Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivativesText with EEA relevance.

1. Corporate bonds and covered bonds that are admitted to trading or first traded on a trading venue shall be considered to have a liquid market until the application of the results of the first quarterly liquidity determination as set out in Article 13(18) where:

(a) the issuance size exceeds EUR 1000000000 during stages S1 and S2, as determined in accordance with paragraph 6;

(b) the issuance size exceeds EUR 500000000 during stages S3 and S4, as determined in accordance with paragraph 6.

1. For determining the size specific to the financial instrument for the purposes of Article 5 and according to the methodology specified in Article 13(2)(b), the approach for the trade percentile to be applied shall be used applying the trade percentile corresponding to the stage S1 (30th percentile).

1. ESMA shall, by 30 July of the year following the date of application of Regulation (EU) No 600/2014 and by 30 July of each year thereafter, submit to the Commission an assessment of the operation of the thresholds for the liquidity criterion 'average daily number of trades' for bonds as well as the trade percentiles that determine the size specific to the financial instruments covered by paragraph 8. The obligation to submit the assessment of the operation of the thresholds for the liquidity criterion for bonds ceases once S4 in the sequence of paragraph 6 is reached. The obligation to submit the assessment of the trade percentiles ceases once S4 in the sequence of paragraph 8 is reached.

1. The assessment referred to in paragraph 4 shall take into account:

(a) the evolution of trading volumes in non-equity instruments covered by the pre-trade transparency obligations pursuant to Article 8 and 9 of Regulation (EU) No 600/2014;

(b) the impact on liquidity providers of the percentile thresholds used to determine the size specific to the financial instrument; and

(c) any other relevant factors.

1. ESMA shall, in light of the assessment undertaken in accordance with paragraphs 4 and 5, submit to the Commission an amended version of the regulatory technical standard adjusting the threshold for the liquidity criterion average daily number of trades for bonds according to the following sequence:

(a) S2 (10 daily trades) by 30 July of the year following the date of application of Regulation (EU) No 600/2014;

(b) S3 (7 daily trades) by 30 July of the year thereafter; and

(c) S4 (2 daily trades) by 30 July of the year thereafter.

1. Where ESMA does not submit an amended regulatory technical standard adjusting the threshold to the next stage according to the sequence referred to in paragraph 6, the ESMA assessment undertaken in accordance with paragraphs 4 and 5 shall explain why adjusting the threshold to the relevant next stage is not warranted. In this instance, the move to the next stage will be postponed by one year.

1. ESMA shall, in light of the assessment undertaken in accordance with paragraphs 4 and 5, submit to the Commission an amended version of the regulatory technical standard adjusting the threshold for trade percentiles according to the following sequence:

(a) S2 (40th percentile) by 30 July of the year following the date of application of Regulation (EU) No 600/2014;

(b) S3 (50th percentile) by 30 July of the year thereafter; and

(c) S4 (60th percentile) by 30 July of the year thereafter.

1. Where ESMA does not submit an amended regulatory technical standard adjusting the threshold to the next stage according to the sequence referred to in paragraph 8, the ESMA assessment undertaken in accordance with paragraphs 4 and 5 shall explain why adjusting the threshold to the relevant next stage is not warranted. In this instance, the move to the next stage will be postponed by one year.

Article 18

Transitional provisions

1. Competent authorities shall, no later than six months prior to the date of application of Regulation (EU) No 600/2014, collect the necessary data, calculate and ensure publication of the details referred to in Article 13(5).

1. For the purposes of paragraph 1:

(a) the calculations shall be based on a six-month reference period commencing 18 months prior to the date of application of Regulation (EU) No 600/2014;

(b) the results of the calculations contained in the first publication shall be used until the results of the first regular calculations set out in Article 13(17) apply.

1. By derogation from paragraph 1, for all bonds, except ETCs and ETNs, competent authorities shall use their best endeavours to ensure publication of the results of the transparency calculations specified in paragraph 1(b)(i) of Article 13 no later than on the first day of the month preceding the date of application of Regulation (EU) No 600/2014, based on a reference period of three months commencing on the first day of the fifth month preceding the date of application of Regulation (EU) No 600/2014.

1. Competent authorities, market operators and investment firms including investment firms operating a trading venue shall use the information published in accordance with paragraph 3 until the results of the first regular calculation set out in Article 13(18) apply.

1. Bonds, except for ETCs and ETNs, which are admitted to trading or first traded on a trading venue in the three month period preceding the date of application of Regulation (EU) No 600/2014 shall be considered not to have a liquid market as set out in Table 2.2 of Annex III until the results of the first regular calculation set out in Article 13(18) apply.

Article 19

Entry into force and application

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 3 January 2018. However, Article 18 shall apply from the date of the entry of force of this Regulation.

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

Done at Brussels, 14 July 2016.

For the Commission

The President

Jean-Claude Juncker

Annex

ANNEX I

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

Information to be made public in accordance with Article 2

Type of systemDescription of systemInformation to be made publicContinuous auction order book trading systemA 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 systemA 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 systemA 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 systemA 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 systemA 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 rulesTrading system not covered by first 5 rowsA hybrid system falling into two or more of the first five rows or a system where the price determination process is of a different nature than that applicable to the types of system covered by first five rows.Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit.

Annex

ANNEX II

Details of transactions to be made available to the public

Table 1

Symbol table for Table 2

SYMBOLDATA TYPEDEFINITION{ALPHANUM-n}Up to n alphanumerical charactersFree text field.{CURRENCYCODE_3}3 alphanumerical characters3 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 charactersISIN code, as defined in ISO 6166{MIC}4 alphanumerical charactersMarket identifier as defined in ISO 10383

Table 2

List of details for the purpose of post-trade transparency

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 (see page 148 of this Official Journal).

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 (see page 193 of this Official Journal).

DetailsFinancial instrumentsDescription/Details to be publishedType of execution/publication venueFormat to be populated as defined in Table 1Trading date and timeFor all financial instruments

Date and time when the transaction was executed.

For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 3 of Commission Delegated Regulation (EU) 2017/574.

For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies (in fields 31, 34 and 40 as specified in 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 5 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}

Instrument identification code typeFor all financial instrumentsCode type used to identify the financial instrument

RM, MTF, OTF

APA

CTP

ISIN = ISIN-code, where ISIN is available

OTHR = other identifier

Instrument identification codeFor all financial instrumentsCode used to identify the financial instrument

RM, MTF, OTF

APA

CTP

{ISIN}

Where Instrument identification code is not an ISIN, an identifier that identifies the derivative instrument based on the fields 3 to 5, 7 and 8 and 12 to 42 as specified in Annex IV and fields 13 and 24 to 48 as specified in the Annex of Delegated Regulation (EU) 2017/585 and the grouping of derivative instruments as set out in Annex III.

PriceFor all financial instruments

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

In the case of option contracts, it shall be the premium of the derivative contract per underlying or index point.

In the case of spread bets it shall be the reference price of the underlying instrument.

For credit default swaps (CDS) it shall be the coupon in basis points.

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

Where price is currently not available but pending, the value should be PNDG.

Where price is not applicable the field shall not be populated.

The information reported in this field shall be consistent with the value provided in field Quantity.

RM, MTF, OTF

APA

CTP

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

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

PNDG in case the price is not available

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

Venue of executionFor all financial instruments

Identification of the venue where the transaction was executed.

Use the ISO 10383 segment MIC for transactions executed on a trading venue. Where the segment MIC does not exist, use the operating MIC.

Use MIC code XOFF for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue or systematic internaliser or organised trading platform outside of the Union.

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

RM, MTF, OTF

APA

CTP

{MIC} –trading venues

SINT — systematic internaliser

Price notationFor all financial instrumentsIndication as to whether the price is expressed in monetary value, in percentage or in yield

RM, MTF, OTF

APA

CTP

MONE — Monetary value

PERC — Percentage

YIEL — Yield

BAPO — Basis points

Price CurrencyFor all financial instrumentsCurrency in which the price is expressed (applicable if the price is expressed as monetary value)

RM, MTF, OTF

APA

CTP

{CURRENCYCODE_3}

Notation of the quantity in measurement unitFor commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation.Indication of measurement units in which the quantity in measurement unit is expressed

RM, MTF, OTF

APA

CTP

TOCD — tons of carbon dioxide equivalent

Or

{ALPHANUM-25} otherwise

Quantity in measurement unitFor commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation.The equivalent amount of commodity or emission allowance traded expressed in measurement unit

RM, MTF, OTF

APA

CTP

{DECIMAL-18/17}QuantityFor all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation.The number of units of the financial instrument, or the number of derivative contracts in the transaction.

RM, MTF, OTF

APA

CTP

{DECIMAL-18/17}Notional amountFor all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation.

Nominal amount or notional amount

For spread bets, the notional amount shall be the monetary value wagered per point movement in the underlying financial instrument.

For credit default swaps, it shall be the notional amount for which the protection is acquired or disposed of.

The information reported in this field shall be consistent with the value provided in field Price

RM, MTF, OTF

APA

CTP

{DECIMAL-18/5}Notional currencyFor all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of the Regulation.Currency in which the notional is denominated

RM, MTF, OTF

APA

CTP

{CURRENCYCODE_3}

TypeFor emission allowances and emission allowance derivatives onlyThis 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 (for derivatives only)

Publication Date and TimeFor 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}Venue of publicationFor all financial instrumentsCode used to identify the trading venue and APA publishing the transaction.CTP

Trading venue: {MIC}

APA: {MIC} where available. Otherwise, 4 character code as published in the list of data reporting services providers on ESMA's website.

Transaction Identification CodeFor all financial instruments

Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580 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 should be unique, consistent and persistent per 4-character code used to identify the APA per trading day.

The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained

RM, MTF, OTF

APA

CTP

{ALPHANUMERICAL-52}

Transaction to be clearedFor derivativesCode to identify whether the transaction will be cleared.

RM, MTF, OTF

APA

CTP

true — transaction to be cleared

false — transaction not to be cleared

Table 3

List of flags for the purpose of post-trade transparency

FlagName of FlagType of execution/publication venueDescriptionBENCBenchmark transaction flag

RM, MTF, OTF

APA

CTP

All kinds of volume weighted average price transactions and all other trades where the price is calculated over multiple time instances according to a given benchmark.ACTXAgency 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.NPFTNon-price forming transaction flag

RM, MTF, OTF

CTP

All types of transactions listed under Article 12 of this Regulation and which do not contribute to the price formation.LRGSPost-trade LIS transaction flag

RM, MTF, OTF

APA

CTP

Transactions executed under the post-trade large in scale deferral.ILQDIlliquid instrument transaction flag

RM, MTF, OTF

APA

CTP

Transactions executed under the deferral for instruments for which there is not a liquid market.SIZEPost-trade SSTI transaction flag

RM, MTF, OTF

APA

CTP

Transactions executed under the post-trade size specific to the instrument deferral.TPACPackage transaction flag

RM, MTF, OTF

APA

CTP

Package transactions which are not exchange for physicals as defined in Article 1.

XFPHExchange for physicals transaction flag

RM, MTF, OTF

APA

CTP

Exchange for physicals as defined in Article 1CANCCancellation flag

RM, MTF, OTF

APA

CTP

When a previously published transaction is cancelled.AMNDAmendment flag

RM, MTF, OTF

APA

CTP

When a previously published transaction is amended.SUPPLEMENTARY DEFERRAL FLAGSArticle 11(1)(a)(i).LMTFLimited details flag

RM, MTF, OTF

APA

CTP

First report with publication of limited details in accordance with Article 11(1)(a)(i).FULFFull details flagTransaction for which limited details have been previously published in accordance with Article 11(1)(a)(i).Article 11(1)(a)(ii).DATFDaily aggregated transaction flag

RM, MTF, OTF

APA

CTP

Publication of daily aggregated transaction in accordance with Article 11(1)(a)(ii).FULAFull details flag

RM, MTF, OTF

APA

CTP

Individual transactions for which aggregated details have been previously published in accordance with Article 11(1)(a)(ii).Article 11(1)(b)VOLOVolume omission flag

RM, MTF, OTF

APA

CTP

Transaction for which limited details are published in accordance with Article 11(1)(b).FULVFull details flag

RM, MTF, OTF

APA

CTP

Transaction for which limited details have been previously published in accordance with Article 11(1)(b)Article 11(1)(c)FWAFFour weeks aggregation flag

RM, MTF, OTF

APA

CTP

Publication of aggregated transactions in accordance with Article 11(1)(c).FULJFull details flag

RM, MTF, OTF

APA

CTP

Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1)(c).

1. 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.

1. 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.

1. 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.

1. 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.

1. 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.

1. 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.

1. Portfolio Swap means a contract by which end-users can trade multiple swaps.

1. 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.

1. Swaption means a contract that gives the owner the right, but not the obligation, to enter a swap at or up to a certain future date or exercise date.

1. 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.

1. 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.

1. 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 100000S1S2S3S480 %151072

Table 2.2

Bonds (all bond types except ETCs and ETNs) — classes not having 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 2009/101/EC of the European Parliament and of the Council of 16 September 2009 on coordination of safeguards which, for the protection of the interests of members and third parties, are required by Member States of companies within the meaning of the second paragraph of Article 48 of the Treaty, with a view to making such safeguards equivalent (OJ L 258, 1.10.2009, p. 11).

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 TypeIssuance sizeSovereign Bond

means a bond issued by a sovereign issuer which is either:

(a) the Union;

(b) a Member State including a government department, an agency or a special purpose vehicle of a Member State;

(c) a sovereign entity which is not listed under points (a) and (b).

smaller than (in EUR)1000000000

Other Public Bond

means a bond issued by any of the following public issuers:

(a) in the case of a federal Member State, a member of that federation;

(b) a special purpose vehicle for several Member States;

(c) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems;

(d) the European Investment Bank;

(e) a public entity which is not an issuer of a sovereign bond as specified in the previous row.

smaller than (in EUR)500000000Convertible Bondmeans an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equitysmaller than (in EUR)500000000Covered Bondmeans bonds as referred to in Article 52(4) of Directive 2009/65/ECduring stages S1 and S2during stages S3 and S4smaller than (in EUR)1000000000smaller than (in EUR)500000000Corporate Bondmeans a bond that is issued by a Societas Europaea established in accordance with Council Regulation (EC) No 2157/2001 or a type of company listed in Article 1 of Directive 2009/101/EC of the European Parliament and of the Council or equivalent in third countriesduring stages S1 and S2during stages S3 and S4smaller than (in EUR)1000000000smaller than (in EUR)500000000Bond TypeFor 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 appliedOther BondA bond that does not belong to any of the above bond types is considered not to have a liquid market

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 TypeTransactions to be considered for the calculation of the thresholds per bond typePercentiles to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each bond typeSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeTrade — percentilethreshold floorTrade — percentilethreshold floorTrade — percentileTrade — percentileSovereign Bondtransactions executed on Sovereign Bonds following the exclusion of transactions as specified in Article 13(10)S1S2S3S4EUR 30000070EUR 300000809030405060Other Public Bondtransactions executed on Other Public Bonds following the exclusion of transactions as specified in Article 13(10)S1S2S3S4EUR 30000070EUR 300000809030405060Convertible Bondtransactions executed on Convertible Bonds following the exclusion of transactions as specified in Article 13(10)S1S2S3S4EUR 20000070EUR 200000809030405060Covered Bondtransactions executed on Covered Bonds following the exclusion of transactions as specified in Article 13(10)S1S2S3S4EUR 30000070EUR 300000809030404040Corporate Bondtransactions executed on Corporate Bonds following the exclusion of transactions as specified in Article 13(10)S1S2S3S4EUR 20000070EUR 200000809030405060Other Bondstransactions executed on Other Bonds following the exclusion of transactions as specified in Article 13(10)S1S2S3S4EUR 20000070EUR 200000809030405060

Table 2.4

Bonds (ETC and ETN bond types) — classes not having a liquid market

Asset class — Bonds (ETC and ETN bond types)Bond typeEach 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)

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 50000010

Exchange Traded Notes (ETNs)

a debt instrument issued against a direct investment by the issuer in the underlying or underlying derivative contracts. The price of an ETN is directly or indirectly linked to the performance of the underlying. An ETN passively tracks the performance of the underlying to which it refers.

EUR 50000010

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 marketBond typeSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueETCsEUR 1000000EUR 1000000EUR 50000000EUR 50000000ETNsEUR 1000000EUR 1000000EUR 50000000EUR 50000000

Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined not to have a liquid marketBond typeSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueETCsEUR 900000EUR 900000EUR 45000000EUR 45000000ETNsEUR 900000EUR 900000EUR 45000000EUR 45000000

1. 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 assessmentSFPs asset-class assessment for the purpose of the determination of the financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b)Transactions to be considered for the calculations of the values related to the quantitative liquidity criteria for the purpose of the SFPs asset-class assessmentThe 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 SFPsEUR 300000000500Test 2 — SFPs not having a liquid marketIf 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 100000280 %

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 passedSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueEUR 100000EUR 250000EUR 500000EUR 1000000

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 thresholdsPercentiles 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 passedSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileThreshold floorTransactions executed in all SFPs determined to have a liquid marketS1S2S3S4EUR 10000070EUR 25000080EUR 50000090EUR 100000030405060Pre-trade and post-trade SSTI and LIS thresholds for SFPs determined not to have a liquid market if Test 1 is passedSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueEUR 100000EUR 250000EUR 500000EUR 1000000

1. Securitised derivatives

Table 4.1

Securitised derivatives — classes not having a liquid market

Asset class — Securitised Derivatives

means a transferable security as defined in Article 4(1)(44)(c) of Directive 2014/65/EU different from structured finance products and should include at least:

(a) plain vanilla covered warrants means securities giving the holder the right, but not the obligation, to purchase (sell), at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, the payment of the positive difference between the current market price (the strike price) and the strike price (the current market price);

(b) leverage certificates means certificates that track the performance of the underlying asset with leverage effect;

(c) exotic covered warrants means covered warrants whose main component is a combination of options;

(d) negotiable rights;

(e) investment certificates means certificates that track the performance of the underlying asset without leverage effect.

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 DerivativesPre-trade and post-trade SSTI and LIS thresholdsSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueEUR 50000EUR 60000EUR 90000EUR 100000

1. Interest rate derivatives

Table 5.1

Interest rate derivatives — classes not having a liquid market

Asset class — Interest Rate Derivativesany 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 classFor 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 belowEach 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]

Additional qualitative liquidity criterionBond futures/forwards

a bond future/forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — issuer of the underlying

Segmentation criterion 2 — term of the underlying deliverable bond defined as follows:

Short-term: the underlying deliverable bond with a term between 1 and 4 years shall be considered to have a short-term

Medium-term: the underlying deliverable bond with a term between 4 and 8 years shall be considered to have a medium-term

Long-term: the underlying deliverable bond with a term between 8 and 15 years shall be considered to have a long-term

Ultra-long-term: the underlying deliverable bond with a term longer than 15 years shall be considered to have an ultra-long-term

Segmentation criterion 3 — time to maturity bucket of the future defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 3 months

Maturity bucket 2: 3 months < time to maturity ≤ 6 months

Maturity bucket 3: 6 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 500000010whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month

Bond options

a bond option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying bond or underlying bond future/forward

Segmentation criterion 2 — time to maturity bucket of the option defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 3 months

Maturity bucket 2: 3 months < time to maturity ≤ 6 months

Maturity bucket 3: 6 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 500000010

IR futures and FRA

an interest rate future sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying interest rate

Segmentation criterion 2 — term of the underlying interest rate

Segmentation criterion 3 — time to maturity bucket of the future defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 3 months

Maturity bucket 2: 3 months < time to maturity ≤ 6 months

Maturity bucket 3: 6 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 50000000010whenever 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

an interest rate option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying interest rate or underlying interest rate future or FRA

Segmentation criterion 2 — term of the underlying interest rate

Segmentation criterion 3 — time to maturity bucket of the option defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 3 months

Maturity bucket 2: 3 months < time to maturity ≤ 6 months

Maturity bucket 3: 6 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 50000000010

Swaptions

a swaption sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying swap type defined as follows: fixed-to-fixed single currency swap, futures/forwards on fixed-to-fixed single currency swap, fixed-to-float single currency swap, futures/forwards on fixed-to-float single currency swap, float-to-float single currency swap, futures/forwards on float-to-float single currency swap, inflation single currency swap, futures/forwards on inflation single currency swap, OIS single currency swap, futures/forwards on OIS single currency swap, fixed-to-fixed multi-currency swap, futures/forwards on fixed-to-fixed multi-currency swap, fixed-to-float multi-currency swap, futures/forwards on fixed-to-float multi-currency swap, float-to-float multi-currency swap, futures/forwards on float-to-float multi-currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap, OIS multi-currency swap, futures/forwards on OIS multi-currency swap

Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the option is denominated

Segmentation criterion 3 — inflation index if the underlying swap type is either an inflation single currency swap or an inflation multi-currency swap

Segmentation criterion 4 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 6 months

Maturity bucket 4: 6 months < time to maturity ≤ 1 year

Maturity bucket 5: 1 year < time to maturity ≤ 2 years

Maturity bucket 6: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 50000000010

Segmentation criterion 5 — time to maturity bucket of the option defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 6 months

Maturity bucket 2: 6 months < time to maturity ≤ 1 year

Maturity bucket 3: 1 year < time to maturity ≤ 2 years

Maturity bucket 4: 2 years < time to maturity ≤ 5 years

Maturity bucket 5: 5 years < time to maturity ≤ 10 years

Maturity bucket 6: over 10 years

Fixed-to-Float multi-currency swaps or cross-currency swaps and futures/forwards on Fixed-to-Float multi-currency swaps or cross-currency swaps

a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and the cash flows of one leg are determined by a fixed interest rate while those of the other leg are determined by a floating interest rate

a fixed-to-float multi-currency sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < maturity ≤ 1 month

Maturity bucket 2: 1 month < maturity ≤ 3 months

Maturity bucket 3: 3 months < maturity ≤ 6 months

Maturity bucket 4: 6 months < maturity ≤ 1 year

Maturity bucket 5: 1 year < maturity ≤ 2 years

Maturity bucket 6: 2 years < maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000010

Float-to-Float multi-currency swaps or cross-currency swaps and futures/forwards on Float-to-Float multi-currency swaps or cross-currency swaps

a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by floating interest rates

a float-to-float multi-currency sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < maturity ≤ 1 month

Maturity bucket 2: 1 month < maturity ≤ 3 months

Maturity bucket 3: 3 months < maturity ≤ 6 months

Maturity bucket 4: 6 months < maturity ≤ 1 year

Maturity bucket 5: 1 year < maturity ≤ 2 years

Maturity bucket 6: 2 years < maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000010

Fixed-to-Fixed multi-currency swaps or cross-currency swaps and futures/forwards on Fixed-to-Fixed multi-currency swaps or cross-currency swaps

a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by fixed interest rates

a fixed-to-fixed multi-currency sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 6 months

Maturity bucket 4: 6 months < time to maturity ≤ 1 year

Maturity bucket 5: 1 year < time to maturity ≤ 2 years

Maturity bucket 6: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000010

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

a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate

an overnight index swap (OIS) multi-currency sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 6 months

Maturity bucket 4: 6 months < time to maturity ≤ 1 year

Maturity bucket 5: 1 year < time to maturity ≤ 2 years

Maturity bucket 6: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000010

Inflation multi-currency swaps or cross-currency swaps and futures/forwards on Inflation multi-currency swaps or cross-currency swaps

a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an inflation rate

an inflation multi-currency sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 6 months

Maturity bucket 4: 6 months < time to maturity ≤ 1 year

Maturity bucket 5: 1 year < time to maturity ≤ 2 years

Maturity bucket 6: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000010

Fixed-to-Float single currency swaps and futures/forwards on Fixed-to-Float single currency swaps

a swap or a future/forward on a swap where two parties exchange cash flows denominated 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

a fixed-to-float single currency sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — notional currency in which the two legs of the swap are denominated

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 6 months

Maturity bucket 4: 6 months < time to maturity ≤ 1 year

Maturity bucket 5: 1 year < time to maturity ≤ 2 years

Maturity bucket 6: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000010

Float-to-Float single currency swaps and futures/forwards on Float-to-Float single currency swaps

a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by floating interest rates

a float-to-float single currency sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — notional currency in which the two legs of the swap are denominated

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 6 months

Maturity bucket 4: 6 months < time to maturity ≤ 1 year

Maturity bucket 5: 1 year < time to maturity ≤ 2 years

Maturity bucket 6: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000010

Fixed-to-Fixed single currency swaps and futures/forwards on Fixed-to-Fixed single currency swaps

a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by fixed interest rates

a fixed-to-fixed single currency sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — notional currency in which the two legs of the swap are denominated

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 6 months

Maturity bucket 4: 6 months < time to maturity ≤ 1 year

Maturity bucket 5: 1 year < time to maturity ≤ 2 years

Maturity bucket 6: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000010

Overnight Index Swap (OIS) single currency swaps and futures/forwards on Overnight Index Swap (OIS) single currency swaps

a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate

an overnight index swap (OIS) single currency sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — notional currency in which the two legs of the swap are denominated

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 6 months

Maturity bucket 4: 6 months < time to maturity ≤ 1 year

Maturity bucket 5: 1 year < time to maturity ≤ 2 years

Maturity bucket 6: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000010

Inflation single currency swaps and futures/forwards on Inflation single currency swaps

a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an inflation rate

an inflation single currency sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — notional currency in which the two legs of the swap are denominated

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 6 months

Maturity bucket 4: 6 months < time to maturity ≤ 1 year

Maturity bucket 5: 1 year < time to maturity ≤ 2 years

Maturity bucket 6: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000010Asset class — Interest Rate DerivativesSub-asset classFor 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 appliedOther Interest Rate Derivativesan interest rate derivative that does not belong to any of the above sub-asset classesany 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 DerivativesSub-asset classPercentiles 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 marketTransactions to be considered for the calculations of the thresholdsSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorBond futures/forwardscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 200000009070EUR 2500000030405060Bond optionscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 200000009070EUR 2500000030405060IR futures and FRAcalculation 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-classS1S2S3S4EUR 500000070EUR 100000008060EUR 200000009070EUR 2500000030405060

IR optionscalculation 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-classS1S2S3S4EUR 500000070EUR 100000008060EUR 200000009070EUR 2500000030405060Swaptionscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 90000009070EUR 1000000030405060Fixed-to-Float multi-currency swaps or cross-currency swaps and futures/forwards on Fixed-to-Float multi-currency swaps or cross-currency swapscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 90000009070EUR 1000000030405060

Float-to-Float multi-currency swaps or cross-currency swaps and futures/forwards on Float-to-Float multi-currency swaps or cross-currency swapscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 90000009070EUR 1000000030405060Fixed-to-Fixed multi-currency swaps or cross-currency swaps and futures/forwards on Fixed-to-Fixed multi-currency swaps or cross-currency swapscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 90000009070EUR 1000000030405060Overnight Index Swap (OIS) multi-currency swaps or cross-currency swaps and futures/forwards on Overnight Index Swap (OIS) multi-currency swaps or cross-currency swapscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 90000009070EUR 1000000030405060

Inflation multi-currency swaps or cross-currency swaps and futures/forwards on Inflation multi-currency swaps or cross-currency swapscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 90000009070EUR 1000000030405060Fixed-to-Float single currency swaps and futures/forwards on Fixed-to-Float single currency swapscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 90000009070EUR 1000000030405060Float-to-Float single currency swaps and futures/forwards on Float-to-Float single currency swapscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 90000009070EUR 1000000030405060

Fixed-to-Fixed single currency swaps and futures/forwards on Fixed-to-Fixed single currency swapscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 90000009070EUR 1000000030405060Overnight Index Swap (OIS) single currency swaps and futures/forwards on Overnight Index Swap (OIS) single currency swapscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 90000009070EUR 1000000030405060Inflation single currency swaps and futures/forwards on Inflation single currency swapscalculation 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-classS1S2S3S4EUR 400000070EUR 50000008060EUR 90000009070EUR 1000000030405060

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 DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueBond futures/forwardsEUR 4000000EUR 5000000EUR 20000000EUR 25000000Bond optionsEUR 4000000EUR 5000000EUR 20000000EUR 25000000IR futures and FRAEUR 5000000EUR 10000000EUR 20000000EUR 25000000IR optionsEUR 5000000EUR 10000000EUR 20000000EUR 25000000SwaptionsEUR 4000000EUR 5000000EUR 9000000EUR 10000000Fixed-to-Float multi-currency swaps or cross-currency swaps and futures/forwards on Fixed-to-Float multi-currency swaps or cross-currency swapsEUR 4000000EUR 5000000EUR 9000000EUR 10000000Float-to-Float multi-currency swaps or cross-currency swaps and futures/forwards on Float-to-Float multi-currency swaps or cross-currency swapsEUR 4000000EUR 5000000EUR 9000000EUR 10000000Fixed-to-Fixed multi-currency swaps or cross-currency swaps and futures/forwards on Fixed-to-Fixed multi-currency swaps or cross-currency swapsEUR 4000000EUR 5000000EUR 9000000EUR 10000000Overnight Index Swap (OIS) multi-currency swaps or cross-currency swaps and futures/forwards on Overnight Index Swap (OIS) multi-currency swaps or cross-currency swapsEUR 4000000EUR 5000000EUR 9000000EUR 10000000Inflation multi-currency swaps or cross-currency swaps and futures/forwards on Inflation multi-currency swaps or cross-currency swapsEUR 4000000EUR 5000000EUR 9000000EUR 10000000

Fixed-to-Float single currency swaps and futures/forwards on Fixed-to-Float single currency swapsEUR 4000000EUR 5000000EUR 9000000EUR 10000000Float-to-Float single currency swaps and futures/forwards on Float-to-Float single currency swapsEUR 4000000EUR 5000000EUR 9000000EUR 10000000Fixed-to-Fixed single currency swaps and futures/forwards on Fixed-to-Fixed single currency swapsEUR 4000000EUR 5000000EUR 9000000EUR 10000000Overnight Index Swap (OIS) single currency swaps and futures/forwards on Overnight Index Swap (OIS) single currency swapsEUR 4000000EUR 5000000EUR 9000000EUR 10000000Inflation single currency swaps and futures/forwards on Inflation single currency swapsEUR 4000000EUR 5000000EUR 9000000EUR 10000000Other Interest Rate DerivativesEUR 4000000EUR 5000000EUR 9000000EUR 10000000

1. 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 classFor 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

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

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

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

all stock futures/forwards are considered to have a liquid market

Stock dividend options

an option on the dividend of a specific share

all stock dividend options are considered to have a liquid market

Stock dividend futures/forwards

a future/forward on the dividend of a specific share

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

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

all dividend index futures/forwards are considered to have a liquid market

Volatility index options

an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments

all volatility index options are considered to have a liquid market

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

all volatility index futures/forwards are considered to have a liquid market

ETF options

an option whose underlying is an ETF

all ETF options are considered to have a liquid market

ETF futures/forwards

a future/forward whose underlying is an ETF

all ETF futures/forwards are considered to have a liquid market

Asset class — Equity DerivativesSub-asset classFor 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 belowEach 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

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:

EUR 5000000015Price return basic performance parameterParameter return variance/volatilityParameter return dividendMaturity bucket 1: 0 < time to maturity ≤ 1 monthMaturity bucket 1: 0 < time to maturity ≤ 3 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 3 monthsMaturity bucket 2: 3 months < time to maturity ≤ 6 monthsMaturity bucket 2: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 3 months < time to maturity ≤ 6 monthsMaturity bucket 3: 6 months < time to maturity ≤ 1 yearMaturity bucket 3: 2 years < time to maturity ≤ 3 years

Maturity bucket 4: 6 months < time to maturity ≤ 1 yearMaturity bucket 4: 1 year < time to maturity ≤ 2 years…Maturity bucket 5: 1 year < time to maturity ≤ 2 yearsMaturity bucket 5: 2 years < time to maturity ≤ 3 yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket 6: 2 years < time to maturity ≤ 3 years……Maturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsPortfolio 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 — me to maturity bucket of the portfolio swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 6 months

Maturity bucket 4: 6 months < time to maturity ≤ 1 year

Maturity bucket 5: 1 year < time to maturity ≤ 2 years

Maturity bucket 6: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000015

Asset class — Equity DerivativesSub-asset classFor 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 appliedOther equity derivativesan equity derivative that does not belong to any of the above sub-asset classesany 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 DerivativesSub-asset classFor 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 belowTransactions to be considered for the calculations of the thresholdsPre-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 belongsAverage daily notional amount (ADNA)SSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueStock 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 ADNAEUR 20000EUR 25000EUR 1000000EUR 1500000EUR 100 million ≤ ADNA < EUR 200 millionEUR 2500000EUR 3000000EUR 25000000EUR 30000000EUR 200 million ≤ ADNA < EUR 600 millionEUR 5000000EUR 5500000EUR 50000000EUR 55000000ADNA ≥ EUR 600 millionEUR 15000000EUR 20000000EUR 150000000EUR 160000000

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 ADNAEUR 20000EUR 25000EUR 1000000EUR 1500000EUR 100 million ≤ ADNA < EUR 1 billionEUR 500000EUR 550000EUR 5000000EUR 5500000EUR 1 billion ≤ ADNA < EUR 3 billionEUR 5000000EUR 5500000EUR 50000000EUR 55000000EUR 3 billion ≤ ADNA < EUR 5 billionEUR 15000000EUR 20000000EUR 150000000EUR 160000000ADNA ≥ EUR 5 billionEUR 25000000EUR 30000000EUR 250000000EUR 260000000Stock 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 ADNAEUR 20000EUR 25000EUR 1000000EUR 1250000EUR 5 million ≤ ADNA < EUR 10 millionEUR 250000EUR 300000EUR 1250000EUR 1500000EUR 10 million ≤ ADNA < EUR 20 millionEUR 500000EUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 20 millionEUR 1000000EUR 1500000EUR 5000000EUR 5500000

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 ADNAEUR 20000EUR 25000EUR 1000000EUR 1250000EUR 5 million ≤ ADNA < EUR 10 millionEUR 250000EUR 300000EUR 1250000EUR 1500000EUR 10 million ≤ ADNA < EUR 20 millionEUR 500000EUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 20 mEUR 1000000EUR 1500000EUR 5000000EUR 5500000Stock 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 ADNAEUR 20000EUR 25000EUR 400000EUR 450000EUR 5 million ≤ ADNA < EUR 10 millionEUR 25000EUR 30000EUR 500000EUR 550000EUR 10 million ≤ ADNA < EUR 20 millionEUR 50000EUR 100000EUR 1000000EUR 1500000ADNA ≥ EUR 20 millionEUR 100000EUR 150000EUR 2000000EUR 2500000

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 ADNAEUR 20000EUR 25000EUR 400000EUR 450000EUR 5 million ≤ ADNA < EUR 10 millionEUR 25000EUR 30000EUR 500000EUR 550000EUR 10 million ≤ ADNA < EUR 20 millionEUR 50000EUR 100000EUR 1000000EUR 1500000ADNA ≥ EUR 20 millionEUR 100000EUR 150000EUR 2000000EUR 2500000Dividend 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 ADNAEUR 20000EUR 25000EUR 1000000EUR 1500000EUR 100 million ≤ ADNA < EUR 200 millionEUR 2500000EUR 3000000EUR 25000000EUR 30000000EUR 200 million ≤ ADNA < EUR 600 millionEUR 5000000EUR 5500000EUR 50000000EUR 55000000ADNA ≥ EUR 600 millionEUR 15000000EUR 20000000EUR 150000000EUR 160000000

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 ADNAEUR 20000EUR 25000EUR 1000000EUR 1500000EUR 100 million ≤ ADNA < EUR 1 billionEUR 500000EUR 550000EUR 5000000EUR 5500000EUR 1 billion ≤ ADNA < EUR 3 billionEUR 5000000EUR 5500000EUR 50000000EUR 55000000EUR 3 billion ≤ ADNA < EUR 5 billionEUR 15000000EUR 20000000EUR 150000000EUR 160000000ADNA ≥ EUR 5 billionEUR 25000000EUR 30000000EUR 250000000EUR 260000000Volatility 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 ADNAEUR 20000EUR 25000EUR 1000000EUR 1500000EUR 100 million ≤ ADNA < EUR 200 millionEUR 2500000EUR 3000000EUR 25000000EUR 30000000EUR 200 million ≤ ADNA < EUR 600 millionEUR 5000000EUR 5500000EUR 50000000EUR 55000000ADNA ≥ EUR 600 millionEUR 15000000EUR 20000000EUR 150000000EUR 160000000

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 ADNAEUR 20000EUR 25000EUR 1000000EUR 1500000EUR 100 million ≤ ADNA < EUR 1 billionEUR 500000EUR 550000EUR 5000000EUR 5500000EUR 1 billion ≤ ADNA < EUR 3 billionEUR 5000000EUR 5500000EUR 50000000EUR 55000000EUR 3 billion ≤ ADNA < EUR 5 billionEUR 15000000EUR 20000000EUR 150000000EUR 160000000ADNA ≥ EUR 5 billionEUR 25000000EUR 30000000EUR 250000000EUR 260000000ETF 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 ADNAEUR 20000EUR 25000EUR 1000000EUR 1250000EUR 5 million ≤ ADNA < EUR 10 millionEUR 250000EUR 300000EUR 1250000EUR 1500000EUR 10 million ≤ ADNA < EUR 20 millionEUR 500000EUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 20 millionEUR 1000000EUR 1500000EUR 5000000EUR 5500000

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 ADNAEUR 20000EUR 25000EUR 1000000EUR 1250000EUR 5 million ≤ ADNA < EUR 10 millionEUR 250000EUR 300000EUR 1250000EUR 1500000EUR 10 million ≤ ADNA < EUR 20 millionEUR 500000EUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 20 millionEUR 1000000EUR 1500000EUR 5000000EUR 5500000Swaps

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-classEUR 50 million ≤ ADNA < EUR 100 millionEUR 250000EUR 300000EUR 1250000EUR 1500000EUR 100 million ≤ ADNA < EUR 200 millionEUR 500000EUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 200 millionEUR 1000000EUR 1500000EUR 5000000EUR 5500000

Price return basic performance parameterParameter return variance/volatilityParameter return dividendMaturity bucket 1: 0 < time to maturity ≤ 1 monthMaturity bucket 1: 0 < time to maturity ≤ 3 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 3 monthsMaturity bucket 2: 3 months < time to maturity ≤ 6 monthsMaturity bucket 2: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 3 months < time to maturity ≤ 6 monthsMaturity bucket 3: 6 months < time to maturity ≤ 1 yearMaturity bucket 3: 2 years < time to maturity ≤ 3 years

Maturity bucket 4: 6 months < time to maturity ≤ 1 yearMaturity bucket 4: 1 year < time to maturity ≤ 2 years…Maturity bucket 5: 1 year < time to maturity ≤ 2 yearsMaturity bucket 5: 2 years < time to maturity ≤ 3 yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity 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 yearsPortfolio 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-classEUR 50 million ≤ ADNA < EUR 100 millionEUR 250000EUR 300000EUR 1250000EUR 1500000EUR 100 million ≤ ADNA < EUR 200 millionEUR 500000EUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 200 millionEUR 1000000EUR 1500000EUR 5000000EUR 5500000Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 monthsMaturity bucket 3: 3 months < time to maturity ≤ 6 monthsMaturity bucket 4: 6 months < time to maturity ≤ 1 yearMaturity bucket 5: 1 year < time to maturity ≤ 2 yearsMaturity 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 DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueSwapsEUR 20000EUR 25000EUR 100000EUR 150000Portfolio SwapsEUR 20000EUR 25000EUR 100000EUR 150000Other equity derivativesEUR 20000EUR 25000EUR 100000EUR 150000

1. Commodity derivatives

Table 7.1

Commodity derivatives — classes not having a liquid market

Asset class — Commodity DerivativesSub-asset classFor 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 belowEach 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]

Metal commodity futures/forwards

a metal commodity future/forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — metal type: precious metal, non-precious metal

Segmentation criterion 2 — underlying metal

Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the future/forward is denominated

Segmentation criterion 4 — time to maturity bucket of the future/forward defined as follows:

EUR 1000000010Precious metalsNon-precious metalsMaturity bucket 1: 0 < time to maturity ≤ 3 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 yearMaturity bucket 2: 3 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 2 years < time to maturity ≤ 3 yearsMaturity bucket 4: 2 years < time to maturity ≤ 3 years…

…Maturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMetal commodity options

a metal commodity option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — metal type: precious metal, non-precious metal

Segmentation criterion 2 — underlying metal

Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the option is denominated

Segmentation criterion 4 — time to maturity bucket of the option defined as follows:

EUR 1000000010Precious metalsNon-precious metalsMaturity bucket 1: 0 < time to maturity ≤ 3 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 yearMaturity bucket 2: 3 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 2 years < time to maturity ≤ 3 yearsMaturity bucket 4: 2 years < time to maturity ≤ 3 years…

…Maturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMetal commodity swaps

a metal commodity swap sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — metal type: precious metal, non-precious metal

Segmentation criterion 2 — underlying metal

Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the swap is denominated

Segmentation criterion 4 — settlement type defined as cash, physical or other

Segmentation criterion 5 — time to maturity bucket of the swap defined as follows:

EUR 1000000010Precious metalsNon-precious metalsMaturity bucket 1: 0 < time to maturity ≤ 3 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 yearMaturity bucket 2: 3 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity 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 yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsEnergy commodity futures/forwards

an energy commodity future/forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — energy type: oil, oil distillates, coal, oil light ends, natural gas, electricity, inter-energy

Segmentation criterion 2 — underlying energy

Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the future/forward is denominated

Segmentation criterion 4 — load type defined as baseload, peakload, off-peak or others, applicable to energy type: electricity

Segmentation criterion 5 — delivery/cash settlement location applicable to energy types: oil, oil distillates, oil light ends, electricity, inter-energy

Segmentation criterion 6 — time to maturity bucket of the future/forward defined as follows:

EUR 1000000010Oil/Oil Distillates/Oil Light endsCoalNatural Gas/'Electricity/Inter-energyMaturity bucket 1: 0 < time to maturity ≤ 4 monthsMaturity bucket 1: 0 < time to maturity ≤ 6 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 4 months < time to maturity ≤ 8 monthsMaturity bucket 2: 6 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 1 yearMaturity bucket 3: 8 months < time to maturity ≤ 1 yearMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 4: 1 year < time to maturity ≤ 2 years………Maturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsEnergy commodity options

an energy commodity option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — energy type: oil, oil distillates, coal, oil light ends, natural gas, electricity, inter-energy

Segmentation criterion 2 — underlying energy

Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the option is denominated

Segmentation criterion 4 — load type defined as baseload, peakload, off-peak or others, applicable to energy type: electricity

Segmentation criterion 5 — delivery/cash settlement location applicable to energy types: oil, oil distillates, oil light ends, electricity, inter-energy

Segmentation criterion 6 — time to maturity bucket of the option defined as follows:

EUR 1000000010

Oil/Oil Distillates/Oil Light endsCoalNatural Gas/'Electricity/Inter-energyMaturity bucket 1: 0 < time to maturity ≤ 4 monthsMaturity bucket 1: 0 < time to maturity ≤ 6 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 monthMaturity bucket 2: 4 months < time to maturity ≤ 8 monthsMaturity bucket 2: 6 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 1 yearMaturity bucket 3: 8 months < time to maturity ≤ 1 yearMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 4: 1 year < time to maturity ≤ 2 years………Maturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsEnergy commodity swaps

an energy commodity swap sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — energy type: oil, oil distillates, coal, oil light ends, natural gas, electricity, inter-energy

Segmentation criterion 2 — underlying energy

Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the swap is denominated

Segmentation criterion 4 — settlement type defined as cash, physical or other

Segmentation criterion 5 — load type defined as baseload, peakload, off-peak or others, applicable to energy type: electricity

Segmentation criterion 6 — delivery/cash settlement location applicable to energy types: oil, oil distillates, oil light ends, electricity, inter-energy

Segmentation criterion 7 — time to maturity bucket of the swap defined as follows:

EUR 1000000010

Oil/Oil Distillates/Oil Light endsCoalNatural Gas/'Electricity/Inter-energyMaturity bucket 1: 0 < time to maturity ≤ 4 monthsMaturity bucket 1: 0 < time to maturity ≤ 6 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 monthMaturity bucket 2: 4 months < time to maturity ≤ 8 monthsMaturity bucket 2: 6 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 1 yearMaturity bucket 3: 8 months < time to maturity ≤ 1 yearMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 4: 1 year < time to maturity ≤ 2 years……

…Maturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsAgricultural commodity futures/forwards

an agricultural commodity future/forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying agricultural commodity

Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the future/forward is denominated

Segmentation criterion 3 — time to maturity bucket of the future/forward 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 m: (n-1) years < time to maturity ≤ n years

EUR 1000000010Agricultural commodity options

an agricultural commodity option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying agricultural commodity

Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the option is denominated

Segmentation criterion 3 — time to maturity bucket of the option defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 3 months

Maturity bucket 2: 3 months < time to maturity ≤ 6 months

Maturity bucket 3: 6 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 1000000010

Agricultural commodity swaps

an agricultural commodity swap sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying agricultural commodity

Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the swap is denominated

Segmentation criterion 3 — settlement type defined as cash, physical or other

Segmentation criterion 4 — time to maturity bucket of the swap 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 m: (n-1) years < time to maturity ≤ n years

EUR 1000000010Sub-asset classFor 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 appliedOther commodity derivativesa commodity derivative that does not belong to any of the above sub-asset classesany 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 DerivativesSub-asset classPercentiles 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 marketTransactions to be considered for the calculations of the thresholdsSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorMetal commodity futures/forwardscalculation 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-classS1S2S3S4EUR 25000070EUR 5000008060EUR 7500009070EUR 100000030405060Metal commodity optionscalculation 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-classS1S2S3S4EUR 25000070EUR 5000008060EUR 7500009070EUR 100000030405060Metal commodity swapscalculation 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-classS1S2S3S4EUR 25000070EUR 5000008060EUR 7500009070EUR 100000030405060

Energy commodity futures/forwardscalculation 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-classS1S2S3S4EUR 25000070EUR 5000008060EUR 7500009070EUR 100000030405060Energy commodity optionscalculation 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-classS1S2S3S4EUR 25000070EUR 5000008060EUR 7500009070EUR 100000030405060Energy commodity swapscalculation 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-classS1S2S3S4EUR 25000070EUR 5000008060EUR 7500009070EUR 100000030405060

Agricultural commodity futures/forwardscalculation 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-classS1S2S3S4EUR 25000070EUR 5000008060EUR 7500009070EUR 100000030405060Agricultural commodity optionscalculation 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-classS1S2S3S4EUR 25000070EUR 5000008060EUR 7500009070EUR 100000030405060Agricultural commodity swapscalculation 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-classS1S2S3S4EUR 25000070EUR 5000008060EUR 7500009070EUR 100000030405060

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 DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueMetal commodity futures/forwardsEUR 250000EUR 500000EUR 750000EUR 1000000Metal commodity optionsEUR 250000EUR 500000EUR 750000EUR 1000000Metal commodity swapsEUR 250000EUR 500000EUR 750000EUR 1000000Energy commodity futures/forwardsEUR 250000EUR 500000EUR 750000EUR 1000000Energy commodity optionsEUR 250000EUR 500000EUR 750000EUR 1000000Energy commodity swapsEUR 250000EUR 500000EUR 750000EUR 1000000Agricultural commodity futures/forwardsEUR 250000EUR 500000EUR 750000EUR 1000000Agricultural commodity optionsEUR 250000EUR 500000EUR 750000EUR 1000000Agricultural commodity swapsEUR 250000EUR 500000EUR 750000EUR 1000000Other commodity derivativesEUR 250000EUR 500000EUR 750000EUR 1000000

1. Foreign exchange derivatives

Table 8.1

Foreign exchange derivatives — classes not having a liquid market

Asset class — Foreign Exchange Derivativesa financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EUSub-asset classFor 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 belowEach 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.

a non-deliverable FX forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 — time to maturity bucket of the forward defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 week

Maturity bucket 2: 1 week < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

Non-deliverable forward (NDF) 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.

a deliverable FX forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 — time to maturity bucket of the forward defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 week

Maturity bucket 2: 1 week < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

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.

a non-deliverable FX option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 — time to maturity bucket of the option defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 week

Maturity bucket 2: 1 week < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

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.

a deliverable FX option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 — time to maturity bucket of the option defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 week

Maturity bucket 2: 1 week < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

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.

a non-deliverable FX swap sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 week

Maturity bucket 2: 1 week < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

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.

a deliverable FX swap sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 — time to maturity bucket of the swap defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 week

Maturity bucket 2: 1 week < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

Deliverable FX swaps (DS) are considered not to have a liquid market

FX futures

an FX future sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 — time to maturity bucket of the future defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 week

Maturity bucket 2: 1 week < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 1 year

Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

FX futures are considered not to have a liquid marketAsset class — Foreign Exchange DerivativesSub-asset classFor 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 appliedOther Foreign Exchange Derivativesan FX derivative that does not belong to any of the above sub-asset classesany 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 DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueNon-deliverable forward (NDF)EUR 4000000EUR 5000000EUR 20000000EUR 25000000Deliverable forward (DF)EUR 4000000EUR 5000000EUR 20000000EUR 25000000Non-Deliverable FX options (NDO)EUR 4000000EUR 5000000EUR 20000000EUR 25000000Deliverable FX options (DO)EUR 4000000EUR 5000000EUR 20000000EUR 25000000Non-Deliverable FX swaps (NDS)EUR 4000000EUR 5000000EUR 20000000EUR 25000000Deliverable FX swaps (DS)EUR 4000000EUR 5000000EUR 20000000EUR 25000000FX futuresEUR 4000000EUR 5000000EUR 20000000EUR 25000000Other Foreign Exchange DerivativesEUR 4000000EUR 5000000EUR 20000000EUR 25000000

1. Credit derivatives

Table 9.1

Credit derivatives — classes not having a liquid market

Asset class — Credit DerivativesSub-asset classFor 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 belowEach 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

an index credit default swap sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying index

Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the derivative is denominated

Segmentation criterion 3 — time maturity bucket of the CDS defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 year

Maturity bucket 2: 1 year < time to maturity ≤ 2 years

Maturity bucket 3: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 20000000010

The underlying index is considered to have a liquid market:

(1) during the whole period of its on-the-run status

(2) for the first 30 working days of its 1x off-the-run status

on-the-run index means the rolling most recent version (series) of the index created on the date on which the composition of the index is effective and ending one day prior to the date on which the composition of the next version (series) of the index is effective.

1x off-the-run status means the version (series) of the index which is immediately prior to the current on-the-run version (series) at a certain point in time. A version (series) ceases being on-the-run and acquires its 1x off-the-run status when the latest version (series) of the index is created.

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

a single name credit default swap sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying reference entity

Segmentation criterion 2 — underlying reference entity type defined as follows:

Issuer of sovereign and public type means an issuer entity which is either:

(a) the Union;

(b) a Member State including a government department, an agency or a special purpose vehicle of a Member State;

(c) a sovereign entity which is not listed under points (a) and (b);

(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 — notional currency defined as the currency in which the notional amount of the derivative is denominated

Segmentation criterion 4 — time maturity bucket of the CDS defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 year

Maturity bucket 2: 1 year < time to maturity ≤ 2 years

Maturity bucket 3: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 1000000010

Asset class — Credit DerivativesSub-asset classFor 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 belowEach 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

a CDS index option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — CDS index sub-class as specified for the sub-asset class of index credit default swap (CDS)

Segmentation criterion 2 — time maturity bucket of the option defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 6 months

Maturity bucket 2: 6 months < time to maturity ≤ 1 year

Maturity bucket 3: 1 year < time to maturity ≤ 2 years

Maturity bucket 4: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

a 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 underlying is a single name CDS

a single name CDS option sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — single name CDS sub-class as specified for the sub-asset class of single name CDS

Segmentation criterion 2 — time maturity bucket of the option defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 6 months

Maturity bucket 2: 6 months < time to maturity ≤ 1 year

Maturity bucket 3: 1 year < time to maturity ≤ 2 years

Maturity bucket 4: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

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 DerivativesSub-asset classFor 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 applyOther credit derivativesa credit derivative that does not belong to any of the above sub-asset classesany 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 DerivativesSub-asset classPercentiles 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 marketTransactions to be considered for the calculations of the thresholdsSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorIndex credit default swap (CDS)calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-classS1S2S3S4EUR 250000070EUR 50000008060EUR 75000009070EUR 1000000030405060Single name credit default swap (CDS)calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-classS1S2S3S4EUR 250000070EUR 50000008060EUR 75000009070EUR 1000000030405060Bespoke basket credit default swap (CDS)calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-classS1S2S3S4EUR 250000070EUR 50000008060EUR 75000009070EUR 1000000030405060

CDS index optionscalculation 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-classS1S2S3S4EUR 250000070EUR 50000008060EUR 75000009070EUR 1000000030405060Single name CDS optionscalculation 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-classS1S2S3S4EUR 250000070EUR 50000008060EUR 75000009070EUR 1000000030405060

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 DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueIndex credit default swap (CDS)EUR 2500000EUR 5000000EUR 7500000EUR 10000000Single name credit default swap (CDS)EUR 2500000EUR 5000000EUR 7500000EUR 10000000Bespoke basket credit default swap (CDS)EUR 2500000EUR 5000000EUR 7500000EUR 10000000CDS index optionsEUR 2500000EUR 5000000EUR 7500000EUR 10000000Single name CDS optionsEUR 2500000EUR 5000000EUR 7500000EUR 10000000Other credit derivativesEUR 2500000EUR 5000000EUR 7500000EUR 10000000

1. C10 derivatives

Table 10.1

C10 derivatives — classes not having a liquid market

Asset class — C10 DerivativesSub-asset classFor 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 belowEach 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

a freight derivative sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — contract type: Forward Freight Agreements (FFAs) or options

Segmentation criterion 2 — freight type: wet freight, dry freight

Segmentation criterion 3 — freight sub-type: dry bulk carriers, tanker, containership

Segmentation criterion 4 — specification of the size related to the freight sub-type

Segmentation criterion 5 — specific route or time charter average

Segmentation criterion 6 — time maturity bucket of the derivative defined as follows:

Maturity bucket 1: 0 < time to maturity ≤ 1 month

Maturity bucket 2: 1 month < time to maturity ≤ 3 months

Maturity bucket 3: 3 months < time to maturity ≤ 6 months

Maturity bucket 4: 6 months < time to maturity ≤ 9 months

Maturity bucket 5: 9 months < time to maturity ≤ 1 year

Maturity bucket 6: 1 year < time to maturity ≤ 2 years

Maturity bucket 7: 2 years < time to maturity ≤ 3 years

…

Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 1000000010

Asset class — C10 DerivativesSub-asset classFor 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 appliedOther 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 volatilityany 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 DerivativesSub-asset classPercentiles 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 marketTransactions to be considered for the calculations of the thresholdsSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorFreight derivativescalculation 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-classS1S2S3S4EUR 2500070EUR 500008060EUR 750009070EUR 10000030405060

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 DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueFreight derivativesEUR 25000EUR 50000EUR 75000EUR 100000Other C10 derivativesEUR 25000EUR 50000EUR 75000EUR 100000

1. Financial contracts for differences (CFDs)

Table 11.1

CFDs — classes not having a liquid market

Asset class — Financial contracts for differences (CFDs)a derivative contract that gives the holder an exposure, which can be long or short, to the difference between the price of an underlying asset at the start of the contract and the price when the contract is closedSub-asset classFor 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 belowEach sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria or, where applicable, if it does not meet the qualitative liquidity criterion as defined belowQualitative liquidity criterion

Average daily notional amount (ADNA)

[quantitative liquidity criterion 1]

Average daily number of trades

[quantitative liquidity criterion 2]

Currency CFDsa currency CFD sub-class is defined by the underlying currency pair defined as combination of the two currencies underlying the CFD/spread betting contractEUR 50000000100Commodity CFDsa commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contractEUR 50000000100Equity CFDsan equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contractan 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 600/2014Bond CFDsa bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contracta 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/forwarda CFD on an equity future/forward sub-class is defined by the underlying future/forward on an equity of the CFD/spread betting contracta 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 optiona CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contracta 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 classFor 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 appliedOther CFDsa CFD/spread betting that does not belong to any of the above sub-asset classesany 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 classPercentiles 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 marketTransactions to be considered for the calculations of the thresholdsSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorCurrency CFDstransactions executed on currency CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)S1S2S3S4EUR 5000070EUR 600008060EUR 900009070EUR 10000030405060Commodity CFDstransactions executed on commodity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)S1S2S3S4EUR 5000070EUR 600008060EUR 900009070EUR 10000030405060Equity CFDstransactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)S1S2S3S4EUR 5000070EUR 600008060EUR 900009070EUR 10000030405060

Bond CFDstransactions executed on bond CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)S1S2S3S4EUR 5000070EUR 600008060EUR 900009070EUR 10000030405060CFDs on an equity future/forwardtransactions executed on CFDs on future on an equity considered to have a liquid market as per Articles 6 and 8(1)(b)S1S2S3S4EUR 5000070EUR 600008060EUR 900009070EUR 10000030405060CFDs on an equity optiontransactions executed on CFDs on option on an equity considered to have a liquid market as per Articles 6 and 8(1)(b)S1S2S3S4EUR 5000070EUR 600008060EUR 900009070EUR 10000030405060

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 classPre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueCurrency CFDsEUR 50000EUR 60000EUR 90000EUR 100000Commodity CFDsEUR 50000EUR 60000EUR 90000EUR 100000Equity CFDsEUR 50000EUR 60000EUR 90000EUR 100000Bond CFDsEUR 50000EUR 60000EUR 90000EUR 100000CFDs on an equity future/forwardEUR 50000EUR 60000EUR 90000EUR 100000CFDs on an equity optionEUR 50000EUR 60000EUR 90000EUR 100000Other CFDs/spread bettingEUR 50000EUR 60000EUR 90000EUR 100000

1. Emission allowances

Table 12.1

Emission allowances — classes not having 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).

Asset class — Emission AllowancesSub-asset classEach sub-asset class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria

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 (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)

150000 tons of Carbon Dioxide Equivalent5

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 aviation

150000 tons of Carbon Dioxide Equivalent5

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)

150000 tons of Carbon Dioxide Equivalent5

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)

150000 tons of Carbon Dioxide Equivalent5

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 AllowancesSub-asset classTransactions to be considered for the calculation of the thresholdsPercentiles 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 marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileThreshold floorEuropean Union Allowances (EUA)transactions executed on all European Union Allowances (EUA)S1S2S3S440000 tons of Carbon Dioxide Equivalent7050000 tons of Carbon Dioxide Equivalent8090000 tons of Carbon Dioxide Equivalent90100000 tons of Carbon Dioxide Equivalent30405060European Union Aviation Allowances (EUAA)transactions executed on all European Union Aviation Allowance (EUAA)S1S2S3S420000 tons of Carbon Dioxide Equivalent7025000 tons of Carbon Dioxide Equivalent8040000 tons of Carbon Dioxide Equivalent9050000 tons of Carbon Dioxide Equivalent30405060Certified Emission Reductions (CER)transactions executed on all Certified Emission Reductions (CER)S1S2S3S420000 tons of Carbon Dioxide Equivalent7025000 tons of Carbon Dioxide Equivalent8040000 tons of Carbon Dioxide Equivalent9050000 tons of Carbon Dioxide Equivalent30405060Emission Reduction Units (ERU)transactions executed on all Emission Reduction Units (ERU)S1S2S3S420000 tons of Carbon Dioxide Equivalent7025000 tons of Carbon Dioxide Equivalent8040000 tons of Carbon Dioxide Equivalent9050000 tons of Carbon Dioxide Equivalent30405060

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 AllowancesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueEuropean Union Allowances (EUA)40000 tons of Carbon Dioxide Equivalent50000 tons of Carbon Dioxide Equivalent90000 tons of Carbon Dioxide Equivalent100000 tons of Carbon Dioxide EquivalentEuropean Union Aviation Allowances (EUAA)20000 tons of Carbon Dioxide Equivalent25000 tons of Carbon Dioxide Equivalent40000 tons of Carbon Dioxide Equivalent50000 tons of Carbon Dioxide EquivalentCertified Emission Reductions (CER)20000 tons of Carbon Dioxide Equivalent25000 tons of Carbon Dioxide Equivalent40000 tons of Carbon Dioxide Equivalent50000 tons of Carbon Dioxide EquivalentEmission Reduction Units (ERU)20000 tons of Carbon Dioxide Equivalent25000 tons of Carbon Dioxide Equivalent40000 tons of Carbon Dioxide Equivalent50000 tons of Carbon Dioxide Equivalent

1. Emission allowance derivatives

Table 13.1

Emission allowance derivatives — classes not having a liquid market

Asset class — Emission Allowance DerivativesSub-asset classEach sub-asset class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria

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

150000 tons of Carbon Dioxide Equivalent5

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

150000 tons of Carbon Dioxide Equivalent5

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

150000 tons of Carbon Dioxide Equivalent5

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

150000 tons of Carbon Dioxide Equivalent5Asset class — Emission Allowance DerivativesSub-asset classFor 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 appliedOther Emission allowance derivativesan emission allowance derivative whose underlying is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU)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 DerivativesSub-asset classTransactions to be considered for the calculation of the thresholdsPercentiles 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 marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileThreshold floorEmission 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)S1S2S3S440000 tons of Carbon Dioxide Equivalent7050000 tons of Carbon Dioxide Equivalent8090000 tons of Carbon Dioxide Equivalent90100000 tons of Carbon Dioxide Equivalent30405060Emission 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)S1S2S3S420000 tons of Carbon Dioxide Equivalent7025000 tons of Carbon Dioxide Equivalent8040000 tons of Carbon Dioxide Equivalent9050000 tons of Carbon Dioxide Equivalent30405060Emission 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)S1S2S3S420000 tons of Carbon Dioxide Equivalent7025000 tons of Carbon Dioxide Equivalent8040000 tons of Carbon Dioxide Equivalent9050000 tons of Carbon Dioxide Equivalent30405060Emission 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)S1S2S3S420000 tons of Carbon Dioxide Equivalent7025000 tons of Carbon Dioxide Equivalent8040000 tons of Carbon Dioxide Equivalent9050000 tons of Carbon Dioxide Equivalent30405060

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 DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined not to have a liquid marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueEmission allowance derivatives whose underlying is of the type European Union Allowances (EUA)40000 tons of Carbon Dioxide Equivalent50000 tons of Carbon Dioxide Equivalent90000 tons of Carbon Dioxide Equivalent100000 tons of Carbon Dioxide EquivalentEmission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)20000 tons of Carbon Dioxide Equivalent25000 tons of Carbon Dioxide Equivalent40000 tons of Carbon Dioxide Equivalent50000 tons of Carbon Dioxide EquivalentEmission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)20000 tons of Carbon Dioxide Equivalent25000 tons of Carbon Dioxide Equivalent40000 tons of Carbon Dioxide Equivalent50000 tons of Carbon Dioxide EquivalentEmission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)20000 tons of Carbon Dioxide Equivalent25000 tons of Carbon Dioxide Equivalent40000 tons of Carbon Dioxide Equivalent50000 tons of Carbon Dioxide EquivalentOther Emission allowance derivatives20000 tons of Carbon Dioxide Equivalent25000 tons of Carbon Dioxide Equivalent40000 tons of Carbon Dioxide Equivalent50000 tons of Carbon Dioxide Equivalent

Annex

ANNEX IV

Reference data to be provided for the purpose of transparency calculations

Table 1

Symbol table for Table 2

SYMBOLDATA TYPEDEFINITION{ALPHANUM-n}Up to n alphanumerical charactersFree text field.{DECIMAL-n/m}Decimal number of up to n digits in total of which up to m digits can be fraction digits

Numerical field for both positive and negative values:

decimal separator is . (full stop);

the number may be prefixed with - (minus) to indicate negative numbers.

Where applicable, values shall be rounded and not truncated.

{COUNTRYCODE_2}2 alphanumerical characters2 letter country code, as defined by ISO 3166-1 alpha-2 country code{CURRENCYCODE_3}3 alphanumerical characters3 letter currency code, as defined by ISO 4217 currency codes{DATEFORMAT}ISO 8601 date format

Dates should be formatted by the following format:

YYYY-MM-DD.

{ISIN}12 alphanumerical charactersISIN code, as defined in ISO 6166{LEI}20 alphanumerical charactersLegal entity identifier as defined in ISO 17442{MIC}4 alphanumerical charactersMarket identifier as defined in ISO 10383{INDEX}4 alphabetic characters

EONA — EONIA

EONS — EONIA SWAP

EURI — EURIBOR

EUUS — EURODOLLAR

EUCH — EuroSwiss

GCFR — GCF REPO

ISDA — ISDAFIX

LIBI — LIBID

LIBO — LIBOR

MAAA — Muni AAA

PFAN — Pfandbriefe

TIBO — TIBOR

STBO — STIBOR

BBSW — BBSW

JIBA — JIBAR

BUBO — BUBOR

CDOR — CDOR

CIBO — CIBOR

MOSP — MOSPRIM

NIBO — NIBOR

PRBO — PRIBOR

TLBO — TELBOR

WIBO — WIBOR

TREA — Treasury

SWAP — SWAP

FUSW — Future SWAP

Table 2

Details of the reference data to be provided for the purpose of transparency calculations

Identification of non-equity financial instruments:

Securitised derivatives as defined in Table 4.1 in Section 4 of Annex III

Structured Finance Products (SFPs) as defined in Article 2(1)(28) of Regulation (EU) No 600/2014

Bonds (for all bonds except ETCs and ETNs) as defined in Article 4(1)(44)(b) of Directive 2014/65/EU

ETCs as defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex III

ETNs as defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex III

Emission allowances as defined in Table 12.1 of Section 12 of Annex III

Derivative as 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

4Asset class of the underlyingTo 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

5Contract typeTo be populated when the MiFIR identifier is a derivative.

OPTN — Options

FUTR — Futures

FRAS — Forward Rate Agreement (FRA)

FORW — Forwards

SWAP — Swaps

PSWP — Portfolio Swaps

SWPT — Swaptions

FONS — Futures on a swap

FWOS — Forwards on a swap

FFAS — Forward Freight Agreements (FFAs)

SPDB — Spread betting

CFDS — CFD

OTHR — Other

6Reporting dayDay for which the reference data is provided{DATEFORMAT}7Trading venueSegment MIC for the trading venue, where available, otherwise operational MIC.{MIC}8MaturityMaturity 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}Bonds (all bond types except ETCs and ETNs) related fields9Bond typeBond 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

10Issuance dateDate on which a bond is issued and begins to accrue interest.{DATEFORMAT}Emission Allowances related fieldsThe fields in this section should only be populated for emission allowances as defined in Table 12.1 of Section 12 of Annex III11Emissions Allowances sub typeEmissions Allowances

CERE — CER

ERUE — ERU

EUAE — EUA

EUAA — EUAA

Derivatives related fieldsCommodity derivatives and C10 derivatives12Specification of the size related to the freight sub-typeTo 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.{ALPHANUM-25}13Specific route or time charter averageTo 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.{ALPHANUM-25}14Delivery/cash settlement locationTo 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.{ALPHANUM-25}15Notional currencyCurrency in which the notional is denominated.{CURRENCYCODE_3}Interest rate derivativesThe fields in this section should only be populated for interest rate derivatives as defined in Table 5.1 of Section 5 of Annex III16Underlying 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, 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-FRA

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-CURRENCY SWAPS

IFSC — INFLATION SINGLE-CURRENCY SWAPS

17Issuer of the underlying bondTo 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}

18Maturity date of the underlying bond

To be populated with the date of maturity of the underlying bond.

The field applies to debt instruments with defined maturity.

{DATEFORMAT}19Issuance date of the underlying bondTo be populated with the issuance date of the underlying bond{DATEFORMAT}20Notional currency of the swaptionTo be populated for swaptions.{CURRENCYCODE_3}21Maturity of the underlying swapTo be populated for swaptions, futures on swaps and forwards on a swap only.{DATEFORMAT}22Inflation index ISIN codeIn 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.{ISIN}23Inflation index nameTo 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}24Reference rateName of the reference rate.

{INDEX}

or

{ALPHANUM-25}- if the reference rate is not included in the {INDEX} list

25IR Term of contractThis field states the term of the contract. The term shall be expressed in days, weeks, months or years.

{INTEGER-3}+DAYS — days

{INTEGER-3}+WEEK — weeks

{INTEGER-3}+MNTH — months

{INTEGER-3}+YEAR — years

Foreign exchange derivativesThe fields in this section should only be populated for foreign exchange derivatives as defined in Table 8.1 of Section 8 of Annex III26Contract sub-typeTo 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

Equity derivativesThe fields should only be populated for equity derivatives as defined in Table 6.1 of Section 6 of Annex III27Underlying typeTo 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 — Basket28ParameterTo 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

Contracts for difference (CFDs)The fields should only be populated when the contract type is equal to contract for difference or spread betting29Underlying typeTo 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 on an equity

OPEQ — Options on an equity

COMM — Commodity

EMAL — Emission Allowances

OTHR — Other

30Notional currency 1Currency 1 of the underlying currency pair. This field is applicable when the underlying type is currency.{CURRENCYCODE_3}31Notional currency 2Currency 2 of the underlying currency pair. This field is applicable when the underlying type is currency.{CURRENCYCODE_3}Credit derivatives32ISIN code of the underlying credit default swapTo be populated for derivatives on a credit default swaps with the ISIN code of the underlying swap.{ISIN}33Underlying Index codeTo be populated for derivatives on a CDS index with the ISIN code of the index.{ISIN}34Underlying Index nameTo be populated for derivatives on a CDS index with the standardised name of the index.{ALPHANUM-25}35Series

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}36Version

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}37Roll months

All months when the roll is expected as established by the index provider for a given year. Field should 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, 1238Next roll dateTo 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}

39Issuer of sovereign and public typeTo 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

40Reference obligationTo be populated for a derivative on a single name credit default swap with the ISIN of the reference obligation.{ISIN}41Reference entityTo be populated with the reference entity of a single name CDS or a derivative on single name CDS.

{COUNTRYCODE_2}

or

ISO 3166-2 — 2 character country code followed by dash - and up to 3 alphanumeric character country subdivision code

or

{LEI}

42Notional currencyCurrency in which the notional is denominated.{CURRENCYCODE_3}Emission allowance derivativesThe fields in this section should only be populated for emission allowance derivatives as defined in Table 13.1 of Section 13 of Annex III43Emission Allowances derivative sub typeTo be populated when variable #3 MiFIR identifier is DERV-derivative and variable #4 asset class of the underlying is EMAL-emission allowances.

CERE — CER

ERUE — ERU

EUAE — EUA

EUAA — EUAA

OTHR — Other