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ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 2 MiFIR Review Final Report On transparency for derivatives, package orders and input/output data for the derivatives consolidated tape

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ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 3

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Table of Contents
1 Executive Summary ....................................................................................................9
2 Introduction ...............................................................................................................11
3 The transparency regime for derivatives (RTS 2) ......................................................13
3.1 General Issues...................................................................................................13
3.1.1 Scope of derivatives subject to transparency ..............................................13
3.1.2 Date of application ......................................................................................13
3.2 Pre-trade transparency for derivatives traded on trading venues........................14
3.2.1 Background and ESMA’s initial proposals ...................................................14
3.2.1.1 Definition of central limit order book and periodic auctions trading systems
3.2.1.2 Illiquid waiver .......................................................................................15
3.2.1.3 Large in Scale waiver...........................................................................15
3.2.2 Feedback from stakeholders .......................................................................16
3.2.3 ESMA’s assessment and proposal..............................................................16
3.3 Post-trade transparency fields and flags.............................................................24
3.3.1 Post-trade transparency fields.....................................................................24
3.3.1.1 Proposal 1: the use of the modified ISIN to identify OTC derivatives ....25
3.3.1.2 Proposal 2: New fields “Effective date” and “Expiration date” ...............27
3.3.1.3 Proposal 3: Field “Transaction to be cleared”.......................................27
3.3.1.4 Proposal 4: Reporting of CDS prices....................................................28
3.3.1.5 Proposal 5: Reporting of spread for interest rate swaps .......................28
3.3.2 Post-trade deferral flags ..............................................................................29
3.3.3 Concept of what constitutes real-time..........................................................30
3.4 Liquidity determination and deferral regime for derivatives .................................31
3.4.1 General approach .......................................................................................31
3.4.1.1 Background and ESMA’s initial proposal..............................................31
3.4.1.2 Feedback from stakeholders ................................................................33
3.4.1.3 ESMA’s assessment and proposal.......................................................34
3.4.2 ETDs - Liquidity determination ....................................................................34
3.4.2.1 Equity Derivatives ................................................................................34

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3.4.2.2 Interest Rate Derivatives ......................................................................36
3.4.2.3 Commodity and emission allowance derivatives...................................37
3.4.2.4 Credit, FX, securitised and other derivatives ........................................38
3.4.3 ETDs - Post-trade deferral sizes and durations ...........................................39
3.4.3.1 Equity Derivatives ................................................................................39
3.4.3.2 Interest Rate derivatives.......................................................................48
3.4.3.3 Commodity and emission allowance derivatives...................................49
3.4.3.4 Credit, FX and securitised derivatives ..................................................51
3.4.3.5 Deferral duration for ETDs ...................................................................52
3.4.4 OTC Derivatives – Liquidity determination...................................................53
3.4.4.1 Interest rate swaps...............................................................................53
3.4.4.2 CDSs ...................................................................................................54
3.4.5 OTC derivatives – post-trade deferral sizes and durations ..........................60
3.4.5.1 Interest rate swaps...............................................................................60
3.4.5.2 CDSs ...................................................................................................64
3.5 The European System of Central Banks (ESCB) Exemption ..............................70
3.5.1 Background and ESMA’s initial proposal.....................................................70
3.5.2 Feedback from stakeholders .......................................................................71
3.5.3 ESMA’s assessment and proposal..............................................................71
4 RTS on Package Orders ...........................................................................................71
4.1 ESMA’s initial proposals.....................................................................................71
4.2 Feedback from stakeholders ..............................................................................74
4.3 ESMA’s assessment and proposal.....................................................................74
5 RTS on input/output data (CDR 2025/1155)..............................................................75
5.1 Data to be transmitted to the OTC derivatives CTP to be operational (input) and to
be disseminated by the CTP (output)............................................................................75
5.1.1 Regulatory data...........................................................................................75
5.1.1.1 ESMA’s initial proposals.......................................................................75
5.1.1.2 Feedback from stakeholders ................................................................76
5.1.1.3 ESMA’s assessment and proposal.......................................................77
5.1.2 Core market data ........................................................................................82
5.1.2.1 ESMA’s initial proposals.......................................................................82
5.1.2.2 Feedback from stakeholders ................................................................82

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5.1.2.3 ESMA’s assessment and proposal.......................................................83
5.2 Clarification on the treatment of ETC/ETN for the bonds and equity CTPs .........87
6 Annexes ....................................................................................................................88
6.1 Annex I - Cost-benefit analysis...........................................................................88
6.1.1 Cost-benefit analysis for RTS 2...................................................................88
6.1.2 Cost-benefit analysis for Package Order RTS ...........................................100
6.1.3 Cost-benefit analysis for RTS on input / output data (CDR 2025/1155) .....101
6.2 Annex III - Draft technical standards.................................................................103
6.2.1 Draft technical standards on the amendment of RTS 2 - transparency
requirements in respect of derivatives .....................................................................103
6.2.2 Draft technical standards on the amendment of the package order RTS...144
6.2.3 Draft technical standards on the amendment of RTS on input and output data
of CTPs (CDR 2025/1155) ......................................................................................149

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List of abbreviations and legal acts
ADV Average daily volume
ADNT Average daily number of transactions
ATS Average trade size
APA Approved Publication Arrangement
CDS Credit Default Swaps
CO Clearing Obligation
CP Consultation Paper
CTP Consolidated Tape Provider
DA Delegated Act
DEG
European Commission’s Expert Stakeholder Group on Equity and Non-equity Market Data Quality and Transmission Protocols DTO Derivatives Trading Obligation ECB European Central Bank EMIR European Market Infrastructure Regulation EoD End of day ESCB European System of Central Banks ESMA European Securities and Markets Authority ETC Exchange-Traded Commodities ETD Exchange-Traded Derivatives ETF Exchange-Traded Funds ETN Exchange-Traded Notes EU European Union EUAs EU Emission Allowances EUR Euro FIRDS Financial Instruments Reference Data System FITRS Financial Instruments Transparency System FR Final report FSB Financial Stability Board FX Foreign Exchange GBP British Pound GSIB Global Systemically Important Bank IRD Interest Rate Derivative

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IRS Interest Rate Swap
ISIN International Securities Identification Number JPY Japanese Yen LIS Large in scale MIC Market Identifier Code MiFID II Markets in Financial Instruments Directive MiFIR Markets in Financial Instruments Regulation MTF Multilateral Trading Facility NCA National Competent Authority OMF Order management facility OTC Over-the-counter OTF Organised Trading Facility RM Regulated Market RTS Regulatory Technical Standards RTS 2 Commission Delegated Regulation (EU) 2017/583 RTS 22 Commission Delegated Regulation (EU) 2017/590 RTS 23 Commission Delegated Regulation (EU) 2017/585 RTS on package orders Commission Delegated Regulation (EU) 2017/2194 SFPs Structured Finance Products SI Systematic Internaliser SSTI Size Specific to the Instrument ToTV Traded on Trading Venue UPI Unique Product Identifier USD United States Dollar UTC Coordinated Universal Time

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1 Executive Summary
Reasons for publication
The Amending Regulation and the Amending Directive following the review of the Markets in Financial Instruments Regulation1 (‘MiFIR’) was published in the Official Journal of the EU on 8 March 2024. In this context, the European Securities and Markets Authority (ESMA) has been empowered to develop various technical standards further specifying certain provisions. This final report (FR) includes proposals for the amendment of the Level 2 provisions specifying the transparency requirements for derivatives, package orders, and input/output data for the OTC derivatives consolidated tape. Contents This FR includes ESMA’s assessment and feedback received to the MiFIR Review Consultation Package 4 published on 3 April 2025 covering the new MiFIR transparency regime for exchange-traded derivatives (ETD) and OTC derivatives (Section 3) and the corresponding amendments to Commission Delegated Regulation (EU) 2017/583 2 on transparency for non-equity instruments (“RTS 2”). Based on the new scope of derivatives subject to transparency, it sets the approach for the liquidity determination relevant for pre￾trade waivers and introduces amendments to post-trade transparency fields and flags. In addition, it includes ESMA’s proposals on the new deferral regime for ETD and OTC derivatives, including the different size thresholds and deferral durations to be applied for post-trade transparency. The FR also presents the final proposals to review Commission Delegated Regulation (EU) 2017/21943 (“Package order RTS“) reflecting the new scope of derivatives and the liquidity determination (Section 4). Finally, the FR contains the final proposals deriving from ESMA’s new mandate to develop draft RTS prescribing data quality requirements for prospective consolidated tape providers (CTPs) and data contributors, covering the OTC derivatives tape (Section 5). Next Steps ESMA submitted the final report to the European Commission on 11 December 2025. In accordance with Article 10 of ESMA Regulation4 , the Commission has three months to decide whether to endorse the proposed amendments to the RTS. 1 Regulation (EU) 2024/791 of the European Parliament and of the Council of 28 February 2024 amending Regulation (EU) No 600/2014 as regards enhancing data transparency, removing obstacles to the emergence of consolidated tapes, optimising the trading obligations and prohibiting receiving payment for order flow.

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2 Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives. 3 Commission Delegated Regulation (EU) 2017/2194 of 14 August 2017 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to package orders. 4 Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing the European Securities and Markets Authority (OJ L 331, 15.12.2010, p. 84–119)

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2 Introduction

1. The MiFIR review (Regulation (EU) 2024/7915
   ) introduces two new articles, Article 8a for pre-trade transparency and Article 11a for post-trade deferrals, that effectively separate the non-equity regime into two – one for bonds, structured finance products (SFPs) and emission allowances (EUAs) under the amended Articles 8 and 11; and another one for derivatives, with the new Articles 8a and 11a.
2. To ensure a consistent approach of the transparency regimes in each asset-class, and
   reflecting the clear political steer for prioritising the review of the transparency regime for bonds, ESMA decided to tackle these mandates in separate publications. On 16 December 2024, ESMA published a final report which addresses the transparency mandate for bonds, SFPs and EUAs. The regulation amending RTS 2 for those instruments was published in the Official Journal of the European Union (OJ) on 3 November 20256 .
3. On 3 April 2025, ESMA published a consultation paper (CP) addressing the
   transparency mandate for derivatives under Articles 8a and 11a of MiFIR, and setting out the corresponding amendments to RTS 2. This consultation paper also covered amendments to the RTS on package orders for which there is a liquid market, to reflect the amended scope of transparency and the new liquidity determination proposed in the CP.
4. The current RTS 2 includes the mandate under Article 1(8) of MiFIR in relation to the
   European System of Central Banks (ESCB) exemption. The MiFIR review introduces changes to this exemption hence the CP also covered this mandate.
5. Additionally, as provided by the MiFIR Review, ESMA is mandated to develop draft RTS
   introducing reporting instructions for CTPs for bonds, shares and exchange-traded funds (ETFs), and OTC derivatives. In December 2024, ESMA published a final report7 containing draft RTS that specify the data fields to be transmitted to and disseminated by the CTPs for bonds, shares, and ETFs. This Regulation was published in the OJ on 3 November 20258 .
6. To ensure consistency with the revised transparency requirements for derivatives, the
   content and presentation of data fields related to the CTP for OTC derivatives were proposed separately in the CP. 5 Regulation (EU) 2024/791 of the European Parliament and of the Council of 28 February 2024 amending Regulation (EU) No 600/2014 as regards enhancing data transparency, removing obstacles to the emergence of consolidated tapes, optimising the trading obligations and prohibiting receiving payment for order flow. 6 Regulation (EU) 2025/1246 of 18 June 2025 amending the regulatory technical standards laid down in Delegated Regulations (EU) 2017/583 and (EU) 2017/587 as regards transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances, and equity instruments 7 https://www.esma.europa.eu/sites/default/files/2024-12/ESMA74-2134169708-7768_-_MiFIR_review_- _Final_Report_on_CTPs_and_DRSPs.pdf 8 Regulation (EU) 2025/1155 of 12 June 2025 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards specifying the input and output data of consolidated tapes, the synchronisation of business clocks and the revenue redistribution by the consolidated tape provider for shares and ETFs, and repealing Commission Delegated Regulation (EU) 2017/574

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7. The consultation period ended on 3 July 2025 and ESMA received 23 responses. Based
on feedback received, ESMA has prepared this Final Report that includes the final draft RTSs for submission to the Commission.
8. The amendments to RTSs presented in this FR have been performed in the context of
the MiFIR review, to ensure that the transparency regime operates effectively and to support the proper functioning of the upcoming consolidated tape for OTC derivatives. The extensive nature of the FR is linked to the high number of asset classes covered, and the substantial changes to the transparency regime introduced by the MiFIR review. However, the principle of Simplification and Burden Reduction (SBR) has been carefully applied. Examples of SBR include : grouping all amendments related to derivatives in the same review process (transparency, packages, CTP input/output), adopting a unique application date for all provisions related to derivatives across those RTSs; removing the obligation to report transparency data to ESMA; shifting to a static determination of liquidity and size thresholds, simplifying the transparency framework for illiquid instruments, eliminating redundant fields and refraining from adding new fields deemed non-essential by stakeholders.

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3 The transparency regime for derivatives (RTS 2)
3.1 General Issues
3.1.1 Scope of derivatives subject to transparency
10. Under the revised MiFIR, derivatives in the scope of transparency are: (1) exchange￾traded derivatives (ETDs), i.e. derivatives traded on regulated markets; and (2) certain
OTC derivatives specified in Article 8a(2) of MiFIR. OTC derivatives include derivatives traded bilaterally, as well as derivatives traded on MTFs and OTFs.
11. ESMA’s analysis provided in the CP evidenced low levels of trading activity on forward
rate agreement (FRAs) and basis swaps. In addition, the report on derivatives of the Expert Stakeholder Group on equity and non-equity market data quality and transmission protocols (the ‘DEG’) recommended that those contracts be removed from the scope of the OTC derivative transparency requirements, given their illiquid nature.
12. In the responses to the CP, stakeholders provided similar feedback and recommended
to exclude those contracts from the scope of transparency. ESMA received indications from the European Commission services of a policy intention resulting in the exclusion of Forward Rate Agreements (FRAs) and basis swaps from the scope of transparency.
13. Given the unclarity on the treatment of FRAs and basis swaps, ESMA does not specify
the transparency regime for FRAs and basis swaps in the RTS proposed in this FR at this stage.
3.1.2 Date of application
14. In the CP, ESMA suggested that the changes introduced in RTS 2 for derivatives would
start applying six months after the entry into force of the relevant delegated regulation. In the responses to the CP, some stakeholders have requested a longer implementation period. Sufficient preparation time is notably warranted to implement the change of identifier for OTC derivatives to be included in the post-trade transparency publications, as explained in Section 3.3.1.1.
15. Taking this feedback into account, and in order to give clarity to firms, ESMA suggests
that the amendments to RTS 2 concerning derivatives apply from 1 March 2027. Further explanations are provided in paragraphs 44 and 45 of Section 3.3.1.1. regarding the misalignment between the date of application of the new identifier for OTC derivatives (defined in a separate Delegated Regulation) and the date of application of the amended RTS 2.
16. This timetable is similar to the one adopted for the review of RTS 2 for bonds and should
allow sufficient time for counterparties to make the necessary preparations, including those related to the new identifier for OTC derivatives (see section 3.3.1.1), and ensure the new regime applies in time for the launch of the derivatives CTP.

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3.2 Pre-trade transparency for derivatives traded on trading venues
3.2.1 Background and ESMA’s initial proposals
Article 9(5) of MIFIR
“5. ESMA shall develop draft regulatory technical standards to specify the following:
[…] :
(b) the range of bid and offer prices and the depth of trading interests at those prices to be made public for each class of financial instrument concerned in accordance with Article 8(1), Article 8a(1) and (2) and Article 8b(1), taking into account the necessary calibration for different types of trading systems as referred to in Article 8(2), Article 8a(3) and Article 8b(2); […] f) the characteristics of central limit order books and periodic auctions trading systems; […]”.
17. The MiFIR review removed some trading systems, in particular request-for-quote (RFQ)
and voice trading systems, from the pre-trade transparency obligations. It also separated the pre-trade transparency requirements for bonds, SFPs and EUAs (Article 8), from derivatives and package orders (under the new Articles 8a and 8b of MiFIR, respectively). In addition, it removed any pre-trade transparency obligations for investment firms acting as systematic internalisers (SI) by deleting Article 18 of MiFIR.
18. Therefore, under the new non-equity transparency regime, real-time pre-trade
transparency is limited to trading venues operating a central limit order book trading system (CLOB) or a periodic auction trading system. Article 9(5)(f) of MiFIR introduces an empowerment for ESMA to further specify the characteristics of CLOBs and periodic auctions trading systems.
19. Despite not including any changes to certain waivers (the large-in-scale (LIS) and order
management facility (OMF) of the trading venue pending disclosure) the new MiFIR regime removed the size specific to the financial instrument (SSTI) waiver.
20. ESMA already consulted on the removal of the SSTI waiver and on not making any
changes to the OMF waiver for the purposes of the amendment to RTS 2 in relation to bonds. These changes were applicable for derivatives as well and were not consulted upon in the CP.
21. The MiFIR review also specifies the possible waivers for OTC derivatives in Article 9.
Concerning the illiquid waiver the revised MiFIR clarifies in Article 9(1)(c) that OTC derivatives which are subject to the derivative trading obligation (DTO) cannot benefit from an illiquid waiver. Other OTC derivatives and other derivatives may benefit from an illiquid waiver.

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3.2.1.1 Definition of central limit order book and periodic auctions trading systems
22. In the Final Report on the amendments of RTS 2 for bonds published in December
2024, ESMA defined CLOBs and periodic auction trading systems. These definitions should also apply in the context of derivatives. Therefore, Central Limit Order Book Trading system means either of the following:
a) a continuous order book trading 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; (b) a trading system combining elements of a continuous order book trading as referred to in point (a) and of periodic auction trading system.
23. In the case of periodic auctions, ESMA proposed to keep the current definition of
periodic auction trading systems and to add both definition to the draft RTS.
3.2.1.2 Illiquid waiver
24. In relation to the illiquid waiver under Article 9(c) of MiFIR, and although the definition
has not changed (as opposed to bonds), ESMA nevertheless proposed a new approach in order to move from the current annual liquidity determination to a static determination of liquidity for derivatives. This approach is justified by the MiFIR Review suggestion in Recital 11 that the determination of a liquid market for the purpose of deferring post￾trade information should also be applicable for pre-trade transparency waivers.
25. Hence, ESMA proposed that the liquidity determination provided in the section
dedicated to the deferral regime for derivatives for the purposes of Article 11a, should be applied also in a pre-trade transparency context, particularly the illiquid waiver under
Article 9(1)(c) of MiFIR.
3.2.1.3 Large in Scale waiver
26. In relation to the LIS waiver thresholds, ESMA suggested a new approach in the CP.
Currently, RTS 2 sets out a methodology, under Article 13(2), whereby a periodic quantitative assessment must be provided on a yearly basis, which is based on transactions executed in the preceding calendar year. Considering the move to static thresholds for the liquidity determination and the deferral regime, ESMA proposed to set a static pre-trade LIS threshold
27. Pre-trade transparency involves disclosing pending orders before execution. However,
in less liquid markets, revealing large orders can cause significant price movements, deterring large traders. Efficient price discovery relies on pre-trade transparency information and setting the thresholds at the right level ensures appropriate protection for liquidity providers, while ensuring fair and accurate price discovery.

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28. For this reason, ESMA suggested setting the pre-trade transparency thresholds at a
level below the lowest threshold for the purposes of the deferral regime. ESMA proposed setting pre-trade disclosure thresholds at 50% of post-trade thresholds which balances transparency with market stability, ensuring liquidity and efficiency.
3.2.2 Feedback from stakeholders
29. Most respondents supported ESMA’s move to use static thresholds. They felt that static
thresholds are easier to understand and more predictable, which helps improve pre￾trade transparency and supports liquidity in central limit order books (CLOB). Compared to the previous complex system, the static approach was seen as simpler and better for the market.
30. However, some respondents raised concerns about how the Large in Scale (LIS)
thresholds were set, especially for equity derivatives. They pointed out that using 50% of the post-trade threshold as the pre-trade threshold could make the pre-trade size requirements too high for products with low trading volumes. This might exclude these products from getting pre-trade waivers, which could hurt their trading activity.
31. Others said that the overall LIS thresholds were very low, lower than the minimum trade
sizes set by exchanges. Because of this, these thresholds might not improve transparency and could cause liquidity to move away from the central limit order book. For this reason, some respondents suggested the minimum LIS thresholds should be set higher.
32. Many respondents suggested bringing back the use of Average Daily Notional Amount
(ADNA) ranges for equity derivatives. This would help set LIS thresholds in a way that fits different types of products better and avoids making thresholds too high or too low.
33. Other common suggestions included keeping thresholds that encourage trading on
transparent venues and adjusting transparency rules for different trading systems like hybrid or voice trading. Respondents also preferred keeping the current deferral periods for transparency reporting, rather than making them longer.
34. In conclusion, while most supported the goals of making the rules simpler and more
transparent, respondents stressed that success depends on carefully setting thresholds that match how markets really work, so liquidity and transparency can both be maintained.
3.2.3 ESMA’s assessment and proposal
35. Considering the feedback received, ESMA confirms the proposal to use static
thresholds for pre-trade transparency, as this approach was supported by the majority of respondents. However, regarding the Large in Scale (LIS) threshold for equity ETDs, ESMA suggests taking on board the respondent’s suggestion to further distinguish the classes on the basis of the ADNA to set the thresholds.

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36. As a result, compared to the CP proposals, ESMA amends the approach only for equity
derivatives. For those, in line with the feedback received and mirroring the approach for the post-trade thresholds, the ADNA liquidity bands are reintroduced as in the current system defined in RTS 2. The table below summarises the proposal. The thresholds should then be calculated at a sub-class level by trading venues on an annual basis (the same proposal is made for the post-trade thresholds, see Section 3.4.3.1.3). The calculation of the thresholds at trading venue level allows for a better calibration of the LIS across the different instruments.

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Class
ID Class shall be further segmented into sub-classes as defined below Average daily notional amount (ADNA) LIS pre-trade EQ1 Stock index options a stock index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying stock index ADNA < EUR 100m EUR 25,000 EUR 100m <= ADNA < EUR 200m EUR 3,000,000 EUR 200m <= ADNA < EUR 600m EUR 5,500,000 ADNA >= EUR 600m EUR 20,000,000 EQ2 Stock index futures a stock index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying stock index ADNA < EUR 100m EUR 25,000 EUR 100m <= ADNA < EUR 1bn EUR 550,000 EUR 1bn <= ADNA < EUR 3bn EUR 5,500,000 EUR 3bn <= ADNA < EUR 5bn EUR 20,000,000 ADNA >= EUR 5bn EUR 30,000,000

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Class
ID Class shall be further segmented into sub-classes as defined below Average daily notional amount (ADNA) LIS pre-trade EQ3 Single Stock options a stock option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share ADNA < EUR 5m EUR 25,000 EUR 5m <= ADNA < EUR 10m EUR 300,000 EUR 10m <= ADNA < EUR 20m EUR 550,000 ADNA >= EUR 20m EUR 1,500,000 EQ4 Single Stock futures a stock future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share ADNA < EUR 5m EUR 25,000 EUR 5m <= ADNA < EUR 10m EUR 300,000 EUR 10m <= ADNA < EUR 20m EUR 550,000 ADNA >= EUR 20m EUR 1,500,000

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Class
ID Class shall be further segmented into sub-classes as defined below Average daily notional amount (ADNA) LIS pre-trade EQ5 Stock dividend options a stock dividend option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share entitling to dividends ADNA < EUR 5m EUR 25,000 EUR 5m <= ADNA < EUR 10m EUR 30,000 EUR 10m <= ADNA < EUR 20m EUR 100,000 ADNA >= EUR 20m EUR 150,000 EQ6 Stock dividend futures a stock dividend future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share entitling to dividends ADNA < EUR 5m EUR 25,000 EUR 5m <= ADNA < EUR 10m EUR 30,000 EUR 10m <= ADNA < EUR 20m EUR 100,000 ADNA >= EUR 20m EUR 150,000

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Class
ID Class shall be further segmented into sub-classes as defined below Average daily notional amount (ADNA) LIS pre-trade EQ7 Dividend index options a dividend index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying dividend index ADNA < EUR 100m EUR 25,000 EUR 100m <= ADNA < EUR 200m EUR 3,000,000 EUR 200m <= ADNA < EUR 600m EUR 5,500,000 ADNA >= EUR 600m EUR 20,000,000 EQ8 Dividend index futures a dividend index future/forward sub-class is defined by the following segmentation criteria:Segmentation criterion 1 — underlying dividend index ADNA < EUR 100m EUR 25,000 EUR 100m <= ADNA < EUR 1bn EUR 550,000 EUR 1bn <= ADNA < EUR 3bn EUR 5,500,000 EUR 3bn <= ADNA < EUR 5bn EUR 20,000,000 ADNA >= EUR 5bn EUR 30,000,000

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Class
ID Class shall be further segmented into sub-classes as defined below Average daily notional amount (ADNA) LIS pre-trade EQ9 Volatility index options a volatility index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying volatility index ADNA < EUR 100m EUR 25,000 EUR 100m <= ADNA < EUR 200m EUR 3,000,000 EUR 200m <= ADNA < EUR 600m EUR 5,500,000 ADNA >= EUR 600m EUR 20,000,000 EQ10 Volatility index futures a volatility index future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying volatility index ADNA < EUR 100m EUR 25,000 EUR 100m <= ADNA < EUR 1bn EUR 550,000 EUR 1bn <= ADNA < EUR 3bn EUR 5,500,000 EUR 3bn <= ADNA < EUR 5bn EUR 20,000,000 ADNA >= EUR 5bn EUR 30,000,000

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Class
ID Class shall be further segmented into sub-classes as defined below Average daily notional amount (ADNA) LIS pre-trade EQ11 ETF options an ETF option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying ETF
ADNA < EUR 5m EUR 25,000
EUR 5m <= ADNA < EUR 10m EUR 300,000
EUR 10m <= ADNA < EUR 20m EUR 550,000
ADNA >= EUR 20m EUR 1,500,000
EQ12 ETF futures an ETF future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying ETF
ADNA < EUR 5m EUR 25,000
EUR 5m <= ADNA < EUR 10m EUR 300,000
EUR 10m <= ADNA < EUR 20m EUR 550,000
ADNA >= EUR 20m EUR 1,500,000
EQ13 Swaps EUR 25,000
EQ14 Portfolio
Swaps EUR 25,000
EQ15
Other equity derivatives
EUR 25,000
Table 1: Pre-trade transparency thresholds for Equity exchange-traded derivatives

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3.3 Post-trade transparency fields and flags
3.3.1 Post-trade transparency fields
37. Article 10 of MiFIR requires market operators and investment firms operating a trading
venue to make public the price, volume and time of transactions executed in respect of ETDs and OTC derivatives as referred to in Article 8a(2). This publication should be done as close to real-time as technically possible.
38. ESMA is empowered to define the details of transactions that have to be made available
to the public for ETDs and OTC derivatives. In addition, it also needs to establish the time limit that should be considered as in compliance with the obligation to publish as close to real time as is technically possible, including where transactions are executed outside normal working hours. These empowerments are defined in Article 11a(3)(a) and (b) of MiFIR respectively.
39. In the CP, ESMA proposed 5 changes to the post-trade transparency fields defined in
Table 2 of Annex II of RTS 2. Those changes are summarised in the table below.
No Field Proposal Explanation
Field 2 “Instrument identification code”
To identify OTC interest rate derivatives with the modified ISIN Prior to ESMA launching the Call for Evidence on a comprehensive approach for the simplification of financial transaction reporting9 , the existing international securities identification number (ISIN) for OTC derivatives was expected to be revised to ensure that all the reference data listed in the Annex of the DA on OTC Identifier could be retrieved from such revised ISIN. New fields “Effective date” and “Expiry date” Add those two fields in the post￾trade reports. At the time of the CP, the revised ISIN for OTC derivatives was expected to be designed in such a way that changes in the effective date and expiry date of IRDs do not trigger a new ISIN. As those characteristics would have been no longer part of reference data, it was suggested to add those fields in the post-trade transparency reports. Field 18 “Transaction to be cleared” Delete the field Under the new scope of OTC derivatives subject to transparency, all transactions are cleared. Hence, the field is redundant and can be deleted. New fields for CDS prices Add two price components for CDSs: the standardised coupon and the upfront payment. To add more information on CDS prices, as anticipated in the Manual, and align with EMIR reporting. New field spread for interest rate swaps add a new field “Spread” to report the spread on the floating leg To add more information on interest rate swaps prices, as anticipated in the Manual. 9 https://www.esma.europa.eu/press-news/consultations/call-evidence-comprehensive-approach-simplification-financial￾transaction

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Table 2: Changes proposed in the CP with respect to post-trade transparency fields
3.3.1.1 Proposal 1: the use of the modified ISIN to identify OTC derivatives
Feedback to the consultation
40. The responses were split between supporters of the UPI+ approach and supporters of
the modified ISIN, with more stakeholders in favour of the UPI+ approach. Those in favour of the modified ISIN mentioned that this identifier tackles the inefficiency of daily ISIN issuance for interest rate derivatives by leveraging a harmonised ISO 6166 ISIN standard, which enhances data quality and consistency. They also cited that, unlike the UPI+, the ISIN approach offers a single and stable identifier without requiring changes to the ISO standard, avoiding additional IT complexity and cost.
41. In contrast, more stakeholders supported the UPI+ approach. In their view, the UPI,
which is already adopted in the UK and also used for EMIR reporting, aligns with the EU’s strategy to simplify and harmonize global identifiers, reducing complexity and operational costs, compared to the modified ISIN. They report that the UPI+ would improve data quality and support the consolidated tape by resolving issues caused by daily ISIN generation for OTC derivatives. They consider that the modified ISIN is costly, burdensome, and misaligned with international practices, potentially harming data quality and transparency. ESMA’s assessment and proposal
42. It is important to clarify that during the consultation period, ESMA decided to postpone
the revision of the RTS on reference data (RTS 23). Indeed, ESMA published on 23 June a Call for Evidence on a comprehensive approach for the simplification of financial transaction reporting. While this exercise is conducted, ESMA has decided to not propose any changes to the interlinked reporting frameworks in MiFIR (transaction reporting, reference data and order book data).
43. In light of the above, it is necessary for ESMA to modify the proposal made in CP to
reflect the OTC derivatives identification method established in Commission Delegated Regulation (EU) 2025/1003 10 (the CDR on OTC identifier). To that end, the field “Instrument identification code” should be populated as follows:
(1) With an ISIN for all instruments except OTC derivatives as referred to in Article 8a(2) of Regulation (EU) No 600/2014”. (2) For OTC derivatives as referred to in Article 8a(2) of Regulation (EU) No 600/2014, in accordance with the CDR on OTC identifier. 10 Commission Delegated Regulation (EU) 2025/1003 of 24 January 2025 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council as regards OTC derivatives identifying reference data to be used for the purposes of the transparency requirements laid down in Article 8a(2) and Articles 10 and 21 (OJ L, 2025/1003, 22.5.2025)

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Field identifier
Financial instruments
Description and details to be published
Type of execution or publication venue
Format to be populated as defined in Table 1 Instrument identification code For all financial instruments Code used to identify the financial instrument. For OTC derivatives as referred to in Article 8a(2) of Regulation (EU) No 600/2014, the identification of the instrument shall be done in accordance with Commission Delegated Regulation (EU) 2025/1003 RM, MTF, OTF, APA {ISIN} except for OTC derivatives as referred to in
Article 8a(2) of
Regulation (EU) No
600/2014
Table 3: changes to Table 2 of Annex II of RTS 2 related to the identification of OTC
derivatives subject to transparency
44. The CDR on OTC identifier mandates the use of the new identifying reference data from
1 September 2026, while the amendments to RTS 2 included in this final report start applying from 1 March 2027 (see section 3.1.2). The new identifying reference data supports the application of the new transparency framework introduced in the MiFIR review and reflected in the changes to RTS 2 for derivatives, made in this report.
45. ESMA believes the policy intention underpinning the CDR on OTC identifier was not to
apply the new identifying reference data under the old transparency regime. As the new identifying reference and the new transparency regime are intrinsically intertwined, they should apply from the same date. As explained in section 3.2.1, that common date is set at 1 March 2027.

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3.3.1.2 Proposal 2: New fields “Effective date” and “Expiration date”
46. ESMA proposed in the CP the addition of the two fields “Effective date” and “Expiration
date” for OTC interest rate derivatives. Indeed, the information on effective and expiration date are embedded in the current version of the ISIN (i.e. changes in the effective date and expiry date of IRDs currently trigger a new ISIN). As the ISIN will no longer be used for IRD, those characteristics are no longer part of reference data. In accordance with the CDR on OTC identifier, they should be included in the post-trade transparency reports11 . As a result, one field “effective date” and one field “expiry date” were added to the table of post-trade fields, in Table 2 of Annex II of RTS 2. Feedback from stakeholders
47. This proposal was unanimously supported without suggested modification.
ESMA’s assessment and proposal
48. ESMA maintains the proposal without changes.

Field identifier
Financial instruments
Description and details to be published
Type of execution or publication venue
Format to be populated as defined in Table 1 2a Effective date For OTC interest rate derivatives Date on which the obligations under the interest rate derivative contract comes into effect. MTFs, OTFs, APAs {DATEFORMAT} 2b Expiry Date For OTC interest rate derivatives Expiry date of the interest rate derivative contract MTFs, OTFs, APAs {DATEFORMAT}
Table 4: new fields “Effective date” and “Expiry date” in Table 2 of Annex II of RTS 2
3.3.1.3 Proposal 3: Field “Transaction to be cleared”
49. Under the new scope of derivatives subject to transparency, all transactions are cleared.
Indeed, for the ETD part, transactions executed on a regulated market are cleared. For the OTC part, the scope of instruments defined in Article 8a(2) of MiFIR indicates that only cleared derivatives are subject to transparency. As a result, ESMA suggested to delete the redundant field “Transaction to be cleared”. 11 Recital 16 of the DA on OTC Identifier: “Identifying reference data for OTC interest rate swaps should not include the daily expiry date or the effective date of an interest rate swap” and explanatory memorandum: “It is of crucial importance that specific contractual dates, such as the expiry date or effective date of the swap, do not form part of identifying reference data. Such information should form part of the mandatory transparency and transaction reporting fields (MiFIR, RTS 2 and RTS 22).”

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Feedback from stakeholders
50. This proposal was unanimously supported without suggested modification.
ESMA’s assessment and proposal
51. ESMA maintains the proposal without changes. Field 18 “transaction de be cleared” is
deleted from Table 2 of Annex II of RTS 2.
3.3.1.4 Proposal 4: Reporting of CDS prices
52. Regarding the CDS price fields to be reported for the purpose of post-trade
transparency, ESMA proposed two options: reporting of the upfront payment in addition to the already reported quoted spread (Option A); or reporting of the upfront payment and the standardised coupon, in addition to the already reported quoted spread (Option B). ESMA indicated a preference for Option A. Feedback from stakeholders
53. Stakeholders unanimously opposed the addition of the upfront payment. In their view,
this would enable observers to reverse-engineer the notional from the quoted spread, upfront payment, standardized coupon, maturity, and trade date. In turn, this would prevent volume masking and disincentivize hedging in the EU.
54. Several stakeholders consider that the quoted spread is the true representation of the
price and the only relevant data element for transparency and price formation. In their opinion, the CDS market mainly consists of sophisticated wholesale investors, making the inclusion of the fixed rate (standardized coupon) unnecessary but not harmful.
55. Stakeholders have suggested the following alternatives: to omit the field when a trade
is subject to the volume masking threshold, placing this obligation on APAs; to make it an optional field; or to use a binary field (Yes/No) to indicate whether an upfront payment was made. ESMA’s assessment and proposal
56. Considering the feedback received, ESMA proposes not to add the field “upfront
payment” as it would allow to reverse-engineer the notional amount, which was not the intention. Regarding the standardised coupon, ESMA also proposes not to add this field for simplification purposes, as it was deemed non-essential by stakeholders. In conclusion, there is no change to the reporting of CDS prices.
3.3.1.5 Proposal 5: Reporting of spread for interest rate swaps
57. ESMA proposed to add a new field “Spread” to report the spread on the floating leg for
interest rate swaps.
Feedback from stakeholders

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58. Two stakeholders disagreed with the proposal. One considered that making the spread
field mandatory even when the spread is zero would have limited value and create confusion, particularly regarding the unit of measure (percentage vs basis points). Another respondent considered that the spread is relevant in the context of transaction reporting but irrelevant for transparency purposes, underlining that spreads are more common for swaps which are not subject to transparency.
59. Those stakeholders suggested the following alternatives: to make the field “spread”
conditional, reported only when a spread applies; or to use a binary field (Yes/No) to indicate whether a spread was negotiated. ESMA’s assessment and proposal
60. Considering the feedback received, ESMA proposes not to add the field “spread” as it
was generally viewed as non-necessary. For simplification purposes, there is no change to the reporting of the price of interest rate swaps.
3.3.2 Post-trade deferral flags
ESMA’s initial proposal
61. Regarding the content of the flags, ESMA suggested aligning the post-trade
transparency flags for derivatives with the revised post-trade transparency regime introduced by the MiFIR review, following the same approach as the one adopted for bonds.
62. Regarding derivatives for which only one threshold and one deferral duration are
proposed, ESMA suggested flagging the transactions using the same flag as the one used for ETCs, ETNs, SFPs and emission allowances (‘DEFF’).
63. ESMA also sought feedback from stakeholders in Question 19 on the best way to use
flags to implement volume masking for OTC derivatives.
Feedback from stakeholders
64. The proposals regarding the content of the flags were unanimously supported without
suggested modification. Regarding the use of flags to implement volume masking, respondents suggested that when a transaction is initially published only with price information, and volume masked, the relevant volume fields should be left empty. This allows to distinguish trades with masked volumes from trades reported with a zero value. They further suggested to flag volume-masked trades as ‘VOLO’.
65. Finally, stakeholders considered that only two reports should be published: the initial
report with all information except volume, and the last report with all information. This is different from ESMA’s proposal which suggested an interim report with the volume reported as e.g. “50m+”. ESMA’s assessment and proposal
66. On the content of flags, ESMA maintains the proposal without changes.

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67. Regarding volume masking, ESMA agrees that trades published with the volume
masked should be reported with the fields Quantity, Notional Amount and Notional Currency empty, to distinguish this from the zero value. This is consistent with the guidance provided for bonds in the Manual on transparency12 .
68. Consistently with the guidance provided for bonds in the Manual, both the initial report
(without the volume) and subsequent report (with the volume) should be flagged with the relevant post-trade deferral flag: MLF1 for medium liquid, MIF2 for medium illiquid, LLF3 for large liquid, LIF4 for large illiquid, VLF5 for very large liquid and VIF5 for very large illiquid.
69. ESMA also agrees that an interim report with a volume reported as e.g. “50m+” would
not provide meaningful information and confirms that no publication of such interim report is warranted. The information on the volume can be inferred from the flag. This approach is consistent with the one adopted for bonds. ESMA will update the Manual on post-trade transparency to reflect the amendments to RTS 2 concerning derivatives.
3.3.3 Concept of what constitutes real-time
ESMA’s initial proposal
70. The concept of “as close to real-time as technically possible” under RTS 2 currently
allows for a maximum delay of 5 minutes, after a less strict requirement of 15 minutes during the first three years of application of MiFIR. ESMA did not propose any change to the current requirements for bonds, SFPs and EUA in its recent consultation. It also did not propose to make any changes for derivatives.
71. ESMA reiterated that the maximum permissible delay should only be used by market
participants that, for technical reasons, are not able to achieve real-time publication in a fully automated process. Feedback from stakeholders
72. Most stakeholders supported maintaining the current five-minute maximum delay for
post-trade transparency under the concept of “as close to real-time as technically possible,” as set out in RTS 2. One stakeholder went further, advocating for even shorter delays over time, stressing the importance of ongoing reviews and downward adjustments in line with technological advancements and increasing efficiency, which should progressively reduce the number of cases where real-time publication is technically unfeasible.
73. However, there was notable opposition from some stakeholders, particularly in relation
to derivatives, especially OTC derivatives and voice-executed trades. These respondents argued in favour of retaining the previous 15-minute delay; one stakeholder even proposed extending it to 30 minutes. 12 Manual on pre-trade and post-trade transparency under MiFID II/MiFIR (ESMA74-2134169708-6870)

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74. A key concern raised by some stakeholders relates to the inclusion of single name CDS
referencing G-SIBs under the revised MiFIR scope. As these are often traded bilaterally via voice, they argue that a longer delay up to 15 minutes is needed to reflect operational realities. One stakeholder proposed allowing up to 30 minutes. There was also support for a longer delay for complex or less standardised derivatives, such as non-TOTV IRDs and CDSs, due to their execution challenges. ESMA’s assessment and proposal 75.Considering the feedback received, ESMA notes general support for the proposed concept of “real-time” reporting. In relation to the concern raised regarding the application of this requirement to OTC derivatives in general, and to single name CDSs in particular, ESMA considers that lengthening the “real-time” requirement would be akin to allowing short deferrals for all transactions, irrespective of their size. ESMA considers that such approach would not reflect the intention of the legislation. Nonetheless, to alleviate stakeholders’ concerns in relation to single-name CDSs, ESMA has modified the deferral regime for those instruments, as further explained in section 3.4.4.2.1 and 3.4.5.2.1. 76.Based on the above, ESMA proposes no change to the concept of “real-time” in the final report.
3.4 Liquidity determination and deferral regime for derivatives
3.4.1 General approach
3.4.1.1 Background and ESMA’s initial proposal
Article 11a of MiFIR
3. ESMA shall, after consulting the expert stakeholder group established pursuant to Article
22b(2), develop draft regulatory technical standards to specify the following in such a way as to enable the publication of information required pursuant to this Article and Article 27g:
(…)
(c) for which derivatives, or classes thereof, a liquid market exists; (d) for a liquid or illiquid derivative, or for a class thereof, what constitutes a transaction of a medium size, of a large size and of a very large size, as referred to in paragraph 1, third subparagraph, of this Article on the basis of a quantitative and qualitative analysis and taking into account the criteria in Article 2(1), point (17)(a), and other relevant criteria where applicable; (e) the price and volume deferrals applicable to each of the five categories set out in paragraph 1, third subparagraph, of this Article, on the basis of a quantitative and qualitative analysis and

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77. The aim of the post-trade transparency regime under Article 10 of MiFIR is to provide
for an adequate level of transparency to market participants while at the same time ensuring that liquidity providers are not exposed to undue risk. As such, the transparency framework provides for the possibility for trading venues (as well as investment firms for OTC transactions) to defer publication of certain transactions which should be calibrated considering their size and liquidity profile. The MiFIR review revamps the current deferral regime applicable to ETDs and OTC derivatives in the new
Article 11a.
78. As for bonds, the deferral regime of derivatives should be organised by using five
different categories:

• category 1: transactions of a medium size in a financial instrument for which there is
  a liquid market;
• category 2: transactions of a medium size in a financial instrument for which there is
  not a liquid market;
• category 3: transactions of a large size in a financial instrument for which there is a
  liquid market;

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• category 4: transactions of a large size in a financial instrument for which there is not
  a liquid market;
• category 5: transactions of a very large size.

79. The current pre- and post-trade transparency regime is constructed in a dynamic
    manner: reporting parties report transparency data to the ESMA system (FITRS) daily, and ESMA performs and publishes the transparency calculations periodically on the basis of the data reported. The MiFIR review intends to make the transparency regime simpler and more stable. With this objective in mind, and consistent with the approach adopted for bonds, ESMA suggested adopting a static determination of liquidity for derivatives, and to define all the necessary parameters of the transparency regime in the RTS.
80. As transparency calculations on derivatives would no longer be published, ESMA
    suggested discontinuing the reporting of transparency data to FITRS (reference data defined in Annex IV of RTS 2 and quantitative data defined in Annex V of RTS 2).
81. Regarding the implementation timeline, ESMA suggested that the new transparency
    regime for derivatives should consider the ongoing revision of reference data for OTC derivatives and become applicable once this revision is effective.
    3.4.1.2 Feedback from stakeholders
82. Most stakeholders supported ESMA’s proposed static liquidity determination for
    derivatives, favouring its simplicity and stability. However, some stakeholders opposed a static-only approach, advocating instead for a dynamic or periodically reassessed framework to better reflect market evolution. They urged ESMA to regularly recalibrate static thresholds using updated market data.
83. One stakeholder recommended coordinated implementation of RTS 22 (transaction
    reporting), RTS 23 (reference data) and RTS 2 (post-trade transparency) under MiFIR, to avoid regulatory uncertainty and confusion among market participants.
84. Regarding the discontinuation of FITRS reporting, several participants supported
    ESMA’s approach, believing it would streamline processes for trading venues and APAs and reduce regulatory burden. However, a few stakeholders disagreed with the assertion that the overall reporting burden would be reduced, pointing out that investment firms will now have increased obligations under RTS 22 and RTS 23.
85. Regarding the implementation timeline a few participants raised strong objections to the
    proposed 6-month implementation period. They consider it insufficient given dependencies on UPI availability, the launch of the OTC Derivatives CTP, and necessary systems overhauls. A repeated recommendation from these respondents was to delay implementation until mid-2027 at the earliest, aligning with regulatory readiness and stakeholder capacity.

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86. Responding to Question 4 (general approach), several stakeholders provided
comments which are addressed in the relevant sections of the final report: comments on the identifier for OTC derivatives have been addressed in section 3.3.1.1. and comments on the framework for equity exchange traded derivatives are addressed in
section 3.4.3.1.
3.4.1.3 ESMA’s assessment and proposal
87. Considering the feedback received, ESMA notes general support for the proposed
approach to the liquidity determination and deferrals. Regarding the comments that thresholds should be periodically reviewed, ESMA confirms its intention to monitor market developments after the implementation and may propose adjustments to the transparency calibration via amendments to RTS 2, where appropriate, as already prescribed by the last subparagraph of Article 11a(3).
88. Regarding the coordinated implementation of RTS 2, RTS 22 and RTS 23, while
understanding the concerns raised, ESMA reminds stakeholders that in this instance the review of RTS 2 should be completed swiftly to support the launching of the consolidated tape for OTC derivatives.
89. Regarding the implementation timeline, please refer to section 3.1.2 above.
3.4.2 ETDs - Liquidity determination
90. ESMA provided in the CP an analysis of the trading activity based on volume and
number of transactions for the liquidity determination and for setting the new post-trade size thresholds under the deferral regime, using data reported to the ESMA FIRDS and FITRS on transactions executed in the calendar year 2023.
3.4.2.1 Equity Derivatives
3.4.2.1.1 ESMA’s initial proposals
91. ESMA provided three options for the liquidity determination of equity derivatives. Under
option A, ESMA suggested to deem all equity ETDs as liquid as in the current RTS 2, except for swaps and portfolio swaps. Therefore, stock options and futures, ETF options and futures, stock index options and futures, volatility index options and futures, dividend index options and futures would have deemed to have a liquid market. All the other contract types, namely swaps and portfolio swaps, would have deemed to be illiquid.
92. Under option B, ESMA suggested a more granular approach and proposed to deem as
liquid the five following classes: stock index futures, stock futures, volatility index futures, stock index option and stock options. All the other equity derivatives would be determined to be illiquid under this option.

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93. Finally, under option C, ESMA suggested to further define the liquidity classes
considering the additional parameter of time to maturity. On this basis, stock index futures with time to maturity up to 3 months, single stock futures with time to maturity up to 6 months, volatility index futures with time to maturity up to 3 months, stock index options with time to maturity up to 6 months and single stock options with time to maturity up to 3 years would be deemed liquid. All other equity derivatives would be determined to be illiquid under this option.
3.4.2.1.2 Feedback from stakeholders
94. Respondents were divided on which option should be taken forward. Whilst the majority
of respondents favoured Option C, some respondents also provided views in favour of Option B and Option A. Despite favouring option C, respondents in favour of this option noted that the analysis should include the ADNA (average daily notional amount) into the liquidity evaluation process.
95. The respondent in favour of Option B noted that volume should not be confused with
liquidity – the respondent noted that despite lower volumes, long term instruments can be considered liquid and suggested that stock index futures with time to maturity up to 1 year and stock index options with time to maturity up to 3 years should be considered liquid.
96. With regards to Option A, one respondent in favour of this option, also noted that this
would have an impact on pre-trade transparency. Option A, would ensure that all equity ETD trades that are sub-LIS are required to be made pre-trade transparent in a similar manner to today (rather than a subset being able to avail of the illiquid waiver thereby reducing the level of pre-trade transparency).
3.4.2.1.3 ESMA’s assessment and proposal
97. As further explained in Section 3.4.3.1.3 below, ESMA took on board stakeholders’
suggestion to reintroduce the ADNA bands for the trade size thresholds, allowing to better consider the differences in the liquidity profile of different equity derivatives. ESMA believes that combining this change with the more granular Option B and Option C for the liquidity determination would unduly complexify the transparency regime for those instruments.
98. In addition, given the lack of a clear consensus among stakeholders regarding the
approach to liquidity determination and considering that Option A preserves a level of transparency comparable to the current regime, ESMA has decided to adopt Option A in its final proposal.
99. As a result, ESMA determines that stock options and futures, ETF options and futures,
stock index options and futures, volatility index options and futures, dividend index options and futures have a liquid market. Swaps and portfolio swaps are deemed illiquid.

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3.4.2.2 Interest Rate Derivatives
3.4.2.2.1 ESMA’s initial proposals
100. ESMA consulted on two options. Under Option A, ESMA suggested that all
interest rate derivatives (i.e. all bond futures and options on bond futures; and all interest rate futures) were deemed to have a liquid market.
101. Under Option B, ESMA suggested a more granular liquidity determination. More
specifically, contracts trading less than 50 times per day on average would have been deemed illiquid. On that basis, ESMA suggested that the following contracts were deemed to have a liquid market:

• Bond Futures: Buxl futures, Bund futures, Bobl futures, Schatz Futures, Long-term
  Euro-BTP futures, Short-term Euro-BTP futures, Euro-OAT futures;
• Interest rate futures: Three-Month Euro STR futures
• Options on Bond futures: Options on Bund futures, Options on Bobl futures.
  3.4.2.2.2 Feedback from stakeholders

102. All respondents that provided a view are in favour of a more granular liquidity
     assessment; hence option B was favoured by all of those respondents.
     3.4.2.2.3 ESMA’s assessment and proposal
103. Considering the support to option B, ESMA confirms such option as final
     proposal. Therefore, the following contracts are deemed to have a liquid market:

• Bond Futures: Buxl futures, Bund futures, Bobl futures, Schatz Futures, Long-term
  Euro-BTP futures, Short-term Euro-BTP futures, Euro-OAT futures;
• Interest rate futures: Three-Month Euro STR futures
• Options on Bond futures: Options on Bund futures, Options on Bobl futures.

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3.4.2.3 Commodity and emission allowance derivatives
3.4.2.3.1 ESMA’s initial proposals
104. For the liquidity determination of commodity and emission allowances, ESMA
suggested in the CP that the classes with an average daily number of trades below 100 trades should be considered illiquid. For the classes with an ADNT above 100 trades per day, a more detailed analysis was performed to evaluate the additional characteristics needed to perform the liquidity determination. Based on that assessment, the following classes were deemed liquid:
Class ID Class Liquidity
AG01 Milling Wheat futures Liquid
AG02 Rapeseed futures Liquid
AG03 Corn futures Liquid
EA01 European Union Emission allowances futures Liquid EL01 German power futures (baseload, monthly) Liquid EL02 French power futures (baseload, monthly) Liquid EL03 Italian power futures (baseload, monthly) Liquid EL04 Nordic power futures (baseload, monthly) Liquid EL05 Spanish power futures (baseload, monthly) Liquid EL06 Dutch power futures (baseload, monthly) Liquid EL07 Hungarian power futures (baseload, monthly) Liquid NG01 Dutch TTF gas futures (monthly) Liquid NG02 German THE gas futures (monthly) Liquid NG03 Options on Dutch TTF gas futures (monthly) Liquid
Table 5: Liquid classes of commodity and emission allowances ETDs
3.4.2.3.2 Feedback from stakeholders
105. Few respondents provided feedback on this question, and the comments were
broadly supporting the proposals. Stakeholders generally welcomed the balance between the complexity of the asset classes and a coherent methodology. Several stakeholders welcomed ESMA’s approach for electricity and gas derivatives, where different delivery periods have different liquidity profiles.
106. Several noted that energy derivatives markets are highly dynamic in their
development and liquidity profiles. Therefore, they cautioned against an overly static approach and encouraged ESMA to allow for timely re-assessments of a specific category, when relevant. Finally, one stakeholder highlighted that some contracts will be deemed liquid on any trading venue, despite the significant differences in liquidity across venues.

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3.4.2.3.3 ESMA’s assessment and proposal
107. As the liquidity determination of commodity and emission allowances
derivatives was supported by stakeholders, ESMA maintains the proposals without modification. In addition, ESMA acknowledges that the liquidity profile of commodity derivatives may vary, especially in the case of electricity and gas derivatives. ESMA intends to monitor developments periodically and may propose adjustments to the liquidity determination via amendments to RTS 2, where appropriate.
3.4.2.4 Credit, FX, securitised and other derivatives
3.4.2.4.1 ESMA’s initial proposals
108. For the remaining asset-classes, ESMA suggested the following liquidity
determination:

• Credit derivatives: all illiquid
• FX derivatives: all illiquid
• Securitised derivatives: all liquid

109. As ESMA’s mandate is to determine the liquid classes of ETDs, any class that
     is not identified as liquid would by default be deemed as illiquid.
     3.4.2.4.2 Feedback from stakeholders
110. All respondents agreed with ESMA’s liquidity assessment for FX, credit,
     securitised derivatives, and other derivatives, as the proposed classifications remain unchanged from the current RTS 2 text. This continuity is welcomed, as it maintains regulatory clarity and grants exchanges flexibility in managing illiquid instruments.
111. One stakeholder supported the addition of a specific framework for derivatives
     based on crypto assets, while noting that a Digital Token Identifier (DTI) may not be necessary under such a framework.
     3.4.2.4.3 ESMA’s assessment and proposal
112. Regarding the comment on crypto derivatives, ESMA considers it premature at
     this stage to design a specific framework for those instruments. ESMA will monitor the development of crypto-derivatives and may amend the RTS where relevant.
113. As the liquidity determination of FX, credit, securitised derivatives and other
     derivatives was supported by stakeholders, ESMA maintains the proposals without modification.

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3.4.3 ETDs - Post-trade deferral sizes and durations
3.4.3.1 Equity Derivatives
3.4.3.1.1 ESMA’s initial proposals
114. To determine the post-trade thresholds for the deferral regime, each option
developed under the liquidity assessment was considered. As a result, three options were put forward.
115. More specifically, table 37 (page 58) of the CP summarised the trade size
thresholds under option A. Table 35 (page 57) summarised the trade size thresholds under option B. Table 36 (page 58) summarised the trade size thresholds under option C.
3.4.3.1.2 Feedback from stakeholders
116. Respondents were divided on which option is the preferred one. Trading venues
were all in favour of Option C. In their view, ESMA should reintroduce ADNA ranges in the same way as the current RTS 2, albeit in a simpler form with only two ranges. Indeed, the current RTS 2 provides classes, usually defined based on the underlying, which are then subdivided into three or four ADNA ranges, each of them paired with different pre-trade and post-trade thresholds. As a result, the current framework is sufficiently granular to consider the different equity derivatives instruments.
117. Some stakeholders reiterated that maturity at issuance should be considered.
Two respondents were in favour of Option A, with one considering that the thresholds were too high and should be revised. Other respondents considered that all options were too complex. One respondent considered that there should be only one size threshold.
118. Another respondent considered that the thresholds were too low and should be
significantly increased in line with the block levels that apply currently on trading venues. They considered also that pre-trade thresholds should be increased.
3.4.3.1.3 ESMA’s assessment and proposal
119. Considering the strong call for taking into account the ADNA, ESMA proposes to
reintroduce such framework. More specifically, ESMA proposes to set 1) the medium size thresholds at the level of the existing post-trade SSTI threshold; 2) the large size thresholds at the level of the existing post-trade LIS thresholds; and 3) the very large size thresholds at twice the large size thresholds.

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Finally, the last difference compared to the current framework would be that the calculations should now be done at trading venue level and not at ESMA level. This would allow a more granular, flexible and ad-hoc framework. The calculations should be done every two years, and the results should be published ahead of their application. However, it would be left to the discretion of trading venues to decide the appropriate moment in the year to perform them and publish. Article 13 of RTS 2 is therefore amended to introduce this proposal.

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Clas s ID Class
To the determination of the trade size thresholds each class shall be further segmented into sub-classes as defined below Liquidity Average daily notional amount (ADNA) Medium Large Very Large EQ1 Stock index options a stock index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying stock index Liquid ADNA < EUR 100m EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 EUR 100m <= ADNA < EUR 200m EUR 25,000,000 EUR 30,000,000 EUR 60,000,000 EUR 200m <= ADNA < EUR 600m EUR 50,000,000 EUR 55,000,000 EUR 110,000,000 ADNA >= EUR 600m EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 EQ2 Stock index futures a stock index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying stock index Liquid ADNA < EUR 100m EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 EUR 100m <= ADNA < EUR 1bn EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EUR 1bn <= ADNA < EUR 3bn EUR 50,000,000 EUR 55,000,000 EUR 110,000,000 EUR 3bn <= ADNA < EUR 5bn EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 EUR 250,000,000 EUR 260,000,000 EUR 520,000,000

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Clas s ID Class
To the determination of the trade size thresholds each class shall be further segmented into sub-classes as defined below Liquidity Average daily notional amount (ADNA) Medium Large Very Large ADNA >= EUR 5bn EQ3 Single Stock options a stock option sub￾class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share Liquid ADNA < EUR 5m ADNA EUR 1,000,000 EUR 1,250,000 EUR 2,500,000 EUR 5m <= ADNA < EUR 10m EUR 1,250,000 EUR 1,500,000 EUR 3,000,000 EUR 10m <= ADNA < EUR 20m EUR 2,500,000 EUR 3,000,000 EUR 6,000,000 ADNA >= EUR 20m EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EQ4 Single Stock futures a stock future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share Liquid ADNA < EUR 5m EUR 1,000,000 EUR 1,250,000 EUR 2,500,000 EUR 5m <= ADNA < EUR 10m EUR 1,250,000 EUR 1,500,000 EUR 3,000,000 EUR 10m <= ADNA < EUR 20m EUR 2,500,000 EUR 3,000,000 EUR 6,000,000

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Clas s ID Class
To the determination of the trade size thresholds each class shall be further segmented into sub-classes as defined below Liquidity Average daily notional amount (ADNA) Medium Large Very Large ADNA >= EUR 20m EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EQ5 Stock dividend options a stock dividend option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share entitling to dividends Liquid ADNA < EUR 5m EUR 400,000 EUR 450,000 EUR 900,000 EUR 5m <= ADNA < EUR 10m EUR 500,000 EUR 550,000 EUR 1,100,000 EUR 10m <= ADNA < EUR 20m EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 ADNA >= EUR 20m EUR 2,000,000 EUR 2,500,000 EUR 5,000,000 EQ6 Stock dividend futures a stock dividend future/forward sub￾class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share Liquid ADNA < EUR 5m EUR 400,000 EUR 450,000 EUR 900,000 EUR 5m <= ADNA < EUR 10m EUR 500,000 EUR 550,000 EUR 1,100,000 EUR 1,000,000 EUR 1,500,000 EUR 3,000,000

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Clas s ID Class
To the determination of the trade size thresholds each class shall be further segmented into sub-classes as defined below Liquidity Average daily notional amount (ADNA) Medium Large Very Large entitling to dividends EUR 10m <= ADNA < EUR 20m ADNA >= EUR 20m EUR 2,000,000 EUR 2,500,000 EUR 5,000,000 EQ7 Dividend index options a dividend index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying dvidend index Liquid ADNA < EUR 100m EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 EUR 100m <= ADNA < EUR 200m EUR 25,000,000 EUR 30,000,000 EUR 60,000,000 EUR 200m <= ADNA < EUR 600m EUR 50,000,000 EUR 55,000,000 EUR 110,000,000 ADNA >= EUR 600m EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 EQ8 Dividend index futures a dividend index future/forward sub￾class is defined by the following segmentation criteria:Segmentatio n criterion 1 — underlying dividend index Liquid ADNA < EUR 100m EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 EUR 100m <= ADNA < EUR 1bn EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EUR 1bn <= ADNA < EUR 3bn EUR 50,000,000 EUR 55,000,000 EUR 110,000,000

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Clas s ID Class
To the determination of the trade size thresholds each class shall be further segmented into sub-classes as defined below Liquidity Average daily notional amount (ADNA) Medium Large Very Large EUR 3bn <= ADNA < EUR 5bn EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 ADNA >= EUR 5bn EUR 250,000,000 EUR 260,000,000 EUR 520,000,000 EQ9 Volatility index options a volatility index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying volatility index Liquid ADNA < EUR 100m EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 EUR 100m <= ADNA < EUR 200m EUR 25,000,000 EUR 30,000,000 EUR 60,000,000 EUR 200m <= ADNA < EUR 600m EUR 50,000,000 EUR 55,000,000 EUR 110,000,000 ADNA >= EUR 600m EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 EQ10 Volatility index futures a volatility index future/forward sub￾class is defined by the following segmentation criteria:
Segmentation criterion 1 —
Liquid
ADNA < EUR
100m EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 EUR 100m <= ADNA < EUR 1bn EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EUR 50,000,000 EUR 55,000,000 EUR 110,000,000

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Clas s ID Class
To the determination of the trade size thresholds each class shall be further segmented into sub-classes as defined below Liquidity Average daily notional amount (ADNA) Medium Large Very Large underlying volatility index EUR 1bn <= ADNA < EUR 3bn EUR 3bn <= ADNA < EUR 5bn EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 ADNA >= EUR 5bn EUR 250,000,000 EUR 260,000,000 EUR 520,000,000 EQ11 ETF options an ETF option sub￾class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying ETF
Liquid
ADNA < EUR
5m EUR 1,000,000 EUR 1,250,000 EUR 2,500,000 EUR 5m <= ADNA < EUR 10m EUR 1,250,000 EUR 1,500,000 EUR 3,000,000 EUR 10m <= ADNA < EUR 20m EUR 2,500,000 EUR 3,000,000 EUR 6,000,000 ADNA >= EUR 20m EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EQ12 ETF futures an ETF future/forward sub-class is defined by the following segmentation criteria:
Segmentation
Liquid
ADNA < EUR
5m EUR 1,000,000 EUR 1,250,000 EUR 2,500,000 EUR 5m <= ADNA < EUR 10m EUR 1,250,000 EUR 1,500,000 EUR 3,000,000

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Clas s ID Class
To the determination of the trade size thresholds each class shall be further segmented into sub-classes as defined below Liquidity Average daily notional amount (ADNA) Medium Large Very Large criterion 1 — underlying ETF EUR 10m <= ADNA < EUR 20m EUR 2,500,000 EUR 3,000,000 EUR 6,000,000 ADNA >= EUR 20m EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EQ13 Swaps Illiquid EUR 100,000 EUR 150,000 EUR 300,000 EQ14 Portfolio Swaps Illiquid EUR 100,000 EUR 150,000 EUR 300,000 EQ15 Other equity derivatives Illiquid EUR 100,000 EUR 150,000 EUR 300,000
Table 6: Post-trade size thresholds for Equity ETDs

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3.4.3.2 Interest Rate derivatives
3.4.3.2.1 ESMA’s initial proposals
120. In the CP, ESMA proposed the below trade size thresholds for interest rate
exchange-traded derivatives:
Class
ID Class Liquidity Medium Large Very Large
IRD01 BOBL futures Liquid 1,000,000 EUR 5,000,000 EUR 10,000,000 EUR IRD02 BUND futures Liquid 500,000 EUR 2,500,000 EUR 5,000,000 EUR IRD03 BUXL futures Liquid 500,000 EUR 2,500,000 EUR 5,000,000 EUR IRD04 Schatz futures Liquid 2,000,000 EUR 10,000,000 EUR 20,000,000 EUR IRD05 Euro-OAT futures Liquid 500,000 EUR 2,500,000 EUR 5,000,000 EUR IRD06 Long-Term Euro-BTP futures Liquid 500,000 EUR 2,500,000 EUR 5,000,000 EUR IRD07 Short-Term Euro-BTP futures Liquid 1,000,000 EUR 5,000,000 EUR 10,000,000 EUR IRD08 Three-Month Euro STR futures Liquid 2,500,000 EUR 12,500,000 EUR 25,000,000 EUR IRD09 BOBL options Liquid 2,500,000 EUR 3,750,000 EUR 5,000,000 EUR IRD10 BUND options Liquid 5,500,000 EUR 8,250,000 EUR 11,000,000 EUR Any other interest rate derivatives Illiquid 100,000 EUR 500,000 EUR 1,000,000 EUR

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Table 7: Proposal for trade size thresholds – ETDs – Interest rate derivatives
3.4.3.2.2 Feedback from stakeholders
121. The majority of respondents supported the size thresholds as proposed, noting they
provide trading venues with increased flexibility. One respondent though considered that the proposal was too complex and suggested instead using single thresholds of EUR 5 Mn for liquid instruments and EUR 1 Mn for illiquid instruments.
3.4.3.2.3 ESMA’s assessment and proposal
122. As the trade size thresholds of exchange traded interest-rate derivatives were
supported by stakeholders, ESMA maintains the proposals without modification.
3.4.3.3 Commodity and emission allowance derivatives
3.4.3.3.1 ESMA’s initial proposals
123. Regarding liquid classes, ESMA suggested using the current value of the post￾trade LIS threshold as the “medium size” for the most liquid classes and to use the
existing post-trade LIS threshold as a cap for the remaining, less liquid classes. The “medium size” thresholds for those less liquid classes were set at 1x the ADV per ISIN, with a floor of 500,000 EUR, a cap equal to the existing post-trade LIS, and a rounding of 500,000 EUR. The “large” and “very large” sizes were built by adding 500,000 EUR and 1,000,000 EUR respectively to the “medium” size threshold. The resulting thresholds for liquid classes of commodity and emission allowances ETDs proposed in the CP are shown in the table below. Class ID Class Liquidity Medium size post-trade Large size post￾trade Very Large size post￾trade AG01 Milling Wheat futures Liquid 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR AG02 Rapeseed futures Liquid 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR AG03 Corn futures Liquid 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR EA01 European Union Emission allowances futures Liquid 100,000 tCO2 150,000 tCO2 200,000 tCO2 EL01 German power futures (baseload, monthly) Liquid 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR EL02 French power futures (baseload, monthly) Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR EL03 Italian power futures (baseload, monthly) Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR EL04 Nordic power futures (baseload, monthly) Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR EL05 Spanish power futures (baseload, monthly) Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR

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EL06 Dutch power futures
(baseload, monthly) Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR EL07 Hungarian power futures (baseload, monthly) Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR NG01 Dutch TTF gas futures (monthly) Liquid 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR NG02 German THE gas futures (monthly) Liquid 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR NG03 Options on Dutch TTF gas futures (monthly) Liquid 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR
Table 8: Post-trade deferrals size thresholds for liquid classes of commodity and emission
allowances ETDs
124. Regarding illiquid classes of commodity derivatives, for the sake of simplicity,
ESMA suggested using a unique threshold of EUR 200,000 EUR.
3.4.3.3.2 Feedback from stakeholders
125. Few respondents provided feedback on this proposal, and the comments were
broadly supportive. Stakeholders generally agreed to use the current value of the post￾trade LIS threshold as the “medium size” for the most liquid classes, and to use the existing post-trade LIS threshold as a cap for the remaining, less liquid classes. The unique threshold of 200,000 EUR for illiquid classes was also supported. One stakeholder welcomed ESMA’s simplification efforts compared to the current structure of size thresholds for illiquid commodity derivatives.
126. One stakeholder commented that following the MiFIR review, pre-arranged
trades submitted to exchanges for clearing purposes no longer fall within the scope of
Article 8 of MiFIR, thereby alleviating their primary concerns regarding the existing Level
2 provisions.
127. One stakeholder provided negative feedback, highlighting two points. First, in
their opinion, ETDs should be treated in the same way as those traded on MTFs or OTFs. Second, they disagreed with the principle of using three different size thresholds (medium, large and very large) and advocated instead for a single size threshold of EUR 1Mn (and 100,000 tCO2 for emission allowances), thereby allowing trading venues to tailor their rules across the granularity of instruments admitted with the necessary and appropriate agility and flexibility.

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3.4.3.3.3 ESMA’s assessment and proposal
128. As the post-trade deferrals for commodity and emission allowances derivatives
were broadly supported by stakeholders, ESMA maintains the proposals without modification. Regarding the differences in the treatment of derivatives traded on regulated markets versus those traded on MTF/OTF, ESMA recalls that derivatives traded on MTF/OTF fall under the definition of “OTC derivatives” under MiFIR following the review. Currently, OTC derivatives on commodity and emission allowances are not subject to transparency. Therefore, in accordance with Level 1, ESMA is not able to ensure the same treatment of OTC derivatives and ETDs on commodity and emission allowances.
3.4.3.4 Credit, FX and securitised derivatives
3.4.3.4.1 ESMA’s initial proposals
129. For Credit and FX derivatives, ESMA suggested in the CP setting a unique post￾trade size threshold equal to the existing post-trade LIS threshold applicable to illiquid
classes i.e. EUR 10,000,000 for credit derivatives and EUR 25,000,000 for FX derivatives.
130. For Securitised derivatives, ESMA suggested in the CP setting the medium size
threshold at EUR 60,000, the large size threshold at EUR 90,000 and the very large size threshold at EUR 100,000.
3.4.3.4.2 Feedback from stakeholders
131. Most respondents agreed with the proposed size thresholds for the deferral regime
concerning FX, Credit, and securitised derivatives. However, several participants highlighted the need for ESMA to clarify the size threshold for "other derivatives," emphasizing that each instrument type should have at least one defined threshold. Without such a threshold, transactions in that asset class would never be eligible for deferral, undermining the intended regime. On the other hand, one respondent opposed the proposed approach, arguing against differentiating ETDs based on the trading venue (regulated markets versus MTFs or OTFs), stating that MiFIR does not support such differentiation and that it introduces unnecessary complexity. This respondent also argued that credit exchange-traded derivatives, such as CDS indices, should be treated uniformly regardless of venue due to their centralized clearing. Additionally, they considered the proposed FX derivative threshold too high and suggested a lower threshold of EUR 5 million, aligning with common wholesale spot FX trade sizes. Finally, they questioned the rationale behind having three different thresholds for securitised derivatives and recommended reverting to a single threshold of EUR 60,000, as the additional complexity was seen as unjustified.

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3.4.3.4.3 ESMA’s assessment and proposal
132. Regarding the feedback that the transparency framework for credit derivatives should
be the same irrespective of the venue of execution (regulated markets, MTFs/OTFs), ESMA recalls that the distinction between ETDs (i.e. traded on a regulated market) and OTC (i.e. traded on MTF/OTF or bilaterally) was introduced at Level 1 in the MiFIR review. Besides, as evidenced in the CP, the liquidity of ETD credit derivatives was significantly lower compared to the liquidity of OTC credit derivatives. As a result, ESMA considers it appropriate to adopt a different transparency framework, reflecting the different liquidity profiles.
133. As the proposed trade size thresholds defined in the CP for Credit, FX and securitised
derivatives were supported by stakeholders, ESMA maintains the proposal without changes.
134. ESMA understand the concern raised by stakeholders regarding the absence of a post￾trade deferral size threshold for other derivatives. To alleviate this concern, ESMA has
added a unique size threshold of EUR 100,000 for instrument which would fall under the category of “Other derivatives”, i.e. derivatives for which the underlying does not belong to any of the categories of Equity, Interest rate, Credit, FX, Commodity and Emission Allowances.
3.4.3.5 Deferral duration for ETDs
3.4.3.5.1 ESMA’s initial proposals
135. In the CP, ESMA suggested a deferral of end of day for medium size trades in liquid
instruments; a T+1 deferral for large size trades in liquid instruments and a deferral of T+2 (which is the current deferral duration in RTS 2) for very large trades in liquid instruments as well as for trades in illiquid instruments.
3.4.3.5.2 Feedback from stakeholders
136. The proposal was broadly supported by stakeholders, who considered that deferrals
should be used by market participants to allow them time to hedge their positions, rather than to fully trade out of their positions. In this context, the proposed deferral durations were viewed as appropriate. However, one respondent noted that the deferral duration suggested by ESMA for equity ETDs was too long and should not exceed T+1.
3.4.3.5.3 ESMA’s assessment and proposal
137. Responding to the stakeholder in favour of shorter deferrals, ESMA clarifies that the
deferral durations set in RTS 2 are maximum durations and trading venues may adopt shorter ones. In practice, some venues already apply shorter deferrals and, in some asset classes, no deferral. Overall, as the deferral duration for ETDs was broadly supported by stakeholders, ESMA maintains the proposal without modification.

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3.4.4 OTC Derivatives – Liquidity determination
3.4.4.1 Interest rate swaps
3.4.4.1.1 ESMA’s initial proposals
138. In the CP, ESMA analysed interest rate derivatives trading activity based on
EMIR data for the calendar year 2023. The trading activity of IRD, based on volume and trade count, was assessed using various dimensions: cleared versus uncleared, full year tenor versus broken tenor, spot-starting versus forward starting, per reference indices, per tenor; and drew the following conclusions:

• there was significant trading activity both on spot-starting and forward-starting
  contracts;
• within in-scope tenors: higher volumes were observed on the 1Y, 2Y, 5Y and 10Y
  tenors;
• fixed-to-float referencing Euribor as well as OIS referencing EuroSTR, SOFR, SONIA
  and TONA were the most liquid classes.

139. On the basis of this analysis, ESMA determined that the following classes were
     liquid: fixed-to-float referencing Euribor; OIS referencing EuroSTR, SOFR, SONIA and TONA; and that the following classes were illiquid: OIS referencing FedFunds, all basis swaps and all FRAs.
140. In light of the quantitative analysis, ESMA was not minded differentiating spot￾starting and forward-starting for the purpose of the liquidity determination and invited
     stakeholders to provide feedback in this respect, with quantitative elements to the extent possible.
     3.4.4.1.2 Feedback from stakeholders
141. Stakeholders hardly commented on the liquidity determination. Instead, they
     voiced concerns about the inclusion of forward-starting swaps, FRAs and basis swaps in the scope of transparency, citing the following reasons:

• The DEG had recommended in its report the exclusion of those contracts from the
  transparency scope;
• Transactions in those instruments are not 'price forming'. Hence their inclusion, even
  when classified as illiquid by ESMA, adds undue complexity to the transparency regime and is inconsistent with ESMA’s aim of simplifying and reducing the reporting burden in the financial sector;
• Regarding FRAs, as highlighted by ESMA, the volumes and number of trades are
  extremely low due to restrictions on whole year tenors and exemptions for post-trade risk reduction transactions.

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142. Should forward starting interest rate derivatives be included in the scope of
transparency, some recommended to treat them as a package of two derivatives instead of being equivalent to spot starting swaps. They explained that a 5-year OIS swap starting in 2 years is akin to a package of a 2-year and a 7-year OIS swap. Hence in their view, such trades should have the threshold and deferral periods that correspond to the less liquid component of the "package," which is typically, but not always, the component with the longer maturity.
143. In contrast with others, one stakeholder advocated for a simplified liquidity
assessment, recommending that all in-scope IRS are considered liquid. In their view, this approach is crucial for supporting meaningful transparency in EU capital markets, despite the complexities introduced by Level 1 constraints.
3.4.4.1.3 ESMA’s assessment and proposals
144. With respect to the request to exclude FRAs and basis swaps from the
transparency scope, due to their illiquid nature, please refer to Section 3.1.1.
145. With respect to forward-starting contracts, ESMA reaffirms the CP’s conclusion
that both spot and forward-starting contracts exhibit sufficiently high levels of liquidity. Besides, ESMA has not received quantitative evidence to the contrary. Finally, this approach ensures consistency with the one adopted in the UK. Accordingly, there appears to be little justification for differentiating between the two at this stage.
146. As a result, ESMA maintains the liquidity determination of IRS as proposed in
the CP, removing FRAs and basis swaps as explained in Section 3.1.1. Hence in the final proposal, the following IRS classes are deemed liquid: fixed-to-float referencing Euribor; OIS referencing EuroSTR, SOFR, SONIA and TONA; and the following classes are illiquid: OIS referencing FedFunds.
3.4.4.2 CDSs
147. In the CP, ESMA provided an analysis of trading activity in CDSs based on
EMIR data for the calendar year 2023, limited to instruments denominated in G4 currencies. The total number of transactions was above 1 million equally split between index and single name CDSs. The total traded volumes were above EUR 21 trillion, 85% of which in Index CDSs.

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3.4.4.2.1 Single-Name CDSs
3.4.4.2.1.1 ESMA’s initial proposals
148. Single-name CDSs in the scope of transparency are those that reference a
global systemically important bank (GSIB) and that are centrally cleared. The market events of 2023 have shown that a lack of transparency in certain credit default swaps referencing GSIBs might fuel speculation on the creditworthiness of such banks. Those considerations have led to the inclusion of certain single-name CDSs in the scope of transparency13 , even if they are less liquid than index CDSs and not subject to the clearing nor trading obligation.
149. In the CP, ESMA performed an analysis based on volume, trade count and
tenor, and proposed that single-name CDSs with a 5Y tenor should be deemed liquid, and the remaining single-name CDSs should be deemed illiquid. The tables below provide an overview of the data analysis performed by ESMA. Single-Name CDS in G4 currencies Volume (%) Trade Count (%) Average Daily Volume (EUR) Average Daily Number of Trade Average Trade Size (EUR) CLEARED 71.9% 65.6% 8,053,458,137 1,290 6,243,903 GSIB 6.8% 5.7% 543,771,507 73 7,422,333 NON-GSIB 93.2% 94.3% 7,509,686,630 1,217 6,172,937 UNCLEARED 28.1% 34.4% 3,152,862,250 675 4,670,880 GSIB 8.5% 7.7% 267,515,431 52 5,169,380 NON-GSIB 91.5% 92.3% 2,885,346,819 623 4,629,489 Grand Total 100.0% 100.0% 11,206,320,387 1,965 5,703,498
Table 9: Liquidity measures of single-name CDSs. ADV, ADNT and ATS are provided for
the given aggregation (e.g. Cleared – GSIB), they are not divided by the number of instruments within the aggregation. Cleared + GSIB Single￾Name CDS Volume (%) Trade Count (%) Average Daily Volume (EUR) Average Daily Number of Trade Average Trade Size (EUR) EEA 26.2% 36.6% 142,487,845 26.8 5,320,528.5 NON-EEA 73.8% 63.4% 401,283,661 46.5 8,633,326.6 Grand Total 100.0% 100.0% 543,771,507 73 7,422,333
Table 10: Liquidity measures of single-name CDSs (cleared, GSIB) per geographical zone
Single-Name CDS in G4 currencies Volume (%) Trade Count (%) Average Daily Volume (EUR) Average Daily Number of Trade Average Trade Size (EUR) In Scope (cleared, GSIB) 4.9% 3.7% 543,771,507 73 7,422,333 13 See also: Letter from ESMA to the European Commission on transparency regime for single name-CDS and standardised OTC￾derivatives

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<= 5Y 96.5% 96.4% 524,982,273 71 7,434,389

5Y 3.5% 3.6% 18,789,234 3 7,100,583
Out of Scope 95.1% 96.3% 10,662,548,880 1,892 5,636,926 <= 5Y 96.8% 96.5% 10,318,118,273 1,825 5,652,251
5Y 3.2% 3.5% 344,430,608 66 5,213,481
Grand Total 100.0% 100.0% 11,206,320,387 1,965 5,703,498
Table 11: Liquidity measures of single-name CDSs broken down by remaining maturity. In
scope = single name CDSs referencing GSIBs and centrally cleared.
3.4.4.2.1.2 Feedback from stakeholders

150. ESMA received feedback from only three respondents which provided a view
     on the liquidity assessment of single-name CDS. Those respondents disagreed with ESMA that the 5Y tenor should be considered liquid. Their view is that all single-name CDS should be considered illiquid as they trade very sporadically.
     3.4.4.2.1.3 ESMA’s assessment and proposals
151. Considering the decision of including single-name CDSs in the scope of
     transparency, ESMA considered in the CP that it should set some CDSs single-name as liquid, although data confirms the sporadic nature of trading in these instruments.
152. Considering discussions with the industry and the responses received, ESMA
     agrees that the liquidity in these instruments is scarce and therefore, they should all be set as illiquid to reflect the characteristics of these instruments and the technical nature of ESMA’s assessment.
153. Determining single name CDSs as illiquid means that these instruments may all
     benefit from the illiquid waiver for pre-trade transparency. ESMA considers this implication to be limited since trading in single name CDSs is not done via CLOB or periodic auctions, which are the only types of trading system under the scope of pre￾trade transparency. Regardless of the liquidity assessment, single name CDSs remain subject to post-trade transparency obligations. As a result, ESMA has amended its final proposal regarding the liquidity determination of single-name CDSs, which are now all deemed illiquid.
     3.4.4.2.2 Index CDSs
     3.4.4.2.2.1 ESMA’s initial proposals
154. Index CDSs in the scope of transparency are those that reference (1) iTraxx
     Europe Main and iTraxx Europe Crossover, i.e. the two indices subject to the clearing obligation and covered under Article 8a(2)(a) of MiFIR; and (2) indices comprising GSIBs and covered under Article 8a(2)(c) of MiFIR. In the CP, ESMA considered that the list of indices captured by Article 8a(2)(c) includes iTraxx Europe Senior Financials and iTraxx Europe Subordinate Financials.

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155. Those two indices are sub-indices from the iTraxx Europe index: iTraxx Senior
Financials comprises the 30 financial entities from the iTraxx Europe index referencing senior debt, and iTraxx Subordinated Financials comprises the 30 financial entities from the iTraxx Europe index referencing subordinate debt.
156. The CP provided ESMA’s data analysis based on trade count, volume and
tenor. The main findings are summarised in the tables below.
Index CDS Volume
(%)
Trade
Count (%)
Average Daily
Volume (EUR)
Average
Daily
Number of Trade
Average
Trade Size
(EUR)
CLEARED 89.3% 79.9% 62,730,135,736 1,577 39,789,208 iTraxx Europe Main 42.8% 29.6% 26,828,979,784 467 57,451,055 iTraxx Europe Crossover 13.8% 26.0% 8,682,414,154 410 21,160,343 iTraxx Europe Senior Financial 7.9% 6.4% 4,985,857,460 100 49,694,201 iTraxx Europe Subordinate Financial 1.8% 2.4% 1,097,877,978 38 28,564,823 Other 33.7% 35.6% 21,135,006,360 560 37,707,933 UNCLEARED 10.7% 20.1% 7,533,282,244 396 19,046,564 iTraxx Europe Main 38.2% 18.8% 2,877,810,770 74 38,764,418 iTraxx Europe Crossover 14.2% 30.5% 1,070,600,701 121 8,866,258 iTraxx Europe Senior Financial 7.5% 4.8% 562,222,022 19 29,352,957 iTraxx Europe Subordinate Financial 1.8% 2.3% 132,396,909 9 14,761,233 Other 38.4% 43.6% 2,890,251,842 172 16,764,054 Grand Total 100.0% 100.0% 70,263,417,980 1,972 35,629,077
Table 12: Liquidity measures of Index CDSs. ADV, ADNT and ATS are provided for the given
aggregation, they are not divided by the number of instruments within the aggregation.

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In-Scope Index CDS per remaining maturity Volume (%) Trade Count (%) Average Daily Volume (EUR) Average Daily Number of Trade Average Trade Size (EUR) In Scope 100.0% 100.0% 41,595,129,376 1,016 40,937,298 iTraxx Europe Main 64.5% 46.0% 26,828,979,784 467 57,451,055 <= 5Y 92.7% 94.2% 24,874,165,248 440 56,570,270

5Y 7.3% 5.8% 1,954,814,536 27 71,645,303
iTraxx Europe Crossover 20.9% 40.4% 8,682,414,154 410 21,160,343 <= 5Y 100.0% 99.9% 8,678,809,923 410 21,165,049
5Y 0.0% 0.1% 3,604,231 0.3 13,780,882
iTraxx Europe Senior Financial 12.0% 9.9% 4,985,857,460 100 49,694,201 <= 5Y 99.9% 99.6% 4,982,829,683 100 49,864,736
5Y 0.1% 0.4% 3,027,777 0.4 7,497,352
iTraxx Europe Subordinate
Financial 2.6% 3.8% 1,097,877,978 38 28,564,823 <= 5Y 99.8% 99.0% 1,095,807,469 38 28,799,145
5Y 0.2% 1.0% 2,070,508 0.4 5,383,322
Grand Total 100.0% 100.0% 41,595,129,376 1,016 40,937,298
Table 13: Liquidity measures of index CDSs broken down by remaining maturity. Only
cleared contracts are included.
In-Scope Index CDS per index and per remaining maturity Volume (%) Trade Count (%) Average Daily Volume (EUR) Avera ge Daily Numb er of Trade Average Trade Size (EUR) Only maturities up to 5Y 100.0% 100.0 % 39,631,612,324 988 40,123,745 iTraxx Europe Main 62.8% 44.5% 24,874,165,248 440 56,570,270 <=1Y 1.5% 0.5% 383,092,100 2 183,095,489 ]1-2Y] 3.9% 0.8% 969,300,773 3 284,444,922 ]2-3Y] 4.0% 0.9% 1,004,051,844 4 246,276,867 ]3-4.69] 14.4% 3.9% 3,594,092,227 17 211,178,300 ]4.69-5.30Y] 76.1% 94.0% 18,923,628,305 413 45,807,979 iTraxx Europe Crossover 21.9% 41.5% 8,678,809,923 410 21,165,049 <=1Y 1.1% 0.2% 93,206,823 1 114,852,009 ]1-2Y] 3.4% 0.5% 295,490,357 2 143,602,790 ]2-3Y] 4.1% 0.4% 353,751,579 2 197,372,126 ]3-4.69] 15.4% 1.9% 1,340,068,463 8 170,542,242 ]4.69-5.30Y] 76.0% 96.9% 6,596,292,701 398 16,593,002 iTraxx Europe Senior Financial 12.6% 10.1% 4,982,829,683 100 49,864,736 <=1Y 1.8% 0.4% 88,531,674 0 247,507,905 ]1-2Y] 2.9% 0.6% 142,544,199 1 245,440,342 ]2-3Y] 5.8% 1.0% 287,743,006 1 279,153,663 ]3-4.69] 14.2% 3.3% 709,553,402 3 218,324,124 ]4.69-5.30Y] 75.3% 94.8% 3,754,457,402 95 39,642,581

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Table 14: Liquidity measures of index CDSs broken down by maturity. Only cleared
contracts with a remaining maturity below 5Y are included.
157. In light of the analysis, ESMA suggested in the CP the following liquidity
determination:

• Liquid instruments:
  o four indices: iTraxx Europe Main, iTraxx Europe Crossover, iTraxx Europe Senior Financials, iTraxx Europe Subordinate Financials; o 5Y tenor, on-the-run and first off-the-run series.
• Illiquid instruments: any other index CDSs in the scope of transparency.

158. To take into account the lower liquidity of iTraxx Europe Senior Financials and
     iTraxx Europe Subordinate Financials compared to the other two indices in scope, ESMA suggested providing longer deferrals for transactions on CDSs referencing those two indices.
     3.4.4.2.2.2 Feedback from stakeholders
159. Similar to the feedback provided for single-name CDSs, respondents disagreed
     with ESMA’s approach to the liquidity determination of CDS index derivatives. They suggested in particular that CDSs referencing iTraxx Senior Financials and iTraxx Subordinated Financials should not be considered liquid.
     3.4.4.2.2.1 ESMA’s assessment and proposals
160. ESMA acknowledges the lower level of liquidity of index CDSs referencing
     iTraxx Europe Senior Financials and iTraxx Europe Subordinate Financials. Therefore, taking into account stakeholders feedback, ESMA suggests determining those instruments as illiquid. As for single-name CDSs, this change implies that trading on those instruments would systematically benefit from the illiquid waiver. However, the impact is expected to be limited as those instruments are generally not traded on the trading systems which remain in the scope of pre-trade transparency.
161. The liquidity assessment of the remaining instruments remained unchanged
     when compared to the proposal included in the CP. The below summarises the liquidity assessment for index CDSs:

• Liquid instruments:
  o two indices: iTraxx Europe Main and iTraxx Europe Crossover; o 5Y tenor, on-the-run and first off-the-run series.

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• Illiquid instruments: iTraxx Europe Senior Financials, iTraxx Europe Subordinate
  Financials and any other index CDSs in the scope of transparency. Cross-reference to Article 13 on the liquidity determination

162. In the amended RTS 2, the rules for determining the liquidity of derivatives are
     now fully outlined in Article 6, instead of Article 13. Consequently, the references to
     Article 13 in Article 16 (which addresses the suspension of transparency provisions)
     have been updated to point to Article 6.
     3.4.5 OTC derivatives – post-trade deferral sizes and durations
     3.4.5.1 Interest rate swaps
     3.4.5.1.1 ESMA’s initial proposals
163. To define the trade sizes above which deferrals should apply, ESMA analysed
     trade size distributions based on volumes and based on trade count, for each combination of contract type, underlying index, and tenors.
164. Regarding the granularity, the analysis evidenced significant differences in the
     trade size distributions based on tenors, where the trade size typically decreases as the tenor increases. As a result, ESMA suggested defining different size thresholds for each combination of contract type, underlying index and tenors. Price deferrals:
165. ESMA suggested setting a unique price deferral of EoD for liquid instruments
     and T+1 for illiquid instruments. The same price deferral duration would therefore apply to transactions above the medium, large, and very large thresholds. As price information is less sensitive than volume information, the proposal ensures that prices are disseminated as quickly as possible and deferred only for a short duration, to maximise transparency. Volume deferrals
166. Given the high granularity at which size thresholds are proposed to be set,
     ESMA suggested using the same thresholds and deferral durations for large and very large trades. The calibration for liquid instruments was performed as follows:

• when the trade size is between the 80th and the 90th percentile of the distribution
  based on trade count, the volume should be published end of day for liquid instruments (Cat 1) and in T+1 for illiquid instruments (Cat 2);
• when the trade size is above the 90th percentile of the distribution based on trade
  count, the volume should be published end of day for liquid instruments (Cat 3 and Cat 5) and T+1 for illiquid instruments (Cat 4) with a masking up to the 90th percentile. The actual volume should be published after 3 months.

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3.4.5.1.2 Feedback from stakeholders
167. One stakeholder agreed with the proposal to set a unique EoD price deferral for
liquid instruments but suggested a lower calibration for the size thresholds, in line with the one proposed in the DEG report.
168. Regarding the proposal to set two thresholds for volume deferrals (one for
medium size, one for large/very large), one stakeholder welcomed the simplification but suggested going further with the adoption of a single thresholds, set at the 67th percentile as suggested in the DEG report.
169. Two stakeholders indicated that the levels of the proposed size thresholds for
OTC IRS were acceptable and should not be increased after the consultation. In their view, higher thresholds would compromise dealers’ ability to provide liquidity and facilitate risk transfers for clients.
170. One stakeholder however considered that the level of transparency should be
increased, leaning towards the U.S. regulatory framework, where a 15-minute standard deferral period applies to a limited proportion of OTC derivatives, with the majority subject to real-time reporting. Hence, they recommend (1) that deferral periods should be no longer than 15 minutes and (2) capping the dissemination of reported notional amounts of large-size trades at higher thresholds compared to those suggested by ESMA.
171. Stakeholders who did not support the inclusion of FRAs and basis swaps in the
transparency scope requested that the medium size thresholds applicable to those instruments should be set at a level close to zero, should they remain in scope.
172. Finally, one stakeholder flagged (1) the absence of values for 3Y FRAs
referencing Euribor in Table 58, questioning whether this should be understood as those contracts being out of the transparency scope; and (2) some inconsistencies between the threshold values provided in the explanatory section of the CP (Tables 56 to 58) and those provided in the tables in Section 2 of Annex III of the draft RTS.
3.4.5.1.3 ESMA’s assessment and proposals
173. Considering that one stakeholder favoured higher thresholds, another one lower
thresholds and the remaining ones considered the thresholds as suggested in the CP appropriate, ESMA maintains the proposed thresholds without changes.
174. With respect to the feedback received on lowering the thresholds for FRAs and
basis swaps, ESMA removed the thresholds for those instruments as explained in
Section 3.1.1. In addition, ESMA corrected the inconsistencies spotted by stakeholders
concerning 2Y Fixed-to-float Euribor and 30Y OIS TONA. The changes to table 3.2 of
Annex III of RTS 2 are shown in red below.

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Table 3.2 of Annex III of RTS 2
Class - Fixed to Float
Euribor
Tenors (Years) Liquidity Pre-trade LIS
(EUR Mn)
Medium size post￾trade (EUR Mn)
Large / Very
Large size post￾trade (EUR Mn)
1 Liquid 200 400 750
2 Liquid 125 250 400
3 Liquid 100 200 400
5 Liquid 50 100 200
7 Liquid 50 100 200
10 Liquid 37 75 100
12 Liquid 37 75 100
15 Liquid 37 75 100
20 Liquid 25 50 100
25 Liquid 25 50 100
30 Liquid 15 30 50
Deferral Duration End of Day Three months
Class - OIS FEDFUNDS
Tenors (Years) Liquidity Pre-trade LIS
(USD Mn)
Medium size post￾trade (USD Mn)
Large / Very
Large size post￾trade (USD Mn)
1 Illiquid 125 250 400
2 Illiquid 75 150 250
3 Illiquid 50 100 200
Deferral Duration T+1 Three months
Class - OIS SOFR
Tenors (Years) Liquidity Pre-trade LIS
(USD Mn)
Medium size post￾trade (USD Mn)
Large / Very
Large size post￾trade (USD Mn)
1 Liquid 125 250 500
2 Liquid 75 150 250
3 Liquid 50 100 200
5 Liquid 50 100 150
7 Liquid 37.5 75 150
10 Liquid 25 50 75
12 Liquid 25 50 75
15 Liquid 25 50 75
20 Liquid 25 50 75
25 Liquid 25 50 75
30 Liquid 15 30 50

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Deferral Duration End of Day Three months
Class - OIS SONIA
Tenors (Years) Liquidity Pre-trade LIS
(GBP Mn)
Medium size post￾trade (GBP Mn)
Large / Very
Large size post￾trade (GBP Mn)
1 Liquid 87.5 175 355
2 Liquid 67.5 135 175
3 Liquid 67.5 135 175
5 Liquid 32.5 65 90
7 Liquid 32.5 65 90
10 Liquid 22.5 45 65
12 Liquid 22.5 45 65
15 Liquid 22.5 45 65
20 Liquid 22.5 45 65
25 Liquid 22.5 45 65
30 Liquid 10 20 25
Deferral Duration End of Day Three months
Class - OIS TONA
Tenors (Years) Liquidity Pre-trade LIS
(JPY Mn)
Medium size post￾trade (JPY Mn)
Large / Very
Large size post￾trade (JPY Mn)
1 Liquid 17,500 35,000 55,000
2 Liquid 10,000 20,000 30,000
3 Liquid 10,000 20,000 30,000
5 Liquid 5,000 10,000 15,000
7 Liquid 5,000 10,000 15,000
10 Liquid 3,500 7,000 10,000
12 Liquid 3,500 7,000 10,000
15 Liquid 2,500 5,000 7,000
20 Liquid 1,500 3,000 5,000
25 Liquid 1,500 3,000 5,000
30 Liquid 1,500 3,000 5,000
Deferral Duration End of Day Three months

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Class - OIS EuroSTR
Tenors (Years) Liquidity Pre-trade LIS
(EUR Mn)
Medium size post￾trade (EUR Mn)
Large / Very
Large size post￾trade (EUR Mn)
1 Liquid 150 300 750
2 Liquid 100 200 300
3 Liquid 100 200 300
Deferral Duration End of Day Three months
3.4.5.2 CDSs
3.4.5.2.1 Single-name CDSs
3.4.5.2.1.1 ESMA’s initial proposals
175. To define the trade sizes above which deferrals should apply, ESMA analysed
trade size distributions based on volumes and based on trade count. ESMA also considered the thresholds set out in the DEG report, including the volume masking suggestion. Following this analysis, ESMA proposed in the CP the following trade size and deferral duration thresholds. Group 1 (liquid) Cat Trade size (EUR) Price deferral Volume T+1 Volume 2W Volume 3M 5Y single￾name CDSs 1 [3 – 10Mn[ EoD Actual volume 3 [10 – 50Mn[ 10Mn+ Actual volume 5 Above 50Mn 10Mn+ Actual volume Group 2 (illiquid) Transaction size Volume 1W Volume 2W Volume 3M Other single￾name CDSs in scope 2 [3 – 10Mn[ 1 week Actual volume 4 [10 – 50Mn[ 10Mn+ Actual volume 5 Above 50Mn 10Mn+ Actual volume
Table 15: OTC Single-Name CDSs deferrals proposed in the CP
3.4.5.2.1.2 Feedback from stakeholders
176. Respondents broadly disagreed with ESMA’s approach. They suggested that
only trades below 1MM should be subject to real-time pre-trade, the medium category should include trades up to 5MM and the duration of the volume deferral for liquid instruments should be increased to one week. In line with the liquidity determination question, respondents suggested that all single name CDSs should be considered illiquid but agreed to include two groups, one for the five-year tenor where the average daily volume is above EUR 3Mn, and another with all other instruments.

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177. Stakeholders also recommended to increase the deferral duration for price from
EoD to T+1 for Group 1, due to the sensitivity of pricing information on those relatively illiquid instruments.
3.4.5.2.1.3 ESMA’s assessment and proposals
178. Considering ESMA’s approach to the liquidity assessment, where it now
classifies all CDS single names as illiquid, ESMA considers it makes sense to review the proposal for the size threshold and deferral duration.
179. Considering the data available and the liquidity profiles of these instruments,
ESMA considers the following trade size and deferral duration as appropriate to ensure a minimum level of post-trade transparency whilst catering for the inherent liquidity of CDS single names: the medium size is lowered from EUR 3Mn to 1Mn and the large size is lowered from EUR 10Mn to 5Mn, the price deferral duration of Group 1 is increased from EoD to T+1. Finally, as explained in section 3.3.2, the interim report with the volume masking is no longer expected and has been deleted from the table below. Changes from the CP proposals are identified in red. Group 1 (illiquid) Cat Trade size (EUR) Price deferral Volume T+1 Volume 2W Volume 3M 5Y single￾name CDSs 2 [1 – 5Mn[ EoD T+1 Actual volume 4 [5 – 50Mn[ 10Mn+ Actual volume 5 Above 50Mn 10Mn+ Actual volume Group 2 (illiquid) Transaction size Volume 1W Volume 2W Volume 3M Other single￾name CDSs in scope 2 [1 – 5Mn[ 1 week Actual volume 4 [5 – 50Mn[ 10Mn+ Actual volume 5 Above 50Mn 10Mn+ Actual volume
Table 16: OTC Single-Name CDSs deferrals proposed in the final report

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3.4.5.2.2 Index CDSs
3.4.5.2.2.1 ESMA’s initial proposals
181. To define the trade sizes above which deferrals should apply, ESMA analysed
trade size distributions based on volumes and based on trade count. There are important differences in the trade size distributions based on the underlying index, with lower trade sizes on the iTraxx Europe Crossover and the iTraxx Subordinate Financial. Chart 1: trade size distribution of index CDSs, based on trade count (left) and based on volumes (right)
182. To arrive at the proposal presented in the CP, ESMA also considered the
suggestions made in the DEG report. Based on the analysis of the data available and the considerations included in the DEG report, ESMA suggested a calibration per index, broadly corresponding to 15% of volumes below medium size; 30% of volumes below large size and 60% of volumes below very large sizes. In terms of trade count, this calibration corresponds to 60-70% of trades below medium size; 80-90% of trades below large size and 98% of trades below very large sizes. The corresponding medium, large and very large sizes are provided for each index in the table below. Liquid/ Illiquid Index CDS Feature Medium Large Very Large Liquid iTraxx Europe Main 5Y on￾the-run and first off-the￾run 30Mn 50Mn 300Mn Liquid iTraxx Europe Crossover 10Mn 30Mn 300Mn Liquid iTraxx Europe Senior Financial 30Mn 50Mn 300Mn Liquid iTraxx Europe Subordinate Financial 10Mn 50Mn 300Mn Illiquid Any other in-scope Index CDS 10Mn 30Mn 300Mn

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Table 17: OTC Index CDSs deferrals trade sizes in the CP
183. Regarding deferral durations, ESMA suggested in the CP the following
durations for the most liquid instruments (index CDSs referencing iTraxx Europe Main and iTraxx Europe Crossover):

• A price deferral of 15min;
• A volume deferral of 15min for Cat1, EoD for Cat 3 and 3 months for Cat 5;
• In addition, volumes above the medium size are published within 15min with a
  masking up to the large size.

184. For the least liquid instruments (index CDSs referencing iTraxx Senior Financial
     and iTraxx Subordinate Financial) and for illiquid instruments, ESMA proposed longer deferral durations, as shown in the table below. Proposals for trade sizes and deferral durations Group 1 (most liquid) Cat Index Trade size (EUR) Price deferral Volume 15min Volume EoD Volume 3M 5Y index CDS, on-the￾run and first off￾the-run iTraxx Europe Main [30 – 50Mn[ 15min Actual volume iTraxx Crossover [10 – 30Mn[ iTraxx Europe Main [50 – 300Mn[ 50Mn+ Actual volume iTraxx Crossover [30 – 300Mn[ 30Mn+ iTraxx Europe Main Above 300Mn 50Mn+ Actual iTraxx Europe Crossover 30Mn+ volume Group 2 (least liquid) Cat Trade size (EUR) Volume 1W Volume 2W Volume 3M 5Y index CDS, on-the￾run and first off￾the-run iTraxx Europe Senior Financial [30 – 50Mn[ 15min Actual iTraxx Subordinate volume Financial [10 – 50Mn[ iTraxx Europe Senior Financial [50 – 300Mn[ 50Mn+ Actual iTraxx Subordinate volume Financial [50 – 300Mn[ iTraxx Europe Senior Financial Above 300Mn 50Mn+ Actual iTraxx Subordinate volume Financial Group (illiqui d) Cat Trade size (EUR) Volume 1W Volume 2W Volume 3M Other index CDSs Index CDSs not in Group 1 nor in Group 2 [10 - 30Mn[ EoD Actual volume [30 - 300Mn[ 30Mn+ Actual volume

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Above
300Mn 30Mn+ Actual volume
Table 18: OTC Index CDSs deferrals proposed in the CP
3.4.5.2.2.2 Feedback from stakeholders
185. Respondents broadly agreed with ESMA’s proposal. However, one respondent
suggested different size thresholds, in particular for very large trades. That stakeholder suggested that the large size threshold can be set at a higher level for the most liquid index (iTraxx Europe Main) while it should be maintained or decreased for the less liquid indices.
3.4.5.2.2.3 ESMA’s assessment and proposals
186. Similar to the approach taken for single names and the change in the liquidity
determination for CDS Index, ESMA also considers it makes sense to review the proposal for the size threshold and deferral duration.
187. Considering the data available and the liquidity profiles of these instruments,
ESMA considers the below trade size and deferral duration as appropriate to ensure a minimum level of post-trade transparency, taking a more ambitious approach for the most liquid instruments (iTraxx Main) and a more cautious approach for the least liquid instruments.
188. Therefore, taking into account feedback from stakeholders, ESMA increases
the very large size threshold of Index CDS referencing iTraxx Europe Main from 300Mn to 500Mn; and decreases (1) the very large size threshold of Index CDS referencing iTraxx Crossover and iTraxx Subordinate Financials from 300Mn to 200Mn; (2) the large size threshold of Index CDS referencing Subordinate Financials from 50Mn to 30Mn (hence iTraxx Crossover and iTraxx Subordinate Financial now have the same size thresholds). Consistently with those changes, the very large size threshold of illiquid Index CDSs in Group 3 is also decreased from 300Mn to 200Mn.
189. ESMA also increases the price deferral duration of very large trades on CDS
referencing iTraxx Europe Senior Financial and iTraxx Subordinate Financial, from 15min to EoD. Finally, as explained in section 3.3.2, the interim report with the volume masking is no longer expected and has been deleted from the table below.

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Group 1
(liquid) Cat Index Trade size (EUR) Price deferral Volume 15min Volume EoD Volume 3M 5Y index CDS, on-the￾run and first off-the-run iTraxx Europe Main [30 – 50Mn[ 15min Actual volume iTraxx Crossover [10 – 30Mn[ iTraxx Europe Main [50 – 500Mn[ Actual volume iTraxx Crossover [30 – 200Mn[ iTraxx Europe Main Above 500Mn Actual volume iTraxx Europe Crossover Above 200Mn+ Group 2 (illiquid) Cat Trade size (EUR) Volume 1W Volume 2W Volume 3M 5Y index CDS, on-the￾run and first off-the-run iTraxx Europe Senior Financial [30 – 50Mn[ 15min Actual volume iTraxx Subordinate Financial [10 – 30Mn[ iTraxx Europe Senior Financial [50 – 300Mn[ Actual volume iTraxx Subordinate Financial [30 – 200Mn[ iTraxx Europe Senior Financial Above 300Mn EoD Actual volume iTraxx Subordinate Financial Above 200Mn Group 3 (illiquid) Cat Trade size (EUR) Volume 1W Volume 2W Volume 3M Other index CDSs in scope Index CDSs not in Group 1 nor in Group 2 [10 - 30Mn[ EoD Actual volume 4 [30 - 200Mn[ Actual volume 5 Above 200Mn Actual volume
Table 19: OTC Index CDSs deferrals proposed in the final report

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3.5 The European System of Central Banks (ESCB) Exemption
3.5.1 Background and ESMA’s initial proposal
Article 1(8) of MiFIR
ESMA shall, in close cooperation with the ESCB, develop draft regulatory technical standards to specify the monetary, foreign exchange and financial stability policy operations and the types of transactions to which paragraphs 6 and 7 apply with regard to members of the ESCB which are not members of the Eurosystem. ESMA shall submit those draft regulatory technical standards to the Commission by 3 July 2015 29 March 2026. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1095/2010.
190. Article 1(6) of MiFIR sets out the conditions under which MiFIR pre- and post￾trade transparency requirements are disapplied to transactions entered by a member of
the European System of Central Banks (ESCB). Article 1(7) of MiFIR specifies the transactions to which the Article 1(6) exemption does not apply.
191. The MiFIR review introduces a distinction in the scope of the transactions
eligible to the transparency exemption depending on whether the member of the ESCB entering into the transaction is a member of the Eurosystem. When the member of the ESCB is a member of the Eurosystem, all the transactions entered into for the performance of its monetary, foreign exchange or financial stability policy are eligible to the Article 1(6) exemption. A narrower exemption applies to transactions entered into by members of the ESCB which are not a member of the Eurosystem.
192. As a consequence, ESMA is mandated to develop draft regulatory technical
standards to specify the policy operations and the type of operations to which Article 1(6) and (7) applies with regard to members of the ESCB which are not a member of the Eurosystem only. This requires amending Articles 14 and 15 of RTS 2.
193. In the CP, ESMA suggested that Article 14 of RTS 2 covers the transactions to
which the exemption in Article 1(6) of MiFIR applies with regard to members of the ESCB which are not members of the Eurosystem and to introduce limited amendments to reflect its narrower scope.
194. As regards transactions carried out for monetary policy operations (Article 14(a)
of RTS 2), ESMA proposed to only keep reference to the operations carried out under national provisions by members of the ESCB that are not members of the Eurosystem where those national provisions are equivalent to the relevant Articles in the Statute of the ESCB annexed to the Treaty on the European Union.

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195. As regards foreign-exchange transactions (Article 14(b) of RTS 2), ESMA
suggested clarifying that Article 1(6) of MiFIR only applies to foreign exchange transactions carried out to hold or manage official reserves of Member States whose currency is not the Euro.
196. In Article 15 of RTS 2, which sets out the transactions to which the exemptions
in Article 1(6) of MiFIR do not apply with regard to members of the ESCB which are not members of the Eurosystem, it only appeared necessary to clarify that the transactions referred to in the Article are those transactions entered into by a member of the ESCB which is not a member of the Eurosystem.
3.5.2 Feedback from stakeholders
197. All stakeholders who expressed a view agreed with ESMA’s initial proposal.
3.5.3 ESMA’s assessment and proposal
198. Given the unanimous support from stakeholders, ESMA retains its initial
proposal.
4 RTS on Package Orders
4.1 ESMA’s initial proposals
199. Article 9(1)(e) of the revised MiFIR specifies that the pre-trade transparency
obligations can be waived when the package orders meet one of the following conditions:

• at least one of its components is a financial instrument for which there is not a liquid
  market, unless there is a liquid market for the package order as a whole;
• at least one of its components is large in scale compared with the normal market size,
  unless there is a liquid market for the package order as a whole.

200. Commission Delegated Regulation (EU) 2017/2194 (the Package order RTS)
     provides for the classes of instruments for which there is a liquid market as a whole and for which the package order waiver is therefore not available.
201. More specifically, as per Article 1(a) of the Package order RTS, a package is
     considered having a liquid market as a whole (and therefore not being eligible for the package waiver) if it consists of no more than four components that belong to classes of derivatives that have been declared subject to the trading obligation for derivatives in accordance with the procedure described in Article 32 of MiFIR, unless one of the following applies:
     (i) all the components of the package order are large in scale compared to normal market size

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(ii) the components of the package order do not exclusively belong to one of the asset classes as referred to Annex III of RTS 2.
202. ESMA considered that this provision is still relevant and that only the reference
to Annex III of RTS 2 had to be amended and be replaced by the equivalent list of derivatives classes of equity derivatives, commodity derivatives, interest rate derivatives and credit derivatives. Indeed, Annex III of RTS 2 is reshaped due to the new static liquidity assessment.
203. Alternatively, as per Article 1(b) of the Package order RTS a package is
considered having a liquid market as a whole if the package order meets all of the following conditions:
(i) all components of the package order are available for trading on the same trading venue; (ii) all components of the package order are subject to the clearing obligation in accordance with Article 5 of EMIR or the clearing obligation in accordance with
Article 29(1) of MiFIR;
(iii) at least one of the components of the package order has a liquid market or is not large in scale compared to normal market size; (iv) the package order meets the criteria applicable to the relevant asset class and laid down in Articles 2, 3, 4 or 5.
204. To the above conditions, ESMA proposed to add the below point (iiia) because
it does not appear appropriate to subject package orders to pre-trade transparency when some components are not subject to pre-trade transparency requirements. A package would therefore only be considered to have a liquid market as a whole when all the components are subject to pre-trade transparency requirements. (iiia) all the components of the package order are subject to pre-trade transparency requirements under Article 8a of Regulation (EU) No 600/2014.
205. The package order RTS sets out the asset class specific requirements in
Articles 2-5, analysed in the following sub-sections.
Interest rate derivatives
206. Article 2 of the Package order RTS defines the additional criteria for package
orders consisting exclusively of interest rate derivatives.
207. ESMA considered that, in Article 2(d), the maturities of those OTC derivatives
not covered by pre-trade transparency requirements should be removed since in such cases a package order cannot have a liquid market as a whole under new Article 1(b)(iiia). At the same time those included in Article 8a of MiFIR but not included in point d) should be added since in such cases a package order can have a liquid market as a whole. This was achieved by referencing the tenors under Article 8a of MiFIR. This approach had also the benefit of not having to change the RTS on package orders in the case of a change of the classes of OTC derivatives subject to transparency per
Article 8a(4).

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208. Moreover, considering that a tenor for the liquidity assessment is determined as
the difference between the effective date of the contract and the termination date of the contract14 without consideration for a margin of +/- 5 days, the second subparagraph of
Article 2 was amended.
209. Furthermore, the reference to Annex III had to be removed, considering that
such annex has been reshaped. Instead, the sub-classes currently set out in the Annex will be now spelled out to cater for the possibility that those could be ETD at any point in time. Equity derivatives
210. Article 3 of the CDR 2017/2194 defines the additional criteria for package orders
consisting exclusively of equity derivatives.
211. ESMA considered that the reference to Annex III had to be removed, since such
annex was reshaped. Instead, the sub-classes currently set out in the Annex will be now
spelled out.
Credit derivatives
212. Article 4 of the CDR 2017/2194 defines the additional criteria for package orders
consisting exclusively of credit derivatives.
213. ESMA considered that the reference to Annex III had to be removed since such
annex was reshaped. Instead, it should be replaced by the definition of index CDSs as
per the annex. In other words, point (b) should now read as follows: “all components of the package order are index credit default swaps defined as swaps 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”. Commodity derivatives
214. Article 5 of the CDR 2017/2194 defines the additional criteria for package orders
consisting exclusively of commodity derivatives.
215. ESMA considered that the reference to Annex III had to be removed as such
annex was reshaped. Instead, it should point (b) should now read as follows: “all
components of the package order are commodity derivative futures with underlying agricultural, energy or metal commodity”. 14 To distinguish between full versus broken tenor, ESMA relied on the methodology provided in Annex 5 of the DEG report. For non-IMM swaps with effective date DD1 MM1 YY1 and termination date DD2 MM2 YY2, the contract has a full year tenor if DD1 = DD2 and MM1 = MM2 and YY2 > YY1 (example: a swap with effective date 3 March 2025 and expiry date 3 March 2030 has a full year tenor of 5 years). For IMM swaps with effective date DD1 MM1 YY1 and termination date DD2 MM2 YY2, the contract has a full year tenor if DD1 is the third Wednesday of the month MM1/YY1 and DD2 is the third Wednesday of the month MM2/YY2 and MM1 = MM2 and YY2 > YY1 (example: a swap with effective date 19 March 2025 and expiry date 20 March 2030 has a full year tenor of 5 years). Full year tenors include both IMM and non-IMM swaps, provided they meet the above conditions.

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4.2 Feedback from stakeholders
216. One trade association noted and questioned the misalignment between the IRS
maturities subject to pre-trade transparency under Article 8a of MiFIR and the maturities to be included in a package order for the package order to have a liquid market as a whole.
217. One stakeholder and one trade association generally questioned the practical
relevance of pre-trade transparency requirements for package orders as it is dubious that package order strategies can be implemented in a CLOB. They consider it crucial to provide clarity on how the proposed framework would technically apply to package orders under the post-trade transparency regime.
218. One stakeholder stressed that, although ETDs on emission allowances are part
of the ETDs considered to be liquid under the liquidity determination proposals, the proposed redraft of Article 5(b) of the Package Order RTS does not cover exchange traded derivatives on emission allowances. This means that package orders in those underlying are never considered to have a liquid market as a whole, which the trading venue is supportive of.
219. The same stakeholder also notes that under the proposed drafting, package
orders consisting of two electricity or natural gas derivative components that have a liquid market may be out of scope of the package order waiver.
4.3 ESMA’s assessment and proposal
220. In relation to the comment that questioned the misalignment between the IRS
maturities subject to pre-trade transparency under Article 8a of MiFIR and the maturities to be included in a package order for the package order to have a liquid market as a whole, ESMA consider that this is not the case, as the amending RTS align the tenors.
221. Regarding derivatives on emission allowances, as they are not mentioned in
Article 5 (b), it means that they can benefit from the package waiver.
222. Finally, about the comment that package orders consisting of two electricity or
natural gas derivative components that have a liquid market may be out of scope of the package order waiver, ESMA considers that in such a case, the package can benefit from the package waiver.
223. In conclusion, ESMA confirms the proposals made in the CP without
amendments.

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5 RTS on input/output data (CDR 2025/1155)
5.1 Data to be transmitted to the OTC derivatives CTP to be
operational (input) and to be disseminated by the CTP (output)
5.1.1 Regulatory data
224. Before analysing the feedback for regulatory data, ESMA recalls that:
o regulatory data is defined in Article 2(36c) of MiFIR as data related to the status of systems matching orders in financial instruments and data related to the trading status of individual financial instruments; o in the case of the RTS on input/output data for OTC derivatives, the scope is limited to OTC derivatives as referred to in Article 8a(2) of MiFIR. Those being derivatives traded on MTFs and OTFs; o regulatory data should be provided to the CTP only by trading venues because regulatory data are not relevant for APAs: the status of systems matching orders only concerns trading venues and the status of financial instruments is understood to be the one on the trading venue.
5.1.1.1 ESMA’s initial proposals
5.1.1.1.1 Data related to the status of individual financial instruments
225. Regarding the table related to the status of financial instruments, ESMA
proposed to require the CTP to disseminate information on the status of a financial instrument with a level of granularity that includes the financial instrument, the trading venue, the type of trading system and currency.
226. ESMA proposed Table 63 (page 102 of the CP15) for the data to be sent to and
disseminated by the CTP.
227. ESMA considered that some of the information provided by regulatory data on
OTC derivatives might be of limited relevance for CTP users. However, as Level 1 is binding in specifying regulatory data also for OTC derivatives, ESMA sought to minimise the amount of information requested for regulatory data. 15 ESMA74-2134169708-7311 Consultation Paper on transparency for derivatives, package orders and input/output data for the derivatives consolidated tape

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5.1.1.1.2 Data related to the status of systems matching orders
228. One difficulty with displaying information on the status of systems matching
orders pertains to the identification of such trading system. Trading venues may be identified by a MIC, but that would be insufficiently granular because there can be several trading systems under the same MIC.
229. As a result, it was suggested to identify the trading system using a combination
of the MIC and the type of trading system, relying on the same list of trading systems as the one proposed in the field “Type of trading system” in the core market data.
230. ESMA proposed Table 64 (page 104 of the CP) for the data to be sent to and
disseminated by the CTP.
5.1.1.2 Feedback from stakeholders
231. Among the respondents expressing a view, four members agreed with ESMA
proposal. However, two of them commented that the “Type of Trading System” is only applicable to transactions executed on a trading venue. For off-venue transactions (e.g. reported with XOFF), these fields (such as field 7) are not expected to be populated. Secondly, they claimed that the 'instrument status' - which relates to suspension or removal from listing – does not seem being relevant. Finally, supported by other three stakeholders which did not express neither agreement nor disagreement, they commented that the “instrument status start date and time” and “Dissemination start date and time” are irrelevant for OTC derivatives.
232. Another stakeholder, who remained neutral, expressed uncertainty regarding
the appropriate implementation of the concept of Trading System/Type, particularly given that a trading venue may simultaneously operate multiple trading models. In practice, the same instrument can be subject to several trading modes at once, depending on the applicable market models. Additionally, the same instrument may be traded in different currencies. Therefore, it was suggested that the requested information should refer to “trading modes” or “trading phases” rather than “trading systems”, and that currency information should also be considered an important element. Similarly, another stakeholder highlighted that most MTFs and OTFs operate several different trading models within each segment, as a result the “HYBR - Hybrid System” or “VOIC - Voice trading system” will be the likely answer and usually interchangeable. Consequently, it was considered that this field does not provide substantial informational value or meet current efficacy and reporting requirements.
233. The first stakeholder also recommended against requesting information on
outages via trading venue data feeds, while the second suggested that this table is either non-mandatory or adopts a Boolean approach to consider the relevance and appropriateness of the fields for different asset and sub-asset classes.
234. Finally, one stakeholder expressed disagreement with the use of modified ISIN
and advocated for the use of the UPI+.

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5.1.1.3 ESMA’s assessment and proposal
235. With regards to the comments referring to fields which are not suitable for OTC
derivatives, it is first reiterated that ESMA has already considered that some of the information provided by regulatory data on OTC derivatives might be of limited relevance for CTP users. However, Level 1 is binding in specifying regulatory data also for OTC derivatives. Secondly, it is recalled that the definition of OTC derivatives has changed in MiFIR and these derivatives now correspond to instruments traded on MTFs and OTFs, rather than to purely OTC derivatives.
236. In relation to the use of the currency, it is highlighted that regulatory data at the
instrument level already includes such information. Regarding the use of the trading system field, ESMA acknowledged in the CP that it might not have been sufficiently granular. However, no alternative was provided.
237. Finally, with regard to the use of the modified ISIN vs. UPI+, please refer to
Section 3.3.1.1.
238. In conclusion, ESMA confirms the tables for regulatory data proposed in the CP
as per below, with the exception of the instrument identification code now aligned with post-trade transparency as per Section 3.3.1.1.
Table 20 – Regulatory data: Data related to the status of individual financial instruments

Field identifier Description
Format
Equivalent formats can be used, depending on the syntax used for data transmission Input /Output data field Instrument identificati on code Code used to identify the financial instrument The identification of the instrument shall be done in accordance with Commission Delegated Regulation (EU) 2025/1003 {ISIN} Both 2 Instrument status Date and time from which the instrument status is valid. {DATE_TIME_ FORMAT} Both

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Field identifier Description
Format
Equivalent formats can be used, depending on the syntax used for data transmission Input /Output data field start date and time The level of granularity shall be in accordance with the requirements set out in Article 20 of this Regulation. 3 Currency Major currency in which the instrument is traded {CURRENCY CODE_3} Both Dissemina tion date and time Date and time when the instrument status is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in
Article 23 of this Regulation.
{DATE_TIME_
FORMAT}
Output
Instrument status
Description of the status of the financial instrument.
The status of the financial instrument can be:
(1) suspended from trading, on the trading venue identified in the field “Trading venue”, in accordance with Articles 32 and 52 of Directive 2014/65/EU (2) removed from trading, on the trading venue identified in the field “Trading venue”, in accordance with Articles 32 and 52 of Directive 2014/65/EU (3) subject to a trading halt, on the trading venue identified in the field “Trading venue”, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU (4) available for trading after a suspension, removal or halt. ‘SUSP’ – the instrument is suspended ‘REMV’ – the instrument is removed ‘HALT’ – the instrument is subject to a trading halt ‘ACTV’ - the instrument is available for trading after a suspension, removal or halt Both Trading venue Identification of the trading venue on which the instrument status is valid (segment MIC, where available, otherwise operating MIC). {MIC} Both

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Field identifier Description
Format
Equivalent formats can be used, depending on the syntax used for data transmission Input /Output data field The trading venue is an MTF or an OTF. Trading system Type of trading system on which the instrument is traded ‘CLOB’ - Central Limit Order Book ‘QDTS’ - Quote Driven Market ‘PATS’ - Periodic Auction ‘RFQT’ Request for Quotes ‘VOIC’ - Voice trading system ‘HYBR’ - Hybrid System ‘OTHR’ - Any Other Both
Table 21 - Regulatory data: Data related to the status of systems matching orders

Field

identifie r
Description Format
Equivalent formats can be used, depending on the syntax used for data transmission Input /Output data field

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Trading venue
Identification of the trading venue on which the system status is valid (segment MIC, where available, otherwise operating MIC). The trading venue is an MTF or an OTF. {MIC} Both Trading system Type of trading system on which the system status is provided ‘CLOB’ - Central Limit Order Book ‘QDTS’ - Quote Driven Market ‘PATS’ - Periodic Auction ‘RFQT’ Request for Quotes ‘VOIC’ - Voice trading system ‘HYBR’ - Hybrid System ‘OTHR’ - Other Both System status start date and time Date and time from which the system status is valid The level of granularity shall be in accordance with the requirements set out in Article 20 of this Regulation. {DATE_TIME_ FORMAT} Both Dissemi nation date and time Date and time when the system status is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 23 of this Regulation. {DATE_TIME_ FORMAT} Output Trading system status Status of the trading system on which the instrument is traded ‘ACTV’ – Active System ‘OTAG’ - Outage of the trading system ‘POTG’ - Partial outage Both

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5.1.2 Core market data
5.1.2.1 ESMA’s initial proposals
239. ESMA compared the core market data that CTPs shall receive and disseminate
with the post-trade transparency fields defined in RTS 2 to identify gaps and overlaps. The outcome of such comparison was that a limited number of fields need to be defined anew.
240. As a result of the gap analysis between RTS 2 and of the definition of “core
market data”, ESMA proposed table 65 (page 109 of the CP16), as relevant for the operation of the CTP. The table provided a comprehensive list of all necessary fields, including a column specifying whether a reference to RTS 2 exists and indicating whether each field applies to input data, output data, or both.
5.1.2.2 Feedback from stakeholders
241. One stakeholder agreed with the table without further comments. Other
stakeholders instead, were neutral and made few targeted comments.
242. More specifically, three stakeholders provided remarks on the # 23 “suspicious
data flag”. They all agree that such field requires further clarifications, particularly regarding how the 'data quality flag' should be treated when it is later verified that the record was valid and accurate, and concerning the timing of its dissemination. A fourth stakeholder instead indicated that records with poor data quality should not be displayed regardless of having a separate flag attached, as it could potentially have a negative impact for the market since there is a risk that the flag is not recognised.
243. Three stakeholders expressed the view that the upfront payment should not be
reported for credit default swaps, as it is not meaningful for price formation, and it is possible to reverse-engineer the notional if it is included along with data relevant to price formation.
244. Two stakeholders stated that the ‘expiration date’ does not need to be populated
for CDSs as this information will be embedded in the ISIN and it would be better to have one golden source of this information to avoid increasing risk of data inaccuracies.
245. One stakeholder suggested the introduction of a ‘quality indicator’ on the output
from CTP, to allow a CTP to publish potentially erroneous trades and clearly identify them. 16 ESMA74-2134169708-7311 Consultation Paper on transparency for derivatives, package orders and input/output data for the derivatives consolidated tape

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246. One stakeholder agreed in principle with the proposed core market data fields
for OTC derivatives. However, they strongly opposed the introduction of new identifiers such as the Transaction Identification Code (TIC). The stakeholder stated that these fields introduce significant operational complexity and cost and, their introduction undermines the objective of simplification and burden reduction of regulatory reporting. Rather than creating EU-specific codes such as the TIC (or INTC), which would further fragment the system and discourage international interoperability, the use of existing global identifiers like the UTI was supported.
247. Finally, one stakeholder felt that the level of data granularity required is not
appropriate for OTC markets, such as derivatives. Furthermore, the stakeholder commented that latency of the CTP itself is a not a material factor and the OTC derivatives CTP should be required to process trades in minutes, or seconds, rather than milliseconds.
5.1.2.3 ESMA’s assessment and proposal
248. With regard to field # 23 “suspicious data flag” ESMA agrees that further
guidance is necessary, and it will be tackled in Level 3. However, this should not prevent the inclusion of this field which is also available for the equity and bonds CTPs.
249. In relation to the upfront payment, ESMA has removed this field from the fields
of the post-trade transparency reports (see Section 3.3.1.4). Therefore, it should not be included among the set of CTP core market data. The same reasoning applies for the spread, whose inclusion was not supported in relation to the fields of post-trade transparency. Therefore, it is also excluded from the CTP core market data.
250. The field ‘expiration date’ is included in the set of core market data, to align with
the post-trade transparency reports as explained in Section 3.3.1.2. Furthermore, in line with the comment received, this field is applicable only for interest rate derivatives and not for CDS.

1. Last but not least, in response to the stakeholder who strongly opposed with the
   introduction of new identifiers such as the Transaction Identification Code (TIC), it is reminded that this field was already in place in the context of the post-trade transparency reports for non-equity instruments. Therefore, this is not a new introduction coming from this review.
2. As a result, ESMA proposes the following core market data fields. The modifications
   with respect to the CP are highlighted in red.
   Table 22 - Core market data fields

Field identifier
Description and details to be published
Type of executio n or
Format to be populated as defined in Table
Input
/Output

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Equivalent formats can be used, depending on the syntax used for data transmission data field Trading date and time Field 1 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Instrument identification code Field 2 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both 3 Effective date Field 2a of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Expiration date Field 2b of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both 5 Price Field 3 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Up-front payment amount Field 3a of Table 2 of Annex II of Commission Delegated Regulation (EU) XXXX/XXX [RTS 2 for derivatives]. Both 7 Spread Field 3b of Table 2 of Annex II of Commission Delegated Regulation (EU) XXXX/XXX [RTS 2 for derivatives]. Both 8 6 Missing Price Field 4 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583 Both 9 7 Price currency Field 5 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Price notation Field 6 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both

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Quantity
Field 7 of Table 2 of Annex II of
Commission Delegated Regulation
(EU) 2017/583.
Both
Notional amount
Field 10 of Table 2 of Annex II of
Commission Delegated Regulation
(EU) 2017/583.
Both
Notional currency
Field 11 of Table 2 of Annex II of
Commission Delegated Regulation
(EU) 2017/583.
Both
Venue of execution
Field 13 of Table 2 of Annex II of
Commission Delegated Regulation
(EU) 2017/583.
Both
Third-country trading venue of execution
Field 14 of Table 2 of Annex II of
Commission Delegated Regulation
(EU) 2017/583.
Both
Date and
Time when the data contributor received the data Date and time when the transaction report was received by an APA. The level of granularity shall be in accordance with the requirements set out in Article 24 of this Regulation. APA {DATE_TIME_ FORMAT} Input Date and Time when the data contributor published the transaction Field 15 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Venue of publication Field 16 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Transaction Identification Code Field 17 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Date and Time of reception by the CTP Date and time when the transaction was received by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 23 of this Regulation. CTP {DATE_TIME_ FORMAT} Output

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Date and
Time of publication by the CTP
Date and time when the transaction was published by the CTP.
The level of granularity shall be in accordance with the requirements set out in Article 23 of this Regulation. CTP {DATE_TIME_ FORMAT} Output 20 Flags Field 19 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Suspicious Data Flag Data quality flag to be populated by the CTP when the APA or the CTP have identified trades that, in their view, might be subject to data quality issues. CTP TRUE or FALSE Output Trading System Type Field 20 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both

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5.2 Clarification on the treatment of ETC/ETN for the bonds and
equity CTPs
3. In December 2024, ESMA published the draft RTS17 on input and output data applicable
to both the bond and equity CTP, which was subsequently adopted by the European Commission in June 202518 and published in the Official Journal in November 202519 . During the preparation phase for the implementation of the CTP framework, ESMA received several queries from market stakeholders concerning the treatment of exchange-traded commodities (ETCs) and exchange-traded notes (ETNs) and, in particular, whether these instruments should fall under the perimeter of the equity CTP or the bond CTP.
4. As set out in RTS 2, ETCs and ETNs are legally classified as bonds for the purposes of
the transparency regime. However, despite this legal qualification, their trading behaviour is more closely aligned with that of exchange traded funds (ETFs). As a result, they should not be covered by the bond CTP.
5. To ensure legal clarity and a coherent delineation of scope between CTPs, ESMA has
taken the opportunity, in the context of the amendment of the RTS on input and output data, to explicitly clarify this point. This is achieved through the introduction of a dedicated recital and by amending Article 5, paragraph 1 by the following: ‘With regard to core market data for a given bond, except for exchange traded commodities and exchange traded notes, data contributors shall transmit to the data centre of the CTP, by reference to each transaction, the details set out in Table 6 of Annex II that are flagged as “input” or “both” in the last column of Table 6.” 17 ESMA74-2134169708-7768_-MiFIR_review-_Final_Report_on_CTPs_and_DRSPs.pdf 18 Markets in Financial Instruments Regulation - Finance - European Commission 19 Commission Delegated Regulation (EU) 2025/1155 of 12 June 2025 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards specifying the input and output data of consolidated tapes, the synchronisation of business clocks and the revenue redistribution by the consolidated tape provider for shares and ETFs, and repealing Commission Delegated Regulation (EU) 2017/574

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6 Annexes
6.1 Annex I - Cost-benefit analysis
6.1.1 Cost-benefit analysis for RTS 2
Pre-trade transparency
Policy
Objective
Specify the waiver regime – Large in scale waiver and illiquid waiver from pre-trade transparency regime Option 1 Maintain the current approach to the waiver regime, entailing a quantitative approach requiring periodic assessments for large in scale thresholds and liquidity determination. Option 2 New approach to the waiver regime by setting out a static determination of large in scale threshold and liquidity assessment. Preferred Option Option 2 was chosen because it improves the effectiveness and predictability of the regime. By setting static thresholds rather than periodic assessment simplifies the regime for both regulators and stakeholders and reduces reporting burden of firms. Option 1 Maintain the current approach to the waiver regime Qualitative description Benefits Under this approach, the liquidity determination and pre-trade thresholds calculation are performed periodically at a granular level, which ensures that market evolutions of liquidity are taken into consideration. Costs to regulator High running costs of IT systems. Compliance costs This option does not add costs on top of those mandated already in RTS 2. Firms would continue to incur in significant costs to ensure data is submitted to ESMA on time and with the expected data quality standards. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect Option 1 is the status quo hence it does not impose additional requirements on market participants.

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Option 2 Set out static determination of liquidity and large in scale thresholds Qualitative description Benefits This approach offers a high-level simplicity for the waiver regime. It ensures that the large in scale and illiquid waiver are applied in a predictable manner without any dependencies on data collection, data quality and publication of calculation results. In addition to proving a simpler and more effective regime, it also considerably reduces costs for both regulators and stakeholders. Costs to regulator None identified Compliance costs There is a one-off cost to set out the new thresholds, but no running costs are expected to be incurred by firms. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect Option 2 is simpler and reduces costs for regulators and market participants compared to the current regime. Post-trade fields and flags (Annex II of RTS 2) Policy Objective Ensure that the post-trade information published by trading venues and APAs is consistent, harmonised and informative for end users Option 1 Maintain the current fields as defined in Annex II Option 2 Introduce changes to the following fields:

• Field deleted: transaction to be cleared
• Fields added: effective date, expiry date
• Field amended: identifier for OTC derivatives
  Introduce changes to the following flags:
• Flags added/removed in consequence of the change in the
  deferral and supplementary deferral regime
  Preferred
  Option
  Option 2 was chosen because it improves data quality through harmonized field content and format. It further ensures consistency across reporting regimes (CTP) by aligning fields with those reported to

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Option 1 Perform the assessment at asset-class level (equity, interest rate, commodity, FX, credit and other) Qualitative description Benefits Option 1 is the simplest approach. It considers that the liquidity of a derivatives can be derived from its underlying asset. Indeed, the liquidity of instruments varies significantly based on the asset class as evidenced in the data analysis provided in the CP. Under Option 1, there are only six groups (one for each asset class) hence less parameters to be set for the trade size thresholds. Costs to regulator None identified Compliance costs This cost is expected to be minimal as the asset class type is a very basic instrument characteristic. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect Option 1 is the least granular and simplest option to achieve the policy objective. Option 2 Group derivatives in accordance with the asset class and other characteristics. The additional characteristics are specific to each underlying asset class. The liquidity determination is then assessed at this more granular level. Qualitative description Benefits Option 2 is more sophisticated. Within each asset-class, the relevant characteristics are identified to ensure consistency in the liquidity profiles of instruments pertaining to the same group. Overall, adopting those more granular grouping allows for a better distinction between liquid and less liquid instruments and a more fine￾tuned calibration of the transparency regime. Costs to regulator One-off: a higher number of parameters to be set for the trade size thresholds compared to Option 1. Compliance costs This cost is higher than under Option 2. The costs should however remain limited as the information necessary to determine whether an instrument is liquid are basic reference data elements which trading venues can easily retrieve from their systems. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS

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Proportionality related aspect
Although that option is more complex than Option 1, it is considered proportionate in light of the level of sophistication of the concerned market participants (trading venues). Trade sizes for the deferral regime Policy Objective Design a methodology to determine the trade sizes above which trading venues may defer the publication of the transaction details, in accordance with the five categories established in Article 11a of MiFIR. Option 1 Using the same granularity as for the liquidity determination, set the medium, large and very large sizes such that the overall transparency level is close to the current one. For simplification purposes, adopt a unique threshold for illiquid instruments. Option 2 Adopt a more granular determination based on the average daily notional amount (ADNA) of the respective derivatives class. Preferred Option Option 1, except for equity derivatives where Option 2 is preferred. Option 1 Same granularity as for the liquidity determination Qualitative description Benefits This approach is simple and achieves a level of post-trade transparency which is comparable to the one currently in place. It also provides for some flexibility to trading venues which may impose higher thresholds for certain instruments where relevant. Costs to regulator None identified Compliance costs This option does not add costs on top of those mandated by the changes to the post-trade transparency framework imposed by the revision of MiFIR. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect Option 1 does not add complexity compared to the current regime. It merely reflects the changes which are introduced at Level 1 hence for which the proportionality aspects cannot be assessed. Option 2 Use different size thresholds based on ADNA

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Qualitative description
Benefits This approach offers a higher level of flexibility to fine-tune the calibration of trade-size thresholds. Under each derivatives class, instruments are further split based on their ADNA. Instruments pertaining to lower ADNA bands benefit from lower post-trade size thresholds, to consider their lower level of liquidity. Despite the higher complexity compared to Option 1, Option 2 is considered well-suited for equity derivatives, where liquidity may vary significantly within a class. Costs to regulator None identified Compliance costs The one-off costs under this Option are expected to be higher compared to Option 1 because the resulting table defining trade size thresholds for each category is more complex. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect Although that option is more complex than Option 1, it is considered proportionate in light of the level of sophistication of the concerned market participants (trading venues). Deferral duration Policy Objective Define the appropriate periods during which trading venues and investment firms may defer the publication of the transaction details, in accordance with the five maximum deferral periods set in Article 11a of MiFIR Option 1 Set the same deferral periods for all instruments Option 2 Set shorter deferral periods for liquid instruments compared to illiquid instruments Preferred Option Option 2. Option 1 is the status-quo hence cost/benefits are not analysed. Option 2 Set shorter deferral periods for liquid instruments compared to illiquid instruments Qualitative description Benefits Adopt shorter deferral periods for liquid instruments results in publishing post-trade transparency reports quicker than under the

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ESMA74-276584410-10987 current regime (T+2), which brings benefits in terms of overall transparency. Deferrals should be used by market participants to allow them time to hedge their positions, rather than to fully trade out of their positions. In this context, the proposed deferral durations for liquid instruments (end of day for medium size, T+1 for large size and T+2 for very large size) appear appropriate, while the existing deferral duration of T+2 is maintained for illiquid instruments. Costs to regulator None identified Compliance costs As the post-trade deferral regime changes with the MiFIR review, counterparties need to adapt their IT system to ensure that they comply with the new regime. However, the use of Option 2 (shorter deferral periods) would not add more compliance costs compared to Option 1 (status quo) because it merely requires the use of different parameters in the systems. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect This option reflects changes introduced at Level 1 hence for which the proportionality aspects cannot be assessed. There is no major difference between the two options in terms of proportionality. Post-trade transparency for OTC derivatives Liquidity determination for OTC derivatives Policy Objective Design a methodology to determine the OTC derivatives that have a liquid market in accordance with the definition of liquid market set in Article 2(17) of MiFIR Option 1 Maintain the current approach i.e. a yearly determination of liquidity based on data periodically reported to ESMA Option 2 New approach based on a static determination of liquidity Preferred Option Option 2. The static approach simplifies processes by eliminating the need for ESMA to perform annual liquidity determinations and for trading venues and APAs to submit data, while also removing the need for database maintenance. Additionally, it provides stability as liquidity determinations remain constant, reducing the need for counterparties to periodically check the outcome of the transparency calculations. Option 1 is the status-quo hence cost/benefits are not analysed.

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Option 2 New approach based on a static determination of liquidity Qualitative description Benefits Simplicity: the static approach removes the obligation for ESMA to perform the yearly determination of liquidity. Trading venues and APAs are no longer required to submit transparency quantitative data to ESMA. ESMA no longer needs to maintain the database and to implement the associated data quality framework. Stability: the liquidity determination does not change over time. Counterparties no longer need to retrieve periodically the outcome of the transparency calculations. Consistency: the same static approach was adopted for the liquidity determination of bonds, SFPs and emission allowances. Costs to regulator As a one-off cost, ESMA needs to adapt its IT system by discontinuing the reporting to its transparency system. No on-going IT costs. Compliance costs As a one-off cost, counterparties need to adapt their system to ensure that the liquidity determination is derived directly from the RTS 2 rather than from ESMA periodic publications of the transparency calculations. As a one-off cost, trading venues and APA need to discontinue the reporting of transparency data to ESMA. No on-going IT cost. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect Option 2 is simpler and reduces on-going costs for regulators and market participants compared to the current regime. The various options considered to determine liquid classes of OTC derivatives have been detailed in the consultation paper (ESMA74-2134169708-7311) and supported by a data analysis. For additional information, please refer to the following sections of the CP: Section
3.4.3.4.1. for interest rate derivatives, Section 3.4.3.4.2.1. for single name CDSs and Section
3.4.3.4.2.2. for index CDSs.
Trade sizes for the deferral regime for OTC derivatives OTC interest rate derivatives Policy Objective Design a methodology to determine the trade sizes above which trading venues and investment firms may defer the publication of the transaction details, in accordance with the five categories established in Article 11a of MiFIR. Option 1 Use the same granularity to set the size threshold as the one used for the liquidity determination (type and reference index)

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Option 2 Use a higher granularity to set the size thresholds: type, reference index and tenor. At that level, the calibration is performed using trade size distribution, based on trade count: medium size = 80th percentile and large/very large size = 90th percentile. Preferred Option Option 2. This approach allows for a precise calibration of trade-size thresholds, ensuring that the significant differences in the trade sizes of swaps of different tenors are accounted for, leading to more effective and balanced transparency regime. Option 1 Use the same granularity to set the size threshold as the one used for the liquidity determination (type and reference index) Qualitative description Benefits Option 1 is the simplest approach. Under Option 1, there are only six groups (one for each combination of contract type and underlying index) which reduces significantly the number of parameters to be set for the trade size thresholds, compared to Option 2. Costs to regulator None identified Compliance costs Compliance costs are expected to be minimal as the reference data underpinning that option are very basic. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect Option 1 is simple and entails minimale compliance costs for regulators and market participants Option 2 Use a higher granularity to the set the size thresholds: type, reference index and tenor. Qualitative description Benefits The analysis performed in the CP evidenced significant differences in the trade size distributions based on tenors, where the trade size typically decreases as the tenor increases. As an illustration, the median trade size of fixed-to-float IRS on Euribor is close to EUR 500Mn for 1Y tenor, versus around 50Mn for 30Y tenor. Under Option 2, that feature is fully reflected by setting decreasing size-thresholds as contract tenor increases. This overall leads to a better calibration of the post-trade transparency regime and hence more optimal level of transparency.

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Costs to regulator None identified
Compliance costs Compliance costs are expected to be higher than under Option 1 because of the higher number of parameters (one for each combination of type, reference index and tenor) Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect Although that option is more complex than Option 1, it is considered proportionate in light of the level of sophistication of the concerned market participants (investment firms and trading venues). OTC single name CDSs Policy Objective Design a methodology to determine the trade sizes above which trading venues and investment firms may defer the publication of the transaction details, in accordance with the five categories established in Article 11a of MiFIR. Option 1 Use the same granularity to set the size threshold as the one used for the liquidity determination (two groups, liquid and illiquid) Option 2 Use a higher granularity to the set the size thresholds: within the liquid and the illiquid group, further distinguish between contracts with an ADV above and below EUR 3Mn (four groups) Preferred Option Option 1. This approach is simpler and reduces the compliance costs by removing an obligation to calculate the ADV. Option 1 Use the same granularity to set the size threshold as the one used for the liquidity determination (two groups, liquid and illiquid) Qualitative description Benefits Option 1 is the simplest approach. Under Option 1, there are only two groups which reduces the number of parameters to be set for the trade size thresholds, compared to Option 2. Costs to regulator None identified Compliance costs Compliance costs are expected to be minimal as the reference data underpinning that option are very basic. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS

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ESG-related aspects
ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect Option 1 is simple and entails minimale compliance costs for regulators and market participants. Option 2 Use a higher granularity to the set the size thresholds: further distinguish between contracts with an ADV above and below 3Mn (four groups) Qualitative description Benefits The DEG report recommends distinguishing between contracts with an ADV above and below EUR 3mn for a better calibration of the post￾trade transparency regime. Costs to regulator None identified Compliance costs Compliance costs are expected to be higher than under Option 1 because of (1) the higher number of parameters (four groups hence four sets of parameters); (2) the obligation to calculate the ADV of each contract to determine the correct parameters to be used. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect Option 2 introduces unnecessary complexity, especially due to the requirement for counterparties to calculate the ADV for each contract. Such burden seems disproportionate given the intended goal. OTC index CDSs Policy Objective Design a methodology to determine the trade sizes above which trading venues and investment firms may defer the publication of the transaction details, in accordance with the five categories established in Article 11a of MiFIR. Option 1 Use the same size thresholds for all index CDSs Option 2 Use different size thresholds based on the same characteristics as those used for the liquidity determination (underlying index, tenor, on-the-run versus off-the-run) Preferred Option Option 2. This approach allows for a precise calibration of trade-size thresholds, ensuring that the differences in the trade size distributions of index CDSs based on different indices are accounted for, leading to more effective and balanced transparency regime.

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Option 1 Use the same size thresholds for all index CDSs Qualitative description Benefits Option 1 is the simplest approach. All index CDSs are treated in the same way hence there is only one set of parameters to be set for the trade size thresholds. Costs to regulator None identified Compliance costs Compliance costs are expected to be minimal as the reference data underpinning that option are very basic. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS Proportionality related aspect Option 1 is simple and implements the changes introduced at Level 1 in the most straightforward manner. Option 2 Use different size thresholds based on the same characteristics as those used for the liquidity determination (underlying index, tenor, on-the-run versus off-the-run) Qualitative description Benefits The analysis performed in the CP evidenced differences in the trade size distributions based on the underlying index: CDSs referencing iTraxx Europe Main and iTraxx Europe Senior Financials tend to trade in larger sizes compared to CDSs referencing iTraxx Crossover and iTraxx Europe Subordinate Financials. Under Option 2, that feature is fully reflected by setting higher size￾thresholds on CDSs referencing the first two indices. This overall leads to a better calibration of the post-trade transparency regime and hence more optimal level of transparency. Costs to regulator None identified Compliance costs Compliance costs are expected to be higher than under Option 1 because of the higher level of granularity hence the higher number of parameters. Innovation-related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed RTS. ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS. Proportionality related aspect Although that option is more complex than Option 1, it is considered proportionate in light of the level of sophistication of the concerned market participants (investment firms and trading venues).

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6.1.2 Cost-benefit analysis for Package Order RTS
Policy
Objective
Define the package orders for which there is a liquid market as a whole Option 1 Maintain the status quo with few amendments to align the new scope of instruments subject to post-trade transparency. Preferred Option Option 1. Option 1 Maintain the status quo Qualitative description Benefits The draft RTS provides clarity, legal certainty and predictability as to package orders that have a liquid market as a whole. It sets out uniform applicable conditions under which CAs will not be able to waive pre-trade transparency obligations in relation to package orders, thereby contributing to a level playing field across EU for trading venues and market participants. Costs to regulator No additional costs identified Compliance costs No additional costs identified. Innovation￾related aspects Innovation-related aspects are not of direct relevance to the specific nature of the proposed amendments to the RTS on package orders. ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS on input/output data Proportionality related aspect The proposed measures do not go beyond to what is needed to align the RTS to the new scope of transparency. Therefore, there should be no risk related to investor protection, orderly market or financial stability.

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6.1.3 Cost-benefit analysis for RTS on input / output data (CDR 2025/1155)
Policy
Objective
Ensure that the data provided to and disseminated by the derivative CTP is clear and comprehensive, while avoiding unnecessary reporting burden. The ultimate goal is to improve data quality and data aggregation as well as ensure that investors have access to the information they need to stay informed. Option 1 For the core market data specify input and output data fields that are not covered in RTS 2. For data fields already specified in these RTS, provide a cross-reference to the relevant RTS. Additionally, specify data fields related to the new concept “regulatory data” which is introduced by the MiFIR review. Preferred Option Option 1. Option 1 Set the minimum level of data requirements as per Level 1 Qualitative description Benefits Data contributors: clear and standardised requirements of data submission. CTPs: higher quality under a profitable model. CT users:

• Ensures that the data provided is relevant and useful, enhancing
  market transparency and decision-making.
  General:
• Ensures that market participants comply with regulatory
  requirements.
• Adoption of standardized data formats and protocols can
  streamline operations and reduce complexity.
• Efficient data processing and distribution can lead to cost savings
  for all stakeholders.
  Costs to regulator New supervisory costs will be borne by regulators of data contributors, for the CTP they will be borne by ESMA. Compliance costs Data contributors / CTPs:
• Costs associated with the initial setup of systems and infrastructure
  to comply with data requirements.
• Continuous costs related to maintaining and updating systems to
  handle data requirements.
• Costs associated with managing and processing large volumes of
  data.
  CT users:

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• If the RTS require more than the essential data, the additional costs
  incurred by the CTP and data contributors are likely to be passed on to the end users. This could result in higher expenses for users, impacting the overall affordability and accessibility of market data. Innovation-related aspects The CTP is a new entity and all operations have to be set-up from the outset based on Level 1 and Level 2 requirements. In this case, the framework derives from the Level 1 mandate. Therefore, innovation related aspects are not of direct relevance to the specific nature of the proposed RTS on the input/output data RTS. ESG-related aspects ESG-related aspects are not of direct relevance to the specific nature of the proposed RTS on input/output data Proportionality related aspect The defined fields should be the minimum required for a successfully operational CTP. Therefore, the proposed measures do not go beyond to what is needed to address an investor protection, orderly market or financial stability risk.

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6.2 Annex III - Draft technical standards
6.2.1 Draft technical standards on the amendment of RTS 2 - transparency
requirements in respect of derivatives
COMMISSION DELEGATED REGULATION (EU) .../... of [ ] amending the regulatory technical standards laid down in Delegated Regulations (EU) 2017/583 as regards transparency requirements for trading venues and investment firms in respect of derivatives (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 648/201220, and in particular Article 1(8), Article 9(5), Article 11a(3), and
Article 21(5), thereof,
Whereas:
(1) The review of Regulation (EU) No 600/2014 of the European Parliament and of the Council introduced new provisions aimed at enhancing trade transparency, improving availability and quality of market data, thereby fostering a more transparent and efficient financial market within the Union. The review introduced new requirements for pre- and post-trade transparency in non-equity instruments for trading venues and investment firms. (2) Amendments to pre-trade transparency waivers were introduced in Regulation (EU) No 600/2014. In particular, a static determination of liquidity for derivative instruments was introduced aiming at achieving a more stable transparency regime which should apply to the illiquid waiver for derivatives. A static determination of liquidity should also be introduced to the large in scale waiver. 20 OJ L 173, 12.6.2014, p. 84.

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(3) The new deferral regime aims at ensuring an appropriate level of transparency and protection, so it does not expose liquidity providers to undue risk. To ensure that the regime is simple and, at the same time, appropriately calibrated, it is appropriate to define derivatives in accordance with the contract type, type of underlying, and time to maturity. For commodity derivatives, contracts are defined in accordance with additional contract characteristics to reflect the heterogeneity of this market, for example the load type and the delivery location of energy derivatives. The liquidity assessment should be applicable not only to the deferral regime, but also to the liquidity waiver. (4) In addition, this Regulation should specify the sizes of either liquid or illiquid derivatives for which a deferral may be applied and the duration of such deferral. The quantitative assessment performed was based on trade data and took into account the contract type, type of underlying, and time to maturity of the derivative contract to introduce a simple and effective regime. The sizes defined in this Regulation, above which transactions can benefit from a deferred publication, are minimum values. Market operators and investment firms operating a trading venue may therefore choose adopting higher thresholds as appropriate. (5) One of the primary European System of Central Banks (ESCB) responsibilities under the Treaty on the Functioning of the European Union and the Statute of the ESCB and ECB and under equivalent national provisions for members of the ESCB in Member States whose currency is not the euro, is the performance of foreign exchange policy, which entails holding and managing foreign reserves to ensure that, whenever necessary, there is a sufficient amount of liquid resources available for its foreign exchange policy operations. The application of transparency requirements to foreign reserve management operations may result in unintended signals to the market, which could interfere with the foreign exchange policy of the Eurosystem and of members of the ESCB in Member States whose currency is not the euro. Similar considerations may also apply to foreign reserve management operations in the performance of monetary and financial stability policy on a case￾by-case basis. (6) 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.

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(7) The temporary suspension of transparency obligations should only be imposed in exceptional situations which represent a significant decline in liquidity across a class of financial instruments based on objective and measurable factors. It is necessary to differentiate between classes initially determined as having or not having a liquid market as a further significant decline in relative terms in a class already determined as illiquid is likely to occur more easily. Therefore, a suspension of transparency requirements in instruments determined as not having a liquid market should be imposed only if a decline by a higher relative threshold has occurred. (8) Delegated Regulation (EU) 2017/583 should therefore be amended accordingly. (9) To provide market participants with sufficient time to prepare for the new requirements, while ensuring the timely establishment of the derivative consolidated tape, the date of application of the amendments to Delegated Regulation (EU) 2017/583 set out in this Regulation should be deferred. (10) This Regulation is based on the draft regulatory technical standards submitted by ESMA to the Commission. (11) ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council. (12) ESMA has considered the advice of the expert stakeholder group on equity and non-equity market data quality and transmission protocols in accordance with
Article 22b(3)(b) of Regulation (EU) No 600/2014 of the European Parliament and
of the Council,
HAS ADOPTED THIS REGULATION:

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Article 1
Amendments to Delegated Regulation (EU) 2017/583 Delegated Regulation (EU) 2017/583 is amended as follows:
(1) Article 1a is deleted.
(2) Article 3 is replaced by the following:
‘Article 3
Orders which are large in scale for derivatives (Article 9(1)(a) of Regulation (EU) No 600/2014)

1. For determining whether, for exchange traded derivatives, an order is large in
   scale compared with normal market size where, at the point of entry of the order or following any amendment to the order, it is equal to or larger than the minimum size of order, the following should apply:
   (a) for equity derivatives as specified in Table 4.1 of Annex III. (b) for interest rate derivatives as specified in Table 4.2 of Annex III. (c) for commodity and emission allowance derivatives as specified in Table 4.3 of
   Annex III.
   (d) for credit derivatives as specified in Table 4.4 of Annex III. (e) for foreign exchange derivatives as specified in Table 4.5 of Annex III. (f) for securitised derivatives as specified in Table 4.6 of Annex III. (g) For other derivatives as specified in Table 4.7 of Annex III.
2. For determining whether, for OTC derivatives, an order is large in scale
   compared with normal market size where, at the point of entry of the order or following any amendment to the order, it is equal to or larger than the minimum size of order, the following should apply:
   (a) for OTC derivatives as specified in Article 8a(2)(a) of Regulation 600/2014 as defined in Table 5.1 and 5.2 of Annex III. (b) for OTC derivatives as specified in Article 8a(2)(b) of Regulation 600/2014 as defined in Table 5.3 of Annex III. (c) for OTC derivatives as specified in Article 8a(2)(c) of Regulation 600/2014 as defined in Tables 5.4 of Annex III.’.

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(3) Article 6 is replaced by the following:
‘Article 6
The classes of exchange traded derivatives and OTC derivatives for which there is a liquid market (Article 9(1)(c) of Regulation (EU) No 600/2014)

1. For determining whether an exchange traded derivative shall be considered to
   have a liquid market, the following static determination should apply:
   (a) for equity derivatives as specified in Table 4.1 of Annex III. (b) for interest rate derivatives as specified in Table 4.2 of Annex III. (c) for commodity and emission allowance derivatives as specified in Table
   4.3 of Annex III.
   (d) for credit derivatives as specified in Table 4.4 of Annex III. (e) for foreign exchange derivatives as specified in Table 4.5 of Annex III. (f) for securitised derivatives as specified in Table 4.6 of Annex III. (g) for other derivatives as specified in Table 4.7 of Annex III.
2. For determining whether an OTC derivative shall be considered to have a liquid
   market, the following static determination should apply:
   (a) for OTC derivatives as referred to in Article 8a(2)(a) of Regulation 600/2014 as specified in Table 5.1 and 5.2 of Annex III. (b) for OTC derivatives as defined in Article 8a(2)(b) of Regulation 600/2014 as specified in Table 5.3 of Annex III. (c) for OTC derivatives as defined in Article 8a(2)(c) of Regulation 600/2014 as specified in Tables 5.4 of Annex III.’. (4) Article 8 is replaced by the following:
   ‘Article 8
   Deferred publication of transactions for derivatives (Article 11a(1) and (3) of Regulation (EU) No 600/2014)
3. Market operators operating a regulated market may defer the publication
   of the details of transactions in respect of exchange traded derivatives in accordance with the following:

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(a) for equity derivatives as specified in Table 4.1 of Annex III. (b) for interest rate derivatives as specified in Table 4.2 of Annex III. (c) for commodity and emission allowance derivatives as specified in Table
4.3 of Annex III.
(d) for credit derivatives as specified in Table 4.4 of Annex III. (e) for foreign exchange derivatives as specified in Table 4.5 of Annex III. (f) for securitised derivatives as specified in Table 4.6 of Annex III. (g) for other derivatives as specified in Table 4.7 of Annex III.
2. Market operators and investment firms operating an MTF or an OTF and
investment firms trading outside of a trading venue may defer the publication of the details of transactions in respect of OTC derivatives in accordance with the following:
(a) for OTC derivatives as specified in Article 8a(2)(a) of Regulation 600/2014 as defined in Table 5.1 and 5.2 of Annex III. (b) for OTC derivatives as specified in Article 8a(2)(b) of Regulation 600/2014 as defined in Table 5.3 of Annex III. (c) for OTC derivatives as specified in Article 8a(2)(c) of Regulation 600/2014 as defined in Tables 5.4 of Annex III.’. (5) Articles 9, 10 and 11 are deleted. (6) Article 13 is replaced by the following:
‘Article 13
Calculation of the average daily notional amount (ADNA) (Article 9(5)(a) of Regulation (EU) No 600/2014)

1. For determining the pre-trade large in scale thresholds and the post-trade
   size thresholds for equity derivatives the threshold value for each sub-class of equity derivatives as defined in Table 4.1 of Annex III shall be applied.
2. Trading venues shall perform every two years the calculations to determine
   the pre-trade large in scale thresholds and the post-trade size thresholds for equity derivatives. The calculations should be based on the average daily notional amount (ADNA) of the sub-class which is recorded from 1st January to 31st December of the preceding two years.
3. The results shall be published by trading venues sufficient time in advance
   from their application.’.
   (7) Article 14 is replaced by the following:

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‘Article 14
Transactions to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 applies with regard to members of the ESCB which are not a member of the Eurosystem (Article 1(6) of Regulation (EU) No 600/2014) A transaction shall be considered to be entered into by a member of the European System of Central Banks (ESCB) which is not a member of the Eurosystem in performance of monetary, foreign exchange and financial stability policy where that transaction meets any of the following requirements:
(a) the transaction is carried out for the purposes of monetary policy, including an operation carried out under national provisions equivalent to Articles 18 and 20 of the Statute of the European System of Central Banks and of the European Central Bank annexed to the Treaty on European Union; (b) the transaction is a foreign-exchange operation, including operations carried out to hold or manage official foreign reserves of the Member States whose currency is not the euro or the reserve management service provided by a member of the ESCB which is not a member of the Eurosystem to central banks in other countries to which the exemption has been extended in accordance with Article 1(9) of Regulation (EU) No 600/2014; (c) the transaction is carried out for the purposes of financial stability policy.’. (8) Article 15 is replaced by the following:
‘Article 15
Transactions to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 does not apply with regard to members of the ESCB which are not a member of the Eurosystem (Article 1(7) of Regulation (EU) No 600/2014)
Article 1(6) of Regulation (EU) No 600/2014 shall not apply to the following
types of transactions entered into by a member of the ESCB which is not a member of the Eurosystem for the performance of an investment operation that is unconnected with that member's performance of one of the tasks referred to in Article 14:

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(a) transactions entered into for the management of its own funds; (b) transactions entered into for administrative purposes or for the staff of the member of the ESCB which include transactions conducted in the capacity as administrator of a pension scheme for its staff; (c) transactions entered into for its investment portfolio pursuant to obligations under national law. (8) Article 16 is replaced by the following:
‘Article 16 Temporary suspension of transparency obligations (Article 9(4) of Regulation (EU) No 600/2014)

1. For financial instruments for which there is a liquid market, as determined
   on the basis of the methodology set out in Article 6a for bonds, structured finance products and emission allowances, and in Article 6 for derivatives, competent authorities may temporarily suspend the obligations set out in Articles 8, 8a and 10 of Regulation (EU) No 600/2014 where for a class of bonds, structured finance products, emission allowances or derivatives, the total volume as referred to in Table 4 of Annex II calculated for the previous 30 calendar days represents less than 40 % of the average monthly volume calculated for the 12 full calendar months preceding those 30 calendar days.
2. For financial instruments for which there is not a liquid market, as
   determined on the basis of the methodology set out in Article 6a for bonds, structured finance products and emission allowances, and in Article 6 for derivatives, competent authorities may temporarily suspend the obligations referred to in Articles 8, 8a and 10 of Regulation (EU) No 600/2014 where for a class of bonds, structured finance products, emission allowances or derivatives, the total volume as referred to in Table 4 of Annex II calculated for the previous 30 calendar days represents less than 20 % of the average monthly volume calculated for the 12 full calendar months preceding those 30 calendar days.
3. Competent authorities shall take into account the transactions executed on
   all venues in the Union for the class of bonds, structured finance products, emission allowances or derivatives concerned when performing the calculations referred to in paragraphs 1 and 2. Competent authorities shall perform those calculations at the level of the class of financial instruments to which the liquidity test set out in Article 6a for bonds, structured finance products and emission allowances, and Article 6 for derivatives is applied.

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4. Competent authorities, shall, before they suspend transparency obligations,
verify that the significant decline in liquidity across all venues is not the result of seasonal effects of the relevant class of financial instruments on liquidity.’; (9) Annex II is amended in accordance with Annex II to this Regulation; (10) Annex III is amended in accordance with Annex III to this Regulation; (11) Annex IV and Annex V are deleted.
Article 2
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 1 March 2027. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, For the Commission The President

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ANNEX II
Annex II to Delegated Regulation (EU) 2017/583 is amended as follows:
(1) Table 2 is replaced by the following:
‘Table 2
List of details for the purpose of post-trade transparency The field names (column headers) as published shall be identical to the field identifier provided in Table 2

Field Identifier Financial instruments Description and details to be published

Type of execution or publication venue
Format to be populated as specified in
Table 1
1 Trading date and time For all financial instruments Date and time when the transaction was executed. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in
Article 12 of Commission Delegated
Regulation (EU) 2025/1155.
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, as specified in fields 31, 34 and 44 of Table 2 of
Annex I to Delegated Regulation (EU)
2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For Regulated Market (RM) Multilateral Trading Facility (MTF), Organised Trading Facility (OTF) Approved Publication Arrangement (APA) {DATE_TIME_ FORMAT}

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ESMA74-276584410-10987 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 4 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission. Instrument identification code For all financial instruments Code used to identify the financial instrument. For OTC derivatives as referred to in
Article 8a(2) of Regulation (EU) No
600/2014, the identification of the instrument shall be done in accordance with Commission Delegated Regulation (EU) 2025/1003 RM, MTF, OTF, APA {ISIN} except for OTC derivatives as referred to in Article 8a(2) of Regulation (EU) No 600/2014 2a Effective date For OTC interest rate derivatives Date on which the obligations under the interest rate derivative contract comes into effect. MTFs, OTFs, APAs {DATEFORMAT} 2b Expiry date For OTC interest rate derivatives Expiry date of the interest rate derivative contract MTFs, OTFs, APAs {DATEFORMAT}

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3 Price For all financial instruments
Traded price of the transaction excluding, where applicable, commission and accrued interest. The traded price shall be reported in accordance with standard market convention. The value provided in this field shall be consistent with the value provided in the field “Price Notation”. Where price is currently not available but pending (“PNDG”) or not applicable (“NOAP”), this field shall not be populated. RM, MTF, OTF, APA {DECIMAL-18/13} in case the price is expressed as monetary value {DECIMAL-11/10} in case the price is expressed as percentage or yield {DECIMAL-18/17} in case the price is expressed as basis points 4 Missing Price For all financial instruments Where price is currently not available but pending, the value shall be “PNDG”. Where price is not applicable the value shall be “NOAP”. RM, MTF, OTF, APA “PNDG” in case the price is not available “NOAP” in case the price is not applicable 5 Price currency For all financial instruments Major currency in which the price is expressed (applicable if the price is expressed as monetary value). RM, MTF, OTF, APA {CURRENCY CODE_3}

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6 Price notation For all financial instruments Indication as to whether the price is expressed in monetary value, in percentage, in basis points or in yield The price notation shall be reported in accordance with standard market convention. For credit default swaps, this field shall be populated with “BAPO”. For bonds (other than ETNs and ETCs) this field shall be populated with percentage (PERC) of the notional amount. Where a price in percentage is not the standard market convention, it shall be populated with YIEL, BAPO or MONE, in accordance with the standard market convention. The value provided in this field shall be consistent with the value provided in the field “Price”. Where the price is reported in monetary terms, it shall be provided in the major currency unit. Where the price is currently not available but pending (“PNDG”) or not applicable (“NOAP”), this field shall not be populated. RM, MTF, OTF, APA “MONE” —Monetary value “PERC” —Percentage “YIEL” — Yield “BAPO” — Basis points 7 Quantity For all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation. For financial instruments traded in units, the number of units of the financial instrument. Empty otherwise. RM, MTF, OTF, APA {DECIMAL- 18/17}

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Quantity in measurement unit
For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b), of this Regulation. The equivalent amount of commodity or emission allowance traded expressed in measurement unit. RM, MTF, OTF, APA {DECIMAL- 18/17} Notation of the quantity in measurement unit For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b), of this Regulation Indication of the notation in which the quantity in measurement unit is expressed. RM, MTF, OTF, APA “TOCD” —tonnes of carbon dioxide equivalent, for any contract related to emission allowances “TONE” — metric tonnes “MWHO” —megawatt hours “MBTU” — one million British thermal units “THMS” Therms “DAYS”— days or {ALPHANUM-4} otherwise

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10 Notional amount
For all financial instruments except in the cases described under
Article 11(1), points (a) and
(b), of this Regulation.
This field shall be populated:
(i) for bonds (excluding ETCs and
ETNs), with the face value, which is the amount repaid at redemption to the investor; (ii) for ETCs and ETNs and securitised derivatives, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field; (iii) for structured finance products (SFPs), with the nominal value per unit multiplied by the number of instruments at the time of the transaction; (iv) for credit default swaps, with the notional amount for which the protection is acquired or disposed of; (v)for options, swaptions, swaps other than those in (iv), futures and forwards, with the notional amount of the contract; RM, MTF, OTF, APA {DECIMAL-18/5}

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ESMA74-276584410-10987 for emission allowances, with the resulting amount of the quantity at the relevant price set in the contract at the time of the transaction. Equivalently, with the price field multiplied by the quantity in measurement unit field; (vii) for spread bets, with the monetary value wagered per point movement in the underlying financial instrument at the time of the transaction; (viii) for contracts for difference, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field.

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11 Notional currency
For all financial instruments except in the cases described under
Article 11(1), points (a) and
(b), of this Regulation.
Major currency in which the notional amount is denominated.
In the case of an FX derivative contract or a multi-currency swap or a swaption where the underlying swap is multi￾currency or a currency CFD or spread￾betting contract, this will be the notional currency of leg 1. RM, MTF, OTF, APA {CURRENCY CODE_3} 12 [deleted] 13 Venue of execution For all financial instruments Identification of the venue where the transaction was executed. Use the ISO 10383 segment MIC for transactions executed on an EU trading venue. Where the segment MIC does not exist, use the operating MIC. Use “SINT“ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser. Use MIC code “XOFF” for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is neither executed on an EU trading venue nor executed by a systematic internaliser. If the transaction is executed on an organised trading platform outside of the EU then in addition to “XOFF” also the RM, MTF, OTF, APA {MIC} – EU trading venues or “SINT” — systematic internaliser “XOFF” — otherwise

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ESMA74-276584410-10987 population of the field “Third-country trading venue of execution” is required. Third-country trading venue of execution For all financial instruments Identification of the third-country trading venue where the transaction was executed. Use the ISO 10383 segment MIC. Where the segment MIC does not exist, use the operating MIC. Where the transaction is not executed on a third- country trading venue, the field shall not be populated. APA {MIC}

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Publication
Date and
Time
For all financial instruments
Date and time when the transaction was published by a trading venue or APA. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 12 of Delegated Regulation (EU) 2025/1155. For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second. RM, MTF, OTF, APA {DATE_TIME_ FORMAT} 16 Venue of publication For all financial instruments Code used to identify the trading venue and APA publishing the transaction. RM, MTF, OTF, APA {MIC} Transaction Identification Code For all financial instruments Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/58021) and APAs and used in any subsequent reference to the specific trade. RM, MTF, OTF, APA {ALPHA NUMERICAL-52} 21 Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (OJ L 87, 31.3.2017, p. 193–211, ELI:
http://data.europa.eu/eli/reg_del/2017/580/oj)

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18 [deleted]
19 Flags For all financial instruments
One or multiple fields should be populated with the applicable flags as described in Table 3 of Annex II. Where none of the specified circumstances apply, the transaction should be published without a flag. Where a combination of flags is possible and reported in one field, the flags should be reported separated by commas. RM, MTF, OTF, APA As specified in Table 3 of Annex II 20 Trading System For all financial instruments Type of trading system on which the transaction was executed. When the field 'Venue of execution' is populated with "SINT" or "XOFF", this field shall not be populated. RM, MTF, OTF 'CLOB' -- central limit order book trading system. 'QDTS' -- quote driven trading systems, meaning a system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself. 'PATS' -- periodic auction trading systems. 'RFQT' -- request for quote trading systems, meaning a trading system

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ESMA74-276584410-10987 where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request. ‘VOIC’ – voice trading system, meaning a trading system where transactions between members are arranged through voice negotiation. ‘HYBR’ – hybrid trading system meaning a system falling into two or more of the types of trading systems referred to above. ‘OTHR’ – any other trading system, meaning any other type of trading system not covered above. 21 Number of transactions For sovereign debt instruments This field should be populated with the number of transactions executed when deferred publication of details of several transactions in an aggregated form is required under Article 11(3)(b) of Regulation (EU) No 600/2014. RM, MTF, OTF, APA {DECIMAL-18/17}. ’;

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(3) Table 3 is replaced by the following:
‘Table 3
List of flags for the purpose of post-trade transparency POST-TRADE DEFERRAL FLAGS FOR BONDS (EXCEPT ETCs AND ETNs) AND CERTAIN DERIVATIVES Flag Name Type of execution or publication venue Description MLF1 Medium Liquid Flag RM, MTF, OTF, APA Transactions in bonds benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(a) of this Regulation. Transactions in derivatives benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is a liquid market in accordance with Article 8 of this Regulation. MIF2 Medium Illiquid Flag RM, MTF, OTF, APA Transactions in bonds benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(b) of this Regulation. Transactions in derivatives benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is not a liquid market in accordance with Article 8 of this Regulation. LLF3 Large Liquid Flag RM, MTF, OTF, APA Transactions in bonds benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(c) of this Regulation. Transactions in derivatives benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is a liquid market in accordance with Article 8 of this Regulation.

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LIF4 Large Illiquid
Flag RM, MTF, OTF, APA
Transactions in bonds benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(d) of this Regulation. Transactions in derivatives benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is not a liquid market in accordance with Article 8 of this Regulation. VLF5 Very Large Liquid Flag RM, MTF, OTF, APA Transactions in bonds benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(e) of this Regulation. Transactions in derivatives benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is a liquid market in accordance with Article 8 of this Regulation. VIF5 Very Large Illiquid Flag RM, MTF, OTF, APA Transactions in bonds benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(e) of this Regulation. Transactions in derivatives benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is a not liquid market in accordance with Article 8 of this Regulation. POST-TRADE DEFERRAL FLAGS FOR ETCs, ETNs, SFPs, EMISSION ALLOWANCES AND CERTAIN DERIVATIVES Flag Name Type of execution or publication venue Description DEFF Deferral for ETCs, ETNs, SFPs, emission allowances and certain derivatives RM, MTF, OTF, APA Transactions in ETCs, ETNs, SFPs and emission allowances, which benefit from a deferral as specified under Article 8a(2) and (3) of this Regulation.

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Transactions in derivatives benefiting from a deferral applicable to transactions for which there is only one deferral size available. SUPPLEMENTARY DEFERRAL FLAGS FOR SOVEREIGN BONDS
Article
11(3)(a)
‘OMIS’ Volume omission flag
RM, MTF,
OTF, APA
Transaction for which limited details are published in accordance with Article 11(3), point (a) of Regulation (EU) No 600/2014. ‘FULO’ Full details flag RM, MTF, OTF, APA Transaction for which limited details have been previously published in accordance with
Article 11(3), point (a) of Regulation (EU) No 600/2014.
Article
11(3)(b)
‘AGFW’ Four weeks aggregation flag
RM, MTF,
OTF, APA
Publication of aggregated transactions in accordance with Article 11(3), point (b) of Regulation (EU) No 600/2014. ‘FULG’ Full details flag RM, MTF, OTF, APA Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(3), point (b) of Regulation (EU) No 600/2014. OTHER FLAGS Flag Name Type of execution or publication venue Description ‘BENC’ Benchmark transaction flag RM, MTF, OTF, APA Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price.

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‘NPFT’ Non-price forming transaction flag RM, MTF, OTF, APA Non-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590. ‘TPAC’ Package transaction flag RM, MTF, OTF, APA Package transactions, which are not exchange for physicals, as defined in Article 2(1)(50), point (b) of Regulation (EU) 600/2014. ‘XFPH’ Exchange for physicals transaction flag RM, MTF, OTF, APA Exchange for physicals as defined in Article 2(1), point (48), of Regulation (EU) No 600/2014. ‘CANC’ Cancellation flag RM, MTF, OTF, APA When a previously published transaction is cancelled. ‘AMND’ Amendment flag RM, MTF, OTF, APA When a previously published transaction is amended. ‘PORT’ Portfolio trade flag RM, MTF, OTF, APA Transaction in five or more different financial instruments where those transactions are traded at the same time by the same client and against a single lot price and that is not a ‘package transaction’ as defined in Article 2(1), point (50), of Regulation (EU) No 600/2014. ‘MTCH’ Matched principal trading flag RM, MTF, OTF, APA Matched principal transactions as set out in Article 4(1)(38) of Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments. ‘NEGO’ Negotiated transaction flag RM, MTF, OTF, APA Transactions which are negotiated privately but reported under the rules of a trading venue. ’;

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ANNEX III
Annex III to Delegated Regulation (EU) 2017/583 is amended as follows:
(1) Section 1 “Instructions for the purpose of this annex”, Section 4 “Securitised derivatives”,
Section 5 “Interest rate derivatives”, Section 6 “Equity derivatives”, Section 7 “Commodity
derivatives”, Section 8 “Foreign exchange derivatives”, section 9 “Credit derivatives”, Section 10 “C10 derivatives”, section 11 “CFDs”, section 13 “Emission allowances derivatives” are replaced by the following:
‘1. Instructions for the purpose of this annex

1. The reference to outstanding bond issuance size in Table 2.2 refers to the total value of
   bonds that have been issued and are currently held by investors.
2. A reference to an ‘asset class’ means a reference to the following classes of financial
   instruments: bonds, structured finance products, securitised derivatives, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives, C10 derivatives, CFDs, emission allowances and emission allowance derivatives.
3. [empty]
4. [empty]
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(2), divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
6. ‘Average daily number of trades’ means the total number of transactions executed for a
   particular financial instrument in the period set out in Article 13, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
7. ‘Future’ means a contract to buy or sell a commodity or financial instrument at a designated
   future date at a price agreed upon at the initiation of the contract by the buyer and seller. Every futures contract has standard terms that dictate the minimum quantity and quality that can be bought or sold, the smallest amount by which the price may change, delivery procedures, maturity date and other characteristics related to the contract.
8. ‘Option’ means a contract that gives the owner the right, but not the obligation, to buy (call)
   or sell (put) a specific financial instrument or commodity at a predetermined price, strike or exercise price, at or up to a certain future date or exercise date.
9. ‘Swap’ means a contract in which two parties agree to exchange cash flows in one financial
   instrument for those of another financial instrument at a certain future date.
10. ‘Portfolio Swap’ means a contract by which end-users can trade multiple swaps.

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11. ‘Forward’ or ‘Forward agreement’ means a private agreement between two parties to buy
or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller.
12. ‘Swaption’ or ‘Option on a swap’ means a contract that gives the owner the right, but not
the obligation, to enter a swap at or up to a certain future date or exercise date.
13. ‘Future on a swap’ means a future contract that gives the owner the obligation, to enter a
swap at or up to a certain future date.
14. ‘Forward on a swap’ means a forward contract that gives the owner the obligation, to enter
a swap at or up to a certain future date.’.

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4. Exchange Traded Derivatives
Table 4.1
Equity Derivatives – liquidity determination, pre-trade LIS threshold, deferral regime Clas s ID Class To the determination of the trade size thresholds each class shall be further segmented into sub-classes as defined below Liquidity Average daily notional amount (ADNA) LIS pre-trade Medium Large Very Large EQ1 Stock index options a stock index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying stock index Liquid ADNA < EUR 100m EUR 25,000 EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 EUR 100m <= ADNA < EUR 200m EUR 3,000,000 EUR 25,000,000 EUR 30,000,000 EUR 60,000,000 EUR 200m <= ADNA < EUR 600m EUR 5,500,000 EUR 50,000,000 EUR 55,000,000 EUR 110,000,000 ADNA >= EUR 600m EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 EQ2 Stock index futures a stock index option sub-class is defined by the following segmentation criteria:
Segmentation
Liquid
ADNA < EUR
100m EUR 25,000 EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 EUR 100m <= ADNA < EUR 1bn EUR 550,000 EUR 5,000,000 EUR 5,500,000 EUR 11,000,000

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ESMA74-276584410-10987 criterion 1 — underlying stock index EUR 1bn <= ADNA < EUR 3bn EUR 5,500,000 EUR 50,000,000 EUR 55,000,000 EUR 110,000,000 EUR 3bn <= ADNA < EUR 5bn EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 ADNA >= EUR 5bn EUR 30,000,000 EUR 250,000,000 EUR 260,000,000 EUR 520,000,000 EQ3 Single Stock options a stock option sub￾class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share Liquid ADNA < EUR 5m ADNA EUR 25,000 EUR 1,000,000 EUR 1,250,000 EUR 2,500,000 EUR 5m <= ADNA < EUR 10m EUR 300,000 EUR 1,250,000 EUR 1,500,000 EUR 3,000,000 EUR 10m <= ADNA < EUR 20m EUR 550,000 EUR 2,500,000 EUR 3,000,000 EUR 6,000,000 ADNA >= EUR 20m EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EQ4 Single Stock futures a stock future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share Liquid ADNA < EUR 5m EUR 25,000 EUR 1,000,000 EUR 1,250,000 EUR 2,500,000 EUR 5m <= ADNA < EUR 10m EUR 300,000 EUR 1,250,000 EUR 1,500,000 EUR 3,000,000 EUR 10m <= ADNA < EUR 20m EUR 550,000 EUR 2,500,000 EUR 3,000,000 EUR 6,000,000

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ADNA >=
EUR 20m EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EQ5 Stock dividend options a stock dividend option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share entitling to dividends Liquid ADNA < EUR 5m EUR 25,000 EUR 400,000 EUR 450,000 EUR 900,000 EUR 5m <= ADNA < EUR 10m EUR 30,000 EUR 500,000 EUR 550,000 EUR 1,100,000 EUR 10m <= ADNA < EUR 20m EUR 100,000 EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 ADNA >= EUR 20m EUR 150,000 EUR 2,000,000 EUR 2,500,000 EUR 5,000,000 EQ6 Stock dividend futures a stock dividend future/forward sub￾class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share entitling to dividends Liquid ADNA < EUR 5m EUR 25,000 EUR 400,000 EUR 450,000 EUR 900,000 EUR 5m <= ADNA < EUR 10m EUR 30,000 EUR 500,000 EUR 550,000 EUR 1,100,000 EUR 10m <= ADNA < EUR 20m EUR 100,000 EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 ADNA >= EUR 20m EUR 150,000 EUR 2,000,000 EUR 2,500,000 EUR 5,000,000 EQ7 Dividend index options a dividend index option sub-class is defined by the Liquid ADNA < EUR 100m EUR 25,000 EUR 1,000,000 EUR 1,500,000 EUR 3,000,000

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ESMA74-276584410-10987 following segmentation criteria:
Segmentation criterion 1 — underlying dvidend index EUR 100m <= ADNA < EUR 200m EUR 3,000,000 EUR 25,000,000 EUR 30,000,000 EUR 60,000,000 EUR 200m <= ADNA < EUR 600m EUR 5,500,000 EUR 50,000,000 EUR 55,000,000 EUR 110,000,000 ADNA >= EUR 600m EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 EQ8 Dividend index futures a dividend index future/forward sub￾class is defined by the following segmentation criteria:Segmentatio n criterion 1 — underlying dividend index Liquid ADNA < EUR 100m EUR 25,000 EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 EUR 100m <= ADNA < EUR 1bn EUR 550,000 EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EUR 1bn <= ADNA < EUR 3bn EUR 5,500,000 EUR 50,000,000 EUR 55,000,000 EUR 110,000,000 EUR 3bn <= ADNA < EUR 5bn EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 ADNA >= EUR 5bn EUR 30,000,000 EUR 250,000,000 EUR 260,000,000 EUR 520,000,000 EQ9 Volatility index options a volatility index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 —
Liquid
ADNA < EUR
100m EUR 25,000 EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 EUR 100m <= ADNA < EUR 200m EUR 3,000,000 EUR 25,000,000 EUR 30,000,000 EUR 60,000,000 EUR 200m <= ADNA < EUR 600m EUR 5,500,000 EUR 50,000,000 EUR 55,000,000 EUR 110,000,000

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ESMA74-276584410-10987 underlying volatility index ADNA >= EUR 600m EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 EQ10 Volatility index futures a volatility index future/forward sub￾class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying volatility index Liquid ADNA < EUR 100m EUR 25,000 EUR 1,000,000 EUR 1,500,000 EUR 3,000,000 EUR 100m <= ADNA < EUR 1bn EUR 550,000 EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EUR 1bn <= ADNA < EUR 3bn EUR 5,500,000 EUR 50,000,000 EUR 55,000,000 EUR 110,000,000 EUR 3bn <= ADNA < EUR 5bn EUR 20,000,000 EUR 150,000,000 EUR 160,000,000 EUR 320,000,000 ADNA >= EUR 5bn EUR 30,000,000 EUR 250,000,000 EUR 260,000,000 EUR 520,000,000 EQ11 ETF options an ETF option sub￾class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying ETF
Liquid
ADNA < EUR
5m EUR 25,000 EUR 1,000,000 EUR 1,250,000 EUR 2,500,000 EUR 5m <= ADNA < EUR 10m EUR 300,000 EUR 1,250,000 EUR 1,500,000 EUR 3,000,000 EUR 10m <= ADNA < EUR 20m EUR 550,000 EUR 2,500,000 EUR 3,000,000 EUR 6,000,000 ADNA >= EUR 20m EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EQ12 ETF futures an ETF future/forward sub-class is defined by the following segmentation criteria:
Segmentation
Liquid
ADNA < EUR
5m EUR 25,000 EUR 1,000,000 EUR 1,250,000 EUR 2,500,000 EUR 5m <= ADNA < EUR 10m EUR 300,000 EUR 1,250,000 EUR 1,500,000 EUR 3,000,000

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ESMA74-276584410-10987 criterion 1 — underlying ETF EUR 10m <= ADNA < EUR 20m EUR 550,000 EUR 2,500,000 EUR 3,000,000 EUR 6,000,000 ADNA >= EUR 20m EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 EUR 11,000,000 EQ13 Swaps Illiquid EUR 25,000 EUR 100,000 EUR 150,000 EUR 300,000 EQ14 Portfolio Swaps Illiquid EUR 25,000 EUR 100,000 EUR 150,000 EUR 300,000 EQ15 Other equity derivatives Illiquid EUR 25,000 EUR 100,000 EUR 150,000 EUR 300,000 Deferral duration End of day T+1 T+2

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Table 4.2
Interest rate Derivatives – liquidity determination, pre-trade LIS threshold, deferral regime Class ID Class Liquidity Pre-trade LiS Medium size post￾trade Large size post-trade Very Large size post￾trade IR01 BOBL futures Liquid 500,000 EUR 1,000,000 EUR 5,000,000 EUR 10,000,000 EUR IR02 BUND futures Liquid 250,000 EUR 500,000 EUR 2,500,000 EUR 5,000,000 EUR IR03 BUXL futures Liquid 250,000 EUR 500,000 EUR 2,500,000 EUR 5,000,000 EUR IR04 Schatz futures Liquid 1,000,000 EUR 2,000,000 EUR 10,000,000 EUR 20,000,000 EUR IR05 Euro-OAT futures Liquid 250,000 EUR 500,000 EUR 2,500,000 EUR 5,000,000 EUR IR06 Long-Term Euro-BTP futures Liquid 250,000 EUR 500,000 EUR 2,500,000 EUR 5,000,000 EUR IR07 Short-Term Euro-BTP futures Liquid 500,000 EUR 1,000,000 EUR 5,000,000 EUR 10,000,000 EUR IR08 Three-Month Euro STR futures Liquid 1,250,000 EUR 2,500,000 EUR 12,500,000 EUR 25,000,000 EUR IR09 Options on BOBL futures Liquid 1,250,000 EUR 2,500,000 EUR 3,750,000 EUR 5,000,000 EUR IR10 Options on BUND futures Liquid 2,750,000 EUR 5,500,000 EUR 8,250,000 EUR 11,000,000 EUR IR11 Any other interest rate derivatives Illiquid 50,000 EUR 100,000 EUR 500,000 EUR 1,000,000 EUR Deferral duration End of day T+1 T+2
Table 4.3
Commodity and emission allowance derivatives – liquidity determination, pre￾trade LIS threshold, deferral regime Class ID Class Liquidity Pre-trade LIS Medium size post￾trade Large size post-trade Very Large size post￾trade AG01 Milling Wheat futures Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR AG02 Rapeseed futures Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR AG03 Corn futures Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR EA01 European Union Emission allowances futures Liquid 50,000 tCO2 100,000 tCO2 150,000 tCO2 200,000 tCO2 EL01 German power futures (baseload, monthly) Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR

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EL02
French power futures (baseload, monthly)
Liquid 250,000
EUR
500,000
EUR
1,000,000
EUR
1,500,000
EUR
EL03
Italian power futures (baseload, monthly)
Liquid 250,000
EUR
500,000
EUR
1,000,000
EUR
1,500,000
EUR
EL04
Nordic power futures (baseload, monthly)
Liquid 250,000
EUR
500,000
EUR
1,000,000
EUR
1,500,000
EUR
EL05
Spanish power futures (baseload, monthly)
Liquid 250,000
EUR
500,000
EUR
1,000,000
EUR
1,500,000
EUR
EL06
Dutch power futures (baseload, monthly)
Liquid 250,000
EUR
500,000
EUR
1,000,000
EUR
1,500,000
EUR
EL07
Hungarian power futures (baseload, monthly) Liquid 250,000 EUR 500,000 EUR 1,000,000 EUR 1,500,000 EUR NG01 Dutch TTF gas futures (monthly) Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR NG02 German THE gas futures (monthly) Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR NG03 Options on Dutch TTF gas futures (monthly) Liquid 500,000 EUR 1,000,000 EUR 1,500,000 EUR 2,000,000 EUR Deferral duration End of Day T+1 T+2 Class ID Class Liquidity Pre-trade LIS Medium/Large/Very Large size post-trade Any other commodity and emission allowance derivatives Illiquid 100,000EUR 200,000EUR Deferral duration T+2
Table 4.4
Credit Derivatives – liquidity determination, pre-trade LIS threshold, deferral regime, pre-trade LIS threshold, deferral regime Class ID Class Liquidity Pre-trade LIS Medium/Large/Very Large size post-trade CR01 Credit derivatives Illiquid 5,000,000 EUR 10,000,000 EUR Deferral duration T+2

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Table 4.5
FX Derivatives – liquidity determination, pre-trade LIS threshold, deferral regime, pre-trade LIS threshold, deferral regime Class ID Class Liquidity Pre-trade LIS Medium/Large/Very Large size post-trade FX01 FX derivatives Illiquid 12,500,000 EUR 25,000,000 EUR Deferral duration T+2
Table 4.6
Securitised Derivatives – liquidity determination, pre-trade LIS threshold, deferral regime Class ID Class Liquidity Pre-trade LIS Medium Large Very Large SD01 Securitised derivatives Liquid 50,000 EUR 60,000 EUR 90,000 EUR 100,000 EUR Deferral duration End of day T+1 T+2
Table 4.7
Other Derivatives – liquidity determination, pre-trade LIS threshold, deferral regime Class ID Class Liquidity Pre-trade LIS Medium / Large / Very Large OT01 Other derivatives Illiquid 50,000 EUR 100,000 EUR Deferral duration T+2

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5. OTC derivatives as defined in Article 8a(2) of Regulation 600/2014
Table 5.1 Credit Default Swaps defined in Article 8a(2)(a) of Regulation
600/2014 – liquidity determination, pre-trade LIS threshold, deferral regime Credit Default Swaps Index CDS Feature Liquidity Pre-trade LIS Medium size post￾trade Large size post-trade Very Large size post￾trade iTraxx Europe Main 5Y on￾the-run and first off-the￾run Liquid 15,000,000 30,000,000 50,000,000 500,000,000 iTraxx Europe Crossover Liquid 5,000,000 10,000,000 30,000,000 200,000,000 Volume Deferral Duration 15 minutes End of Day Three months Price Deferral Duration 15 minutes 15 minutes 15 minutes Any other Index CDS as defined in
Article 8a(2)(a) of
Regulation
600/2014
Any Illiquid 5,000,000 10,000,000 30,000,000 200,000,000 Volume Deferral Duration One Week Two Weeks Three months Price Deferral Duration End of Day End of Day End of Day
Table 5.2 – Interest Rate Derivatives defined in Article 8a(2)(a) of Regulation
600/2014 – liquidity determination, pre-trade LIS threshold, deferral regime Class - Fixed to Float Euribor Tenors (Years) Liquidity Pre-trade LIS (EUR) Medium size post￾trade (EUR) Large / Very Large size post-trade (EUR) 1 Liquid 200,000,000 400,000,000 750,000,000 2 Liquid 125,000,000 250,000,000 400,000,000 3 Liquid 100,000,000 200,000,000 400,000,000 5 Liquid 50,000,000 100,000,000 200,000,000 7 Liquid 50,000,000 100,000,000 200,000,000 10 Liquid 37,500,000 75,000,000 100,000,000 12 Liquid 37,500,000 75,000,000 100,000,000 15 Liquid 37,500,000 75,000,000 100,000,000 20 Liquid 25,000,000 50,000,000 100,000,000 25 Liquid 25,000,000 50,000,000 100,000,000

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30 Liquid 15,000,000 30,000,000 50,000,000
Volume Deferral Duration End of Day Three months Price Deferral Duration End of Day End of Day Class - OIS FEDFUNDS Tenors (Years) Liquidity Pre-trade LIS (USD) Medium size post￾trade (USD) Large / Very Large size post-trade (USD) 1 Illiquid 125,000,000 250,000,000 400,000,000 2 Illiquid 75,000,000 150,000,000 250,000,000 3 Illiquid 50,000,000 100,000,000 200,000,000 Volume Deferral Duration T+1 Three months Price Deferral Duration T+1 T+1 Class - OIS SOFR Tenors (Years) Liquidity Pre-trade LIS (USD) Medium size post￾trade (USD) Large / Very Large size post-trade (USD) 1 Liquid 125,000,000 250,000,000 500,000,000 2 Liquid 75,000,000 150,000,000 250,000,000 3 Liquid 50,000,000 100,000,000 200,000,000 5 Liquid 50,000,000 100,000,000 150,000,000 7 Liquid 37,500,000 75,000,000 150,000,000 10 Liquid 25,000,000 50,000,000 75,000,000 12 Liquid 25,000,000 50,000,000 75,000,000 15 Liquid 25,000,000 50,000,000 75,000,000 20 Liquid 25,000,000 50,000,000 75,000,000 25 Liquid 25,000,000 50,000,000 75,000,000 30 Liquid 15,000,000 30,000,000 50,000,000 Volume Deferral Duration End of Day Three months Price Deferral Duration End of Day End of Day Class - OIS SONIA Tenors (Years) Liquidity Pre-trade LIS (GBP) Medium size post￾trade (GBP) Large / Very Large size post-trade (GBP) 1 Liquid 87,500,000 175,000,000 355,000,000 2 Liquid 67,500,000 135,000,000 175,000,000 3 Liquid 67,500,000 135,000,000 175,000,000 5 Liquid 32,500,000 65,000,000 90,000,000 7 Liquid 32,500,000 65,000,000 90,000,000 10 Liquid 22,500,000 45,000,000 65,000,000

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12 Liquid 22,500,000 45,000,000 65,000,000
15 Liquid 22,500,000 45,000,000 65,000,000
20 Liquid 22,500,000 45,000,000 65,000,000
25 Liquid 22,500,000 45,000,000 65,000,000
30 Liquid 10,000,000 20,000,000 25,000,000
Volume Deferral Duration End of Day Three months Price Deferral Duration End of Day End of Day Class - OIS TONA Tenors (Years) Liquidity Pre-trade LIS (JPY) Medium size post￾trade (JPY) Large / Very Large size post-trade (JPY) 1 Liquid 17,500,000,000 35,000,000,000 55,000,000,000 2 Liquid 10,000,000,000 20,000,000,000 30,000,000,000 3 Liquid 10,000,000,000 20,000,000,000 30,000,000,000 5 Liquid 5,000,000,000 10,000,000,000 15,000,000,000 7 Liquid 5,000,000,000 10,000,000,000 15,000,000,000 10 Liquid 3,500,000,000 7,000,000,000 10,000,000,000 12 Liquid 3,500,000,000 7,000,000,000 10,000,000,000 15 Liquid 2,500,000,000 5,000,000,000 7,000,000,000 20 Liquid 1,500,000,000 3,000,000,000 5,000,000,000 25 Liquid 1,500,000,000 3,000,000,000 5,000,000,000 30 Liquid 1,500,000,000 3,000,000,000 5,000,000,000 Volume Deferral Duration End of Day Three months Price Deferral Duration End of Day End of Day Class - OIS EuroSTR Tenors (Years) Liquidity Pre-trade LIS (EUR) Medium size post￾trade (EUR) Large / Very Large size post-trade (EUR) 1 Liquid 150,000,000 300,000,000 750,000,000 2 Liquid 100,000,000 200,000,000 300,000,000 3 Liquid 100,000,000 200,000,000 300,000,000 Volume Deferral Duration End of Day Three months Price Deferral Duration End of Day End of Day

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Table 5.3 Single Name CDS as defined in Article 8a(2)(b) of Regulation
600/2014– liquidity determination, pre-trade LIS threshold, deferral regime Class - Credit Default Swaps - Single name Tenors (Years) Liquidity Pre-trade LIS (EUR) Medium size post-trade (EUR) Large size post-trade (EUR) Very Large size post-trade (EUR) 5 Illiquid 500,000 1,000,000 5,000,000 50,000,000 Volume Deferral Duration T+1 Two Weeks Three months Price Deferral Duration T+1 Any other tenor Illiquid 500,000 1,000,000 5,000,000 50,000,000 Volume Deferral Duration One week Two weeks Three months Price Deferral Duration One week One week One week

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Table 5.4 Index CDS referencing GSIBs as defined in Article 8a(2)(c) of
Regulation 600/2014 – liquidity determination, pre-trade LIS threshold, deferral regime Credit Default Swaps Index CDS - referencing GSIBs Feature Liquidity Pre-trade LIS (EUR) Medium size post￾trade (EUR) Large size post-trade (EUR) Very Large size post￾trade (EUR) iTraxx Europe Senior Financials 5Y on-the-run and first off￾the-run Illiquid 15,000,000 30,000,000 50,000,000 300,000,000 iTraxx Europe Subordinate Financial Illiquid 5,000,000 10,000,000 30,000,000 200,000,000 Volume Deferral Duration One Week Two Weeks Three months Price Deferral Duration 15 minutes 15 minutes End of Trading Day Any other Index CDS as defined in Article 8a(2)(c) of Regulation 600/2014 Any Illiquid 5,000,000 10,000,000 30,000,000 200,000,000 Volume Deferral Duration One Week Two Weeks Three months Price Deferral Duration End of Trading Day End of Trading Day End of Trading Day

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6.2.2 Draft technical standards on the amendment of the package order RTS
COMMISSION DELEGATED REGULATION (EU) …/… of [ ] amending Commission Delegated Regulation (EU) 2017/2194 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to package orders (Text with EEA relevance) THE EUROPEAN COMMISSION Having regard to the Treaty on the Functioning of the European Union, Having regard to Regulation (EU) 2024/ 791 of the European Parliament and of the Council of 28 February 2024 amending Regulation (EU) No 600/2014 and in particular Article 9(6) thereof, Whereas, (1) The review of Regulation (EU) No 600/2014 of the European Parliament and of the Council introduced new provisions aimed, among others, at fostering a more transparent and efficient financial market within the Union. The review reshaped the scope of the transparency regime in non-equity instruments, and it required the redefinition of their liquidity assessment. (2) Delegated Regulation (EU) 2017/2194 should therefore be amended accordingly. (3) It does not appear appropriate to subject package orders to pre-trade transparency when some components are not subject to pre-trade transparency. In particular, it is important to ensure that when there is one component which is not subject to pre-trade transparency there cannot be a liquid market as a whole. (4) Annex III of Regulation (EU) No 600/2014 will be amended after the amendment of Commission Delegated Regulation 2017/583 because of the different approach for the liquidity determination of classes of derivatives now based on reference data. Therefore, it is important to ensure that when the reference to Annex III is amended, it is substituted by equivalent wording to ensure there is no unintended amendment to the current provisions. (5) To provide market participants with sufficient time to prepare for the new requirements, while ensuring alignment with the application of the requirements in the amendments to Delegated Regulation (EU) 2017/583, the date of application of the amendments to Delegated Regulation (EU) 2017/2194 set out in this Regulation should be deferred. (6) This Regulation is based on the draft regulatory technical standards submitted by European Securities and Markets Authority (ESMA) to the Commission.

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(5) ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council, HAS ADOPTED THIS REGULATION:
Article 1
Amendments to Delegated Regulation (EU) 2017/2194 Delegated Regulation (EU) 2017/2194 is amended as follows:
(1) In Article 1, point (a)(ii) is replaced by the following:
(ii) the components of the package order do not exclusively belong to one of the asset classes of equity derivatives, commodity derivatives, interest rate derivatives and credit derivatives provided for in Commission Delegated Regulation (EU) 2017/583. (2) In Article 1, point (b) the following point is inserted:
(iiia) all the components of the package order are subject to pre-trade transparency requirements under Article 8a of Regulation (EU) No 600/2014. (3) Article 2, first subparagraph is replaced by the following:
The asset-class specific criteria referred to in Article 1(b)(iv) for package orders consisting exclusively of interest rates derivatives shall be the following:
(4) Article 2, point (b) is amended as follows:
(b) all components of the package order belong to the same sub-asset class of interest rate derivatives. The sub-asset classes of interest rate derivatives are:
(I) interest rate futures;
(ii) interest rate options;
(iii) bond futures;
(iv) bond options;
(v) swaptions;
(vi) single currency fixed to float swaps;

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(vii) single currency float-to-float swaps; (viii) single currency OIS; (ix) single currency fixed to fixed swaps; (x) inflation single currency swaps; (xi) multi-currency fixed to float swaps; (xii) multi-currency float-to-float swaps; (xiii) multi-currency OIS; (xiv) multi-currency fixed to fixed swaps; (xv) inflation multi-currency swaps. (5) Article 2, point (d) is replaced by the following:
(d) where the package order consists of interest rate swaps, the components of that package order have a tenor of those provided in Article 8a(2)(a) of Regulation (EU) 600/2014 (6) Article 2, second subparagraph is replaced by the following:
For the purpose of point (d), a component of a package order shall be deemed to have a tenor of those provided in Article 8a(2)(a) of Regulation (EU) 600/2014 where the period of time between the effective date of the contract and the termination date of the contract equals one of the time periods mentioned in point (d). (7) Article 3, first subparagraph is replaced by the following:
The asset-class specific criteria referred to in Article 1(b)(iv) for package orders consisting exclusively of equity derivatives shall be the following:
(8) Article 3, point (b) is replaced by the following:
(b) all components of the package order belong to the same sub-asset class of equity derivatives. The sub-asset classes of equity derivatives are (i) stock options (ii) stock futures; (iii) stock index options; (iv) stock index futures;

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(v) dividend futures;
(vi) dividend options;
(vii) stock dividend futures;
(viii) stock dividend options;
(ix) volatility index options;
(x) volatility index futures;
(xi) ETF options;
(xii) ETF futures;
(xiii) swaps;
(xiv) portfolio swaps.
(9) Article 4, point (b) is replaced by the following:
(b) all components of the package order are index credit default swaps defined as swaps 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. (10) Article 5, point (b) is replaced by the following:
(b) all components of the package order are commodity derivative futures with underlying agricultural, energy or metal commodity.
Article 2
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 1 March 2027. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, For the Commission

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The President

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6.2.3 Draft technical standards on the amendment of RTS on input and output
data of CTPs (CDR 2025/1155)
COMMISSION DELEGATED REGULATION (EU) …/… of [ ] amending Commission Delegated Regulation (EU) 2025/1155 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on the substance of the data for the operation of the consolidated tapes (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 648/201222 and in particular Article 22b(3), thereof, Whereas, (1) Commission Delegated Regulation (EU) 2017/58323 sets out the transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives and details the pre- and post-trade requirements for bond instruments, which also entail exchange-traded commodities (‘ETCs’) and exchange-traded notes (‘ETNs’). The input and output data necessary for the operation of a consolidated tape provider (‘CTP’) for bonds, as set out in the Commission Delegated Regulation (EU) 2025/115524 are derived from the data required for the transparency regime under Delegated Regulation (EU) 2017/583, and as such would also comprise ETCs and ETNs. However, including them in the CTP for bonds might create confusion in the output of the CTP since their trading behaviour does not mirror that of bonds. Therefore, ETCs and ETNs should not be reported to and disseminated by a CTP for bonds. Therefore, to ensure legal clarity, Delegated Regulation 2025/1155 should be amended to expressly provide for this exception. 22 OJ L 173, 12.6.2014, p. 84 , ELI: http://data.europa.eu/eli/reg/2014/600/oj. 23 Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (OJ L 87, 31.3.2017, p. 229, ELI: http://data.europa.eu/eli/reg_del/2017/583/oj). 24 Commission Delegated Regulation (EU) 2025/1155 of 12 June 2025 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards specifying the input and output data of consolidated tapes, the synchronisation of business clocks and the revenue redistribution by the consolidated tape provider for shares and ETFs, and repealing Commission Delegated Regulation (EU) 2017/574 (OJ L, 2025/1155, 3.11.2025, ELI: http://data.europa.eu/eli/reg_del/2025/1155/oj).

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(2) Regulation (EU) No 600/2014 requires the establishment of CTPs for bonds, equities, and OTC derivatives. The regulatory data and core market data requirements for bonds and equities have been specified by Delegated Regulation 2025/1155. To fulfil the mandate set out in Regulation (EU) No 600/2014, it is necessary to extend these reporting instructions to include regulatory data and post-trade core market data for OTC derivatives. (3) In defining the required data fields to be transmitted to and disseminated by the CTP for OTC derivatives, alignment with existing transparency requirements under Delegated Regulation (EU) 2017/583 is to be ensured. Furthermore, to maintain coherence and interoperability across asset classes, the data fields required for data contributors and CTP in relation to OTC derivatives should align with those applicable to the CTPs for bonds and equities to the extent possible. (4) This Regulation is based on the reporting fields in Delegated Regulation (EU) 2017/583 and which is being amended in parallel. Since the amendments to Delegated Regulation (EU) 2017/583 are to be deferred to provide market participants with sufficient time to prepare for the new requirements, the date of application of this Regulation should also be deferred to ensure alignment. (5) This Regulation is based on the draft regulatory technical standards submitted by European Securities and Markets Authority (ESMA) to the Commission. (6) In accordance with Article 10 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council 25 , ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010. (7) ESMA has taken into account the advice of the expert stakeholder group as required by
Article 22b(3) of Regulation (EU) No 600/2014,
HAS ADOPTED THIS REGULATION:
Article 1
Amendments to Delegated Regulation (EU) 2025/1155 Delegated Regulation (EU) 2025/1155 is amended as follows:
(1) In Article 5, paragraph 1 is replaced by the following:
25 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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“With regard to core market data for a given bond, except for exchange traded commodities and exchange traded notes, data contributors shall transmit to the data centre of the CTP, by reference to each transaction, the details set out in Table 6 of
Annex II that are flagged as “input” or “both” in the last column of Table 6.”
(2) the followings Article 6a is inserted:
“Article 6a
Data to be transmitted to the CTP for OTC derivatives

1. With regard to core market data for a given OTC derivative, data contributors shall
   transmit to the data centre of the CTP, by reference to each transaction, the details set out in Table 10 of Annex II of this Regulation. The details shall be those flagged as input or both in the last column.
2. With regard to regulatory data, data contributors shall transmit to the data centre of
   the CTP, by reference to each financial instrument, the details set out in Table 8 of
   Annex II of this Regulation. The details shall be those flagged as “both” in the last
   column of Table 8.
3. With regard to regulatory data, data contributors shall transmit to the data centre of
   CTP, by reference to each trading system, the details set out in Table 9 of Annex II. The details shall be those flagged as “both” in the last column of Table 9.” (3) the following Article 8a is inserted:
   “Article 8a
   Data to be disseminated by the CTP for OTC derivatives
4. With regard to core market data for a given OTC derivative, the CTP shall
   disseminate by reference to each transaction the details set out in Table 10 of Annex II of this Regulation. The details shall be those flagged as output or both in the last column of Table 10.
5. With regard to regulatory data relating to OTC derivatives, the CTP shall disseminate:
   (a) by reference to each financial instrument, the details set out in Table 8 of Annex II of this Regulation. The details shall be those flagged as output or both in the last column of Table 8. (b) by reference to each trading system, the details set out in Table 9 of Annex II of this Regulation. The details shall be those flagged as output or both in the last column of
   Table 9.”

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(4) the title of Annex II is replaced by the following:
“Regulatory data and post-trade core market data to be transmitted to and disseminated by the CTP for bonds, the CTP for shares and ETFS and the CTP for OTC derivatives according to Articles 5, 6, 6a, 7, 8, 8a.” (5) the title of Table 1 of Annex II is replaced by the following:
“Symbols used in Tables 2, 3, 4, 5, 6, 7, 8, 9 and 10.”
(6) Annex II is amended in accordance with the Annex to this Regulation.
Article 2
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 1 March 2027. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, [date] For the Commission The President

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Annex
Annex II to Delegated Regulation (EU) 2025/1155 is amended as follows:
(1) The following Tables 8, 9 and 10 are inserted:
Table 8
Regulatory data for OTC derivatives, per instrument # Field identifier Description Format Equivalent formats can be used, depending on the syntax used for data transmission Input /Output data field Instrument identificati on code Code used to identify the financial instrument The identification of the instrument shall be done in accordance with Commission Delegated Regulation (EU) 2025/1003 Both Instrument status start date and time Date and time from which the instrument status is valid. The level of granularity shall be in accordance with the requirements set out in Article 20 of this Regulation. {DATE_TIME_ FORMAT} Both 3 Currency Major currency in which the instrument is traded {CURRENCY CODE_3} Both Dissemina tion date and time Date and time when the instrument status is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in
Article 23 of this Regulation.
{DATE_TIME_
FORMAT}
Output

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Field identifier Description
Format
Equivalent formats can be used, depending on the syntax used for data transmission Input /Output data field Instrument status Description of the status of the financial instrument. The status of the financial instrument can be:
(1) suspended from trading, on the trading venue identified in the field “Trading venue”, in accordance with Articles 32 and 52 of Directive 2014/65/EU (2) removed from trading, on the trading venue identified in the field “Trading venue”, in accordance with Articles 32 and 52 of Directive 2014/65/EU (3) subject to a trading halt, on the trading venue identified in the field “Trading venue”, in accordance with Articles 18(5) and 48(5) of Directive 2014/65/EU (4) available for trading after a suspension, removal or halt. ‘SUSP’ – the instrument is suspended ‘REMV’ – the instrument is removed ‘HALT’ – the instrument is subject to a trading halt ‘ACTV’ - the instrument is available for trading after a suspension, removal or halt Both Trading venue Identification of the trading venue on which the instrument status is valid (segment MIC, where available, otherwise operating MIC). The trading venue is an MTF or an OTF. {MIC} Both Trading system Type of trading system on which the instrument is traded ‘CLOB’ - Central Limit Order Book ‘QDTS’ - Quote Driven Market ‘PATS’ - Periodic Auction Both

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Field identifier Description
Format
Equivalent formats can be used, depending on the syntax used for data transmission Input /Output data field ‘RFQT’ Request for Quotes ‘VOIC’ - Voice trading system ‘HYBR’ - Hybrid System ‘OTHR’ - Any Other
Table 9
Regulatory data for OTC derivatives, per order matching system

Field

identifie r
Description Format
Equivalent formats can be used, depending on the syntax used for data transmission Input /Output data field Trading venue Identification of the trading venue on which the system status is valid (segment MIC, where available, otherwise operating MIC). The trading venue is an MTF or an OTF. {MIC} Both

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Trading system
Type of trading system on which the system status is provided ‘CLOB’ - Central Limit Order Book ‘QDTS’ - Quote Driven Market ‘PATS’ - Periodic Auction ‘RFQT’ Request for Quotes ‘VOIC’ - Voice trading system ‘HYBR’ - Hybrid System ‘OTHR’ - Other Both System status start date and time Date and time from which the system status is valid The level of granularity shall be in accordance with the requirements set out in Article 20 of this Regulation. {DATE_TIME_ FORMAT} Both Dissemi nation date and time Date and time when the system status is disseminated by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 23 of this Regulation. {DATE_TIME_ FORMAT} Output Trading system status Status of the trading system on which the instrument is traded ‘ACTV’ – Active System ‘OTAG’ - Outage of the trading system ‘POTG’ - Partial outage of the trading system Both

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Table 10
Post-trade core market data for OTC derivatives # Field identifier Description and details to be published Type of executio n or publicati on venue Format to be populated as defined in Table Equivalent formats can be used, depending on the syntax used for data transmission Input /Output data field Trading date and time Field 1 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Instrument identification code Field 2 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both 3 Effective date Field 2a of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Expiration date Field 2b of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both 5 Price Field 3 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both 6 Missing Price Field 4 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583 Both Price currency Field 5 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Price notation Field 6 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both

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9 Quantity
Field 7 of Table 2 of Annex II of
Commission Delegated Regulation
(EU) 2017/583.
Both
10 Notional amount
Field 10 of Table 2 of Annex II of
Commission Delegated Regulation
(EU) 2017/583.
Both
11 Notional currency
Field 11 of Table 2 of Annex II of
Commission Delegated Regulation
(EU) 2017/583.
Both
12 Venue of execution
Field 13 of Table 2 of Annex II of
Commission Delegated Regulation
(EU) 2017/583.
Both
Third-country trading venue of execution
Field 14 of Table 2 of Annex II of
Commission Delegated Regulation
(EU) 2017/583.
Both
Date and
Time when the data contributor received the data Date and time when the transaction report was received by an APA. The level of granularity shall be in accordance with the requirements set out in Article 24 of this Regulation. APA {DATE_TIME_ FORMAT} Input Date and Time when the data contributor published the transaction Field 15 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both 16 Venue of publication Field 16 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both Transaction Identification Code Field 17 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both 18 Date and Time of reception by the CTP Date and time when the transaction was received by the CTP. The level of granularity shall be in accordance with the requirements set out in Article 23 of this Regulation. CTP {DATE_TIME_ FORMAT} Output

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Date and
Time of publication by the CTP
Date and time when the transaction was published by the CTP.
The level of granularity shall be in accordance with the requirements set out in Article 23 of this Regulation. CTP {DATE_TIME_ FORMAT} Output 20 Flags Field 19 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both 21 Suspicious Data Flag Data quality flag to be populated by the CTP when the APA or the CTP have identified trades that, in their view, might be subject to data quality issues. CTP TRUE or FALSE Output 22 Trading System Type Field 20 of Table 2 of Annex II of Commission Delegated Regulation (EU) 2017/583. Both