ANNEX III - Liquidity assessment, LIS and SSTI thresholds for non-equity financial instruments
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Article II – Details of transactions to be made available to the public ⬅️ | ➡️ Article IIII – Reference data to be provided for the purpose of transparency calculations
1.
Instructions for the purpose of this annex
1.
A reference to an ‘asset class’ means a reference to the following classes of financial instruments: bonds, structured finance products, securitised derivatives, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives, C10 derivatives, CFDs, emission allowances and emission allowance derivatives.
2.
A reference to a ‘sub-asset class’ means a reference to an asset class segmented to a more granular level on the basis of the contract type and/or the type of underlying.
3.
A reference to a ‘sub-class’ means a reference to a sub-asset class segmented to a more granular level on basis of further qualitative segmentation criteria as set out in Tables 2.1 to 13.3 of this Annex.
4.
‘Average daily turnover (ADT)’ means the total turnover for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
5.
‘Average daily notional amount (ADNA)’ means the total notional amount for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for all the other financial instruments, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
6.
‘Percentage of days traded over the period considered’ means the number of days in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for structured finance products, on which at least one transaction has been executed for that financial instrument, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
7.
‘Average daily number of trades’ means the total number of transactions executed for a particular financial instrument in the period set out in Article 13(18) for all bonds except ETCs and ETN and in Article 13(7) all the other financial instruments, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
8.
‘Future’ means a contract to buy or sell a commodity or financial instrument in a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller. Every futures contract has standard terms that dictate the minimum quantity and quality that can be bought or sold, the smallest amount by which the price may change, delivery procedures, maturity date and other characteristics related to the contract.
9.
‘Option’ means a contract that gives the owner the right, but not the obligation, to buy (call) or sell (put) a specific financial instrument or commodity at a predetermined price, strike or exercise price, at or up to a certain future date or exercise date.
10.
‘Swap’ means a contract in which two parties agree to exchange cash flows in one financial instrument for those of another financial instrument at a certain future date.
11.
‘Portfolio Swap’ means a contract by which end-users can trade multiple swaps.
12.
‘Forward’ or ‘Forward agreement’ means a private agreement between two parties to buy or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller.
13.
‘Swaption’ 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.
14.
‘Future on a swap’ means a future contract that gives the owner the obligation, to enter a swap at or up to a certain future date.
15.
‘Forward on a swap’ means a forward contract that gives the owner the obligation, to enter a swap at or up to a certain future date.
2.
Bonds
Table 2.1
Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market
Asset class — Bonds (all bond types except ETCs and ETNs)
Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria on a cumulative basis
Average daily notional amount
[quantitative liquidity criteria 1]
Average daily number of trades
[quantitative liquidity criteria 2]
Percentage of days traded over the period considered
[quantitative liquidity criteria 3]
EUR 100 000
S1
S2
S3
S4
80 %
15
10
7
2
Table 2.2
Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market
Asset class — Bonds (all bond types except ETCs and ETNs)
Each individual bond shall be determined not to have a liquid market as per Article 13(18) if it is characterised by a specific combination of bond type and issuance size as specified in each row of the table.
Bond Type
Issuance size
- RTS23#14
Sovereign Bond
RTS2#3 = BOND and RTS2#9 = EUSB
means a bond which is neither a convertible nor a covered bond and is issued by a sovereign issuer:
(a) the Union;
(b) a Member State including a government department, an agency or a special purpose vehicle of a Member State;
(c) a sovereign entity which is not listed under points (a) and (b).
smaller than (in EUR) 1 000 000 000
Other Public Bond
RTS2#3 = BOND and RTS2#9 = OEPB
means a bond which is neither a convertible nor a covered bond and is issued by any of the following public issuers:
(a) in the case of a federal Member State, a member of that federation;
(b) a special purpose vehicle for several Member States;
(c) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems;
(d) the European Investment Bank;
(e) a public entity which is not an issuer of a sovereign bond as specified in the previous row.
smaller than (in EUR) 500 000 000
Convertible Bond
RTS2#3 = BOND and RTS2#9 = CVTB
means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity
smaller than (in EUR) 500 000 000
Covered Bond
RTS2#3 = BOND and RTS2#9 = CVDB
means bonds as referred to in Article 52(4) of Directive 2009/65/EC
during stages S1 and S2
during stages S3 and S4
smaller than (in EUR) 1 000 000 000
smaller than (in EUR) 500 000 000
Corporate Bond
RTS2#3 = BOND and RTS2#9 = CRPB
means a bond which is neither a convertible nor a covered bond and that is issued by a Societas Europaea established in accordance with Council Regulation (EC) No 2157/2001
or a type of company listed in Annex I or Annex II of Directive 2013/34/EU of the European Parliament and of the Council
or equivalent in third countries
during stages S1 and S2
during stages S3 and S4
smaller than (in EUR) 1 000 000 000
smaller than (in EUR) 500 000 000
Bond Type
For the purpose of the determination of the financial instruments considered not to have a liquid market as per Article 13(18), the following methodology shall be applied
Other Bond
RTS2#3 = BOND and RTS2#9 = OTHR
A bond that does not belong to any of the above bond types is considered not to have a liquid market
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).
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 2.3
Bonds (all bond types except ETCs and ETNs) — pre-trade and post-trade SSTI and LIS thresholds
Asset class — Bonds (all bond types except ETCs and ETNs)
Bond Type
Transactions to be considered for the calculation of the thresholds per bond type
Percentiles to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each bond type
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Trade — percentile
threshold floor
Trade — percentile
threshold floor
Trade — percentile
Trade — percentile
Sovereign Bond
transactions executed on Sovereign Bonds following the exclusion of transactions as specified in Article 13(10)
S1
S2
S3
S4
EUR 300 000
70
EUR 300 000
80
90
30
40
50
60
Other Public Bond
transactions executed on Other Public Bonds following the exclusion of transactions as specified in Article 13(10)
S1
S2
S3
S4
EUR 300 000
70
EUR 300 000
80
90
30
40
50
60
Convertible Bond
transactions executed on Convertible Bonds following the exclusion of transactions as specified in Article 13(10)
S1
S2
S3
S4
EUR 200 000
70
EUR 200 000
80
90
30
40
50
60
Covered Bond
transactions executed on Covered Bonds following the exclusion of transactions as specified in Article 13(10)
S1
S2
S3
S4
EUR 300 000
70
EUR 300 000
80
90
30
40
40
40
Corporate Bond
transactions executed on Corporate Bonds following the exclusion of transactions as specified in Article 13(10)
S1
S2
S3
S4
EUR 200 000
70
EUR 200 000
80
90
30
40
50
60
Other Bonds
transactions executed on Other Bonds following the exclusion of transactions as specified in Article 13(10)
S1
S2
S3
S4
EUR 200 000
70
EUR 200 000
80
90
30
40
50
60
Table 2.4
Bonds (ETC and ETN bond types) — classes not having a liquid market
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 = ETCS
a debt instrument issued against a direct investment by the issuer in commodities or commodities derivative contracts. The price of an ETC is directly or indirectly linked to the performance of the underlying. An ETC passively tracks the performance of the commodity or commodity indices to which it refers.
EUR 500 000
10
Exchange Traded Notes (ETNs)
- RTS2#3 = ETNS
a debt instrument issued against a direct investment by the issuer in the underlying or underlying derivative contracts. The price of an ETN is directly or indirectly linked to the performance of the underlying. An ETN passively tracks the performance of the underlying to which it refers.
EUR 500 000
10
Table 2.5
Bonds (ETC and ETN bond types) — pre-trade and post-trade SSTI and LIS thresholds
Asset class — Bonds (ETC and ETN bond types)
Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined to have a liquid market
Bond type
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
ETCs
EUR 1 000 000
EUR 1 000 000
EUR 50 000 000
EUR 50 000 000
ETNs
EUR 1 000 000
EUR 1 000 000
EUR 50 000 000
EUR 50 000 000
Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined not to have a liquid market
Bond type
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
ETCs
EUR 900 000
EUR 900 000
EUR 45 000 000
EUR 45 000 000
ETNs
EUR 900 000
EUR 900 000
EUR 45 000 000
EUR 45 000 000
3.
Structured Finance Products (SFPs)
Table 3.1
SFPs — classes not having a liquid market
Asset class – Structured Finance Products (SFPs)
Test 1 – SFPs asset-class assessment
SFPs asset-class assessment for the purpose of the determination of the financial instruments considered not to have a liquid market as per Articles 6 and 8(1), 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
The SFPs asset-class shall be assessed by application of the following thresholds of the quantitative liquidity criteria
Average daily notional amount (ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Transactions executed in all SFPs
EUR 300 000 000
500
Test 2 — SFPs not having a liquid market
If the values related to the quantitative liquidity criteria are both above the quantitative liquidity thresholds set for the purpose of the SFPs asset-class assessment, then Test 1 is passed and Test-2 shall be performed. Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
Average daily notional amount (ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Percentage of days traded over the period considered
[quantitative liquidity criteria 3]
EUR 100 000
2
80 %
Table 3.2
SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is not passed
Asset class — Structured Finance Products (SFPs)
Pre-trade and post-trade SSTI and LIS thresholds for all SFPs if Test 1 is not passed
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
EUR 100 000
EUR 250 000
EUR 500 000
EUR 1 000 000
Table 3.3
SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is passed
Asset class — Structured Finance Products (SFPs)
Transactions to be considered for the calculation of the thresholds
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for SFPs determined to have a liquid market if Test 1 is passed
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Transactions executed in all SFPs determined to have a liquid market
S1
S2
S3
S4
EUR 100 000
70
EUR 250 000
80
EUR 500 000
90
EUR 1 000 000
30
40
50
60
Pre-trade and post-trade SSTI and LIS thresholds for SFPs determined not to have a liquid market if Test 1 is passed
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
EUR 100 000
EUR 250 000
EUR 500 000
EUR 1 000 000
4.
Securitised derivatives
Table 4.1
Securitised derivatives — classes not having a liquid market
Asset class – Securitised Derivatives
means a transferable security as defined in Article 4(1)(44)(c) of Directive 2014/65/EU different from structured finance products and 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 4.2
Securitised derivatives — pre-trade and post-trade SSTI and LIS thresholds
Asset class — Securitised Derivatives
Pre-trade and post-trade SSTI and LIS thresholds
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
EUR 50 000
EUR 60 000
EUR 90 000
EUR 100 000
5.
Interest rate derivatives
Table 5.1
Interest rate derivatives — classes not having a liquid market
Asset class – Interest Rate Derivatives
any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan.
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1), point (b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied
Average daily notional amount (ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Additional qualitative liquidity criterion
Bond futures/forwards
/ Future on a bond future
/ Forward on a bond future
Future on a bond
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = FUTR
RTS2#16 = BOND
or
Forward on a bond
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = FORW
RTS2#16 = BOND
or
Future on a bond future
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = FUTR
RTS2#16 = BNFD
or
Forward on a bond future
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = FORW
RTS2#16 = BNFD
a bond future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Short-term
: the underlying deliverable bond with a term up to 4 years shall be considered to have a short-term
Medium-term
: the underlying deliverable bond with a term between 4 and 8 years shall be considered to have a medium-term
Long-term
: the underlying deliverable bond with a term between 8 and 15 years shall be considered to have a long-term
Ultra-long-term
: the underlying deliverable bond with a term longer than 15 years shall be considered to have an ultra-long-term
Segmentation criterion 3
— time to maturity bucket of the future defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 3 months
Maturity bucket 2: 3 months < time to maturity ≤ 6 months
Maturity bucket 3: 6 months < time to maturity ≤ 1 year
Maturity bucket 4: 1 year < time to maturity ≤ 2 years
Maturity bucket 5: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 5 000 000
10
whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month
Bond Option
/ Option on a bond option
/ Option on a bond future
Bond Option
Option on a bond option
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = OPTN
RTS2#16 = BOND
or
Option on a bond option
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = OPTN
RTS2#16 = BOND
or
Option on a bond future
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = OPTN
RTS2#16 = BNFD
a bond option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1: 0 < time to maturity ≤ 3 months
Maturity bucket 2: 3 months < time to maturity ≤ 6 months
Maturity bucket 3: 6 months < time to maturity ≤ 1 year
Maturity bucket 4: 1 year < time to maturity ≤ 2 years
Maturity bucket 5: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 5 000 000
10
IR futures and FRA/ Future on an interest rate future/ Forward rate agreement on an interest rate future
Future on an interest rate
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = FUTR
RTS2#16 = INTR
or
Forward rate agreement
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = FRAS
RTS2#16 = INTR
or
Future on an interest rate future
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = FUTR
RTS2#16 = IFUT
or
Forward rate agreement on an interest rate future
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = FRAS
RTS2#16 = IFUT
an interest rate future sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Maturity bucket 1: 0 < time to maturity ≤ 3 months
Maturity bucket 2: 3 months < time to maturity ≤ 6 months
Maturity bucket 3: 6 months < time to maturity ≤ 1 year
Maturity bucket 4: 1 year < time to maturity ≤ 2 years
Maturity bucket 5: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 500 000 000
10
whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month
IR options
/Option on an interest rate future/FRA
/Option on an interest rate option
/Option on an option on an interest rate future/FRA
Option on an interest rate future/FRA//‘Option on an interest rate option
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = OPTN
RTS2#16 = IFUT
or
IR Option //‘Option on an option on an interest rate future/FRA
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = OPTN
RTS2#16 = INTR
an interest rate option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Maturity bucket 1: 0 < time to maturity ≤ 3 months
Maturity bucket 2: 3 months < time to maturity ≤ 6 months
Maturity bucket 3: 6 months < time to maturity ≤ 1 year
Maturity bucket 4: 1 year < time to maturity ≤ 2 years
Maturity bucket 5: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 500 000 000
10
Swaptions
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = SWPT
a swaption sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 RTS2#16 = XXSC]
fixed-to-float single currency swap, futures/forwards on fixed-to-float single currency swap [
RTS2#16 = XFSC]
float-to-float single currency swap, futures/forwards on float-to-float single currency swap [
RTS2#16 = FFSC]
inflation single currency swap, futures/forwards on inflation single currency swap [
RTS2#16 = IFSC]
OIS single currency swap, futures/forwards on OIS single currency swap [
RTS2#16 = OSSC]
fixed-to-fixed multi-currency swap, futures/forwards on fixed-to-fixed multi-currency swap
[RTS2#16 = XXMC]
fixed-to-float multi-currency swap, futures/forwards on fixed-to-float multi-currency swap [
RTS2#16 = XFMC]
float-to-float multi-currency swap, futures/forwards on float-to-float multi-currency swap [
RTS2#16 = FFMC]
inflation multi-currency swap, futures/forwards on inflation multi-currency swap [
RTS2#16 = IFMC]
OIS multi-currency swap, futures/forwards on OIS multi-currency swap [
RTS2#16 = OSMC]
Segmentation criterion 2 Segmentation criterion 3 Segmentation criterion 4 Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
Segmentation criterion 5 Maturity bucket 1
: 0 < time to maturity ≤ 6 months
Maturity bucket 2
: 6 months < time to maturity ≤ 1 year
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 4
: 2 years < time to maturity ≤ 5 years
Maturity bucket 5
: 5 years < time to maturity ≤ 10 years
Maturity bucket 6
: over 10 years
EUR 500 000 000
10
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 = DERV
RTS2#4 = INTR
RTS2#5 = SWAP or FONS or FWOS or OPTS
RTS2#16 = XFMC
a fixed-to-float multi-currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1: 0 < maturity ≤ 1 month
Maturity bucket 2: 1 month < maturity ≤ 3 months
Maturity bucket 3: 3 months < maturity ≤ 6 months
Maturity bucket 4: 6 months < maturity ≤ 1 year
Maturity bucket 5: 1 year < maturity ≤ 2 years
Maturity bucket 6: 2 years < maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50 000 000
10
Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ 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 rates
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = SWAP or FONS or FWOS or OPTS
RTS2#16 = FFMC
a float-to-float multi-currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1: 0 < maturity ≤ 1 month
Maturity bucket 2: 1 month < maturity ≤ 3 months
Maturity bucket 3: 3 months < maturity ≤ 6 months
Maturity bucket 4: 6 months < maturity ≤ 1 year
Maturity bucket 5: 1 year < maturity ≤ 2 years
Maturity bucket 6: 2 years < maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50 000 000
10
Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ 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 rates
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = SWAP or FONS or FWOS or OPTS
RTS2#16 = XXMC
a fixed-to-fixed multi-currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50 000 000
10
Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/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) rate
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = SWAP or FONS or FWOS or OPTS
RTS2#16 = OSMC
an overnight index swap (OIS) multi-currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50 000 000
10
Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ 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 rate
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = SWAP or FONS or FWOS or OPTS
RTS2#16 = IFMC
an inflation multi-currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50 000 000
10
Fixed-to-Float ‘single currency swaps’ and futures/forwards/ 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 rate
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = SWAP or FONS or FWOS or OPTS
RTS2#16 = XFSC
a fixed-to-float single currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50 000 000
10
Float-to-Float ‘single currency swaps’ and futures/forwards/ 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 rates
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = SWAP or FONS or FWOS or OPTS
RTS2#16 = FFSC
a float-to-float single currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50 000 000
10
Fixed-to-Fixed ‘single currency swaps’ and futures/forwards/ 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 rates
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = SWAP or FONS or FWOS or OPTS
RTS2#16 = XXSC
a fixed-to-fixed single currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50 000 000
10
Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards/ 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) rate
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = SWAP or FONS or FWOS or OPTS
RTS2#16 = OSSC
an overnight index swap (OIS) single currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50 000 000
10
Inflation ‘single currency swaps’ and futures/forwards/ 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 rate
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = SWAP or FONS or FWOS or OPTS
RTS2#16 = IFSC
an inflation single currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 3: 3 months < time to maturity ≤ 6 months
Maturity bucket 4: 6 months < time to maturity ≤ 1 year
Maturity bucket 5: 1 year < time to maturity ≤ 2 years
Maturity bucket 6: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50 000 000
10
Asset class — Interest Rate Derivatives
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), the following methodology shall be applied
Other Interest Rate Derivatives
an interest rate derivative that does not belong to any of the above sub-asset classes
RTS2#3 = DERV
RTS2#4 = INTR
RTS2#5 = OTHR
any other interest rate derivative is considered not to have a liquid market
Table 5.2
Interest rate derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
Asset class — Interest Rate Derivatives
Sub-asset class
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market
Transactions to be considered for the calculations of the thresholds
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Trade — percentile
Volume — percentile
Threshold floor
Trade — percentile
Volume — percentile
Threshold floor
Bond futures/forwards
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 20 000 000
90
70
EUR 25 000 000
30
40
50
60
Bond options
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 20 000 000
90
70
EUR 25 000 000
30
40
50
60
IR futures and FRA
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 5 000 000
70
EUR 10 000 000
80
60
EUR 20 000 000
90
70
EUR 25 000 000
30
40
50
60
IR options
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 5 000 000
70
EUR 10 000 000
80
60
EUR 20 000 000
90
70
EUR 25 000 000
30
40
50
60
Swaptions
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 9 000 000
90
70
EUR 10 000 000
30
40
50
60
Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 9 000 000
90
70
EUR 10 000 000
30
40
50
60
Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 9 000 000
90
70
EUR 10 000 000
30
40
50
60
Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 9 000 000
90
70
EUR 10 000 000
30
40
50
60
Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 9 000 000
90
70
EUR 10 000 000
30
40
50
60
Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 9 000 000
90
70
EUR 10 000 000
30
40
50
60
Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 9 000 000
90
70
EUR 10 000 000
30
40
50
60
Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 9 000 000
90
70
EUR 10 000 000
30
40
50
60
Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 9 000 000
90
70
EUR 10 000 000
30
40
50
60
Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 9 000 000
90
70
EUR 10 000 000
30
40
50
60
Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 4 000 000
70
EUR 5 000 000
80
60
EUR 9 000 000
90
70
EUR 10 000 000
30
40
50
60
Table 5.3
Interest rate derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
Asset class — Interest Rate Derivatives
Sub-asset class
Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
Bond futures/forwards
EUR 4 000 000
EUR 5 000 000
EUR 20 000 000
EUR 25 000 000
Bond options
EUR 4 000 000
EUR 5 000 000
EUR 20 000 000
EUR 25 000 000
IR futures and FRA
EUR 5 000 000
EUR 10 000 000
EUR 20 000 000
EUR 25 000 000
IR options
EUR 5 000 000
EUR 10 000 000
EUR 20 000 000
EUR 25 000 000
Swaptions
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
Other Interest Rate Derivatives
EUR 4 000 000
EUR 5 000 000
EUR 9 000 000
EUR 10 000 000
6.
Equity derivatives
Table 6.1
Equity derivatives — classes not having a liquid market
Asset class – Equity Derivatives
any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to:
(a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments;
(b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied
Stock index options
an option whose underlying is an index composed of shares
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = OPTN
RTS2#27 = STIX
RTS23#26 or if null RTS23#28
all index options are considered to have a liquid market
Stock index futures/forwards
a future/forward whose underlying is an index composed of shares
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = FUTR or FORW
RTS2#27 = STIX
RTS23#26 or if null RTS23#28
all index futures/forwards are considered to have a liquid market
Stock options
an option whose underlying is a share or a basket of shares resulting from a corporate action
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = OPTN
RTS2#27 = SHRS
RTS23#26 or if null RTS23#28
all stock options are considered to have a liquid market
Stock futures/forwards
a future/forward whose underlying is a share or a basket of shares resulting from a corporate action
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = FUTR or FORW
RTS2#27 = SHRS
RTS23#26 or if null RTS23#28
all stock futures/forwards are considered to have a liquid market
Stock dividend options
an option on the dividend of a specific share
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = OPTN
RTS2#27 = DVSE
RTS23#26 or if null RTS23#28
all stock dividend options are considered to have a liquid market
Stock dividend futures/forwards
a future/forward on the dividend of a specific share
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = FUTR or FORW
RTS2#27 = DVSE
RTS23#26 or if null RTS23#28
all stock dividend futures/forwards are considered to have a liquid market
Dividend index options
an option on an index composed of dividends of more than one share
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = OPTN
RTS2#27 = DIVI
RTS23#26 or if null RTS23#28
all dividend index options are considered to have a liquid market
Dividend index futures/forwards
a future/forward on an index composed of dividends of more than one share
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = FUTR or FORW
RTS2#27 = DIVI
RTS23#26 or if null RTS23#28
all dividend index futures/forwards are considered to have a liquid market
Volatility index options
an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = OPTN
RTS2#27 = VOLI
RTS23#26 or if null RTS23#28
all volatility index options are considered to have a liquid market
Volatility index futures/forwards
a future/forward whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = FUTR or FORW
RTS2#27 = VOLI
RTS23#26 or if null RTS23#28
all volatility index futures/forwards are considered to have a liquid market
ETF options
an option whose underlying is an ETF
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = OPTN
RTS2#27 = ETFS
RTS23#26 or if null RTS23#28
all ETF options are considered to have a liquid market
ETF futures/forwards
a future/forward whose underlying is an ETF
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = FUTR or FORW
RTS2#27 = ETFS
RTS23#26 or if null RTS23#28
all ETF futures/forwards are considered to have a liquid market
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
Average daily notional amount (ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Swaps
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = SWAP
a swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2
RTS23#26 or if null RTS23#28) — underlying single name, index, basket
Segmentation criterion 3 Segmentation criterion 4 EUR 50 000 000
Price return basic performance parameter
Parameter return variance/volatility
Parameter return dividend
Maturity bucket 1
: 0 < time to maturity ≤ 1 month
Maturity bucket 1
: 0 < time to maturity ≤ 3 months
Maturity bucket 1
: 0 < time to maturity ≤ 1 year
Maturity bucket 2
: 1 month < time to maturity ≤ 3 months
Maturity bucket 2
: 3 months < time to maturity ≤ 6 months
Maturity bucket 2
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 3 months < time to maturity ≤ 6 months
Maturity bucket 3
: 6 months < time to maturity ≤ 1 year
Maturity bucket 3
: 2 years < time to maturity ≤ 3 years
Maturity bucket 4
: 6 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
…
Maturity bucket 5
: 1 year < time to maturity ≤ 2 years
Maturity bucket 5
: 2 years < time to maturity ≤ 3 years
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket 6
: 2 years < time to maturity ≤ 3 years
…
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Portfolio Swaps
RTS2#3 = DERV
RTS2#4 = EQUI’
RTS2#5 = PSWP
a portfolio swap sub-class is defined by a specific combination of:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Segmentation criterion 4 Maturity bucket 1
: 0 < time to maturity ≤ 1 month
Maturity bucket 2
: 1 month < time to maturity ≤ 3 months
Maturity bucket 3
: 3 months < time to maturity ≤ 6 months
Maturity bucket 4
: 6 months < time to maturity ≤ 1 year
Maturity bucket 5
: 1 year < time to maturity ≤ 2 years
Maturity bucket 6
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
EUR 50 000 000
15
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied
Other equity derivatives
an equity derivative that does not belong to any of the above sub-asset classes
RTS2#3 = DERV
RTS2#4 = EQUI
RTS2#5 = OTHR’
any other equity derivative is considered not to have a liquid market
Table 6.2
Equity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
Asset class — Equity Derivatives
Sub-asset class
For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below
Transactions to be considered for the calculations of the thresholds
Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs
Average daily notional amount (ADNA)
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
Stock index options
a stock index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying stock index
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 100 million ADNA
EUR 20 000
EUR 25 000
EUR 1 000 000
EUR 1 500 000
EUR 100 million ≤ ADNA < EUR 200 million
EUR 2 500 000
EUR 3 000 000
EUR 25 000 000
EUR 30 000 000
EUR 200 million ≤ ADNA < EUR 600 million
EUR 5 000 000
EUR 5 500 000
EUR 50 000 000
EUR 55 000 000
ADNA ≥ EUR 600 million
EUR 15 000 000
EUR 20 000 000
EUR 150 000 000
EUR 160 000 000
Stock index futures/forwards
a stock index future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying stock index
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 100 million ADNA
EUR 20 000
EUR 25 000
EUR 1 000 000
EUR 1 500 000
EUR 100 million ≤ ADNA < EUR 1 billion
EUR 500 000
EUR 550 000
EUR 5 000 000
EUR 5 500 000
EUR 1 billion ≤ ADNA < EUR 3 billion
EUR 5 000 000
EUR 5 500 000
EUR 50 000 000
EUR 55 000 000
EUR 3 billion ≤ ADNA < EUR 5 billion
EUR 15 000 000
EUR 20 000 000
EUR 150 000 000
EUR 160 000 000
ADNA ≥ EUR 5 billion
EUR 25 000 000
EUR 30 000 000
EUR 250 000 000
EUR 260 000 000
Stock options
a stock option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying share
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 5 million ADNA
EUR 20 000
EUR 25 000
EUR 1 000 000
EUR 1 250 000
EUR 5 million ≤ ADNA < EUR 10 million
EUR 250 000
EUR 300 000
EUR 1 250 000
EUR 1 500 000
EUR 10 million ≤ ADNA < EUR 20 million
EUR 500 000
EUR 550 000
EUR 2 500 000
EUR 3 000 000
ADNA ≥ EUR 20 million
EUR 1 000 000
EUR 1 500 000
EUR 5 000 000
EUR 5 500 000
Stock futures/forwards
an stock future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying share
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 5 million ADNA
EUR 20 000
EUR 25 000
EUR 1 000 000
EUR 1 250 000
EUR 5 million ≤ ADNA < EUR 10 million
EUR 250 000
EUR 300 000
EUR 1 250 000
EUR 1 500 000
EUR 10 million ≤ ADNA < EUR 20 million
EUR 500 000
EUR 550 000
EUR 2 500 000
EUR 3 000 000
ADNA ≥ EUR 20 m
EUR 1 000 000
EUR 1 500 000
EUR 5 000 000
EUR 5 500 000
Stock dividend options
a stock dividend option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying share entitling to dividends
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 5 million ADNA
EUR 20 000
EUR 25 000
EUR 400 000
EUR 450 000
EUR 5 million ≤ ADNA < EUR 10 million
EUR 25 000
EUR 30 000
EUR 500 000
EUR 550 000
EUR 10 million ≤ ADNA < EUR 20 million
EUR 50 000
EUR 100 000
EUR 1 000 000
EUR 1 500 000
ADNA ≥ EUR 20 million
EUR 100 000
EUR 150 000
EUR 2 000 000
EUR 2 500 000
Stock dividend futures/forwards
a stock dividend future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying share entitling to dividends
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 5 million ADNA
EUR 20 000
EUR 25 000
EUR 400 000
EUR 450 000
EUR 5 million ≤ ADNA < EUR 10 million
EUR 25 000
EUR 30 000
EUR 500 000
EUR 550 000
EUR 10 million ≤ ADNA < EUR 20 million
EUR 50 000
EUR 100 000
EUR 1 000 000
EUR 1 500 000
ADNA ≥ EUR 20 million
EUR 100 000
EUR 150 000
EUR 2 000 000
EUR 2 500 000
Dividend index options
a dividend index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying dvidend index
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 100 million ADNA
EUR 20 000
EUR 25 000
EUR 1 000 000
EUR 1 500 000
EUR 100 million ≤ ADNA < EUR 200 million
EUR 2 500 000
EUR 3 000 000
EUR 25 000 000
EUR 30 000 000
EUR 200 million ≤ ADNA < EUR 600 million
EUR 5 000 000
EUR 5 500 000
EUR 50 000 000
EUR 55 000 000
ADNA ≥ EUR 600 million
EUR 15 000 000
EUR 20 000 000
EUR 150 000 000
EUR 160 000 000
Dividend index futures/forwards
a dividend index future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying dividend index
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 100 million ADNA
EUR 20 000
EUR 25 000
EUR 1 000 000
EUR 1 500 000
EUR 100 million ≤ ADNA < EUR 1 billion
EUR 500 000
EUR 550 000
EUR 5 000 000
EUR 5 500 000
EUR 1 billion ≤ ADNA < EUR 3 billion
EUR 5 000 000
EUR 5 500 000
EUR 50 000 000
EUR 55 000 000
EUR 3 billion ≤ ADNA < EUR 5 billion
EUR 15 000 000
EUR 20 000 000
EUR 150 000 000
EUR 160 000 000
ADNA ≥ EUR 5 billion
EUR 25 000 000
EUR 30 000 000
EUR 250 000 000
EUR 260 000 000
Volatility index options
a volatility index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying volatility index
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 100 million ADNA
EUR 20 000
EUR 25 000
EUR 1 000 000
EUR 1 500 000
EUR 100 million ≤ ADNA < EUR 200 million
EUR 2 500 000
EUR 3 000 000
EUR 25 000 000
EUR 30 000 000
EUR 200 million ≤ ADNA < EUR 600 million
EUR 5 000 000
EUR 5 500 000
EUR 50 000 000
EUR 55 000 000
ADNA ≥ EUR 600 million
EUR 15 000 000
EUR 20 000 000
EUR 150 000 000
EUR 160 000 000
Volatility index futures/forwards
a volatility index future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying volatility index
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 100 million ADNA
EUR 20 000
EUR 25 000
EUR 1 000 000
EUR 1 500 000
EUR 100 million ≤ ADNA < EUR 1 billion
EUR 500 000
EUR 550 000
EUR 5 000 000
EUR 5 500 000
EUR 1 billion ≤ ADNA < EUR 3 billion
EUR 5 000 000
EUR 5 500 000
EUR 50 000 000
EUR 55 000 000
EUR 3 billion ≤ ADNA < EUR 5 billion
EUR 15 000 000
EUR 20 000 000
EUR 150 000 000
EUR 160 000 000
ADNA ≥ EUR 5 billion
EUR 25 000 000
EUR 30 000 000
EUR 250 000 000
EUR 260 000 000
ETF options
an ETF option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying ETF
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 5 million ADNA
EUR 20 000
EUR 25 000
EUR 1 000 000
EUR 1 250 000
EUR 5 million ≤ ADNA < EUR 10 million
EUR 250 000
EUR 300 000
EUR 1 250 000
EUR 1 500 000
EUR 10 million ≤ ADNA < EUR 20 million
EUR 500 000
EUR 550 000
EUR 2 500 000
EUR 3 000 000
ADNA ≥ EUR 20 million
EUR 1 000 000
EUR 1 500 000
EUR 5 000 000
EUR 5 500 000
ETF futures/forwards
an ETF future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying ETF
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 5 million ADNA
EUR 20 000
EUR 25 000
EUR 1 000 000
EUR 1 250 000
EUR 5 million ≤ ADNA < EUR 10 million
EUR 250 000
EUR 300 000
EUR 1 250 000
EUR 1 500 000
EUR 10 million ≤ ADNA < EUR 20 million
EUR 500 000
EUR 550 000
EUR 2 500 000
EUR 3 000 000
ADNA ≥ EUR 20 million
EUR 1 000 000
EUR 1 500 000
EUR 5 000 000
EUR 5 500 000
Swaps
a swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1
— underlying type: single name, index, basket
Segmentation criterion 2
— underlying single name, index, basket
Segmentation criterion 3
— parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility
Segmentation criterion 4
— time to maturity bucket of the swap defined as follows:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
EUR 50 million ≤ ADNA < EUR 100 million
EUR 250 000
EUR 300 000
EUR 1 250 000
EUR 1 500 000
EUR 100 million ≤ ADNA < EUR 200 million
EUR 500 000
EUR 550 000
EUR 2 500 000
EUR 3 000 000
ADNA ≥ EUR 200 million
EUR 1 000 000
EUR 1 500 000
EUR 5 000 000
EUR 5 500 000
Price return basic performance parameter
Parameter return variance/volatility
Parameter return dividend
Maturity bucket 1
: 0 < time to maturity ≤ 1 month
Maturity bucket 1
: 0 < time to maturity ≤ 3 months
Maturity bucket 1
: 0 < time to maturity ≤ 1 year
Maturity bucket 2
: 1 month < time to maturity ≤ 3 months
Maturity bucket 2
: 3 months < time to maturity ≤ 6 months
Maturity bucket 2
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 3 months < time to maturity ≤ 6 months
Maturity bucket 3
: 6 months < time to maturity ≤ 1 year
Maturity bucket 3
: 2 years < time to maturity ≤ 3 years
Maturity bucket 4
: 6 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
…
Maturity bucket 5
: 1 year < time to maturity ≤ 2 years
Maturity bucket 5
: 2 years < time to maturity ≤ 3 years
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket 6
: 2 years < time to maturity ≤ 3 years
…
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Portfolio Swaps
a portfolio swap sub-class is defined by a specific combination of:
Segmentation criterion 1
— underlying type: single name, index, basket
Segmentation criterion 2
— underlying single name, index, basket
Segmentation criterion 3
— parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility
Segmentation criterion 4
— time to maturity bucket of the portfolio swap defined as follows:
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
EUR 50 million ≤ ADNA < EUR 100 million
EUR 250 000
EUR 300 000
EUR 1 250 000
EUR 1 500 000
EUR 100 million ≤ ADNA < EUR 200 million
EUR 500 000
EUR 550 000
EUR 2 500 000
EUR 3 000 000
ADNA ≥ EUR 200 million
EUR 1 000 000
EUR 1 500 000
EUR 5 000 000
EUR 5 500 000
Maturity bucket 1
: 0 < time to maturity ≤ 1 month
Maturity bucket 2
: 1 month < time to maturity ≤ 3 months
Maturity bucket 3
: 3 months < time to maturity ≤ 6 months
Maturity bucket 4
: 6 months < time to maturity ≤ 1 year
Maturity bucket 5
: 1 year < time to maturity ≤ 2 years
Maturity bucket 6
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Table 6.3
Equity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
Asset class — Equity Derivatives
Sub-asset class
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
Swaps
EUR 20 000
EUR 25 000
EUR 100 000
EUR 150 000
Portfolio Swaps
EUR 20 000
EUR 25 000
EUR 100 000
EUR 150 000
Other equity derivatives
EUR 20 000
EUR 25 000
EUR 100 000
EUR 150 000
7.
Commodity derivatives
Table 7.1
Commodity derivatives – classes not having a liquid market
Asset class — Commodity Derivatives
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds
Average daily notional amount (ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Metal commodity futures/forwards
RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and [RTS2#5 = ‘FUTR’ or ‘FORW’]
a metal commodity future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Segmentation criterion 4 EUR 10 000 000
10
Precious metals
Non-precious metals
Maturity bucket 1
: 0 < time to maturity ≤ 3 months
Maturity bucket 1
: 0 < time to maturity ≤ 1 year
Maturity bucket 2
: 3 months < time to maturity ≤ 1 year
Maturity bucket 2
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 2 years < time to maturity ≤ 3 years
Maturity bucket 4
: 2 years < time to maturity ≤ 3 years
…
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket m:
(n-1) years < time to maturity ≤ n years
Metal commodity options
RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘OPTN’
a metal commodity option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Segmentation criterion 4 EUR 10 000 000
10
Precious metals
Non-precious metals
Maturity bucket 1
: 0 < time to maturity ≤ 3 months
Maturity bucket 1
: 0 < time to maturity ≤ 1 year
Maturity bucket 2
: 3 months < time to maturity ≤ 1 year
Maturity bucket 2
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 2 years < time to maturity ≤ 3 years
Maturity bucket 4
: 2 years < time to maturity ≤ 3 years
…
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Metal commodity swaps
RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘SWAP’
a metal commodity swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Segmentation criterion 4 Segmentation criterion 5 EUR 10 000 000
10
Precious metals
Non-precious metals
Maturity bucket 1
: 0 < time to maturity ≤ 3 months
Maturity bucket 1
: 0 < time to maturity ≤ 1 year
Maturity bucket 2
: 3 months < time to maturity ≤ 1 year
Maturity bucket 2
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 2 years < time to maturity ≤ 3 years
Maturity bucket 4
: 2 years < time to maturity ≤ 3 years
…
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket m:
(n-1) years < time to maturity ≤ n years
Energy commodity futures/forwards
RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and [RTS2#5 = ‘FUTR’ or ‘FORW’]
an energy commodity future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Segmentation criterion 4
— [deleted]
Segmentation criterion 5 Segmentation criterion 6 EUR 10 000 000
10
Oil/ Distillates/ Light ends
Coal
Natural Gas/Electricity/Inter-energy
Maturity bucket 1
: 0 < time to maturity ≤ 4 months
Maturity bucket 1
: 0 < time to maturity ≤ 6 months
Maturity bucket 1
: 0 < time to maturity ≤ 1 month
Maturity bucket 2
: 4 months < time to maturity ≤ 8 months
Maturity bucket 2
: 6 months < time to maturity ≤ 1 year
Maturity bucket 2
: 1 month < time to maturity ≤ 1 year
Maturity bucket 3
: 8 months < time to maturity ≤ 1 year
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
…
…
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Energy commodity options
RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘OPTN’
an energy commodity option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Segmentation criterion 4
— [deleted]
Segmentation criterion 5 Segmentation criterion 6 EUR 10 000 000
10
Oil/Distillates/Light ends
Coal
Natural Gas/Electricity/Inter-energy
Maturity bucket 1
: 0 < time to maturity ≤ 4 months
Maturity bucket 1
: 0 < time to maturity ≤ 6 months
Maturity bucket 1
: 0 < time to maturity ≤ 1 month
Maturity bucket 2
: 4 months < time to maturity ≤ 8 months
Maturity bucket 2
: 6 months < time to maturity ≤ 1 year
Maturity bucket 2
: 1 month < time to maturity ≤ 1 year
Maturity bucket 3
: 8 months < time to maturity ≤ 1 year
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
…
…
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Energy commodity swaps
RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘SWAP’
an energy commodity swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Segmentation criterion 4 Segmentation criterion 5
— [deleted]
Segmentation criterion 6 Segmentation criterion 7 EUR 10 000 000
10
Oil/Distillates/Light ends
Coal
Natural Gas/‘Electricity/Inter-energy
Maturity bucket 1
: 0 < time to maturity ≤ 4 months
Maturity bucket 1
: 0 < time to maturity ≤ 6 months
Maturity bucket 1
: 0 < time to maturity ≤ 1 month
Maturity bucket 2
: 4 months < time to maturity ≤ 8 months
Maturity bucket 2
: 6 months < time to maturity ≤ 1 year
Maturity bucket 2
: 1 month < time to maturity ≤ 1 year
Maturity bucket 3
: 8 months < time to maturity ≤ 1 year
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
…
…
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Agricultural commodity futures/forwards
RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and [RTS2#5 = ‘FUTR’ or ‘FORW’]
an agricultural commodity future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Maturity bucket 1
: 0 < time to maturity ≤ 3 months
Maturity bucket 2
: 3 months < time to maturity ≤ 6 months
Maturity bucket 3
: 6 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
EUR 10 000 000
10
Agricultural commodity options
RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and RTS2#5 = ‘OPTN’
an agricultural commodity option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Maturity bucket 1
: 0 < time to maturity ≤ 3 months
Maturity bucket 2
: 3 months < time to maturity ≤ 6 months
Maturity bucket 3
: 6 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
EUR 10 000 000
10
Agricultural commodity swaps
RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and RTS2#5 = ‘SWAP’
an agricultural commodity swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Segmentation criterion 4 Maturity bucket 1
: 0 < time to maturity ≤ 3 months
Maturity bucket 2
: 3 months < time to maturity ≤ 6 months
Maturity bucket 3
: 6 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
EUR 10 000 000
10
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied
Other commodity derivatives
a commodity derivative that does not belong to any of the above sub-asset classes
any other commodity derivative is considered not to have a liquid market
Table 7.2
Commodity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
Asset class — Commodity Derivatives
Sub-asset class
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market
Transactions to be considered for the calculations of the thresholds
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Trade — percentile
Volume — percentile
Threshold floor
Trade — percentile
Volume — percentile
Threshold floor
Metal commodity futures/forwards
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 250 000
70
EUR 500 000
80
60
EUR 750 000
90
70
EUR 1 000 000
30
40
50
60
Metal commodity options
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 250 000
70
EUR 500 000
80
60
EUR 750 000
90
70
EUR 1 000 000
30
40
50
60
Metal commodity swaps
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 250 000
70
EUR 500 000
80
60
EUR 750 000
90
70
EUR 1 000 000
30
40
50
60
Energy commodity futures/forwards
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 250 000
70
EUR 500 000
80
60
EUR 750 000
90
70
EUR 1 000 000
30
40
50
60
Energy commodity options
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 250 000
70
EUR 500 000
80
60
EUR 750 000
90
70
EUR 1 000 000
30
40
50
60
Energy commodity swaps
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 250 000
70
EUR 500 000
80
60
EUR 750 000
90
70
EUR 1 000 000
30
40
50
60
Agricultural commodity futures/forwards
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 250 000
70
EUR 500 000
80
60
EUR 750 000
90
70
EUR 1 000 000
30
40
50
60
Agricultural commodity options
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 250 000
70
EUR 500 000
80
60
EUR 750 000
90
70
EUR 1 000 000
30
40
50
60
Agricultural commodity swaps
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 250 000
70
EUR 500 000
80
60
EUR 750 000
90
70
EUR 1 000 000
30
40
50
60
Table 7.3
Commodity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
Asset class — Commodity Derivatives
Sub-asset class
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
Metal commodity futures/forwards
EUR 250 000
EUR 500 000
EUR 750 000
EUR 1 000 000
Metal commodity options
EUR 250 000
EUR 500 000
EUR 750 000
EUR 1 000 000
Metal commodity swaps
EUR 250 000
EUR 500 000
EUR 750 000
EUR 1 000 000
Energy commodity futures/forwards
EUR 250 000
EUR 500 000
EUR 750 000
EUR 1 000 000
Energy commodity options
EUR 250 000
EUR 500 000
EUR 750 000
EUR 1 000 000
Energy commodity swaps
EUR 250 000
EUR 500 000
EUR 750 000
EUR 1 000 000
Agricultural commodity futures/forwards
EUR 250 000
EUR 500 000
EUR 750 000
EUR 1 000 000
Agricultural commodity options
EUR 250 000
EUR 500 000
EUR 750 000
EUR 1 000 000
Agricultural commodity swaps
EUR 250 000
EUR 500 000
EUR 750 000
EUR 1 000 000
Other commodity derivatives
EUR 250 000
EUR 500 000
EUR 750 000
EUR 1 000 000
8.
Foreign exchange derivatives
Table 8.1
Foreign exchange derivatives – classes not having a liquid market
Asset class — Foreign Exchange Derivatives
a financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EU
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
Average daily notional amount (ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Non-deliverable forward (NDF)
means a forward that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.
RTS2#3 = DERV
RTS2#4 = CURR
RTS2#5 = FORW
RTS2#26 = NDLV
a non-deliverable FX forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1
: 0 < time to maturity ≤ 1 week
Maturity bucket 2
: 1 week < time to maturity ≤ 3 months
Maturity bucket 3
: 3 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
Maturity bucket 5
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Non-deliverable forward (NDF) are considered not to have a liquid market
Deliverable forward (DF)
means a forward that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.
RTS2#3 = DERV
RTS2#4 = CURR’
RTS2#5 = FORW
RTS2#26 = DLVB
a deliverable FX forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1
: 0 < time to maturity ≤ 1 week
Maturity bucket 2
: 1 week < time to maturity ≤ 3 months
Maturity bucket 3
: 3 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
Maturity bucket 5
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Deliverable forward (DF) are considered not to have a liquid market
Non-Deliverable FX options (NDO)
means an option that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.
RTS2#3 = DERV
RTS2#4 = CURR’
RTS2#5 = OPTN
RTS2#26 = NDLV
a non-deliverable FX option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1
: 0 < time to maturity ≤ 1 week
Maturity bucket 2
: 1 week < time to maturity ≤ 3 months
Maturity bucket 3
: 3 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
Maturity bucket 5
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Non-Deliverable FX options (NDO) are considered not to have a liquid market
Deliverable FX options (DO)
means an option that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.
RTS2#3 = DERV
RTS2#4 = CURR
RTS2#5 = OPTN
RTS2#26 = DLVB
a deliverable FX option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1
: 0 < time to maturity ≤ 1 week
Maturity bucket 2
: 1 week < time to maturity ≤ 3 months
Maturity bucket 3
: 3 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
Maturity bucket 5
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Deliverable FX options (DO) are considered not to have a liquid market
Non-Deliverable FX swaps (NDS)
means a swap that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.
RTS2#3 = DERV
RTS2#4 = CURR’
RTS2#5 = SWAP
RTS2#26 = NDLV
a non-deliverable FX swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1
: 0 < time to maturity ≤ 1 week
Maturity bucket 2
: 1 week < time to maturity ≤ 3 months
Maturity bucket 3
: 3 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
Maturity bucket 5
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Non-Deliverable FX swaps (NDS) are considered not to have a liquid market
Deliverable FX swaps (DS)
means a swap that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.
RTS2#3 = DERV
RTS2#4 = CURR
RTS2#5 = SWAP
RTS2#26 = DLVB
a deliverable FX swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1
: 0 < time to maturity ≤ 1 week
Maturity bucket 2
: 1 week < time to maturity ≤ 3 months
Maturity bucket 3
: 3 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
Maturity bucket 5
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
Deliverable FX swaps (DS) are considered not to have a liquid market
FX futures
RTS2#3 = DERV
RTS2#4 = CURR’
RTS2#5 = FUTR
an FX future sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1
: 0 < time to maturity ≤ 1 week
Maturity bucket 2
: 1 week < time to maturity ≤ 3 months
Maturity bucket 3
: 3 months < time to maturity ≤ 1 year
Maturity bucket 4
: 1 year < time to maturity ≤ 2 years
Maturity bucket 5
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
FX futures are considered not to have a liquid market
Asset class — Foreign Exchange Derivatives
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied
Other Foreign Exchange Derivatives
an FX derivative that does not belong to any of the above sub-asset classes
RTS2#3 = DERV
RTS2#4 = CURR
RTS2#5 = OTHR
any other FX derivative is considered not to have a liquid market
Table 8.2
Foreign exchange derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
Asset class — Foreign Exchange Derivatives
Sub-asset class
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
Non-deliverable forward (NDF)
EUR 4 000 000
EUR 5 000 000
EUR 20 000 000
EUR 25 000 000
Deliverable forward (DF)
EUR 4 000 000
EUR 5 000 000
EUR 20 000 000
EUR 25 000 000
Non-Deliverable FX options (NDO)
EUR 4 000 000
EUR 5 000 000
EUR 20 000 000
EUR 25 000 000
Deliverable FX options (DO)
EUR 4 000 000
EUR 5 000 000
EUR 20 000 000
EUR 25 000 000
Non-Deliverable FX swaps (NDS)
EUR 4 000 000
EUR 5 000 000
EUR 20 000 000
EUR 25 000 000
Deliverable FX swaps (DS)
EUR 4 000 000
EUR 5 000 000
EUR 20 000 000
EUR 25 000 000
FX futures
EUR 4 000 000
EUR 5 000 000
EUR 20 000 000
EUR 25 000 000
Other Foreign Exchange Derivatives
EUR 4 000 000
EUR 5 000 000
EUR 20 000 000
EUR 25 000 000
9.
Credit derivatives
Table 9.1
Credit derivatives — classes not having a liquid market
Asset class — Credit Derivatives
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied
Average daily notional amount (ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
On-the-run status of the index
[Additional qualitative liquidity criterion]
Index credit default swap (CDS)
a swap whose exchange of cash flows is linked to the creditworthiness of several issuers of financial instruments composing an index and the occurrence of credit events
RTS2#3 = DERV
RTS2#4 = CRDT
an index credit default swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Maturity bucket 1
: 0 < time to maturity ≤ 1 year
Maturity bucket 2
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
EUR 200 000 000
10
The underlying index is considered to have a liquid market: ‘on-the-run’ index means the rolling most recent version (series) of the index created on the date on which the composition of the index is effective and ending one day prior to the date on which the composition of the next version (series) of the index is effective.
‘1x off-the-run status’ means the version (series) of the index which is immediately prior to the current ‘on-the-run’ version (series) at a certain point in time. A version (series) ceases being ‘on-the-run’ and acquires its ‘1x off-the-run’ status when the latest version (series) of the index is created.
Single name credit default swap (CDS)
a swap whose exchange of cash flows is linked to the creditworthiness of one issuer of financial instruments and the occurrence of credit events
RTS2#3 = DERV
RTS2#4 = CRDT
a single name credit default swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 ‘Issuer of sovereign and public type’ means an issuer entity which is either:
(a) the Union;
(b) a Member State including a government department, an agency or a special purpose vehicle of a Member State;
(c) a sovereign entity which is not listed under points (a) and (b);
(d) in the case of a federal Member State, a member of that federation;
(e) a special purpose vehicle for several Member States;
(f) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems;
(g) the European Investment Bank;
(h) a public entity which is not a sovereign issuer as specified in the points (a) to (c).
‘Issuer of corporate type’ means an issuer entity which is not an issuer of sovereign and public type.
Segmentation criterion 3 Segmentation criterion 4 Maturity bucket 1
: 0 < time to maturity ≤ 1 year
Maturity bucket 2
: 1 year < time to maturity ≤ 2 years
Maturity bucket 3
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
EUR 10 000 000
10
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet the following qualitative liquidity criterion
CDS index options
an option whose underlying is a CDS index
RTS2#3 = DERV
RTS2#4 = CRDT
a CDS index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1
: 0 < time to maturity ≤ 6 months
Maturity bucket 2
: 6 months < time to maturity ≤ 1 year
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 4
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market
a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market
a CDS index option whose underlying CDS index is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket
Single name CDS options
an option whose underly-ing is a single name CDS
RTS2#3 = DERV
RTS2#4 = CRDT
a single name CDS option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Maturity bucket 1
: 0 < time to maturity ≤ 6 months
Maturity bucket 2
: 6 months < time to maturity ≤ 1 year
Maturity bucket 3
: 1 year < time to maturity ≤ 2 years
Maturity bucket 4
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market
a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market
a single name CDS option whose underlying single name CDS is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket
Asset class — Credit Derivatives
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall apply
Other credit derivatives
a credit derivative that does not belong to any of the above sub-asset classes
RTS2#3 = DERV
RTS2#4 = CRDT
RTS2#5 = OTHR
any other credit derivatives is considered not to have a liquid market
Table 9.2
Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
Asset class — Credit Derivatives
Sub-asset class
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market
Transactions to be considered for the calculations of the thresholds
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Trade — percentile
Volume — percentile
Threshold floor
Trade — percentile
Volume — percentile
Threshold floor
Index credit default swap (CDS)
Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 2 500 000
70
EUR 5 000 000
80
60
EUR 7 500 000
90
70
EUR 10 000 000
30
40
50
60
Single name credit default swap (CDS)
Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 2 500 000
70
EUR 5 000 000
80
60
EUR 7 500 000
90
70
EUR 10 000 000
30
40
50
60
CDS index options
Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 2 500 000
70
EUR 5 000 000
80
60
EUR 7 500 000
90
70
EUR 10 000 000
30
40
50
60
Single name CDS options
Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 2 500 000
70
EUR 5 000 000
80
60
EUR 7 500 000
90
70
EUR 10 000 000
30
40
50
60
Table 9.3
Credit derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
Asset class — Credit Derivatives
Sub-asset class
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
Index credit default swap (CDS)
EUR 2 500 000
EUR 5 000 000
EUR 7 500 000
EUR 10 000 000
Single name credit default swap (CDS)
EUR 2 500 000
EUR 5 000 000
EUR 7 500 000
EUR 10 000 000
CDS index options
EUR 2 500 000
EUR 5 000 000
EUR 7 500 000
EUR 10 000 000
Single name CDS options
EUR 2 500 000
EUR 5 000 000
EUR 7 500 000
EUR 10 000 000
Other credit derivatives
EUR 2 500 000
EUR 5 000 000
EUR 7 500 000
EUR 10 000 000
10.
C10 derivatives
Table 10.1
C10 derivatives – classes not having a liquid market
Asset class — C10 Derivatives
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
Average daily notional amount (ADNA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Freight derivatives
a financial instrument relating to freight rates as defined in Section C(10) of Annex I of Directive 2014/65/EU
RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘FRGT’
a freight derivative sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 Segmentation criterion 2 Segmentation criterion 3 Segmentation criterion 4 Segmentation criterion 5 Segmentation criterion 6 Maturity bucket 1
: 0 < time to maturity ≤ 1 month
Maturity bucket 2
: 1 month < time to maturity ≤ 3 months
Maturity bucket 3
: 3 months < time to maturity ≤ 6 months
Maturity bucket 4
: 6 months < time to maturity ≤ 9 months
Maturity bucket 5
: 9 months < time to maturity ≤ 1 year
Maturity bucket 6
: 1 year < time to maturity ≤ 2 years
Maturity bucket 7
: 2 years < time to maturity ≤ 3 years
…
Maturity bucket m
: (n-1) years < time to maturity ≤ n years
EUR 10 000 000
10
Asset class — C10 Derivatives
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied
Other C10 derivatives
a financial instrument as defined in Section C(10) of Annex I of Directive 2014/65/EU which is not a ‘Freight derivative’, any of the following interest rate derivatives sub-asset classes: ‘Inflation multi-currency swap or cross-currency swap’, a ‘Future/forward on inflation multi-currency swaps or cross-currency swaps’, an ‘Inflation single currency swap’, a ‘Future/forward on inflation single currency swap’ and any of the following equity derivatives sub-asset classes: a ‘Volatility index option’, a ‘Volatility index future/forward’, a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility
any other C10 derivatives is considered not to have a liquid market
Table 10.2
C10 derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
Asset class — C10 Derivatives
Sub-asset class
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market
Transactions to be considered for the calculations of the thresholds
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Trade — percentile
Volume — percentile
Threshold floor
Trade — percentile
Volume — percentile
Threshold floor
Freight derivatives
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class
S1
S2
S3
S4
EUR 25 000
70
EUR 50 000
80
60
EUR 75 000
90
70
EUR 100 000
30
40
50
60
Table 10.3
C10 derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
Asset class — C10 Derivatives
Sub-asset class
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
Freight derivatives
EUR 25 000
EUR 50 000
EUR 75 000
EUR 100 000
Other C10 derivatives
EUR 25 000
EUR 50 000
EUR 75 000
EUR 100 000
11.
Financial contracts for differences (CFDs)
Table 11.1
CFDs – classes not having a liquid market
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 CFDs
RTS2#3 = DERV
RTS2#5 = CFDS
RTS2#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 CFDs
RTS2#3 = DERV
RTS2#5 = CFDS
RTS2#29 = COMM
a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract
RTS23#35 and RTS23#36 and RTS23#37
EUR 50 000 000
100
Equity CFDs
RTS2#3 = DERV
RTS2#5 = CFDS
RTS2#29 = EQUI
an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract
RTS23#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 CFDs
RTS2#3 = DERV
RTS2#5 = CFDS
RTS2#29 = BOND
a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract
RTS23#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/forward
RTS2#3 = DERV
RTS2#5 = CFDS
RTS2#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 contract
RTS23#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 option
RTS2#3 = DERV
RTS2#5 = CFDS
RTS2#29 = OPEQ
a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract
RTS23#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 classes
RTS2#3 = DERV
RTS2#5 = CFDS
RTS2#29 = OTHR
any other CFD/spread betting is considered not to have a liquid market
Table 11.2
CFDs– pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
Asset class — Financial contracts for differences (CFDs)
Sub-asset class
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market
Transactions to be considered for the calculations of the thresholds
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Trade — percentile
Volume — percentile
Threshold floor
Trade — percentile
Volume — percentile
Threshold floor
Currency CFDs
transactions executed on currency CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)
S1
S2
S3
S4
EUR 50 000
70
EUR 60 000
80
60
EUR 90 000
90
70
EUR 100 000
30
40
50
60
Commodity CFDs
transactions executed on commodity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)
S1
S2
S3
S4
EUR 50 000
70
EUR 60 000
80
60
EUR 90 000
90
70
EUR 100 000
30
40
50
60
Equity CFDs
transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)
S1
S2
S3
S4
EUR 50 000
70
EUR 60 000
80
60
EUR 90 000
90
70
EUR 100 000
30
40
50
60
Bond CFDs
transactions executed on bond CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)
S1
S2
S3
S4
EUR 50 000
70
EUR 60 000
80
60
EUR 90 000
90
70
EUR 100 000
30
40
50
60
CFDs on an equity future/forward
transactions executed on CFDs on future on an equity considered to have a liquid market as per Articles 6 and 8(1)(b)
S1
S2
S3
S4
EUR 50 000
70
EUR 60 000
80
60
EUR 90 000
90
70
EUR 100 000
30
40
50
60
CFDs on an equity option
transactions executed on CFDs on option on an equity considered to have a liquid market as per Articles 6 and 8(1)(b)
S1
S2
S3
S4
EUR 50 000
70
EUR 60 000
80
60
EUR 90 000
90
70
EUR 100 000
30
40
50
60
Table 11.3
CFDs — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
Asset class — Financial contracts for differences (CFDs)
Sub-asset class
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
Currency CFDs
EUR 50 000
EUR 60 000
EUR 90 000
EUR 100 000
Commodity CFDs
EUR 50 000
EUR 60 000
EUR 90 000
EUR 100 000
Equity CFDs
EUR 50 000
EUR 60 000
EUR 90 000
EUR 100 000
Bond CFDs
EUR 50 000
EUR 60 000
EUR 90 000
EUR 100 000
CFDs on an equity future/forward
EUR 50 000
EUR 60 000
EUR 90 000
EUR 100 000
CFDs on an equity option
EUR 50 000
EUR 60 000
EUR 90 000
EUR 100 000
Other CFDs/spread betting
EUR 50 000
EUR 60 000
EUR 90 000
EUR 100 000
12.
Emission allowances
Table 12.1
Emission allowances — classes not having a liquid market
Asset class — Emission Allowances
Sub-asset class
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
Average Daily Amount (ADA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
European Union Allowances (EUA)
any unit recognised for compliance with the requirements of Directive 2003/87/EC of the European Parliament and of the Council
2
e)
RTS2#3 = EMAL and RTS2#11 = EUAE 150 000 tonnes of Carbon Dioxide Equivalent
5
European Union Aviation Allowances (EUAA)
any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO
2
e) from aviation
RTS2#3 = EMAL and RTS2#11 = EUAA 150 000 tonnes of Carbon Dioxide Equivalent
5
Certified Emission Reductions (CER)
any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO
2
e)
RTS2#3 = EMAL and RTS2#11 = CERE 150 000 tonnes of Carbon Dioxide Equivalent
5
Emission Reduction Units (ERU)
any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO
2
e)
RTS2#3 = EMAL and RTS2#11 = ERUE 150 000 tonnes of Carbon Dioxide Equivalent
5
Other Emission Allowances
an 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
any other emission allowances is considered not to have a liquid market
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 12.2
Emission allowances — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market
Asset class — Emission Allowances
Sub-asset class
Transactions to be considered for the calculation of the thresholds
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined to have a liquid market
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
European Union Allowances (EUA)
transactions executed on all European Union Allowances (EUA)
S1
S2
S3
S4 40 000 tons of Carbon Dioxide Equivalent
70
50 000 tons of Carbon Dioxide Equivalent
80
90 000 tons of Carbon Dioxide Equivalent
90
100 000 tons of Carbon Dioxide Equivalent
30
40
50
60
European Union Aviation Allowances (EUAA)
transactions executed on all European Union Aviation Allowance (EUAA)
S1
S2
S3
S4 20 000 tons of Carbon Dioxide Equivalent
70
25 000 tons of Carbon Dioxide Equivalent
80
40 000 tons of Carbon Dioxide Equivalent
90
50 000 tons of Carbon Dioxide Equivalent
30
40
50
60
Certified Emission Reductions (CER)
transactions executed on all Certified Emission Reductions (CER)
S1
S2
S3
S4 20 000 tons of Carbon Dioxide Equivalent
70
25 000 tons of Carbon Dioxide Equivalent
80
40 000 tons of Carbon Dioxide Equivalent
90
50 000 tons of Carbon Dioxide Equivalent
30
40
50
60
Emission Reduction Units (ERU)
transactions executed on all Emission Reduction Units (ERU)
S1
S2
S3
S4 20 000 tons of Carbon Dioxide Equivalent
70
25 000 tons of Carbon Dioxide Equivalent
80
40 000 tons of Carbon Dioxide Equivalent
90
50 000 tons of Carbon Dioxide Equivalent
30
40
50
60
Table 12.3
Emission allowances — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market
Asset class — Emission Allowances
Sub-asset class
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
European Union Allowances (EUA) 40 000 tons of Carbon Dioxide Equivalent 50 000 tons of Carbon Dioxide Equivalent 90 000 tons of Carbon Dioxide Equivalent 100 000 tons of Carbon Dioxide Equivalent
European Union Aviation Allowances (EUAA) 20 000 tons of Carbon Dioxide Equivalent 25 000 tons of Carbon Dioxide Equivalent 40 000 tons of Carbon Dioxide Equivalent 50 000 tons of Carbon Dioxide Equivalent
Certified Emission Reductions (CER) 20 000 tons of Carbon Dioxide Equivalent 25 000 tons of Carbon Dioxide Equivalent 40 000 tons of Carbon Dioxide Equivalent 50 000 tons of Carbon Dioxide Equivalent
Emission Reduction Units (ERU) 20 000 tons of Carbon Dioxide Equivalent 25 000 tons of Carbon Dioxide Equivalent 40 000 tons of Carbon Dioxide Equivalent 50 000 tons of Carbon Dioxide Equivalent
13.
Emission allowance derivatives
Table 13.1
Emission allowance derivatives — classes not having a liquid market
Asset class — Emission Allowance Derivatives
Sub-asset class
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
Average Daily Amount (ADA)
[quantitative liquidity criterion 1]
Average daily number of trades
[quantitative liquidity criterion 2]
Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)
a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EU
RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAE 150 000 tonnes of Carbon Dioxide Equivalent
5
Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)
a financial instrument relating to emission allowances of the type European Union Aviation Allowances (EUAA) as defined in Section C(4) of Annex I of Directive 2014/65/EU
RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAA 150 000 tonnes of Carbon Dioxide Equivalent
5
Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)
a financial instrument relating to emission allowances of the type Certified Emission Reductions (CER) as defined in Section C(4) of Annex I of Directive 2014/65/EU
RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = CERE 150 000 tonnes of Carbon Dioxide Equivalent
5
Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)
a financial instrument relating to emission allowances of the type Emission Reduction Units (ERU) as defined in Section C(4) of Annex I of Directive 2014/65/EU
RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = ERUE 150 000 tonnes of Carbon Dioxide Equivalent
5
Other Emission allowance derivatives
an 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 13.2
Emission allowance derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market
Asset class — Emission Allowance Derivatives
Sub-asset class
Transactions to be considered for the calculation of the thresholds
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined to have a liquid market
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Trade — percentile
Threshold floor
Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)
transactions executed on all emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)
S1
S2
S3
S4 40 000 tons of Carbon Dioxide Equivalent
70
50 000 tons of Carbon Dioxide Equivalent
80
90 000 tons of Carbon Dioxide Equivalent
90
100 000 tons of Carbon Dioxide Equivalent
30
40
50
60
Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)
transactions executed on all emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)
S1
S2
S3
S4 20 000 tons of Carbon Dioxide Equivalent
70
25 000 tons of Carbon Dioxide Equivalent
80
40 000 tons of Carbon Dioxide Equivalent
90
50 000 tons of Carbon Dioxide Equivalent
30
40
50
60
Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)
transactions executed on all emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)
S1
S2
S3
S4 20 000 tons of Carbon Dioxide Equivalent
70
25 000 tons of Carbon Dioxide Equivalent
80
40 000 tons of Carbon Dioxide Equivalent
90
50 000 tons of Carbon Dioxide Equivalent
30
40
50
60
Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)
transactions executed on all emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)
S1
S2
S3
S4 20 000 tons of Carbon Dioxide Equivalent
70
25 000 tons of Carbon Dioxide Equivalent
80
40 000 tons of Carbon Dioxide Equivalent
90
50 000 tons of Carbon Dioxide Equivalent
30
40
50
60
Table 13.3
Emission allowance derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market
Asset class — Emission Allowance Derivatives
Sub-asset class
Pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined not to have a liquid market
SSTI pre-trade
LIS pre-trade
SSTI post-trade
LIS post-trade
Threshold value
Threshold value
Threshold value
Threshold value
Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) 40 000 tons of Carbon Dioxide Equivalent 50 000 tons of Carbon Dioxide Equivalent 90 000 tons of Carbon Dioxide Equivalent 100 000 tons of Carbon Dioxide Equivalent
Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) 20 000 tons of Carbon Dioxide Equivalent 25 000 tons of Carbon Dioxide Equivalent 40 000 tons of Carbon Dioxide Equivalent 50 000 tons of Carbon Dioxide Equivalent
Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) 20 000 tons of Carbon Dioxide Equivalent 25 000 tons of Carbon Dioxide Equivalent 40 000 tons of Carbon Dioxide Equivalent 50 000 tons of Carbon Dioxide Equivalent
Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) 20 000 tons of Carbon Dioxide Equivalent 25 000 tons of Carbon Dioxide Equivalent 40 000 tons of Carbon Dioxide Equivalent 50 000 tons of Carbon Dioxide Equivalent
Other Emission allowance derivatives 20 000 tons of Carbon Dioxide Equivalent 25 000 tons of Carbon Dioxide Equivalent 40 000 tons of Carbon Dioxide Equivalent 50 000 tons of Carbon Dioxide Equivalent# 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) | |
| … | … | … |