, OTF
APA
CTP
Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1)(c).
Article
11(1)(d)
‘IDAF’ Indefinite aggregation flag RM, MTF, OTF APA CTP Transactions for which the publication of several transactions in aggregated form for an indefinite period of time has been allowed in accordance with Article 11(1)(d). Consecutive use of Article 11(1)(b) and
Article
11(2)(c) for sovereign debt instruments
‘VOLW’ Volume omission flag RM, MTF, OTF
APA
CTP
Transaction for which limited are published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time will be consecutively allowed in accordance with Article 11(2)(c). ‘COAF’ Consecutive aggregation flag (post volume omission for sovereign debt instruments) RM, MTF, OTF APA CTP Transactions for which limited details have been previously published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time has consecutively been allowed in accordance with
Article 11(2)(c).

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

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Annex III: Liquidity assessment, LIS and SSTI thresholds for non-equity financial instruments
1. Instructions for the purpose of this annex
1. A reference to an ‘asset class’ means a reference to the following classes of financial instruments: bonds, structured finance products, securitised
derivatives, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives, C10 derivatives, CFDs, emission allowances and emission allowance derivatives.
2. A reference to a ‘sub-asset class’ means a reference to an asset class segmented to a more granular level on the basis of the contract type and/or the
type of underlying.
3. A reference to a ‘sub-class’ means a reference to a sub-asset class segmented to a more granular level on basis of further qualitative segmentation
criteria as set out in Tables 2.1 to 13.3 of this Annex.
4. ‘Average daily turnover (ADT)’ means the total turnover for a particular financial instrument determined according to the volume measure set out
in Table 4 of Annex II and executed in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
5. ‘Average daily notional amount (ADNA)’ means the total notional amount for a particular financial instrument determined according to the
volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for all the other financial instruments, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
6. ‘Percentage of days traded over the period considered’ means the number of days in the period set out in Article 13(18) for all bonds except ETCs
and ETNs and in Article 13(7) for structured finance products, on which at least one transaction has been executed for that financial instrument, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.

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7. ‘Average daily number of trades’ means the total number of transactions executed for a particular financial instrument in the period set out in
Article 13(18) for all bonds except ETCs and ETN and in Article 13(7) all the other financial instruments, divided by the number of trading days in that
period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
8. ‘Future’ means a contract to buy or sell a commodity or financial instrument in a designated future date at a price agreed upon at the initiation of
the contract by the buyer and seller. Every futures contract has standard terms that dictate the minimum quantity and quality that can be bought or sold, the smallest amount by which the price may change, delivery procedures, maturity date and other characteristics related to the contract.
9. ‘Option’ means a contract that gives the owner the right, but not the obligation, to buy (call) or sell (put) a specific financial instrument or
commodity at a predetermined price, strike or exercise price, at or up to a certain future date or exercise date.
10. ‘Swap’ means a contract in which two parties agree to exchange cash flows in one financial instrument for another at a certain future date.
11. ‘Portfolio Swap’ means a contract by which end-users can trade multiple swaps.
12. ‘Forward’ or ‘Forward agreement’ means a private agreement between two parties to buy or sell a commodity or financial instrument at a
designated future date at a price agreed upon at the initiation of the contract by the buyer and seller.
13. ‘Swaption’ means a contract that gives the owner the right, but not the obligation, to enter a swap at or up to a certain future date or exercise date.
14. ‘Future on a swap’ means a future contract that gives the owner the obligation, to enter a swap at or up to a certain future date.
15. ‘Forward on a swap’ means a forward contract that gives the owner the obligation, to enter a swap at or up to a certain future date.

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2. Bonds
Table 2.1
Bonds (all bond types except ETCs and ETNs) - classes not having a liquid market Average daily notional amount [quantitative liquidity criteria 1] Average daily number of trades [quantitative liquidity criteria 2] Percentage of days traded over the period considered [quantitative liquidity criteria 3] EUR 100,000 2 80% Asset class - Bonds (all bond types except ETCs and ETNs) Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria on a cumulative basis

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Table 2.2
Bonds (all bond types except ETCs and ETNs) - classes not having a liquid market Bond Type Sovereign Bond means a bond issued by a sovereign issuer which is either:
(a) the Union;
(b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) a sovereign entity which is not listed under points (a) and (b). smaller than € 1,000,000,000 Other Public Bond means a bond issued by any of the following public issuers:
(a) in the case of a federal Member State, a member of that federation; (b) a special purpose vehicle for several Member States; (c) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems; (d) the European Investment Bank; smaller than € 500,000,000 Convertible Bond means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity smaller than € 500,000,000 Covered Bond means bonds as referred to in Article 52(4) of Directive 2009/65/EC smaller than € 500,000,000 Corporate Bond means a bond that is issued by a Societas Europaea established in accordance with Directive 2001/2157/EC or a type of company listed in Article 1 of Directive 2009/101/EC or equivalent in third countries smaller than € 500,000,000 Bond Type Other Bond For the purpose of the determination of the financial instruments considered not to have a liquid market as per Article 13(18), the following methodology shall be applied A bond that does not belong to any of the above bond types is considered not to have a liquid market Asset class - Bonds (all bond types except ETCs and ETNs) Each individual bond shall be determined not to have a liquid market as per Article13(18) if it is characterised by a specific combination of bond type and issuance size as specified in each row of the table Issuance size

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Table 2.3
Bonds (all bond types except ETCs and ETNs) - pre-trade and post-trade SSTI and LIS thresholds SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Trade - percentile Trade - percentile Trade - percentile Trade - percentile Sovereign Bond transactions executed on Sovereign Bonds following the exclusion of transactions as specified in Article 13(10) 60 70 80 90 Other Public Bond transactions executed on Other Public Bonds following the exclusion of transactions as specified in Article 13(10) 60 70 80 90 Convertible Bond transactions executed on Convertible Bonds following the exclusion of transactions as specified in Article 13(10) 60 70 80 90 Covered Bond transactions executed on Covered Bonds following the exclusion of transactions as specified in Article 13(10) 40 70 80 90 Corporate Bond transactions executed on Corporate Bonds following the exclusion of transactions as specified in Article 13(10) 60 70 80 90 Other Bonds transactions executed on Other Bonds following the exclusion of transactions as specified in Article 13(10) 60 70 80 90 Asset class - Bonds (all bond types except ETCs and ETNs) Transactions to be considered for the calculation of the thresholds per bond type Percentiles to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each bond type Bond Type

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Table 2.4
Bonds (ETC and ETN bond types) - classes not having a liquid market Average daily turnover (ADT) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Exchange Traded Commodities (ETCs) a debt instrument issued against a direct investment by the issuer in commodities or commodities derivative contracts. The price of an ETC is directly or indirectly linked to the performance of the underlying. An ETC passively tracks the performance of the commodity or commodity indices to which it refers. EUR 500,000 10 Exchange Traded Notes (ETNs) a debt instrument issued against a direct investment by the issuer in the underlying or underlying derivative contracts. The price of an ETN is directly or indirectly linked to the performance of the underlying. An ETN passively tracks the performance of the underlying to which it refers. EUR 500,000 10 Asset class - Bonds (ETC and ETN bond types) Bond type Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria

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Table 2.5
Bonds (ETC and ETN bond types) - pre-trade and post-trade SSTI and LIS thresholds SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value ETCs EUR 1,000,000 EUR 1,000,000 EUR 50,000,000 EUR 50,000,000 ETNs EUR 1,000,000 EUR 1,000,000 EUR 50,000,000 EUR 50,000,000 SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value ETCs EUR 900,000 EUR 900,000 EUR 45,000,000 EUR 45,000,000 ETNs EUR 900,000 EUR 900,000 EUR 45,000,000 EUR 45,000,000 Asset class - Bonds (ETC and ETN bond types) Bond type Bond type Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined to have a liquid market Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined not to have a liquid market

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3. Structured Finance Products (SFPs)
Table 3.1
SFPs - classes not having a liquid market
Average daily notional amount (ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Transactions executed in all SFPs EUR 300,000,000 500 Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Percentage of days traded over the period considered [quantitative liquidity criteria 3] EUR 100,000 2 80% Test 2 - SFPs not having a liquid market If the values related to the quantitative liquidity criteria are both above the quantitative liquidity thresholds set for the purpose of the SFPs asset-class assessment, then Test 1 is passed and Test-2 shall be performed. Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Asset class - Structured Finance Products (SFPs) Test 1 - SFPs asset-class assessment SFPs asset-class assessment for the purpose of the determination of the financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) The SFPs asset-class shall be assessed by application of the following thresholds of the quantitative liquidity criteria Transactions to be considered for the calculations of the values related to the quantitative liquidity criteria for the purpose of the SFPs asset-class assessment

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

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Table 3.3
SFPs - pre-trade and post-trade SSTI and LIS thresholds if Test 1 is passed Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Threshold floor Transactions executed in all SFPs determined to have a liquid market 60 EUR 100,000 70 EUR 250,000 80 EUR 500,000 90 EUR 1,000,000 LIS post-trade Transactions to be considered for the calculation of the thresholds Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for SFPs determined to have a liquid market if Test 1 is passed SSTI pre-trade LIS pre-trade SSTI post-trade Asset class - Structured Finance Products (SFPs) SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value EUR 100,000 EUR 250,000 EUR 500,000 EUR 1,000,000 Pre-trade and post-trade SSTI and LIS thresholds for SFPs determined not to have a liquid market if Test 1 is passed

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4. Securitised derivatives
Table 4.1
Securitised derivatives – classes not having a liquid market Asset class - Securitised Derivatives means a transferable security as defined in Article 4(1)(44)(c) of Directive 2014/65/EU different from structured finance products and should include at least:
(a) plain vanilla covered warrants means securities giving the holder the right, but not the obligation, to purchase (sell), at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, the payment of the positive difference between the current market price (the strike price) and the strike price (the current market price); (b) leverage certificates means certificates that track the performance of the underlying asset with leverage effect; (c) exotic covered warrants means covered warrants whose main component is a combination of options; (d) negotiable rights; (e) investment certificates means certificates that track the performance of the underlying asset without leverage effect. all securitised derivatives are considered to have a liquid market For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied

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

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5. Interest rate derivatives
Table 5.1
Interest rate derivatives – classes not having a liquid market Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Additional qualitative liquidity criterion a bond future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - issuer of the underlying Segmentation criterion 2 - term of the underlying deliverable bond defined as follows:
Short-term: the underlying deliverable bond with a term between 1 and 4 years shall be considered to have a short-term Medium-term: the underlying deliverable bond with a term between 4 and 8 years shall be considered to have a medium-term Long-term: the underlying deliverable bond with a term between 8 and 15 years shall be considered to have a long-term Ultra-long-term: the underlying deliverable bond with a term longer than 15 years shall be considered to have an ultra-long-term Segmentation criterion 3 - time to maturity bucket of the future defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Bond futures/forwards EUR 5,000,000 10 whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month Asset class - Interest Rate Derivatives any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan. Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below

EN 87 EN Average daily notional amount
(ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Additional qualitative liquidity criterion a bond option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying bond or underlying bond future/forward Segmentation criterion 2 - time to maturity bucket of the option defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years an interest rate future sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying interest rate Segmentation criterion 2 - term of the underlying interest rate Segmentation criterion 3 - time to maturity bucket of the future defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years IR futures and FRA EUR 500,000,000 10 whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month Bond options EUR 5,000,000 10 Asset class - Interest Rate Derivatives Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below

EN 88 EN Average daily notional amount
(ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Additional qualitative liquidity criterion an interest rate option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying interest rate or underlying interest rate future or FRA Segmentation criterion 2 - term of the underlying interest rate Segmentation criterion 3 - time to maturity bucket of the option defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years IR options EUR 500,000,000 10 Asset class - Interest Rate Derivatives Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below

EN 89 EN Average daily notional amount
(ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Additional qualitative liquidity criterion a swaption sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying swap type defined as follows: fixed-to-fixed single currency swap, futures/forwards on fixed-to-fixed single currency swap, fixed-to-float single currency swap, futures/forwards on fixed-to-float single currency swap, float-to-float single currency swap, futures/forwards on float-to-float single currency swap, inflation single currency swap, futures/forwards on inflation single currency swap, OIS single currency swap, futures/forwards on OIS single currency swap, fixed￾to-fixed multi currency swap, futures/forwards on fixed-to-fixed multi currency swap, fixed-to-float multi currency swap, futures/forwards on fixed-to-float multi currency swap, float-to-float multi currency swap, futures/forwards on float-to-float multi currency swap, inflation multi currency swap, futures/forwards on inflation multi currency swap, OIS multi currency swap, futures/forwards on OIS multi currency swap Segmentation criterion 2 - notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 3 - inflation index if the underlying swap type is either an inflation single currency swap or an inflation multi currency swap Segmentation criterion 4 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Segmentation criterion 5 - time to maturity bucket of the option defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 6 months Maturity bucket 2: 6 months < time to maturity ≤ 1 year Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 4: 2 years < time to maturity ≤ 5 years Maturity bucket 5: 5 years < time to maturity ≤ 10 years Maturity bucket 6: over 10 years Swaptions EUR 500,000,000 10 Asset class - Interest Rate Derivatives Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below

EN 90 EN Average daily notional amount
(ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Additional qualitative liquidity criterion a fixed-to-float multi currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < maturity ≤ 1 month
Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years a float-to-float multi currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < maturity ≤ 1 month
Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Float-to-Float 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Float-to-Float 'multi currency swaps' or ‘cross-currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by floating interest rates EUR 50,000,000 10 Fixed-to-Float 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float 'multi currency swaps' or ‘cross-currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and the cash flows of one leg are determined by a fixed interest rate while those of the other leg are determined by a floating interest rate EUR 50,000,000 10 Asset class - Interest Rate Derivatives Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below

EN 91 EN Average daily notional amount
(ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Additional qualitative liquidity criterion a fixed-to-fixed multi currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years an overnight index swap (OIS) multi currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years O vernight Index Swap (O IS) 'multi currency swaps' or ‘cross￾currency swaps’ and futures/forwards on O vernight Index Swap (O IS) 'multi currency swaps' or ‘cross￾currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate EUR 50,000,000 10 Fixed-to-Fixed 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed 'multi currency swaps' or ‘cross-currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by fixed interest rates EUR 50,000,000 10 Asset class - Interest Rate Derivatives Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below

EN 92 EN Average daily notional amount
(ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Additional qualitative liquidity criterion an inflation multi currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years a fixed-to-float single currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - notional currency in which the two legs of the swap are denominated Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Fixed-to-Float 'single currency swaps' and futures/forwards on Fixed-to-Float 'single currency swaps' a swap or a future/forward on a swap where two parties exchange cash flows denominated denominated in the same currency and the cash flows of one leg are determined by a fixed interest rate while those of the other leg are determined by a floating interest rate EUR 50,000,000 10 Inflation 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Inflation 'multi currency swaps' or ‘cross-currency swaps’ a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an inflation rate EUR 50,000,000 10 Asset class - Interest Rate Derivatives Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below

EN 93 EN Average daily notional amount
(ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Additional qualitative liquidity criterion a float-to-float single currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - notional currency in which the two legs of the swap are denominated Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years a fixed-to-fixed single currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - notional currency in which the two legs of the swap are denominated Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Fixed-to-Fixed 'single currency swaps' and futures/forwards on Fixed-to-Fixed 'single currency swaps' a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by fixed interest rates EUR 50,000,000 10 Float-to-Float 'single currency swaps' and futures/forwards on Float-to-Float 'single currency swaps' a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by floating interest rates EUR 50,000,000 10 Asset class - Interest Rate Derivatives Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below

EN 94 EN Average daily notional amount
(ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Additional qualitative liquidity criterion an overnight index swap (OIS) single currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - notional currency in which the two legs of the swap are denominated Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years an inflation single currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - notional currency in which the two legs of the swap are denominated Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Inflation 'single currency swaps' and futures/forwards on Inflation 'single currency swaps' a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an inflation rate EUR 50,000,000 10 O vernight Index Swap (O IS) 'single currency swaps' and futures/forwards on O vernight Index Swap (O IS) 'single currency swaps' a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate EUR 50,000,000 10 Asset class - Interest Rate Derivatives Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below

EN 95 EN Sub-asset class
O ther Interest Rate Derivatives an interest rate derivative that does not belong to any of the above sub￾asset classes any other interest rate derivative is considered not to have a liquid market For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), the following methodology shall be applied Asset class - Interest Rate Derivatives

EN 96 EN
Table 5.2
Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor IR futures and FRA calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 5,000,000 70 EUR 10,000,000 80 60 EUR 20,000,000 90 70 EUR 25,000,000 Bond options calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 20,000,000 90 70 EUR 25,000,000 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 20,000,000 90 70 EUR 25,000,000 Asset class - Interest Rate Derivatives SSTI post-trade LIS post-trade Bond futures/forwards calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 Transactions to be considered for the calculations of the thresholds Sub-asset class SSTI pre-trade LIS pre-trade Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market

EN 97 EN Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Fixed-to-Float 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float 'multi currency swaps' or ‘cross-currency swaps’ Swaptions calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 IR options calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 5,000,000 70 EUR 10,000,000 80 60 EUR 20,000,000 90 70 EUR 25,000,000 Asset class - Interest Rate Derivatives Transactions to be SSTI post-trade LIS post-trade considered for the calculations of the thresholds Sub-asset class SSTI pre-trade LIS pre-trade Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market

EN 98 EN Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor O vernight Index Swap (O IS) 'multi currency swaps' or ‘cross￾currency swaps’ and futures/forwards on O vernight Index Swap (O IS) 'multi currency swaps' or ‘cross￾currency swaps’ calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Fixed-to-Fixed 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed 'multi currency swaps' or ‘cross-currency swaps’ calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Float-to-Float 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Float-to-Float 'multi currency swaps' or ‘cross-currency swaps’ calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Asset class - Interest Rate Derivatives Transactions to be SSTI post-trade LIS post-trade considered for the calculations of the thresholds Sub-asset class SSTI pre-trade LIS pre-trade Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market

EN 99 EN Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Float-to-Float 'single currency swaps' and futures/forwards on Float-to-Float 'single currency swaps' calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Fixed-to-Float 'single currency swaps' and futures/forwards on Fixed-to-Float 'single currency swaps' calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Inflation 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Inflation 'multi currency swaps' or ‘cross-currency swaps’ 70 EUR 5,000,000 80 90 70 EUR 10,000,000 calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 60 EUR 9,000,000 Asset class - Interest Rate Derivatives Transactions to be SSTI post-trade LIS post-trade considered for the calculations of the thresholds Sub-asset class SSTI pre-trade LIS pre-trade Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market

EN 100 EN Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor O vernight Index Swap (O IS) 'single currency swaps' and futures/forwards on O vernight Index Swap (O IS) 'single currency swaps' EUR 10,000,000 60 EUR 9,000,000 90 70 EUR 10,000,000 calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 Inflation 'single currency swaps' and futures/forwards on Inflation 'single currency swaps' calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 Fixed-to-Fixed 'single currency swaps' and futures/forwards on Fixed-to-Fixed 'single currency swaps' calculation of thresholds should be performed for each sub-class of the sub￾asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Asset class - Interest Rate Derivatives Transactions to be SSTI post-trade LIS post-trade considered for the calculations of the thresholds Sub-asset class SSTI pre-trade LIS pre-trade Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market

EN 101 EN
Table 5.3
Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Bond futures/forwards EUR 4,000,000 EUR 5,000,000 EUR 20,000,000 EUR 25,000,000 Bond options EUR 4,000,000 EUR 5,000,000 EUR 20,000,000 EUR 25,000,000 IR futures and FRA EUR 5,000,000 EUR 10,000,000 EUR 20,000,000 EUR 25,000,000 IR options EUR 5,000,000 EUR 10,000,000 EUR 20,000,000 EUR 25,000,000 Swaptions EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 Asset class - Interest Rate Derivatives Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market

EN 102 EN SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Fixed-to-Float 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float 'multi currency swaps' or ‘cross￾currency swaps’ EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 Float-to-Float 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Float-to-Float 'multi currency swaps' or ‘cross-currency swaps’ EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 Fixed-to-Fixed 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed 'multi currency swaps' or ‘cross￾currency swaps’ EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 O vernight Index Swap (O IS) 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on O vernight Index Swap (O IS) 'multi currency swaps' or ‘cross-currency swaps’ EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 Asset class - Interest Rate Derivatives Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market

EN 103 EN SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Inflation 'multi currency swaps' or ‘cross-currency swaps’ and futures/forwards on Inflation 'multi currency swaps' or ‘cross-currency swaps’ EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 Fixed-to-Float 'single currency swaps' and futures/forwards on Fixed-to-Float 'single currency swaps' EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 Float-to-Float 'single currency swaps' and futures/forwards on Float-to-Float 'single currency swaps' EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 Fixed-to-Fixed 'single currency swaps' and futures/forwards on Fixed-to-Fixed 'single currency swaps' EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 Asset class - Interest Rate Derivatives Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market

EN 104 EN SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value O vernight Index Swap (O IS) 'single currency swaps' and futures/forwards on O vernight Index Swap (O IS) 'single currency swaps' EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 Inflation 'single currency swaps' and futures/forwards on Inflation 'single currency swaps' EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 O ther Interest Rate Derivatives EUR 4,000,000 EUR 5,000,000 EUR 9,000,000 EUR 10,000,000 Asset class - Interest Rate Derivatives Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market

EN 105 EN
6. Equity derivatives
Table 6.1
Equity derivatives – classes not having a liquid market Stock options an option whose underlying is a share or a basket of shares resulting from a corporate action all stock options are considered to have a liquid market Stock index futures/ forwards a future whose underlying is an index composed of shares all index futures/ forwards are considered to have a liquid market Stock futures/ forwards a future whose underlying is a share or a basket of shares resulting from a corporate action all stock futures/ forwards are considered to have a liquid market Asset class - Equity Derivatives any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to:
(a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments; (b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments Stock index options an option whose underlying is an index composed of shares all index options are considered to have a liquid market Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied

EN 106 EN
Stock dividend futures/ forwards a future on the dividend of a specific share all stock dividend futures/ forwards are considered to have a liquid market Stock dividend options an option on the dividend of a specific share all stock dividend options are considered to have a liquid market Asset class - Equity Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Dividend index options an option on an index composed of dividends of more than one share all dividend index options are considered to have a liquid market Dividend index futures/ forwards a future on an index composed of dividends of more than one share all dividend index futures/ forwards are considered to have a liquid market Volatility index options an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments all volatility index options are considered to have a liquid market

EN 107 EN
Asset class - Equity Derivatives
Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied ETF futures/ forwards a future whose underlying is an ETF all ETF futures/ forwards are considered to have a liquid market ETF options an option whose underlying is an ETF all ETF options are considered to have a liquid market Volatility index futures/ forwards a future whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments all volatility index futures/ forwards are considered to have a liquid market

EN 108 EN
Price return basic performance parameter Parameter return variance/volatility Parameter return dividend Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 3: 2 years < time to maturity ≤ 3 years Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years … Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … … Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket m: (n-1) years < time to maturity ≤ n years Asset class - Equity Derivatives Average daily number of trades [quantitative liquidity criterion 2] Segmentation criterion 4 - time to maturity bucket of the swap defined as follows:
Segmentation criterion 3 - parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 2 - underlying single name, index, basket Segmentation criterion 1 - underlying type: single name, index, basket Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Swaps Sub-asset class Average daily notional amount (ADNA) [quantitative liquidity criterion 1] For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below a swap sub-class is defined by the following segmentation criteria:
EUR 50,000,000 15

EN 109 EN
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Asset class - Equity Derivatives Average daily number of trades [quantitative liquidity criterion 2] Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Portfolio Swaps EUR 50,000,000 15 Sub-asset class Average daily notional amount (ADNA) [quantitative liquidity criterion 1] For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below a portfolio swap sub-class is defined by a specific combination of:
Segmentation criterion 1 - underlying type: single name, index, basket Segmentation criterion 2 - underlying single name, index, basket Segmentation criterion 3 - parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 - time to maturity bucket of the portfolio swap defined as follows:

EN 110 EN Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied O ther equity derivatives an equity derivative that does not belong to any of the above sub-asset classes any other equity derivative is considered not to have a liquid market Asset class - Equity Derivatives

EN 111 EN
Table 6.2
Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Sub-asset class For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below EUR 250,000,000 EUR 260,000,000 EUR 50,000,000 EUR 55,000,000 EUR 3bn <= ADNA < EUR 5bn EUR 15,000,000 EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 EUR 1,000,000 EUR 1,500,000 Stock index futures/ forwards a stock index future/forward sub-class is defined by the following segmentation criteria:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 100m ADNA EUR 20,000 EUR 25,000 EUR 1bn <= ADNA < EUR 3bn EUR 5,000,000 EUR 5,500,000 ADNA >= EUR 5bn EUR 25,000,000 EUR 30,000,000 EUR 1,500,000 EUR 30,000,000 EUR 200m <= ADNA < EUR 600m EUR 5,000,000 EUR 5,500,000 Segmentation criterion 1 - underlying stock index EUR 100m <= ADNA < EUR 1bn EUR 500,000 EUR 550,000 EUR 5,000,000 EUR 5,500,000 Asset class - Equity Derivatives Transactions to be considered for the calculations of the thresholds Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs Average daily notional amount (ADNA) Stock index options a stock index option sub-class is defined by the following segmentation criteria:
EUR 50,000,000 EUR 55,000,000
ADNA >= EUR 600m EUR 15,000,000 EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 Segmentation criterion 1 - underlying stock index EUR 100m <= ADNA < EUR 200m EUR 2,500,000 EUR 3,000,000 EUR 25,000,000 calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 100m ADNA EUR 20,000 EUR 25,000 EUR 1,000,000

EN 112 EN SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Sub-asset class For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below EUR 450,000 Segmentation criterion 1 - underlying share entitling to dividends EUR 5m <= ADNA < EUR 10m EUR 25,000 EUR 30,000 EUR 500,000 EUR 550,000 Stock dividend options a stock dividend option sub-class is defined by the following segmentation criteria:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 5m ADNA EUR 20,000 EUR 25,000 EUR 10m <= ADNA < EUR 20m EUR 50,000 EUR 100,000 EUR 1,000,000 EUR 1,500,000 ADNA >= EUR 20m EUR 100,000 EUR 150,000 EUR 2,000,000 EUR 2,500,000 EUR 400,000 EUR 2,500,000 EUR 3,000,000 ADNA >= EUR 20m EUR 1,000,000 EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 EUR 1,000,000 EUR 1,250,000 Stock futures/ forwards an stock future/forward sub-class is defined by the following segmentation criteria:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 5m ADNA EUR 20,000 EUR 25,000 EUR 10m <= ADNA < EUR 20m EUR 500,000 EUR 550,000 EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 Segmentation criterion 1 - underlying share EUR 5m <= ADNA < EUR 10m EUR 250,000 EUR 300,000 EUR 1,250,000 EUR 1,500,000 Stock options a stock option sub-class is defined by the following segmentation criteria:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 5m ADNA EUR 20,000 EUR 25,000 EUR 1,000,000 EUR 1,250,000 Segmentation criterion 1 - underlying share EUR 5m <= ADNA < EUR 10m EUR 250,000 EUR 300,000 EUR 1,250,000 EUR 1,500,000 EUR 10m <= ADNA < EUR 20m EUR 500,000 EUR 550,000 EUR 2,500,000 EUR 3,000,000 ADNA >= EUR 20m EUR 1,000,000 Asset class - Equity Derivatives Transactions to be considered for the calculations of the thresholds Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs Average daily notional amount (ADNA)

EN 113 EN SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Sub-asset class For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below EUR 50,000,000 EUR 55,000,000 ADNA >= EUR 600m EUR 15,000,000 EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 EUR 1,000,000 EUR 1,500,000 Dividend index options a dividend index option sub-class is defined by the following segmentation criteria:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 100m ADNA EUR 20,000 EUR 25,000 EUR 200m <= ADNA < EUR 600m EUR 5,000,000 EUR 5,500,000 EUR 400,000 EUR 450,000 Segmentation criterion 1 - underlying dvidend index EUR 100m <= ADNA < EUR 200m EUR 2,500,000 EUR 3,000,000 EUR 25,000,000 EUR 30,000,000 Segmentation criterion 1 - underlying share entitling to dividends EUR 5m <= ADNA < EUR 10m Stock EUR 25,000 EUR 30,000 EUR 500,000 EUR 550,000 dividend futures/ forwards a stock dividend future/forward sub-class is defined by the following segmentation criteria:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 5m ADNA EUR 20,000 EUR 25,000 EUR 10m <= ADNA < EUR 20m EUR 50,000 EUR 100,000 EUR 1,000,000 EUR 1,500,000 ADNA >= EUR 20m EUR 100,000 EUR 150,000 EUR 2,000,000 EUR 2,500,000 Asset class - Equity Derivatives Transactions to be considered for the calculations of the thresholds Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs Average daily notional amount (ADNA)

EN 114 EN SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Sub-asset class For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below EUR 50,000,000 EUR 55,000,000 ADNA >= EUR 600m EUR 15,000,000 EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 EUR 1,000,000 EUR 1,500,000 EUR 25,000,000 EUR 30,000,000 EUR 250,000,000 EUR 260,000,000 Volatility index options a volatility index option sub-class is defined by the following segmentation criteria:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 100m ADNA EUR 20,000 EUR 25,000 EUR 1,000,000 EUR 1,500,000 Segmentation criterion 1 - underlying volatility index EUR 100m <= ADNA < EUR 200m EUR 2,500,000 EUR 3,000,000 EUR 25,000,000 EUR 30,000,000 EUR 200m <= ADNA < EUR 600m EUR 5,000,000 EUR 5,500,000 Segmentation criterion 1 - underlying dvidend index EUR 100m <= ADNA < EUR 1bn EUR 500,000 EUR 550,000 EUR 5,000,000 EUR 5,500,000 Dividend index futures/ forwards a dividend index future/forward sub-class is defined by the following segmentation criteria:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 100m ADNA EUR 20,000 EUR 25,000 EUR 1bn <= ADNA < EUR 3bn EUR 5,000,000 EUR 5,500,000 ADNA >= EUR 5bn EUR 50,000,000 EUR 55,000,000 EUR 3bn <= ADNA < EUR 5bn EUR 15,000,000 EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 Asset class - Equity Derivatives Transactions to be considered for the calculations of the thresholds Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs Average daily notional amount (ADNA)

EN 115 EN SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Sub-asset class For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 EUR 250,000,000 EUR 260,000,000 ETF options an ETF option sub-class is defined by the following segmentation criteria:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 5m ADNA EUR 20,000 EUR 25,000 EUR 1,000,000 EUR 1,250,000 Segmentation criterion 1 - underlying ETF EUR 5m <= ADNA < EUR 10m EUR 250,000 EUR 300,000 EUR 1,250,000 EUR 1,500,000 EUR 10m <= ADNA < EUR 20m EUR 500,000 EUR 550,000 EUR 2,500,000 EUR 3,000,000 ADNA >= EUR 20m EUR 1,000,000 EUR 50,000,000 EUR 55,000,000 EUR 3bn <= ADNA < EUR 5bn EUR 15,000,000 EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 EUR 1,000,000 EUR 1,500,000 Volatility index futures/ forwards a volatility index future/forward sub-class is defined by the following segmentation criteria:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 100m ADNA EUR 20,000 EUR 25,000 EUR 1bn <= ADNA < EUR 3bn EUR 5,000,000 EUR 5,500,000 ADNA >= EUR 5bn EUR 25,000,000 EUR 30,000,000 Segmentation criterion 1 - underlying volatility index EUR 100m <= ADNA < EUR 1bn EUR 500,000 EUR 550,000 EUR 5,000,000 EUR 5,500,000 Asset class - Equity Derivatives Transactions to be considered for the calculations of the thresholds Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs Average daily notional amount (ADNA)

EN 116 EN SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Asset class - Equity Derivatives Transactions to be considered for the calculations of the thresholds Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs Average daily notional amount (ADNA) EUR 20,000 EUR 25,000 EUR 10m <= ADNA < EUR 20m EUR 500,000 EUR 550,000 Segmentation criterion 1 - underlying ETF EUR 5m <= ADNA < EUR 10m EUR 250,000 EUR 300,000 EUR 1,250,000 EUR 1,500,000 EUR 1,000,000 EUR 1,250,000 Sub-asset class For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below EUR 2,500,000 EUR 3,000,000 ADNA >= EUR 20m EUR 1,000,000 EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 ETF futures/ forwards an ETF future/forward sub-class is defined by the following segmentation criteria:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class < EUR 5m ADNA

EN 117 EN SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value a swap sub-class is defined by the following segmentation criteria:
Price return basic performance parameter
Parameter return variance/volatility
Parameter return dividend
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 3: 2 years < time to maturity ≤ 3 years Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years … Maturity bucket 6: 2 years < time to maturity ≤ 3 years … … Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket m: (n-1) years < time to maturity ≤ n years Sub-asset class For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below Segmentation criterion 2 - underlying single name, index, basket Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years Maturity bucket m: (n-1) years < time to maturity ≤ n years Swaps Segmentation criterion 1 - underlying type: single name, index, basket ADNA >= EUR 200m EUR 1,000,000 EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 Segmentation criterion 4 - time to maturity bucket of the swap defined as follows:
EUR 100m <= ADNA
< EUR 200m EUR 500,000 EUR 550,000 EUR 2,500,000 EUR 3,000,000 Segmentation criterion 3 - parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class EUR 50m <= ADNA < EUR 100m EUR 250,000 EUR 300,000 EUR 1,250,000 EUR 1,500,000 Asset class - Equity Derivatives Transactions to be considered for the calculations of the thresholds Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs Average daily notional amount (ADNA)

EN 118 EN SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class Sub-asset class For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below EUR 50m <= ADNA < EUR 100m EUR 250,000 EUR 300,000 EUR 1,250,000 EUR 1,500,000 ADNA >= EUR 200m EUR 1,000,000 EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 Porfolio Swaps a portfolio swap sub-class is defined by a specific combination of:
Segmentation criterion 1 - underlying type: single name, index, basket Segmentation criterion 4 - time to maturity bucket of the portfolio swap defined as follows:
EUR 100m <= ADNA
< EUR 200m EUR 500,000 EUR 550,000 EUR 2,500,000 EUR 3,000,000 Segmentation criterion 2 - underlying single name, index, basket Segmentation criterion 3 - parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Asset class - Equity Derivatives Transactions to be considered for the calculations of the thresholds Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs Average daily notional amount (ADNA)

EN 119 EN
Table 6.3
Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Swaps EUR 20,000 EUR 25,000 EUR 100,000 EUR 150,000 Porfolio Swaps EUR 20,000 EUR 25,000 EUR 100,000 EUR 150,000 O ther equity derivatives EUR 20,000 EUR 25,000 EUR 100,000 EUR 150,000 Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market Asset class - Equity Derivatives Sub-asset class

EN 120 EN
7. Commodity derivatives
Table 7.1
Commodity derivatives – classes not having a liquid market Precious metals Non-precious metals Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 3 months < time to maturity ≤ 1 year Maturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 2 years < time to maturity ≤ 3 years Maturity bucket 4: 2 years < time to maturity ≤ 3 years … … Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket m: (n-1) years < time to maturity ≤ n years Asset class - Commodity Derivatives Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Metal commodity futures/forwards EUR 10,000,000 10 For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below a metal commodity future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - metal type: precious metal, non-precious metal Segmentation criterion 4 - time to maturity bucket of the future/forward defined as follows:
Segmentation criterion 3 - notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 2 - underlying metal

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Precious metals Non-precious metals
Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 3 months < time to maturity ≤ 1 year Maturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 2 years < time to maturity ≤ 3 years Maturity bucket 4: 2 years < time to maturity ≤ 3 years … … Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket m: (n-1) years < time to maturity ≤ n years Asset class - Commodity Derivatives Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Metal commodity options EUR 10,000,000 10 For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below a metal commodity option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - metal type: precious metal, non-precious metal Segmentation criterion 2 - underlying metal Segmentation criterion 3 - notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 4 - time to maturity bucket of the option defined as follows:

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Precious metals Non-precious metals
Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 3 months < time to maturity ≤ 1 year Maturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 2 years < time to maturity ≤ 3 years Maturity bucket 4: 2 years < time to maturity ≤ 3 years … … Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket m: (n-1) years < time to maturity ≤ n years Asset class - Commodity Derivatives Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Metal commodity swaps EUR 10,000,000 10 For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below a metal commodity swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 2 - underlying metal
Segmentation criterion 1 - metal type: precious metal, non-precious metal Segmentation criterion 3 - notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 5 - time to maturity bucket of the swap defined as follows:
Segmentation criterion 4 - settlement type defined as cash, physical or other

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Oil/ Oil Distillates/ Oil Light ends Coal Natural Gas/'Electricity/Inter-energy Maturity bucket 1: 0 < time to maturity ≤ 4 months Maturity bucket 1: 0 < time to maturity ≤ 6 months Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 4 months < time to maturity ≤ 8 months Maturity bucket 2: 6 months < time to maturity ≤ 1 year Maturity bucket 2: 1 month < time to maturity ≤ 1 year Maturity bucket 3: 8 months < time to maturity ≤ 1 year Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 4: 1 year < time to maturity ≤ 2 years … … … Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket m: (n-1) years < time to maturity ≤ n years Energy commodity futures/forwards EUR 10,000,000 10 an energy commodity future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 5 - delivery/ cash settlement location applicable to energy types: oil, oil distillates, oil light ends, electricity, inter-energy Asset class - Commodity Derivatives Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Segmentation criterion 6 - time to maturity bucket of the future/forward defined as follows:
Segmentation criterion 2 - underlying energy
Segmentation criterion 1 - energy type: oil, oil distillates, coal, oil light ends, natural gas, electricity, inter-energy Segmentation criterion 3 - notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 4 - load type defined as baseload, peakload, off-peak or others, applicable to energy type: electricity

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Oil/ Oil Distillates/ Oil Light ends Coal Natural Gas/'Electricity/Inter-energy Maturity bucket 1: 0 < time to maturity ≤ 4 months Maturity bucket 1: 0 < time to maturity ≤ 6 months Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 4 months < time to maturity ≤ 8 months Maturity bucket 2: 6 months < time to maturity ≤ 1 year Maturity bucket 2: 1 month < time to maturity ≤ 1 year Maturity bucket 3: 8 months < time to maturity ≤ 1 year Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 4: 1 year < time to maturity ≤ 2 years … … … Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket m: (n-1) years < time to maturity ≤ n years Energy commodity options EUR 10,000,000 10 an energy commodity option sub-class is defined by the following segmentation criteria:
Segmentation criterion 4 - load type defined as baseload, peakload, off-peak or others, applicable to energy type: electricity Segmentation criterion 6 - time to maturity bucket of the option defined as follows:
Asset class - Commodity Derivatives
Average daily notional amount
(ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Sub-asset class
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Segmentation criterion 1 - energy type: oil, oil distillates, coal, oil light ends, natural gas, electricity, inter-energy Segmentation criterion 3 - notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 5 - delivery/ cash settlement location applicable to energy types: oil, oil distillates, oil light ends, electricity, inter-energy Segmentation criterion 2 - underlying energy

EN 125 EN
Oil/ Oil Distillates/ Oil Light ends Coal Natural Gas/'Electricity/Inter-energy Maturity bucket 1: 0 < time to maturity ≤ 4 months Maturity bucket 1: 0 < time to maturity ≤ 6 months Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 4 months < time to maturity ≤ 8 months Maturity bucket 2: 6 months < time to maturity ≤ 1 year Maturity bucket 2: 1 month < time to maturity ≤ 1 year Maturity bucket 3: 8 months < time to maturity ≤ 1 year Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 4: 1 year < time to maturity ≤ 2 years … … … Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket m: (n-1) years < time to maturity ≤ n years Energy commodity swaps EUR 10,000,000 10 an energy commodity swap sub-class is defined by the following segmentation criteria:
Asset class - Commodity Derivatives
Average daily notional amount
(ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Sub-asset class
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Segmentation criterion 4 - settlement type defined as cash, physical or other Segmentation criterion 7 - time to maturity bucket of the swap defined as follows:
Segmentation criterion 5 - load type defined as baseload, peakload, off-peak or others, applicable to energy type: electricity Segmentation criterion 2 - underlying energy Segmentation criterion 1 - energy type: oil, oil distillates, coal, oil light ends, natural gas, electricity, inter-energy Segmentation criterion 3 - notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 6 - delivery/ cash settlement location applicable to energy types: oil, oil distillates, oil light ends, electricity, inter-energy

EN 126 EN
Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Agricultural commodity futures/forwards EUR 10,000,000 10 Agricultural commodity options EUR 10,000,000 10 an agricultural commodity future/forward sub-class is defined by the following segmentation criteria:
an agricultural commodity option sub-class is defined by the following segmentation criteria:
Asset class - Commodity Derivatives
Average daily notional amount (ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Sub-asset class
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Segmentation criterion 3 - time to maturity bucket of the option defined as follows:
Segmentation criterion 3 - time to maturity bucket of the future/forward defined as follows:
Segmentation criterion 1 - underlying agricultural commodity Segmentation criterion 1 - underlying agricultural commodity Segmentation criterion 2 - notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 2 - notional currency defined as the currency in which the notional amount of the option is denominated

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Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Agricultural commodity swaps EUR 10,000,000 10 Asset class - Commodity Derivatives O ther commodity derivatives a commodity derivative that does not belong to any of the above sub-asset classes any other commodity derivative is considered not to have a liquid market Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Segmentation criterion 4 - time to maturity bucket of the swap defined as follows:
Segmentation criterion 3 - settlement type defined as cash, physical or other Segmentation criterion 1 - underlying agricultural commodity Segmentation criterion 2 - notional currency defined as the currency in which the notional amount of the swap is denominated an agricultural commodity swap sub-class is defined by the following segmentation criteria:

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Table 7.2
Commodity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Asset class - Commodity Derivatives 60 EUR 750,000 90 70 EUR 1,000,000 EUR 1,000,000 Metal commodity options calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 Transactions to be considered for the calculations of the thresholds SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Metal commodity futures/forwards Sub-asset class Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 250,000 70 EUR 500,000 60 EUR 750,000 90 70 80 Metal commodity swaps calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 250,000 70 EUR 250,000 70 EUR 500,000 80 60 EUR 750,000 90 70 EUR 500,000 80 EUR 1,000,000

EN 129 EN Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Asset class - Commodity Derivatives Transactions to be considered for the calculations of the thresholds Sub-asset class SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 250,000 70 EUR 500,000 80 calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 250,000 70 Energy commodity futures/forwards EUR 250,000 70 EUR 500,000 80 60 EUR 750,000 90 70 EUR 1,000,000 Energy commodity options calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 60 EUR 750,000 90 70 EUR 1,000,000 EUR 1,000,000 60 EUR 750,000 90 70 EUR 1,000,000 calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 250,000 70 EUR 500,000 80 Agricultural commodity futures/forwards EUR 500,000 80 60 EUR 750,000 90 70 Energy commodity swaps

EN 130 EN Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Asset class - Commodity Derivatives Transactions to be considered for the calculations of the thresholds Sub-asset class SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market EUR 1,000,000 Agricultural commodity options calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 250,000 70 EUR 500,000 80 60 EUR 750,000 90 70 EUR 1,000,000 EUR 500,000 80 60 EUR 750,000 90 70 Agricultural commodity swaps calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 250,000 70

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Table 7.3
Commodity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Metal commodity futures/forwards EUR 250,000 EUR 500,000 EUR 750,000 EUR 1,000,000 Metal commodity options EUR 250,000 EUR 500,000 EUR 750,000 EUR 1,000,000 Metal commodity swaps EUR 250,000 EUR 500,000 EUR 750,000 EUR 1,000,000 Energy commodity futures/forwards EUR 250,000 EUR 500,000 EUR 750,000 EUR 1,000,000 Energy commodity options EUR 250,000 EUR 500,000 EUR 750,000 EUR 1,000,000 Asset class - Commodity Derivatives Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market

EN 132 EN SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Energy commodity swaps EUR 250,000 EUR 500,000 EUR 750,000 EUR 1,000,000 Agricultural commodity futures/forwards EUR 250,000 EUR 500,000 EUR 750,000 EUR 1,000,000 Agricultural commodity options EUR 250,000 EUR 500,000 EUR 750,000 EUR 1,000,000 Agricultural commodity swaps EUR 250,000 EUR 500,000 EUR 750,000 EUR 1,000,000 O ther commodity derivatives EUR 250,000 EUR 500,000 EUR 750,000 EUR 1,000,000 Asset class - Commodity Derivatives Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market

EN 133 EN
8. Foreign exchange derivatives
Table 8.1
Foreign exchange derivatives – classes not having a liquid market a non-deliverable FX forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 - time to maturity bucket of the forward defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Non-deliverable forward (NDF) means a forward that, by its terms, is cash￾settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract. Asset class - Foreign Exchange Derivatives a financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EU Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Non-deliverable forward (NDF) are considered not to have a liquid market

EN 134 EN a deliverable FX forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 - time to maturity bucket of the forward defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years a non-deliverable FX option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 - time to maturity bucket of the option defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Asset class - Foreign Exchange Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Non-Deliverable FX options (NDO ) means an option that, by its terms, is cash￾settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract. Deliverable forward (DF) means a forward that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. Non-Deliverable FX options (NDO) are considered not to have a liquid market Deliverable forward (DF) are considered not to have a liquid market

EN 135 EN a deliverable FX option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 - time to maturity bucket of the option defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years a non-deliverable FX swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Asset class - Foreign Exchange Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Non-Deliverable FX swaps (NDS) means a swap that, by its terms, is cash￾settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract. Deliverable FX options (DO ) means an option that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. Non-Deliverable FX swaps (NDS) are considered not to have a liquid market Deliverable FX options (DO) are considered not to have a liquid market

EN 136 EN a deliverable FX swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 - time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years an FX future sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 - time to maturity bucket of the future defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Asset class - Foreign Exchange Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] FX futures Deliverable FX swaps (DS) means a swap that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. FX futures are considered not to have a liquid market Deliverable FX swaps (DS) are considered not to have a liquid market

EN 137 EN Sub-asset class
Asset class - Foreign Exchange Derivatives
O ther Foreign Exchange Derivatives an FX derivative that does not belong to any of the above sub-asset classes For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied any other FX derivative is considered not to have a liquid market

EN 138 EN
Table 8.2
Foreign exchange derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Non-deliverable forward (NDF) EUR 4,000,000 EUR 5,000,000 EUR 20,000,000 EUR 25,000,000 Deliverable forward (DF) EUR 4,000,000 EUR 5,000,000 EUR 20,000,000 EUR 25,000,000 Non-Deliverable FX options (NDO ) EUR 4,000,000 EUR 5,000,000 EUR 20,000,000 EUR 25,000,000 Deliverable FX options (DO ) EUR 4,000,000 EUR 5,000,000 EUR 20,000,000 EUR 25,000,000 Non-Deliverable FX swaps (NDS) EUR 4,000,000 EUR 5,000,000 EUR 20,000,000 EUR 25,000,000 Deliverable FX swaps (DS) EUR 4,000,000 EUR 5,000,000 EUR 20,000,000 EUR 25,000,000 FX futures EUR 4,000,000 EUR 5,000,000 EUR 20,000,000 EUR 25,000,000 O ther Foreign Exchange Derivatives EUR 4,000,000 EUR 5,000,000 EUR 20,000,000 EUR 25,000,000 Asset class - Foreign Exchange Derivatives Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market

EN 139 EN
9. Credit derivatives
Table 9.1
Credit derivatives – classes not having a liquid market an index credit default swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying index
Segmentation criterion 3 - time maturity bucket of the CDS defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Index credit default swap (CDS ) a swap whose exchange of cash flows is linked to the creditworthiness of several issuers of financial instruments composing an index and the occurrence of credit events EUR 200,000,000 10 The underlying index is considered to have a liquid market:
(1) during the whole period of its 'on-the-run status' (2) for the first 30 working days of its '1x off-the-run status' 'on-the-run' index means the rolling most recent version (series) of the index created on the date on which the composition of the index is effective and ending one day prior to the date on which the composition of the next version (series) of the index is effective. '1x off-the-run status' means the version (series) of the index which is immediately prior to the current ‘on-the￾run’ version (series) at a certain point in time. A version (series) ceases being ‘on-the-run’ and acquires its '1x off￾the-run' status when the latest version (series) of the index is created. Segmentation criterion 2 - notional currency defined as the currency in which the notional amount of the derivative is denominated Asset class - Credit Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub￾classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] O n-the-run status of the index [Additional qualitative liquidity criterion]

EN 140 EN a single name credit default swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - underlying reference entity Segmentation criterion 2 - underlying reference entity type defined as follows:
“Issuer of sovereign and public type” means an issuer entity which is either:
(a) the Union;
(b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) a sovereign entity which is not listed under points (a) and (b). in the case of a Federal Member State, a member of the federation; (d) in the case of a federal Member State, a member of that federation; (e) a special purpose vehicle for several Member States; (f) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems; (g) the European Investment Bank; (h) a public entity which is not an issuer of a sovereign issuer as specified in the points (a) to (c). “Issuer of corporate type” means an issuer entity which is not an issuer of sovereign and public type. Segmentation criterion 4 - time maturity bucket of the CDS defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 10,000,000 10 Single name credit default swap (CDS ) a swap whose exchange of cash flows is linked to the creditworthiness of one issuer of financial instruments and the occurrence of credit events Segmentation criterion 3 - notional currency defined as the currency in which the notional amount of the derivative is denominated Asset class - Credit Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub￾classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] O n-the-run status of the index [Additional qualitative liquidity criterion]

EN 141 EN a CDS index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - CDS index sub-class as specified for the sub-asset class of index credit default swap (CDS ) Segmentation criterion 2 - time maturity bucket of the option defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 6 months Maturity bucket 2: 6 months < time to maturity ≤ 1 year Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 4: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years a single name CDS option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - single name CDS sub-class as specified for the sub-asset class of single name CDS Segmentation criterion 2 - time maturity bucket of the option defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 6 months Maturity bucket 2: 6 months < time to maturity ≤ 1 year Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 4: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Asset class - Credit Derivatives Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet the following qualitative liquidity criterion Single name CDS options an option whose underlying is a single name CDS a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a single name CDS option whose underlyingsingle name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket CDS index options an option whose underlying is a CDS index a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below

EN 142 EN
Asset class - Credit Derivatives
O ther credit derivatives a credit derivative that does not belong to any of the above sub-asset classes any other credit derivatives is considered not to have a liquid market Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall apply

EN 143 EN
Table 9.2
Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor EUR 10,000,000 Bespoke basket credit default swap (CDS) calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 EUR 10,000,000 Single name credit default swap (CDS ) calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 EUR 10,000,000 Index credit default swap (CDS ) calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 Asset class - Credit Derivatives Sub-asset class Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market Transactions to be considered for the calculations of the thresholds SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade

EN 144 EN Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor EUR 10,000,000 Single name CDS options calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 EUR 10,000,000 CDS index options calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 Asset class - Credit Derivatives Sub-asset class Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market Transactions to be considered for the calculations of the thresholds SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade

EN 145 EN
Table 9.3
Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Index credit default swap (CDS ) EUR 2,500,000 EUR 5,000,000 EUR 7,500,000 EUR 10,000,000 Single name credit default swap (CDS ) EUR 2,500,000 EUR 5,000,000 EUR 7,500,000 EUR 10,000,000 Bespoke basket credit default swap (CDS) EUR 2,500,000 EUR 5,000,000 EUR 7,500,000 EUR 10,000,000 CDS index options EUR 2,500,000 EUR 5,000,000 EUR 7,500,000 EUR 10,000,000 Single name CDS options EUR 2,500,000 EUR 5,000,000 EUR 7,500,000 EUR 10,000,000 O ther credit derivatives EUR 2,500,000 EUR 5,000,000 EUR 7,500,000 EUR 10,000,000 Asset class - Credit Derivatives Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market

EN 146 EN
10. C10 derivatives
Table 10.1
C10 derivatives – classes not having a liquid market a freight derivative sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 - contract type: Forward Freight Agreements (FFAs) or options Segmentation criterion 2 - freight type: wet freight, dry freight Segmentation criterion 3 - freight sub-type: dry bulk carriers, tanker, containership Segmentation criterion 4 - specification of the size related to the freight sub-type Segmentation criterion 5 - specific route or time charter average Segmentation criterion 6 - time maturity bucket of the derivative defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 9 months Maturity bucket 5: 9 months < time to maturity ≤ 1 year Maturity bucket 6: 1 year < time to maturity ≤ 2 years Maturity bucket 7: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Asset class - C10 Derivatives Freight derivatives a financial instrument relating to freight rates as defined in Section C(10) of Annex I of Directive 2014/65/EU Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Article 6 and 8(b), each sub-asset class shall be further segmented into sub-classes as defined below EUR 10,000,000 10

EN 147 EN Sub-asset class
O ther C10 derivatives a financial instrument as defined in Section C(10) of
Annex I of Directive 2014/65/EU which is not a ‘Freight
derivative’, any of the following interest rate derivatives sub-asset classes: 'Inflation multi currency swap or cross￾currency swap', a 'Future/forward on inflation multi currency swaps or cross-currency swaps', an 'Inflation sinlgle currency swap', a 'Future/forward on inflation sinlgle currency swap' and any of the following equity derivatives sub-asset classes: a 'Volatility index option', a 'Volatility index future/forward', a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility any other C10 derivatives is considered not to have a liquid market For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Asset class - C10 Derivatives

EN 148 EN
Table 10.2
C10 derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Freight derivatives calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 25,000 70 EUR 50,000 80 60 EUR 75,000 90 70 EUR 100,000 Asset class - C10 Derivatives Sub-asset class Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market Transactions to be LIS post-trade considered for the calculations of the thresholds SSTI pre-trade LIS pre-trade SSTI post-trade

EN 149 EN
Table 10.3
C10 derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Freight derivatives EUR 25,000 EUR 50,000 EUR 75,000 EUR 100,000 O ther C10 derivatives EUR 25,000 EUR 50,000 EUR 75,000 EUR 100,000 Asset class - C10 Derivatives Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market

EN 150 EN
11. Financial contracts for differences (CFDs)
Table 11.1
CFDs – classes not having a liquid market
Currency CFDs a currency CFD sub-class is defined by the underlying currency pair defined as combination of the two currencies underlying the CFD/spread betting contract EUR 50,000,000 100 Commodity CFDs a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract EUR 50,000,000 100 Q ualitative liquidity criterion Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Asset class - Financial contracts for differences (CFDs) a derivative contract that gives the holder an exposure, which can be long or short, to the difference between the price of an underlying asset at the start of the contract and the price when the contract is closed Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria or, where applicable, if it does not meet the qualitative liquidity criterion as defined below

EN 151 EN
Equity CFDs an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract an equity CFD sub-class is considered to have a liquid market if the underlying is an equity security for which there is a liquid market as determined in accordance with
Article 2(1)(17)(b) of Regulation
600/2014
Bond CFDs a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract a bond CFD sub-class is considered to have a liquid market if the underlying is a bond or bond future for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). CFDs on an equity future/forward a CFD on an equity future/forward sub-class is defined by the underlying future/forward on an equity of the CFD/spread betting contract a CFD on an equity future/forward sub￾class is considered to have a liquid market if the underlying is an equity future/forward for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). CFDs on an equity option a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract a CFD on an equity option sub-class is considered to have a liquid market if the underlying is an equity option for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). Q ualitative liquidity criterion Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Asset class - Financial contracts for differences (CFDs) Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria or, where applicable, if it does not meet the qualitative liquidity criterion as defined below

EN 152 EN Sub-asset class
O ther CFDs a CFD/spread betting that does not belong to any of the above sub-asset classes For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied any other CFD/spread betting is considered not to have a liquid market Asset class - Financial contracts for differences (CFDs)

EN 153 EN
Table 11.2
CFDs– pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Currency CFDs transactions executed on currency CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) 60 EUR 50,000 70 EUR 60,000 80 60 EUR 90,000 90 70 EUR 100,000 Commodity CFDs transactions executed on commodity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) 60 EUR 50,000 70 EUR 60,000 80 60 EUR 90,000 90 70 EUR 100,000 Equity CFDs transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) 60 EUR 50,000 70 EUR 60,000 80 60 EUR 90,000 90 70 EUR 100,000 Bond CFDs transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) 60 EUR 50,000 70 EUR 60,000 80 60 EUR 90,000 90 70 EUR 100,000 Sub-asset class Asset class - Financial contracts for differences (CFDs) Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market Transactions to be SSTI pre-trade LIS pre-trade considered for the calculations of the thresholds SSTI post-trade LIS post-trade

EN 154 EN
Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor CFDs on an equity future/forward transactions executed on CFDs on future on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) 60 EUR 50,000 70 EUR 60,000 80 60 EUR 90,000 90 70 EUR 100,000 CFDs on an equity option transactions executed on CFDs on option on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) 60 EUR 50,000 70 EUR 60,000 80 60 EUR 90,000 90 70 EUR 100,000 Sub-asset class Asset class - Financial contracts for differences (CFDs) Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market Transactions to be SSTI pre-trade LIS pre-trade considered for the calculations of the thresholds SSTI post-trade LIS post-trade

EN 155 EN
Table 11.3
CFDs– pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Currency CFDs EUR 50,000 EUR 60,000 EUR 90,000 EUR 100,000 Commodity CFDs EUR 50,000 EUR 60,000 EUR 90,000 EUR 100,000 Equity CFDs EUR 50,000 EUR 60,000 EUR 90,000 EUR 100,000 Bond CFDs EUR 50,000 EUR 60,000 EUR 90,000 EUR 100,000 CFDs on an equity future/forward EUR 50,000 EUR 60,000 EUR 90,000 EUR 100,000 CFDs on an equity option EUR 50,000 EUR 60,000 EUR 90,000 EUR 100,000 O ther CFDs/ spread betting EUR 50,000 EUR 60,000 EUR 90,000 EUR 100,000 Asset class - Financial contracts for differences (CFDs) Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market

EN 156 EN
12. Emission allowances
Table 12.1
Emission allowances – classes not having a liquid market Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] European Union Allowances (EUA) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the right to emit the equivalent to one tonne of carbon dioxide equivalent (tCO2e) 150,000 tons of Carbon Dioxide 5 European Union Aviation Allowances (EUAA) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the right to emit the equivalent to one tonne of carbon dioxide equivalent (tCO2e) from aviation 150,000 tons of Carbon Dioxide 5 Certified Emission Reductions (CER) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to one tonne of carbon dioxide equivalent (tCO2e) 150,000 tons of Carbon Dioxide 5 Emission Reduction Units (ERU) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to one tonne of carbon dioxide equivalent (tCO2e) 150,000 tons of Carbon Dioxide 5 Asset class - Emission Allowances Sub-asset class Each sub-asset class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria

EN 157 EN Sub-asset class
O ther Emission Allowances an emission allowance that does not belong to any of the above sub-asset classes For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied any other emission allowance is considered not to have a liquid market Asset class - Emission Allowances

EN 158 EN
Table 12.2
Emission allowances – pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Threshold floor European Union Allowances (EUA) transactions executed on all European Union Allowances (EUA) 60 40,000 tons of Carbon Dioxide 70 50,000 tons of Carbon Dioxide 80 90,000 tons of Carbon Dioxide 90 100,000 tons of Carbon Dioxide European Union Aviation Allowances (EUAA) transactions executed on all European Union Aviation Allowance (EUAA) 60 20,000 tons of Carbon Dioxide 70 25,000 tons of Carbon Dioxide 80 40,000 tons of Carbon Dioxide 90 50,000 tons of Carbon Dioxide Certified Emission Reductions (CER) transactions executed on all Certified Emission Reductions (CER) 60 20,000 tons of Carbon Dioxide 70 25,000 tons of Carbon Dioxide 80 40,000 tons of Carbon Dioxide 90 50,000 tons of Carbon Dioxide Emission Reduction Units (ERU) transactions executed on all Emission Reduction Units (ERU) 60 20,000 tons of Carbon Dioxide 70 25,000 tons of Carbon Dioxide 80 40,000 tons of Carbon Dioxide 90 50,000 tons of Carbon Dioxide Sub-asset class SSTI pre-trade LIS pre-trade SSTI post-trade Asset class - Emission Allowances Transactions to be considered for the calculation of the thresholds Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined to have a liquid market LIS post-trade

EN 159 EN
Table 12.3
Emission allowances – pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value European Union Allowances (EUA) 40,000 tons of Carbon Dioxide 50,000 tons of Carbon Dioxide 90,000 tons of Carbon Dioxide 100,000 tons of Carbon Dioxide European Union Aviation Allowances (EUAA) 20,000 tons of Carbon Dioxide 25,000 tons of Carbon Dioxide 40,000 tons of Carbon Dioxide 50,000 tons of Carbon Dioxide Certified Emission Reductions (CER) 20,000 tons of Carbon Dioxide 25,000 tons of Carbon Dioxide 40,000 tons of Carbon Dioxide 50,000 tons of Carbon Dioxide Emission Reduction Units (ERU) 20,000 tons of Carbon Dioxide 25,000 tons of Carbon Dioxide 40,000 tons of Carbon Dioxide 50,000 tons of Carbon Dioxide O ther Emission Allowances 20,000 tons of Carbon Dioxide 25,000 tons of Carbon Dioxide 40,000 tons of Carbon Dioxide 50,000 tons of Carbon Dioxide Asset class - Emission Allowances Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market

EN 160 EN
13. Emission allowance derivatives
Table 13.1
Emission allowance derivatives – classes not having a liquid market Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EU 150,000 tons of Carbon Dioxide 5 Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) a financial instrument relating to emission allowances of the type European Union Aviation Allowances (EUAA) as defined in Section C(4) of Annex I of Directive 2014/65/EU 150,000 tons of Carbon Dioxide 5 Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) a financial instrument relating to emission allowances of the type Certified Emission Reductions (CER) as defined in Section C(4) of Annex I of Directive 2014/65/EU 150,000 tons of Carbon Dioxide 5 Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) a financial instrument relating to emission allowances of the type Emission Reduction Units (ERU) as defined in Section C(4) of Annex I of Directive 2014/65/EU 150,000 tons of Carbon Dioxide 5 Asset class - Emission Allowance Derivatives Sub-asset class Each sub-asset class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria

EN 161 EN
Sub-asset class
O ther Emission allowance derivatives an emission allowance derivative whose underlying is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU) Asset class - Emission Allowance Derivatives For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied any other emission allowance derivative is considered not to have a liquid market

EN 162 EN
Table 13.2
Emission allowance derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Threshold floor Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) transactions executed on all emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) 60 40,000 tons of Carbon Dioxide 70 50,000 tons of Carbon Dioxide 80 90,000 tons of Carbon Dioxide 90 100,000 tons of Carbon Dioxide Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) transactions executed on all emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) 60 20,000 tons of Carbon Dioxide 70 25,000 tons of Carbon Dioxide 80 40,000 tons of Carbon Dioxide 90 50,000 tons of Carbon Dioxide SSTI pre-trade LIS pre-trade Asset class - Emission Allowance Derivatives LIS post-trade Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined to have a liquid market Sub-asset class SSTI post-trade Transactions to be considered for the calculation of the thresholds

EN 163 EN Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Threshold floor Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) transactions executed on all emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) 60 20,000 tons of Carbon Dioxide 70 25,000 tons of Carbon Dioxide 80 40,000 tons of Carbon Dioxide 90 50,000 tons of Carbon Dioxide Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) transactions executed on all emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) 60 20,000 tons of Carbon Dioxide 70 25,000 tons of Carbon Dioxide 80 40,000 tons of Carbon Dioxide 90 50,000 tons of Carbon Dioxide SSTI pre-trade LIS pre-trade Asset class - Emission Allowance Derivatives LIS post-trade Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined to have a liquid market Sub-asset class SSTI post-trade Transactions to be considered for the calculation of the thresholds

EN 164 EN
Table 13.3
Emission allowance derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) 40,000 tons of Carbon Dioxide 50,000 tons of Carbon Dioxide 90,000 tons of Carbon Dioxide 100,000 tons of Carbon Dioxide Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) 20,000 tons of Carbon Dioxide 25,000 tons of Carbon Dioxide 40,000 tons of Carbon Dioxide 50,000 tons of Carbon Dioxide Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) 20,000 tons of Carbon Dioxide 25,000 tons of Carbon Dioxide 40,000 tons of Carbon Dioxide 50,000 tons of Carbon Dioxide Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) 20,000 tons of Carbon Dioxide 25,000 tons of Carbon Dioxide 40,000 tons of Carbon Dioxide 50,000 tons of Carbon Dioxide O ther Emission allowance derivatives 20,000 tons of Carbon Dioxide 25,000 tons of Carbon Dioxide 40,000 tons of Carbon Dioxide 50,000 tons of Carbon Dioxide Asset class - Emission Allowance Derivatives Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined not to have a liquid market

EN 165 EN
Annex IV: Reference data to be provided for the purpose of transparency
calculations
Table 1
Symbol table for Table 2
SYMBOL DATA TYPE DEFINITION
{ALPHANUM-n} Up to n alphanumerical characters Free text field.
{DECIMAL-n/m} Decimal number of up to n digits in total of which up to m digits can be fraction digits Numerical field for both positive and negative values:

• decimal separator is '.' (full stop);
• the number may be prefixed with '-' (minus) to indicate negative numbers.
  Where applicable, values shall be rounded and not truncated.
  {COUNTRYCODE_
  2}
  2 alphanumerical characters
  2 letter country code, as defined by ISO 3166-1 alpha-2 country code {CURRENCYCODE _3} 3 alphanumerical characters 3 letter currency code, as defined by ISO 4217 currency codes {DATEFORMAT} ISO 8601 date format Dates should be formatted by the following format:
  YYYY-MM-DD.
  {ISIN} 12 alphanumerical characters
  ISIN code, as defined in ISO 6166
  {LEI} 20 alphanumerical characters
  Legal entity identifier as defined in ISO 17442 {MIC} 4 alphanumerical characters Market identifier as defined in ISO 10383 {INDEX} 4 alphabetic characters ‘EONA’ – EONIA ‘EONS’ - EONIA SWAP ‘EURI’ - EURIBOR ‘EUUS’ - EURODOLLAR ‘EUCH’ - EuroSwiss ‘GCFR’ - GCF REPO ‘ISDA’ - ISDAFIX ’LIBI’ - LIBID ‘LIBO’ - LIBOR ‘MAAA’ – Muni AAA ‘PFAN’ - Pfandbriefe ‘TIBO’ - TIBOR ‘STBO’ - STIBOR ‘BBSW’ - BBSW ‘JIBA’ - JIBAR ‘BUBO’ - BUBOR ‘CDOR’ - CDOR ‘CIBO’ - CIBOR ‘MOSP’ - MOSPRIM ‘NIBO’ - NIBOR ‘PRBO’ - PRIBOR ‘TLBO’ - TELBOR

EN 166 EN
‘WIBO’ – WIBOR
‘TREA’ – Treasury
‘SWAP’ – SWAP
‘FUSW’ – Future SWAP

EN 167 EN
Table 2
Details of the reference data to be provided for the purpose of transparency calculations