2017R0583_EN.I

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

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Article 19 – Entry into force and application ⬅️ | ➡️ Article II – Details of transactions to be made available to the public

Type of system

Description of system

Information to be made public

Continuous auction order book trading system

A system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis.

For each financial instrument, the aggregate number of orders and the volume they represent at each price level, for at least the five best bid and offer price levels.

Quote-driven trading system

A system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself.

For each financial instrument, the best bid and offer by price of each market maker in that instrument, together with the volumes attaching to those prices.

The quotes made public shall be those that represent binding commitments to buy and sell the financial instruments and which indicate the price and volume of financial instruments in which the registered market makers are prepared to buy or sell. In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time.

Periodic auction trading system

A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention.

For each financial instrument, the price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system.

Request-for-quote trading system

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

The quotes and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system’s rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable.

Voice trading system

A trading system where transactions between members are arranged through voice negotiation.

The bids and offers and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system’s rules.

Hybrid trading system

A system falling into two or more of the types of trading systems referred to in rows 1 to 5 of this Table.

For hybrid trading systems that combine different trading systems at the same time, the requirements correspond to the pre-trade trade transparency requirements applicable to each type of trading system that forms the hybrid system.

For hybrid trading systems that combine two or more trading systems subsequently, the requirements correspond to the pre-trade transparency requirements applicable to the respective trading system operated at a particular point in time.

Any other trading system

Any other type of trading system not covered by rows 1 to 6.

Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit.# Table 1 in anx_I

Type of system	Description of system	Information to be made public
Continuous auction order book trading system	A system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis.	For each financial instrument, the aggregate number of orders and the volume they represent at each price level, for at least the five best bid and offer price levels.
Quote-driven trading system	A system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself.	For each financial instrument, the best bid and offer by price of each market maker in that instrument, together with the volumes attaching to those prices.The quotes made public shall be those that represent binding commitments to buy and sell the financial instruments and which indicate the price and volume of financial instruments in which the registered market makers are prepared to buy or sell. In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time.
Periodic auction trading system	A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention.	For each financial instrument, the price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system.
Request-for-quote trading system	A trading system where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request.	The quotes and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system’s rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable.
Voice trading system	A trading system where transactions between members are arranged through voice negotiation.	The bids and offers and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system’s rules.
Hybrid trading system	A system falling into two or more of the types of trading systems referred to in rows 1 to 5 of this Table.	For hybrid trading systems that combine different trading systems at the same time, the requirements correspond to the pre-trade trade transparency requirements applicable to each type of trading system that forms the hybrid system.For hybrid trading systems that combine two or more trading systems subsequently, the requirements correspond to the pre-trade transparency requirements applicable to the respective trading system operated at a particular point in time.
Any other trading system	Any other type of trading system not covered by rows 1 to 6.	Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit.

Table 1 in anx_II

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

Table 2 in anx_II

#	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
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 2 of Commission Delegated Regulation (EU) 2017/574(1).For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies, as specified in fields 31, 34 and 44 of Table 2 of Annex I of Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second.Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 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.	Regulated Market (RM)Multilateral Trading Facility (MTF), Organised Trading Facility (OTF)Approved Publication Arrangement (APA)Consolidated tape provider (CTP)	{DATE_TIME_FORMAT}
2	Instrument identification code	For all financial instruments	Code used to identify the financial instrument	RM, MTF, OTF, APA, CTP	{ISIN}.
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, CTP	{DECIMAL-18/13} in case the price is expressed as monetary value{DECIMAL-11/10} in case the price is expressed as percentage or yield{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, CTP	‘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, CTP	{CURRENCYCODE_3}
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 yieldThe 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, CTP	‘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, CTP	{DECIMAL-18/17}
8	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, CTP	{DECIMAL-18/17}
9	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, CTP	‘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’— daysor{ALPHANUM-4} otherwise
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;(vi)  for emission allowances, with the resulting amount of the quantity at the relevant price set in the contract at the time of the transaction. Equivalently, with the price field multiplied by the quantity in measurement unit field;(vii)  for spread bets, with the monetary value wagered per point movement in the underlying financial instrument at the time of the transaction;(viii)  for contracts for difference, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field.	RM, MTF, OTF, APA, CTP	{DECIMAL-18/5}
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, CTP	{CURRENCYCODE_3}
12	Type	For emission allowances and emission allowance derivatives only	This field is only applicable for emission allowances and emission allowance derivatives.	RM, MTF, OTF, APA, CTP	‘EUAE’ — EUA‘CERE’ — CER‘ERUE’ — ERU‘EUAA’ — EUAA‘OTHR’ — Other
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 population of the field ‘Third-country trading venue of execution’ is required.	RM, MTF, OTF, APA, CTP	{MIC} – EU trading venues or‘SINT’ — systematic internaliser‘XOFF’ — otherwise
14	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, CTP	{MIC}
15	Publication Date and Time	For all financial instruments	Date and time when the transaction was published by a trading venue or APA.For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Delegated Regulation (EU) 2017/574.For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second.	RM, MTF, OTF, APA, CTP	{DATE_TIME_FORMAT}
16	Venue of publication	For all financial instruments	Code used to identify the trading venue and APA publishing the transaction.	CTP	Trading venue: {MIC}APA: {MIC} where available. Otherwise, 4 character code as published in the list of data reporting services providers on ESMA’s website.
17	Transaction Identification Code	For all financial instruments	Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580(2)) and APAs and used in any subsequent reference to the specific trade.The transaction identification code shall be unique, consistent and persistent per ISO 10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day.Where the APA does not use MICs, it shall be unique, consistent and persistent per 4-character code used to identify the APA per trading day.The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained	RM, MTF, OTF, APA, CTP	{ALPHANUMERICAL-52}
18	Transaction to be cleared	For derivatives	Code to identify whether the transaction will be cleared.	RM,MTF, OTF, APA, CTP	‘TRUE’ — transaction to be cleared‘FALSE’ — transaction not to be cleared
(1)Commission Delegated Regulation (EU) 2017/574 of 7 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the level of accuracy of business clocks (OJ L 87, 31.3.2017, p. 148).(2)Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (OJ L 87, 31.3.2017, p. 193).Delegated Regulation (EU) No 148/2013 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories.

Table 3 in anx_II

Flag	Name	Type of execution or publication venue	Description
‘BENC’	Benchmark transaction flag	RM, MTF, OTF, APA, CTP	Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price.
‘ACTX’	Agency cross transaction flag	APA, CTP	Transactions where an investment firm has brought together two clients’ orders with the purchase and the sale conducted as one transaction and involving the same volume and price.
‘NPFT’	Non-price forming transaction flag	RM, MTF, OTF, CTP	Non-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590.
‘LRGS’	Post-trade LIS transaction flag	RM, MTF, OTFAPACTP	Transactions executed under the post-trade large in scale deferral.
‘ILQD’	Illiquid instrument transaction flag	RM, MTF, OTF, APA, CTP	Transactions executed under the deferral for instruments for which there is not a liquid market.
‘SIZE’	Post-trade SSTI transaction flag	RM, MTF, OTFAPA, CTP	Transactions executed under the post-trade size specific to the instrument deferral.
‘TPAC’	Package transaction flag	RM, MTF, OTF, APA, CTP	Package transactions which are not exchange for physicals as defined in Article 1.
‘XFPH’	Exchange for physicals transaction flag	RM, MTF, OTF, APA, CTP	Exchange for physicals as defined in Article 1.
‘CANC’	Cancellation flag	RM, MTF, APA, CTP	When a previously published transaction is cancelled.
‘AMND’	Amendment flag	RM, MTF, APA, CTP	When a previously published transaction is amended.
‘PORT’	Portfolio trade flag	RM, MTF, APA, CTP	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 referred to in Article 1(1).

Table 4 in anx_II

SUPPLEMENTARY DEFERRAL FLAGS
Article 11(1)(a)(i).
‘FULF’
Article 11(1)(a)(ii).
‘FULA’
Article 11(1)(b)
‘FULV’
Article 11(1)(c)
‘FULJ’
Article 11(1)(d)
Consecutive use of Article 11(1)(b) and Article 11(2)(c) for sovereign debt instruments
‘COAF’

Table 5 in anx_II

Type of instrument	Volume
All bonds except ETCs and ETNs and structured finance products	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
ETCs and ETNs bond types	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Securitised derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Interest rate derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Foreign Exchange Derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Equity derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Commodity derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Credit derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Contract for differences	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
C10 derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Emission allowance derivatives	‘Quantity in measurement unit’ as per field 8 of Table 2 of Annex II of this Regulation.
Emission allowances	‘Quantity in measurement unit’ as per field 8 of Table 2 of Annex II of this Regulation.

Table 1 in anx_III

Asset class — Bonds (all bond types except ETCs and ETNs)
Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria on a cumulative basis
Average daily notional amount[quantitative liquidity criteria 1]
EUR 100 000
15

Table 2 in anx_III

Asset class — Bonds (all bond types except ETCs and ETNs)
Each individual bond shall be determined not to have a liquid market as per Article 13(18) if it is characterised by a specific combination of bond type and issuance size as specified in each row of the table.
Bond Type
Sovereign BondRTS2#3 = BOND and RTS2#9 = EUSB
Other Public BondRTS2#3 = BOND and RTS2#9 = OEPB
Convertible BondRTS2#3 = BOND and RTS2#9 = CVTB
Covered BondRTS2#3 = BOND and RTS2#9 = CVDB
smaller than (in EUR)
Corporate BondRTS2#3 = BOND and RTS2#9 = CRPB
smaller than (in EUR)
Bond Type
Other BondRTS2#3 = BOND and RTS2#9 = OTHR
(1)Council Regulation (EC) No 2157/2001 of 8 October 2001 on the Statute for a European company (SE) (OJ L 294, 10.11.2001, p. 1).(2)Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).

Table 3 in anx_III

Asset class — Bonds (all bond types except ETCs and ETNs)
Bond Type
SSTI pre-trade
Trade — percentile
Sovereign Bond
30
Other Public Bond
30
Convertible Bond
30
Covered Bond
30
Corporate Bond
30
Other Bonds
30

Table 4 in anx_III

Bond type	Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
Average daily turnover (ADT)[quantitative liquidity criterion 1]	Average daily number of trades[quantitative liquidity criterion 2]
Exchange Traded Commodities (ETCs)- RTS2#3 = ETCSa debt instrument issued against a direct investment by the issuer in commodities or commodities derivative contracts. The price of an ETC is directly or indirectly linked to the performance of the underlying. An ETC passively tracks the performance of the commodity or commodity indices to which it refers.	EUR 500 000
Exchange Traded Notes (ETNs)- RTS2#3 = ETNSa debt instrument issued against a direct investment by the issuer in the underlying or underlying derivative contracts. The price of an ETN is directly or indirectly linked to the performance of the underlying. An ETN passively tracks the performance of the underlying to which it refers.	EUR 500 000

Table 5 in anx_III

Asset class — Bonds (ETC and ETN bond types)
Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined to have a liquid market
Bond type
Threshold value
ETCs
ETNs
Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined not to have a liquid market
Bond type
Threshold value
ETCs
ETNs

Table 6 in anx_III

Asset class – Structured Finance Products (SFPs)
Test 1 – SFPs asset-class assessment
SFPs asset-class assessment for the purpose of the determination of the financial instruments considered not to have a liquid market as per Articles 6 and 8(1), point (b) – RTS2#3 = SFPS
Transactions to be considered for the calculations of the values related to the quantitative liquidity criteria for the purpose of the SFPs asset-class assessment
Average daily notional amount (ADNA)[quantitative liquidity criterion 1]
Transactions executed in all SFPs
Test 2 — SFPs not having a liquid market
If the values related to the quantitative liquidity criteria are both above the quantitative liquidity thresholds set for the purpose of the SFPs asset-class assessment, then Test 1 is passed and Test-2 shall be performed. Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
Average daily notional amount (ADNA)[quantitative liquidity criterion 1]
EUR 100 000

Table 7 in anx_III

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

Table 8 in anx_III

Asset class — Structured Finance Products (SFPs)
Transactions to be considered for the calculation of the thresholds
SSTI pre-trade
Trade — percentile
Transactions executed in all SFPs determined to have a liquid market
30

Table 9 in anx_III

Pre-trade and post-trade SSTI and LIS thresholds for SFPs determined not to have a liquid market if Test 1 is passed
SSTI pre-trade
Threshold value
EUR 100 000

Table 10 in anx_III

Asset class – Securitised Derivatives
means a transferable security as defined in Article 4(1)(44)(c) of Directive 2014/65/EU different from structured finance products and shall include at least:
(a.1)  plain vanilla covered warrants which mean securities issued by a financial institution giving the holder the right, but not the obligation, to(a)  purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or(b)  sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer;(a.2)  warrants which mean securities issued by the same issuer of the underlying asset giving the holder the right, but not the obligation, to(a)  purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or(b)  sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer;(b)  leverage certificates means certificates that track the performance of the underlying asset with leverage effect;(c)  exotic covered warrants means covered warrants whose main component is a combination of options;(d)  negotiable rights whose underlying is a non-equity instrument;(e)  investment certificates means certificates that track the performance of the underlying asset without leverage effect.
RTS2#3 = SDRV
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied
all securitised derivatives are considered to have a liquid market

Table 11 in anx_III

Asset class — Securitised Derivatives
Pre-trade and post-trade SSTI and LIS thresholds
SSTI pre-trade
Threshold value
EUR 50 000

Table 12 in anx_III

Asset class – Interest Rate Derivatives
any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan.
Sub-asset class
Average daily notional amount (ADNA)[quantitative liquidity criterion 1]
Bond futures/forwards/ Future on a bond future/ Forward on a bond futureFuture on a bondRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = FUTRRTS2#16 = BONDorForward on a bondRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = FORWRTS2#16 = BONDorFuture on a bond futureRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = FUTRRTS2#16 = BNFDorForward on a bond futureRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = FORWRTS2#16 = BNFD
Bond Option/ Option on a bond option/ Option on a bond futureBond OptionOption on a bond optionRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = OPTNRTS2#16 = BONDorOption on a bond optionRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = OPTNRTS2#16 = BONDorOption on a bond futureRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = OPTNRTS2#16 = BNFD
IR futures and FRA/ Future on an interest rate future/ Forward rate agreement on an interest rate futureFuture on an interest rateRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = FUTRRTS2#16 = INTRorForward rate agreementRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = FRASRTS2#16 = INTRorFuture on an interest rate futureRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = FUTRRTS2#16 = IFUTorForward rate agreement on an interest rate futureRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = FRASRTS2#16 = IFUT
IR options/Option on an interest rate future/FRA/Option on an interest rate option/Option on an option on an interest rate future/FRAOption on an interest rate future/FRA//‘Option on an interest rate optionRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = OPTNRTS2#16 = IFUTorIR Option //‘Option on an option on an interest rate future/FRARTS2#3 = DERVRTS2#4 = INTRRTS2#5 = OPTNRTS2#16 = INTR
SwaptionsRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = SWPT
Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and the cash flows of one leg are determined by a fixed interest rate and the cash flows of the other leg are determined by a floating interest rate.RTS2#3 = DERVRTS2#4 = INTRRTS2#5 = SWAP or FONS or FWOS or OPTSRTS2#16 = XFMC
Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by floating interest ratesRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = SWAP or FONS or FWOS or OPTSRTS2#16 = FFMC
Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by fixed interest ratesRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = SWAP or FONS or FWOS or OPTSRTS2#16 = XXMC
Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/options on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rateRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = SWAP or FONS or FWOS or OPTSRTS2#16 = OSMC
Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an inflation rateRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = SWAP or FONS or FWOS or OPTSRTS2#16 = IFMC
Fixed-to-Float ‘single currency swaps’ and futures/forwards/ options on Fixed-to-Float ‘single currency swaps’a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and the cash flows of one leg are determined by a fixed interest rate while those of the other leg are determined by a floating interest rateRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = SWAP or FONS or FWOS or OPTSRTS2#16 = XFSC
Float-to-Float ‘single currency swaps’ and futures/forwards/ options on Float-to-Float ‘single currency swaps’a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by floating interest ratesRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = SWAP or FONS or FWOS or OPTSRTS2#16 = FFSC
Fixed-to-Fixed ‘single currency swaps’ and futures/forwards/ options on Fixed-to-Fixed ‘single currency swaps’a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by fixed interest ratesRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = SWAP or FONS or FWOS or OPTSRTS2#16 = XXSC
Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards/ options on Overnight Index Swap (OIS) ‘single currency swaps’a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rateRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = SWAP or FONS or FWOS or OPTSRTS2#16 = OSSC
Inflation ‘single currency swaps’ and futures/forwards/ options on Inflation ‘single currency swaps’a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an inflation rateRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = SWAP or FONS or FWOS or OPTSRTS2#16 = IFSC
Asset class — Interest Rate Derivatives
Sub-asset class
Other Interest Rate Derivativesan interest rate derivative that does not belong to any of the above sub-asset classesRTS2#3 = DERVRTS2#4 = INTRRTS2#5 = OTHR

Table 13 in anx_III

Asset class — Interest Rate Derivatives
Sub-asset class
Transactions to be considered for the calculations of the thresholds
Trade — percentile
Bond futures/forwards
30
Bond options
30
IR futures and FRA
30
IR options
30
Swaptions
30
Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’
30
Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’
30
Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’
30
Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’
30
Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’
30
Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’
30
Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’
30
Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’
30
Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’
30
Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’
30

Table 14 in anx_III

Asset class — Interest Rate Derivatives
Sub-asset class
SSTI pre-trade
Threshold value
Bond futures/forwards
Bond options
IR futures and FRA
IR options
Swaptions
Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’
Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’
Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’
Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’
Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’
Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’
Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’
Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’
Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’
Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’
Other Interest Rate Derivatives

Table 15 in anx_III

Asset class – Equity Derivatives
any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to:(a)  one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments;(b)  an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments
Sub-asset class
Stock index optionsan option whose underlying is an index composed of sharesRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = OPTNRTS2#27 = STIXRTS23#26 or if null RTS23#28
Stock index futures/forwardsa future/forward whose underlying is an index composed of sharesRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = FUTR or FORWRTS2#27 = STIXRTS23#26 or if null RTS23#28
Stock optionsan option whose underlying is a share or a basket of shares resulting from a corporate actionRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = OPTNRTS2#27 = SHRSRTS23#26 or if null RTS23#28
Stock futures/forwardsa future/forward whose underlying is a share or a basket of shares resulting from a corporate actionRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = FUTR or FORWRTS2#27 = SHRSRTS23#26 or if null RTS23#28
Stock dividend optionsan option on the dividend of a specific shareRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = OPTNRTS2#27 = DVSERTS23#26 or if null RTS23#28
Stock dividend futures/forwardsa future/forward on the dividend of a specific shareRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = FUTR or FORWRTS2#27 = DVSERTS23#26 or if null RTS23#28
Dividend index optionsan option on an index composed of dividends of more than one shareRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = OPTNRTS2#27 = DIVIRTS23#26 or if null RTS23#28
Dividend index futures/forwardsa future/forward on an index composed of dividends of more than one shareRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = FUTR or FORWRTS2#27 = DIVIRTS23#26 or if null RTS23#28
Volatility index optionsan option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instrumentsRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = OPTNRTS2#27 = VOLIRTS23#26 or if null RTS23#28
Volatility index futures/forwardsa future/forward whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instrumentsRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = FUTR or FORWRTS2#27 = VOLIRTS23#26 or if null RTS23#28
ETF optionsan option whose underlying is an ETFRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = OPTNRTS2#27 = ETFSRTS23#26 or if null RTS23#28
ETF futures/forwardsa future/forward whose underlying is an ETFRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = FUTR or FORWRTS2#27 = ETFSRTS23#26 or if null RTS23#28
Sub-asset class
Average daily notional amount (ADNA)[quantitative liquidity criterion 1]
SwapsRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = SWAP
Price return basic performance parameter
Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
Portfolio SwapsRTS2#3 = DERVRTS2#4 = EQUI’RTS2#5 = PSWP
Sub-asset class
Other equity derivativesan equity derivative that does not belong to any of the above sub-asset classesRTS2#3 = DERVRTS2#4 = EQUIRTS2#5 = OTHR’

Table 16 in anx_III

Asset class — Equity Derivatives
Sub-asset class
Average daily notional amount (ADNA)
Threshold value
Stock index options
EUR 100 million ≤ ADNA < EUR 200 million
EUR 200 million ≤ ADNA < EUR 600 million
ADNA ≥ EUR 600 million
Stock index futures/forwards
EUR 100 million ≤ ADNA < EUR 1 billion
EUR 1 billion ≤ ADNA < EUR 3 billion
EUR 3 billion ≤ ADNA < EUR 5 billion
ADNA ≥ EUR 5 billion
Stock options
EUR 5 million ≤ ADNA < EUR 10 million
EUR 10 million ≤ ADNA < EUR 20 million
ADNA ≥ EUR 20 million
Stock futures/forwards
EUR 5 million ≤ ADNA < EUR 10 million
EUR 10 million ≤ ADNA < EUR 20 million
ADNA ≥ EUR 20 m
Stock dividend options
EUR 5 million ≤ ADNA < EUR 10 million
EUR 10 million ≤ ADNA < EUR 20 million
ADNA ≥ EUR 20 million
Stock dividend futures/forwards
EUR 5 million ≤ ADNA < EUR 10 million
EUR 10 million ≤ ADNA < EUR 20 million
ADNA ≥ EUR 20 million
Dividend index options
EUR 100 million ≤ ADNA < EUR 200 million
EUR 200 million ≤ ADNA < EUR 600 million
ADNA ≥ EUR 600 million
Dividend index futures/forwards
EUR 100 million ≤ ADNA < EUR 1 billion
EUR 1 billion ≤ ADNA < EUR 3 billion
EUR 3 billion ≤ ADNA < EUR 5 billion
ADNA ≥ EUR 5 billion
Volatility index options
EUR 100 million ≤ ADNA < EUR 200 million
EUR 200 million ≤ ADNA < EUR 600 million
ADNA ≥ EUR 600 million
Volatility index futures/forwards
EUR 100 million ≤ ADNA < EUR 1 billion
EUR 1 billion ≤ ADNA < EUR 3 billion
EUR 3 billion ≤ ADNA < EUR 5 billion
ADNA ≥ EUR 5 billion
ETF options
EUR 5 million ≤ ADNA < EUR 10 million
EUR 10 million ≤ ADNA < EUR 20 million
ADNA ≥ EUR 20 million
ETF futures/forwards
EUR 5 million ≤ ADNA < EUR 10 million
EUR 10 million ≤ ADNA < EUR 20 million
ADNA ≥ EUR 20 million
Swaps
EUR 100 million ≤ ADNA < EUR 200 million
ADNA ≥ EUR 200 million
Price return basic performance parameter
Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
Portfolio Swaps
EUR 100 million ≤ ADNA < EUR 200 million
ADNA ≥ EUR 200 million
Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years

Table 17 in anx_III

Asset class — Equity Derivatives
Sub-asset class
SSTI pre-trade
Threshold value
Swaps
Portfolio Swaps
Other equity derivatives

Table 18 in anx_III

Asset class — Commodity Derivatives
Sub-asset class
Average daily notional amount (ADNA)[quantitative liquidity criterion 1]
Metal commodity futures/forwardsRTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and [RTS2#5 = ‘FUTR’ or ‘FORW’]
Precious metals
Maturity bucket 1: 0 < time to maturity ≤ 3 months
Maturity bucket 2: 3 months < time to maturity ≤ 1 year
Maturity bucket 3: 1 year < time to maturity ≤ 2 years
Maturity bucket 4: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m:(n-1) years < time to maturity ≤ n years
Metal commodity optionsRTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘OPTN’
Precious metals
Maturity bucket 1: 0 < time to maturity ≤ 3 months
Maturity bucket 2: 3 months < time to maturity ≤ 1 year
Maturity bucket 3: 1 year < time to maturity ≤ 2 years
Maturity bucket 4: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
Metal commodity swapsRTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘SWAP’
Precious metals
Maturity bucket 1: 0 < time to maturity ≤ 3 months
Maturity bucket 2: 3 months < time to maturity ≤ 1 year
Maturity bucket 3: 1 year < time to maturity ≤ 2 years
Maturity bucket 4: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m:(n-1) years < time to maturity ≤ n years
Energy commodity futures/forwardsRTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and [RTS2#5 = ‘FUTR’ or ‘FORW’]
Oil/ Distillates/ Light ends
Maturity bucket 1: 0 < time to maturity ≤ 4 months
Maturity bucket 2: 4 months < time to maturity ≤ 8 months
Maturity bucket 3: 8 months < time to maturity ≤ 1 year
Maturity bucket 4: 1 year < time to maturity ≤ 2 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
Energy commodity optionsRTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘OPTN’
Oil/Distillates/Light ends
Maturity bucket 1: 0 < time to maturity ≤ 4 months
Maturity bucket 2: 4 months < time to maturity ≤ 8 months
Maturity bucket 3: 8 months < time to maturity ≤ 1 year
Maturity bucket 4: 1 year < time to maturity ≤ 2 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
Energy commodity swapsRTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘SWAP’
Oil/Distillates/Light ends
Maturity bucket 1: 0 < time to maturity ≤ 4 months
Maturity bucket 2: 4 months < time to maturity ≤ 8 months
Maturity bucket 3: 8 months < time to maturity ≤ 1 year
Maturity bucket 4: 1 year < time to maturity ≤ 2 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
Agricultural commodity futures/forwardsRTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and [RTS2#5 = ‘FUTR’ or ‘FORW’]
Agricultural commodity optionsRTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and RTS2#5 = ‘OPTN’
Agricultural commodity swapsRTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and RTS2#5 = ‘SWAP’
Sub-asset class
Other commodity derivatives
a commodity derivative that does not belong to any of the above sub-asset classes

Table 19 in anx_III

Asset class — Commodity Derivatives
Sub-asset class
Transactions to be considered for the calculations of the thresholds
Trade — percentile
Metal commodity futures/forwards
30
Metal commodity options
30
Metal commodity swaps
30
Energy commodity futures/forwards
30
Energy commodity options
30
Energy commodity swaps
30
Agricultural commodity futures/forwards
30
Agricultural commodity options
30
Agricultural commodity swaps
30

Table 20 in anx_III

Asset class — Commodity Derivatives
Sub-asset class
SSTI pre-trade
Threshold value
Metal commodity futures/forwards
Metal commodity options
Metal commodity swaps
Energy commodity futures/forwards
Energy commodity options
Energy commodity swaps
Agricultural commodity futures/forwards
Agricultural commodity options
Agricultural commodity swaps
Other commodity derivatives

Table 21 in anx_III

Asset class — Foreign Exchange Derivatives
a financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EU
Sub-asset class
Average daily notional amount (ADNA)[quantitative liquidity criterion 1]
Non-deliverable forward (NDF)means a forward that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.RTS2#3 = DERVRTS2#4 = CURRRTS2#5 = FORWRTS2#26 = NDLV
Deliverable forward (DF)means a forward that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.RTS2#3 = DERVRTS2#4 = CURR’RTS2#5 = FORWRTS2#26 = DLVB
Non-Deliverable FX options (NDO)means an option that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.RTS2#3 = DERVRTS2#4 = CURR’RTS2#5 = OPTNRTS2#26 = NDLV
Deliverable FX options (DO)means an option that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.RTS2#3 = DERVRTS2#4 = CURRRTS2#5 = OPTNRTS2#26 = DLVB
Non-Deliverable FX swaps (NDS)means a swap that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.RTS2#3 = DERVRTS2#4 = CURR’RTS2#5 = SWAPRTS2#26 = NDLV
Deliverable FX swaps (DS)means a swap that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.RTS2#3 = DERVRTS2#4 = CURRRTS2#5 = SWAPRTS2#26 = DLVB
FX futuresRTS2#3 = DERVRTS2#4 = CURR’RTS2#5 = FUTR
Asset class — Foreign Exchange Derivatives
Sub-asset class
Other Foreign Exchange Derivativesan FX derivative that does not belong to any of the above sub-asset classesRTS2#3 = DERVRTS2#4 = CURRRTS2#5 = OTHR

Table 22 in anx_III

Asset class — Foreign Exchange Derivatives
Sub-asset class
SSTI pre-trade
Threshold value
Non-deliverable forward (NDF)
Deliverable forward (DF)
Non-Deliverable FX options (NDO)
Deliverable FX options (DO)
Non-Deliverable FX swaps (NDS)
Deliverable FX swaps (DS)
FX futures
Other Foreign Exchange Derivatives

Table 23 in anx_III

Asset class — Credit Derivatives
Sub-asset class
Average daily notional amount (ADNA)[quantitative liquidity criterion 1]
Index credit default swap (CDS)a swap whose exchange of cash flows is linked to the creditworthiness of several issuers of financial instruments composing an index and the occurrence of credit eventsRTS2#3 = DERVRTS2#4 = CRDT
Single name credit default swap (CDS)a swap whose exchange of cash flows is linked to the creditworthiness of one issuer of financial instruments and the occurrence of credit eventsRTS2#3 = DERVRTS2#4 = CRDT
Sub-asset class
CDS index optionsan option whose underlying is a CDS indexRTS2#3 = DERVRTS2#4 = CRDT
Single name CDS optionsan option whose underly-ing is a single name CDSRTS2#3 = DERVRTS2#4 = CRDT
Asset class — Credit Derivatives
Sub-asset class
Other credit derivativesa credit derivative that does not belong to any of the above sub-asset classesRTS2#3 = DERVRTS2#4 = CRDTRTS2#5 = OTHR

Table 24 in anx_III

Asset class — Credit Derivatives
Sub-asset class
Transactions to be considered for the calculations of the thresholds
Trade — percentile
Index credit default swap (CDS)
30
Single name credit default swap (CDS)
30
CDS index options
30
Single name CDS options
30

Table 25 in anx_III

Asset class — Credit Derivatives
Sub-asset class
SSTI pre-trade
Threshold value
Index credit default swap (CDS)
Single name credit default swap (CDS)
CDS index options
Single name CDS options
Other credit derivatives

Table 26 in anx_III

Asset class — C10 Derivatives
Sub-asset class
Average daily notional amount (ADNA)[quantitative liquidity criterion 1]
Freight derivativesa financial instrument relating to freight rates as defined in Section C(10) of Annex I of Directive 2014/65/EURTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘FRGT’
Asset class — C10 Derivatives
Sub-asset class
Other C10 derivativesa financial instrument as defined in Section C(10) of Annex I of Directive 2014/65/EU which is not a ‘Freight derivative’, any of the following interest rate derivatives sub-asset classes: ‘Inflation multi-currency swap or cross-currency swap’, a ‘Future/forward on inflation multi-currency swaps or cross-currency swaps’, an ‘Inflation single currency swap’, a ‘Future/forward on inflation single currency swap’ and any of the following equity derivatives sub-asset classes: a ‘Volatility index option’, a ‘Volatility index future/forward’, a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility

Table 27 in anx_III

Asset class — C10 Derivatives
Sub-asset class
Transactions to be considered for the calculations of the thresholds
Trade — percentile
Freight derivatives
30

Table 28 in anx_III

Asset class — C10 Derivatives
Sub-asset class
SSTI pre-trade
Threshold value
Freight derivatives
Other C10 derivatives

Table 29 in anx_III

Sub-asset class	For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below	Qualitative liquidity criterion	Average daily notional amount (ADNA)[quantitative liquidity criterion 1]	Average daily number of trades[quantitative liquidity criterion 2]
Currency CFDsRTS2#3 = DERVRTS2#5 = CFDSRTS2#29 = CURR	a currency CFD sub-class is defined by the underlying currency pair defined as combination of the two currencies underlying the CFD/spread betting contract.RTS2#30 and RTS2#31		EUR 50 000 000	100
Commodity CFDsRTS2#3 = DERVRTS2#5 = CFDSRTS2#29 = COMM	a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contractRTS23#35 and RTS23#36 and RTS23#37		EUR 50 000 000	100
Equity CFDsRTS2#3 = DERVRTS2#5 = CFDSRTS2#29 = EQUI	an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contractRTS23#26	an equity CFD sub-class is considered to have a liquid market if the underlying is an equity security for which there is a liquid market as determined in accordance with Article 2(1)(17)(b) of Regulation (EU) No 600/2014
Bond CFDsRTS2#3 = DERVRTS2#5 = CFDSRTS2#29 = BOND	a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contractRTS23#26	a bond CFD sub-class is considered to have a liquid market if the underlying is a bond or bond future for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).
CFDs on an equity future/forwardRTS2#3 = DERVRTS2#5 = CFDSRTS2#29 = FTEQ	a CFD on an equity future/forward sub-class is defined by the underlying future/forward on an equity of the CFD/spread betting contractRTS23#26	a CFD on an equity future/forward sub-class is considered to have a liquid market if the underlying is an equity future/forward for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).
CFDs on an equity optionRTS2#3 = DERVRTS2#5 = CFDSRTS2#29 = OPEQ	a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contractRTS23#26	a CFD on an equity option sub-class is considered to have a liquid market if the underlying is an equity option for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).
Asset class – Financial contracts for differences (CFDs)
Sub-asset class	For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied
Other CFDs
a CFD/spread betting that does not belong to any of the above sub-asset classesRTS2#3 = DERVRTS2#5 = CFDSRTS2#29 = OTHR	any other CFD/spread betting is considered not to have a liquid market

Table 30 in anx_III

Asset class — Financial contracts for differences (CFDs)
Sub-asset class
Transactions to be considered for the calculations of the thresholds
Trade — percentile
Currency CFDs
30
Commodity CFDs
30
Equity CFDs
30
Bond CFDs
30
CFDs on an equity future/forward
30
CFDs on an equity option
30

Table 31 in anx_III

Asset class — Financial contracts for differences (CFDs)
Sub-asset class
SSTI pre-trade
Threshold value
Currency CFDs
Commodity CFDs
Equity CFDs
Bond CFDs
CFDs on an equity future/forward
CFDs on an equity option
Other CFDs/spread betting

Table 32 in anx_III

Asset class — Emission Allowances
Sub-asset class
Average Daily Amount (ADA)[quantitative liquidity criterion 1]
European Union Allowances (EUA)any unit recognised for compliance with the requirements of Directive 2003/87/EC of the European Parliament and of the Council(1)(Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)RTS2#3 = EMAL and RTS2#11 = EUAE
European Union Aviation Allowances (EUAA)any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) from aviationRTS2#3 = EMAL and RTS2#11 = EUAA
Certified Emission Reductions (CER)any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)RTS2#3 = EMAL and RTS2#11 = CERE
Emission Reduction Units (ERU)any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)RTS2#3 = EMAL and RTS2#11 = ERUE
Other Emission Allowancesan emission allowance which is an emission allowance recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) or an Emission Reduction Units (ERU)RTS2#3 = EMAL and RTS2#11 = OTHR
(1)Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 establishing a scheme for greenhouse gas emission allowance trading within the Community and amending Council Directive 96/61/EC (JO L 275, 25.10.2003, p. 32).

Table 33 in anx_III

Asset class — Emission Allowances
Sub-asset class
SSTI pre-trade
Trade — percentile
European Union Allowances (EUA)
30
European Union Aviation Allowances (EUAA)
30
Certified Emission Reductions (CER)
30
Emission Reduction Units (ERU)
30

Table 34 in anx_III

Asset class — Emission Allowances
Sub-asset class
SSTI pre-trade
Threshold value
European Union Allowances (EUA)
European Union Aviation Allowances (EUAA)
Certified Emission Reductions (CER)
Emission Reduction Units (ERU)

Table 35 in anx_III

	Asset class — Emission Allowance Derivatives
Sub-asset class	Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
Average Daily Amount (ADA)[quantitative liquidity criterion 1]	Average daily number of trades[quantitative liquidity criterion 2]
Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EURTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAE	150 000 tonnes of Carbon Dioxide Equivalent
Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)a financial instrument relating to emission allowances of the type European Union Aviation Allowances (EUAA) as defined in Section C(4) of Annex I of Directive 2014/65/EURTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAA	150 000 tonnes of Carbon Dioxide Equivalent
Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)a financial instrument relating to emission allowances of the type Certified Emission Reductions (CER) as defined in Section C(4) of Annex I of Directive 2014/65/EURTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = CERE	150 000 tonnes of Carbon Dioxide Equivalent
Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)a financial instrument relating to emission allowances of the type Emission Reduction Units (ERU) as defined in Section C(4) of Annex I of Directive 2014/65/EURTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = ERUE	150 000 tonnes of Carbon Dioxide Equivalent
Other Emission allowance derivativesan emission allowance derivative whose underlying is an emission allowances recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU)RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = OTHR	any other emission allowance derivative is considered not to have a liquid market

Table 36 in anx_III

Asset class — Emission Allowance Derivatives
Sub-asset class
SSTI pre-trade
Trade — percentile
Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)
30
Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)
30
Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)
30
Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)
30

Table 37 in anx_III

Asset class — Emission Allowance Derivatives
Sub-asset class
SSTI pre-trade
Threshold value
Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)
Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)
Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)
Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)
Other Emission allowance derivatives

Table 1 in anx_IV

SYMBOL	DATA TYPE	DEFINITION
{ALPHANUM-n}	Up to n alphanumerical characters	Free text field
{DECIMAL-n/m}	Decimal number of up to n digits, of which up to m digits can be fraction digits	Numerical field for both positive and negative values:1.  decimal separator is ‘.’ (full stop);2.  the number may be prefixed with ‘-’ (minus) to indicate negative numbers.Where applicable, values shall be rounded and not truncated.
{COUNTRYCODE_2}	2 alphanumerical characters	2-letter country code, as defined by ISO 3166-1 alpha-2 country code
{CURRENCYCODE_3}	3 alphanumerical characters	3-letter currency code, as defined by ISO 4217 currency codes
{DATEFORMAT}	ISO 8601 date format	Dates shall be presented in the following format:YYYY-MM-DD
{ISIN}	12 alphanumerical characters	ISIN code, as defined in ISO 6166
{LEI}	20 alphanumerical characters	Legal entity identifier as defined in ISO 17442
{MIC}	4 alphanumerical characters	Market identifier as defined in ISO 10383
{EIC}	16 alphanumerical characters	an EIC code pertaining to a delivery point within or outside the European Union
{INDEX}	4 alphabetic characters	‘EONA’ — EONIA‘EONS’ — EONIA SWAP‘EURI’ — EURIBOR‘EUUS’ — EURODOLLAR‘EUCH’ — EuroSwiss‘GCFR’ — GCF REPO‘ISDA’ — ISDAFIX‘LIBI’ — LIBID‘LIBO’ — LIBOR‘MAAA’ — Muni AAA‘PFAN’ — Pfandbriefe‘TIBO’ — TIBOR‘STBO’ — STIBOR‘BBSW’ — BBSW‘JIBA’ — JIBAR‘BUBO’ — BUBOR‘CDOR’ — CDOR‘CIBO’ — CIBOR‘MOSP’ — MOSPRIM‘NIBO’ — NIBOR‘PRBO’ — PRIBOR‘TLBO’ — TELBOR‘WIBO’ — WIBOR‘TREA’ — Treasury‘SWAP’ — SWAP‘FUSW’ — Future SWAP

Table 2 in anx_IV

#	FIELD	DETAILS TO BE REPORTED	FORMAT FOR REPORTING
1	Instrument identification code	Code used to identify the financial instrument	{ISIN}
2	Instrument full name	Full name of the financial instrument	{ALPHANUM-350}
3	MiFIR identifier	Identification of non-equity financial instruments:Securitised derivativesas defined in Table 4.1 in Section 4 of Annex IIIStructured Finance Products (SFPs)as defined in Article 2(1)(28) of Regulation (EU) No 600/2014Bonds (for all bonds except ETCs and ETNs)as defined in Article 4(1)(44)(b) of Directive 2014/65/EUETCsas defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex IIIETNsas defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex IIIEmission allowancesas defined in Table 12.1 of Section 12 of Annex IIIDerivativeas defined in Annex I, Section C (4) to (10) of Directive 2014/65/EU	Non-equity financial instruments:‘SDRV’ — Securitised derivatives‘SFPS’ — Structured Finance Products (SFPs)‘BOND’ — Bonds‘ETCS’ — ETCs‘ETNS’ — ETNs‘EMAL’ — Emission Allowances‘DERV’ — Derivative
4	Asset class of the underlying	To be populated when the MiFIR identifier is a securitised derivative or a derivative.	‘INTR’ — Interest rate‘EQUI’ — Equity‘COMM’ — Commodity‘CRDT’ — Credit‘CURR’ — Currency‘EMAL’ — Emission Allowances‘OCTN’ — Other C10
5	Contract type	To be populated when the MiFIR identifier is a derivative.	‘OPTN’ — Options‘FUTR’ — Futures (including — Forward Freight Agreements (FFAs))‘FRAS’ — Forward Rate Agreement (FRA)‘FORW’ — Forwards‘SWAP’ — Swaps‘PSWP’ — Portfolio Swaps‘SWPT’ — Swaptions‘OPTS’ — Option on a swap‘FONS’ — Futures on a swap‘FWOS’ — Forwards on a swap‘SPDB’ — Spread betting ‘CFDS’ — CFD‘OTHR’ — Other
6	Reporting day	Day for which the reference data is provided	{DATEFORMAT}
7	Trading venue	Segment MIC for the trading venue, where available, otherwise operating MIC.	{MIC}
8	Maturity	Defined maturity of the financial instrument. Field applicable for the asset classes of bonds, Interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives C10 derivatives and derivatives on emission allowances.	{DATEFORMAT}

Table 3 in anx_IV

9	Bond type	Bond type as specified in Table 2.2 of Section 2 of Annex III. To be populated only when the MiFIR identifier is equal to bonds.	‘EUSB’ — Sovereign Bond‘OEPB’ — Other Public Bond‘CVTB’ — Convertible Bond‘CVDB’ — Covered Bond‘CRPB’ — Corporate Bond‘OTHR’ — Other
10	Issuance date	Date on which a bond is issued and begins to accrue interest.	{DATEFORMAT}

Table 4 in anx_IV

11	Emissions Allowances sub type	Emissions Allowances	‘CERE’ — CER‘ERUE’ — ERU‘EUAE’ — EUA‘EUAA’ — EUAA‘OTHR’ — Other

Table 5 in anx_IV

12	Specification of the size related to the freight sub-type	To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight.	For dry freight:‘CAPE’ — Capesize‘PNMX’ — Panamax‘SPMX’ — Supramax‘HAND’ — HandysizeFor wet freight:‘CLAN’ — Clean‘DRTY’ — Dirty{ALPHANUM-4} otherwise
13	Specific route or time charter average	To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight.	For wet freight:‘TD7’ — TD7‘TD8’ — TD8‘TD17’ — TD17‘TD19’ — TD19‘TD20’ — TD20‘BLPG1’ — BLPG1‘TD3C’ — TD3C‘TC2’ — TC2‘TC2_37’ — TC2_37‘TD3’ — TD3‘TC5’ — TC5‘TC6’ — TC6‘TC7’ — TC7‘TC9’ — TC9‘TC12’ — TC12‘TC14’ — TC14‘TC15’ — TC15For dry freight:‘4TC’ — 4TC‘5TC’ — 5TC‘6TC’ — 6TC‘10TC’ — 10TC‘C3’ — C3‘C5’ — C5‘C7’ — C7‘P1A’ — P1A‘P2A’ — P2A‘P3A’ — P3A‘P1E’ — P1E‘P2E’ — P2E‘P3E’— P3E{ALPHANUM-6} otherwise
14	Delivery/cash settlement location	To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to energy.	{EIC} for electricity or natural gas‘OTHR’ — Other
15	Notional currency	Currency in which the notional is denominated.	{CURRENCYCODE_3}

Table 6 in anx_IV

16	Underlying type	To be populated for contract type different from swaps, swaptions, futures on a swap and forwards on a swap with one of the following alternatives***********************************************************To be populated for the contract types of swaps, swaptions, options on a swap, futures on a swap and forwards on a swap with regard to the underlying swap with one of the following alternatives	‘BOND’ — Bond‘BNDF’ — Bond Futures ‘INTR’ — Interest rate‘IFUT’ — Interest rate Futures*****************************‘FFMC’ — FLOAT TO FLOAT MULTI-CURRENCY SWAPS‘XFMC’ — FIXED TO FLOAT MULTI-CURRENCY SWAPS‘XXMC’ — FIXED TO FIXED MULTI-CURRENCY SWAPS‘OSMC’ — OIS MULTI-CURRENCY SWAPS‘IFMC’ — INFLATION MULTI- CURRENCY SWAPS‘FFSC’ — FLOAT TO FLOAT SINGLE-CURRENCY SWAPS‘XFSC’ — FIXED TO FLOAT SINGLE-CURRENCY SWAPS‘XXSC’ — FIXED TO FIXED SINGLE-CURRENCY SWAPS‘OSSC’ — OIS SINGLE-CUR- RENCY SWAPS‘IFSC’ — INFLATION SINGLE- CURRENCY SWAPS
17	Issuer of the underlying bond	To be populated when the underlying type is a bond or a bond future with the legal entity identifier code (LEI) of the issuer of the direct or ultimate underlying bond.	{LEI}
18	Maturity date of the underlying bond	To be populated with the date of the defined maturity of the underlying bond.	{DATEFORMAT}
19	Issuance date of the under- lying bond	To be populated with the issuance date of the underlying bond.	{DATEFORMAT}
20	Notional currency of the swaption	To be populated for swaptions only.	{CURRENCYCODE_3}
21	Maturity of the underlying swap	To be populated for swaptions, options on swaps, futures on swaps and for- wards on a swap only.	{DATEFORMAT}
22	Inflation index ISIN code/ISIN code of the underlying bond	In case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap; whenever the inflation index has an ISIN, the field has to be populated with the ISIN code for that index.**********************************************************In case of Bond Options/ Options on a bond option/ Options on a bond future, the field has to be populated with the ISIN code of the ultimate underlying bond.	{ISIN}*****************{ISIN}
23	Inflation index name	To be populated with standardised name of the index in case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/ forwards on inflation multi-currency swap.	{ALPHANUM-25}
24	Reference rate	Name of the reference rate.	{INDEX}or{ALPHANUM-25}- if the reference rate is not included in the {INDEX} list
25	Term of the underlying interest rate	This field states the term of the interest rate underlying the contract. The term shall be expressed in days, weeks, months or years.Starting with the largest term unit (years) and working downwards, if the term of the interest rate is an integer number, such standard term shall be populated in this field.	{INTEGER-3}+‘DAYS’ — days{INTEGER-3}+‘WEEK’ — weeks{INTEGER-3}+‘MNTH’ — months{INTEGER-3}+‘YEAR’ — years

Table 7 in anx_IV

26	Contract sub-type	To be populated so as to differentiate deliverable and non-deliverable forwards, options and swaps as defined in Table 8.1 of Section 8 of Annex III.	‘DLVB’ — Deliverable‘NDLV’ — Non-deliverable

Table 8 in anx_IV

27	Underlying type	To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is neither swaps nor portfolio swaps.	‘STIX’ — Stock Index‘SHRS’ — Share/Stock‘DIVI’ — Dividend Index‘DVSE’ — Stock dividend‘BSKT’ — Basket of shares resulting from a corporate action‘ETFS’ — ETFs‘VOLI’ — Volatility Index‘OTHR’ — Other (including depositary receipts, certificates and other equity like financial instrument)
		*******************************************To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a single name.	*************‘SHRS’ — Share/Stock‘DVSE’ — Stock dividend‘ETFS’ — ETFs‘OTHR’ — Other (including depositary receipts, certificates and other equity like financial instrument)
		*******************************************To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is an index.	*************‘STIX’ — Stock Index‘DIVI’ — Dividend Index‘VOLI’ — Volatility Index‘OTHR’ — Other
		*******************************************To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a basket.	*************‘BSKT’ — Basket
28	Parameter	To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is one of the following: swaps, portfolio swaps.	‘PRBP’ — Price return basic performance parameter‘PRDV’ — Parameter return dividend‘PRVA’ — Parameter return variance‘PRVO’ — Parameter return volatility

Table 9 in anx_IV

29	Underlying type	To be populated when the MiFIR identifier is a derivative and ‘the contract type is equal to contract for difference or spread betting	‘CURR’ — Currency‘EQUI’ — Equity‘BOND’ — Bonds‘FTEQ’ — Futures/Forward on an equity‘OPEQ’ — Options on an equity‘COMM’ — Commodity‘EMAL’ — Emission Allowances‘OTHR’ — Other
30	Notional currency 1	Currency 1 of the underlying currency pair. This field is applicable when the underlying type is currency.	{CURRENCYCODE_3}
31	Notional currency 2	Currency 2 of the underlying currency pair. This field is applicable when the underlying type is currency.	{CURRENCYCODE_3}

Table 10 in anx_IV

32	ISIN code of the underlying credit default swap	To be populated for derivatives on a credit default swaps with the ISIN code of the underlying swap.	{ISIN}
33	Underlying Index code	To be populated for derivatives on a CDS index with the ISIN code of the index.	{ISIN}
34	Underlying Index name	To be populated for derivatives on a CDS index with the standardised name of the index.	{ALPHANUM-25}
35	Series	The series number of the composition of the index if applicable.To be populated for a CDS Index or a derivative on a CDS Index with the series of the CDS Index.	{DECIMAL-18/17}
36	Version	A new version of a series is issued if one of the constituents defaults and the index has to be re-weighted to account for the new number of total constituents within the index.To be populated for a CDS Index or a derivative on a CDS Index with the version of the CDS Index.	{DECIMAL-18/17}
37	Roll months	All months when the roll is expected as established by the index provider for a given year. Field shall be repeated for each month in the roll.To be populated for a CDS Index or a derivative on a CDS Index.	‘01’, ‘02’, ‘03’, ‘04’, ‘05’, ‘06’,‘07’, ‘08’, ‘09’, ‘10’, ‘11’, ‘12’
38	Next roll date	To be populated in the case of a CDS Index or a derivative on a CDS Index with the next roll date of the index as established by the index provider.	{DATEFORMAT}
39	Issuer of sovereign and public type	To be populated when the reference entity of a single name CDS or a derivative on single name CDS is a sovereign issuer as defined in Table 9.1 Section 9 of Annex III.	‘TRUE’ — the reference entity is an issuer of sovereign and public type‘FALSE’ — the reference entity is not an issuer of sovereign and public type
40	Reference obligation	To be populated for a derivative on a single name credit de- fault swap with the ISIN of the reference obligation.	{ISIN}
41	Reference entity	To be populated with the reference entity of a single name CDS or a derivative on single name CDS.	{COUNTRYCODE_2}orISO 3166-2 — 2 character country code followed by dash ‘-’ and up to 3 alphanumeric character country subdivision codeor{LEI}
42	Notional currency	Currency in which the notional is denominated.	{CURRENCYCODE_3}

Table 11 in anx_IV

43	Emission Allowances derivative sub type	To be populated when variable #3 ‘MiFIR identifier’ is ‘DERV’-derivative and variable #4 ‘asset class of the underlying’ is ‘EMAL’-emission allowance	‘CERE’ — CER‘ERUE’ —ERU‘EUAE’ — EUA‘EUAA’ —EUAA‘OTHR’ — Other

Table 1 in anx_V

Symbol	Data Type	Definition
{ALPHANUM-n}	Up to n alphanumerical characters	Free text field.
{ISIN}	12 alphanumerical characters	ISIN code, as defined in ISO 6166
{MIC}	4 alphanumerical characters	Market identifier as defined in ISO 10383
{DATEFORMAT}	ISO 8601 date format	Dates shall be formatted by the following format: YYYY-MM-DD.
{DECIMAL-n/m}	Decimal number of up to n digits in total of which up to m digits can be fraction digits	Numerical field for both positive and negative values.Decimal separator is ‘.’ (full stop);negative numbers are prefixed with ‘–’ (minus);values are rounded and not truncated.
{INTEGER-n}	Integer number of up to n digits	Numerical field for both positive and negative integer values.

Table 2 in anx_V

#	Field	Details to be reported	Type of execution or publication venue	Format and standards for reporting
1	Instrument identification code	Code used to identify the financial instrument	Regulated Market (RM)Multilateral Trading Facility (MTF)Organised Traded Facility (OTF)Approved Publication Arrangement (APA)Consolidated tape provider (CTP)	{ISIN}
2	Execution date	Date on which the trades are executed.	RM, MTF, OTF, APA, CTP	{DATEFORMAT}
3	Execution venue	Segment MIC of the EU trading venue or systematic internaliser, where available, otherwise operating MIC.Segment MIC of the systematic internaliser where available, otherwise the operating MIC.The MIC code XOFF for OTC transactions.For a given ISIN and execution date, APAs shall sum all OTC trading activity for that instrument in a single record (ISIN, XOFF, execution date).	RM, MTF, OTF, APA, CTP	{MIC} of the trading venue or systematic internaliser or ‘XOFF’
4	Suspended instrument flag	Indicator of whether the instrument was suspended during the whole day for trading on the respective TV on the execution date.As a consequence, Fields 5 shall be reported with a value of zero.	RM, MTF, OTF	‘TRUE’ – if the instrument was suspended for the whole trading dayor ‘FALSE’ – if the instrument was not suspended for the whole trading day
5	Total number of transactions	The total number of transactions executed on the execution date.Transactions that have been cancelled shall be excluded from the reported figures.Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date.In all cases, the field has to be populated with a value greater than or equal to zero.For instruments that are suspended for the whole day, the field shall have zero value.	RM, MTF, OTF, APA, CTP	{INTEGER-18}
6	Total volume	The total volume executed on the execution date.The volume shall be measured in accordance with Table 4 of Annex II of this Regulation.Monetary amounts shall be reported in Euros.Transactions that have been cancelled shall be excluded from the reported figures.Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date.	RM, MTF, OTF, APA, CTP	{DECIMAL-18/5}
7	‘Size of transaction’ bin range	This field shall be populated with the values as provided in Tables 3 and 4 of this Annex.The size of transaction bin range as defined:in Table 4 of this Annex for emission allowances and derivatives thereof;In Table 3 of this Annex for the other instruments.For instruments that are suspended for the whole day, data related to this field and to fields 8 and 9 shall not be reported.	RM, MTF, OTF, APA, CTP	{ALPHANUM - -140}
8	Total number of transactions executed for that bin	Total number of transactions executed on the execution date which size lies in the bin’s range.Transactions that have been cancelled shall be excluded from the reported figures.Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date.	RM, MTF, OTF, APA, CTP	{INTEGER-18}
9	Total volume traded for that bin	Total volume traded represented by all transactions executed on the reporting day which size lies in the bin’s range.The volume shall be measured in accordance with Table 4 of Annex II of this Regulation.Monetary amounts shall be reported in Euros.Transactions that have been cancelled shall be excluded from the reported figures.Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date.	RM, MTF, OTF, APA, CTP	{DECIMAL-18/5}

Table 3 in anx_V

Scope	Size of transaction bin	Definition
Transactions with a size between 0 and 1,000,000 (excluded)	]0 – 100,000[	Transactions with a trade size smaller than EUR 100,000
[100,000 – 100,000]	Transactions with a trade size equal to EUR 100,000
]100,000 – 200,000[	Transactions with a trade size greater than EUR 100,000 and smaller than EUR 200,000
[200,000 – 300,000[	Transactions with a trade size greater than or equal to EUR 200,000 and smaller than EUR 300,000
[300,000 – 400,000[	Transactions with a trade size greater than or equal to EUR 300,000 and smaller than EUR 400,000
[Y– Y+100,000[	Transactions with a trade size greater than or equal to EUR Y and smaller than EUR Y + 100,000 (EUR 100,000 step)
[900,000 – 1,000,000[	Transactions with a trade size greater than or equal to EUR 900,000 and smaller than EUR 1,000,000
Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded)	[1,000,000 – 1,500,000[	Transactions with a trade size greater than or equal to EUR 1,000,000 and smaller than EUR 1,500,000
[1,500,000 – 2,000,000[	Transactions with a trade size greater than or equal to EUR 1,500,000 and smaller than EUR 2,000,000
[Z– Z+500,000[	Transactions with a trade size greater than or equal to EUR Z and smaller than EUR Z + 500,000 (EUR 500,000 step)
[9,500,000 – 10,000,000[	Transactions with a trade size greater than or equal to EUR 9,500,000 and smaller than EUR 10,000,000
Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded)	[10,000,000 – 15,000,000[	Transactions with a trade size greater than or equal to EUR 10,000,000 and smaller than EUR 15,000,000
[15,000,000 – 20,000,000[	Transactions with a trade size greater than or equal to EUR 15,000,000 and smaller than EUR 20,000,000
[W– W+5,000,000[	Transactions with a trade size greater than or equal to EUR W and smaller than EUR W + 5,000,000 (EUR 5,000,000 step)
[95,000,000 – 100,000,000[	Transactions with a trade size greater than or equal to EUR 95,000,000 and smaller than EUR 100,000,000
Transactions with a size greater than or equal to 100,000,000	[100,000,000 – 125,000,000[	Transactions with a trade size greater than or equal to EUR 100,000,000 and smaller than EUR 125,000,000
[125,000,000 – 150,000,000[	Transactions with a trade size greater than or equal to EUR 125,000,000 and smaller than EUR 150,000,000
[X– X+25,000,000[	Transactions with a trade size greater than or equal to EUR X and smaller than EUR X + 25,000,000 (EUR 25,000,000 step)
…	…	…

Table 4 in anx_V

Scope	Size of transaction bin	Definition
Transactions with a size between 0 and 1,000,000 (excluded)	]0 – 100,000[	Transactions with a trade size smaller than 100,000 tonnes of carbon dioxide equivalent (tCO2e)
[100,000 – 100,000]	Transactions with a trade size equal to 100,000 tCO2e
]100,000 – 200,000[	Transactions with a trade size greater than 100,000 tCO2e and smaller than 200,000 tCO2e
[200,000 – 300,000[	Transactions with a trade size greater than or equal to 200,000 tCO2e and smaller than 300,000 tCO2e
[300,000 – 400,000[	Transactions with a trade size greater than or equal to 300,000 tCO2e and smaller than 400,000 tCO2e
[Y– Y+100,000[	Transactions with a trade size greater than or equal to Y tCO2e and smaller than Y tCO2e + 100,000 (100,000 tCO2e step)
[900,000 – 1,000,000[	Transactions with a trade size greater than or equal to 900,000 tCO2e and smaller than 1,000,000 tCO2e
Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded)	[1,000,000 – 1,500,000[	Transactions with a trade size greater than or equal to 1,000,000 tCO2e and smaller than 1,500,000 tCO2e
[1,500,000 – 2,000,000[	Transactions with a trade size greater than or equal to 1,500,000 tCO2e and smaller than 2,000,000 tCO2e
[Z– Z+500,000[	Transactions with a trade size greater than or equal to Z tCO2e and smaller than Z tCO2e + 500,000 (500,000 tCO2e step)
[9,500,000 – 10,000,000[	Transactions with a trade size greater than or equal to 9,500,000 tCO2e and smaller than 10,000,000 tCO2e
Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded)	[10,000,000 – 15,000,000[	Transactions with a trade size greater than or equal to 10,000,000 tCO2e and smaller than 15,000,000 tCO2e
[15,000,000 – 20,000,000[	Transactions with a trade size greater than or equal to 15,000,000 tCO2e and smaller than 20,000,000 tCO2e
[W– W+5,000,000[	Transactions with a trade size greater than or equal to W tCO2e and smaller than W tCO2e + 5,000,000 (5,000,000 tCO2e step)
[95,000,000 – 100,000,000[	Transactions with a trade size greater than or equal to 95,000,000 tCO2e and smaller than 100,000,000 tCO2e
Transactions with a size greater than or equal to 100,000,000	[100,000,000 – 125,000,000[	Transactions with a trade size greater than or equal to 100,000,000 tCO2e and smaller than 125,000,000 tCO2e
[125,000,000 – 150,000,000[	Transactions with a trade size greater than or equal to 125,000,000 tCO2e and smaller than 150,000,000 tCO2e
[X– X+25,000,000[	Transactions with a trade size greater than or equal to X tCO2e and smaller than X tCO2e + 25,000,000 (25,000,000 tCO2e step)
…	…	…