Commission Delegated Regulation (EU) 2023/945 of 17 January 2023 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2017/583 as regards certain transparency requirements applicable to transactions in non-equity instruments Text with EEA relevance

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

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

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

Any other trading systemAny other type of trading system not covered by rows 1 to 6.Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit.

Annex

ANNEX II

Annex II is amended as follows:

(1) Table 2 is replaced by the following:

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 (OJ L 87, 31.3.2017, p. 148).

Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (OJ L 87, 31.3.2017, p. 193).

Delegated Regulation (EU) No 148/2013 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories.

Date and time when the transaction was executed.

For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Commission Delegated Regulation (EU) 2017/574.

For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies, as specified in fields 31, 34 and 44 of Table 2 of Annex I of Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second.

Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 4 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission.

Regulated Market (RM)

Multilateral Trading Facility (MTF), Organised Trading Facility (OTF)

Approved Publication Arrangement (APA)

Consolidated tape provider (CTP)

{DATE_TIME_FORMAT}2Instrument identification codeFor all financial instrumentsCode used to identify the financial instrumentRM, MTF, OTF, APA, CTP{ISIN}.3PriceFor all financial instruments

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

The traded price shall be reported in accordance with standard market convention. The value provided in this field shall be consistent with the value provided in the field Price Notation.

Where price is currently not available but pending (PNDG) or not applicable (NOAP), this field shall not be populated.

RM, MTF, OTF, APA, CTP

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

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

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

4Missing PriceFor all financial instruments

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

Where price is not applicable the value shall be NOAP.

RM, MTF, OTF, APA, CTP

PNDG in case the price is not available

NOAP in case the price is not applicable

5Price currencyFor all financial instrumentsMajor currency in which the price is expressed (applicable if the price is expressed as monetary value).RM, MTF, OTF, APA, CTP{CURRENCYCODE_3}6Price notationFor all financial instruments

Indication as to whether the price is expressed in monetary value, in percentage, in basis points or in yield

The price notation shall be reported in accordance with standard market convention.

For credit default swaps, this field shall be populated with BAPO.

For bonds (other than ETNs and ETCs) this field shall be populated with percentage (PERC) of the notional amount. Where a price in percentage is not the standard market convention, it shall be populated with YIEL, BAPO or MONE, in accordance with the standard market convention.

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

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

Where the price is currently not available but pending (PNDG) or not applicable (NOAP), this field shall not be populated.

RM, MTF, OTF, APA, CTP

MONE — Monetary value

PERC — Percentage YIEL — Yield

BAPO — Basis points

7QuantityFor all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation.For financial instruments traded in units, the number of units of the financial instrument. Empty otherwise.RM, MTF, OTF, APA, CTP{DECIMAL-18/17}8Quantity in measurement unitFor contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b) of this Regulation.The equivalent amount of commodity or emission allowance traded expressed in measurement unit.RM, MTF, OTF, APA, CTP{DECIMAL-18/17}9Notation of the quantity in measurement unitFor contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b) of this RegulationIndication of the notation in which the quantity in measurement unit is expressed.RM, MTF, OTF, APA, CTP

TOCD — tonnes of carbon dioxide equivalent, for any contract related to emission allowances

TONE — metric tonnes

MWHO — megawatt hours

MBTU — one million British thermal units

THMS — Therms

DAYS— days

or

{ALPHANUM-4} otherwise

10Notional amountFor all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation.

This field shall be populated:

(i) for bonds (excluding ETCs and ETNs), with the face value, which is the amount repaid at redemption to the investor;

(ii) for ETCs and ETNs and securitised derivatives, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field;

(iii) for structured finance products (SFPs), with the nominal value per unit multiplied by the number of instruments at the time of the transaction;

(iv) for credit default swaps, with the notional amount for which the protection is acquired or disposed of;

(v) for options, swaptions, swaps other than those in (iv), futures and forwards, with the notional amount of the contract;

(vi) for emission allowances, with the resulting amount of the quantity at the relevant price set in the contract at the time of the transaction. Equivalently, with the price field multiplied by the quantity in measurement unit field;

(vii) for spread bets, with the monetary value wagered per point movement in the underlying financial instrument at the time of the transaction;

(viii) for contracts for difference, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field.

RM, MTF, OTF, APA, CTP{DECIMAL-18/5}

11Notional currencyFor all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation.

Major currency in which the notional amount is denominated.

In the case of an FX derivative contract or a multi-currency swap or a swaption where the underlying swap is multi-currency or a currency CFD or spread-betting contract, this will be the notional currency of leg 1.

RM, MTF, OTF, APA, CTP{CURRENCYCODE_3}12TypeFor 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

13Venue of executionFor all financial instruments

Identification of the venue where the transaction was executed.

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

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

Use MIC code XOFF for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is neither executed on an EU trading venue nor executed by a systematic internaliser. If the transaction is executed on an organised trading platform outside of the EU then in addition to XOFF also the population of the field Third-country trading venue of execution is required.

RM, MTF, OTF, APA, CTP

{MIC} – EU trading venues or

SINT — systematic internaliser

XOFF — otherwise

14Third-country trading venue of executionFor all financial instruments

Identification of the third-country trading venue where the transaction was executed.

Use the ISO 10383 segment MIC. Where the segment MIC does not exist, use the operating MIC.

Where the transaction is not executed on a third-country trading venue, the field shall not be populated.

APA, CTP{MIC}15Publication 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}16Venue 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.

17Transaction 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 shall be unique, consistent and persistent per 4-character code used to identify the APA per trading day.

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

RM, MTF, OTF, APA, CTP{ALPHANUMERICAL-52}

18Transaction 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

(2) Table 3 is replaced by the following:

Table 3

List of flags for the purpose of post-trade transparency

FlagNameType of execution or publication venueDescriptionBENCBenchmark transaction flagRM, MTF, OTF, APA, CTPTransactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price.ACTXAgency cross transaction flagAPA, CTPTransactions 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 flagRM, MTF, OTF, CTPNon-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590.

LRGSPost-trade LIS transaction flag

RM, MTF, OTF

APA

CTP

Transactions executed under the post-trade large in scale deferral.ILQDIlliquid instrument transaction flagRM, MTF, OTF, APA, CTPTransactions 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 flagRM, MTF, OTF, APA, CTPPackage transactions which are not exchange for physicals as defined in Article 1.XFPHExchange for physicals transaction flagRM, MTF, OTF, APA, CTPExchange for physicals as defined in Article 1.CANCCancellation flagRM, MTF, APA, CTPWhen a previously published transaction is cancelled.AMNDAmendment flagRM, MTF, APA, CTPWhen a previously published transaction is amended.PORTPortfolio trade flagRM, MTF, APA, CTPTransaction in five or more different financial instruments where those transactions are traded at the same time by the same client and against a single lot price and that is not a package transaction as referred to in Article 1(1).SUPPLEMENTARY DEFERRAL FLAGSArticle 11(1)(a)(i).LMTFLimited details flagRM, MTF, OTF, APA, CTPFirst report with publication of limited details in accordance with Article 11(1), point (a)(i).FULFFull details flagTransaction for which limited details have been previously published in accordance with Article 11(1), point (a)(i).Article 11(1)(a)(ii).DATFDaily aggregated transaction flagRM, MTF, OTF, APA, CTPPublication of daily aggregated transaction in accordance with Article 11(1), point (a)(ii).FULAFull details flagRM, MTF, OTF, APA, CTPIndividual transactions for which aggregated details have been previously published in accordance with Article 11(1), point (a)(ii).

Annex

ANNEX III

Annex III is amended as follows:

(1) in part 1, point 13 is replaced by the following:

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

(2) Table 2.2 is replaced by the following:

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 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).

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 size - RTS23#14

Sovereign Bond

RTS2#3 = BOND and RTS2#9 = EUSB

means a bond which is neither a convertible nor a covered bond and is issued by a sovereign issuer:

(a) the Union;

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

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

smaller than (in EUR)1000000000

Other Public Bond

RTS2#3 = BOND and RTS2#9 = OEPB

means a bond which is neither a convertible nor a covered bond and is issued by any of the following public issuers:

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

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

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

(d) the European Investment Bank;

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

smaller than (in EUR)500000000

Convertible Bond

RTS2#3 = BOND and RTS2#9 = CVTB

means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equitysmaller than (in EUR)500000000

Covered Bond

RTS2#3 = BOND and RTS2#9 = CVDB

means 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)500000000

Corporate Bond

RTS2#3 = BOND and RTS2#9 = CRPB

means a bond which is neither a convertible nor a covered bond and that is issued by a Societas Europaea established in accordance with Council Regulation (EC) No 2157/2001 or a type of company listed in Annex I or Annex II of Directive 2013/34/EU of the European Parliament and of the Council or equivalent in third 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 applied

Other Bond

RTS2#3 = BOND and RTS2#9 = OTHR

A bond that does not belong to any of the above bond types is considered not to have a liquid market

(3) Table 2.4 is replaced by the following:

Table 2.4

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

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) - RTS2#3 = ETCS

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

EUR 50000010

Exchange Traded Notes (ETNs) - RTS2#3 = ETNS

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

EUR 50000010

(4) Table 3.1 is replaced by the following:

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), point (b) – RTS2#3 = SFPSTransactions 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 quan- titative 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 %

(5) Table 4.1 is replaced by the following:

Table 4.1

Securitised derivatives — classes not having a liquid market

Asset class – Securitised Derivativesmeans a transferable security as defined in Article 4(1)(44)(c) of Directive 2014/65/EU different from structured finance products and shall include at least:

(a.1)

plain vanilla covered warrants which mean securities issued by a financial institution giving the holder the right, but not the obligation, to

(a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or

(b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer;

(a.2)

warrants which mean securities issued by the same issuer of the underlying asset giving the holder the right, but not the obligation, to

(a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or

(b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer;

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

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

(d) negotiable rights whose underlying is a non-equity instrument;

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

RTS2#3 = SDRVFor 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 appliedall securitised derivatives are considered to have a liquid market;

(6) Table 5.1 is replaced by the following:

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), point (b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied

Average daily notional amount (ADNA)

[quantitative liquidity criterion 1]

Average daily number of trades

[quantitative liquidity criterion 2]

Additional qualitative liquidity criterion

Bond futures/forwards

/ Future on a bond future

/ Forward on a bond future

Future on a bond

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = FUTR

RTS2#16 = BOND

or

Forward on a bond

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = FORW

RTS2#16 = BOND

or

Future on a bond future

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = FUTR

RTS2#16 = BNFD

or

Forward on a bond future

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = FORW

RTS2#16 = BNFD

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

Segmentation criterion 1 (RTS2#17) — issuer of the underlying

Segmentation criterion 2 (RTS2#18) — term of the underlying deliverable bond defined as follows:

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

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

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

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

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

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

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

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

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

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

…

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

EUR 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 Option

/ Option on a bond option

/ Option on a bond future

Bond Option

Option on a bond option

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = OPTN

RTS2#16 = BOND

or

Option on a bond option

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = OPTN

RTS2#16 = BOND

or

Option on a bond future

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = OPTN

RTS2#16 = BNFD

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

Segmentation criterion 1 (RTS2#22) — ultimate underlying bond

Segmentation criterion 2 (RTS2#8) — 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/ Future on an interest rate future/ Forward rate agreement on an interest rate future

Future on an interest rate

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = FUTR

RTS2#16 = INTR

or

Forward rate agreement

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = FRAS

RTS2#16 = INTR

or

Future on an interest rate future

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = FUTR

RTS2#16 = IFUT

or

Forward rate agreement on an interest rate future

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = FRAS

RTS2#16 = IFUT

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

Segmentation criterion 1 (RTS2#24) — underlying interest rate

Segmentation criterion 2 (RTS2#25) — term of the underlying interest rate

Segmentation criterion 3 (RTS2#8) — 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 de- termined to have a liquid market with respect to a specific time to maturity bucket and the sub-class de- fined by the next time to maturity bucket is deter- mined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month

IR options

/Option on an interest rate future/FRA

/Option on an interest rate option

/Option on an option on an interest rate future/FRA

Option on an interest rate future/FRA//'Option on an interest rate option

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = OPTN

RTS2#16 = IFUT

or

IR Option //'Option on an option on an interest rate future/FRA

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = OPTN

RTS2#16 = INTR

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

Segmentation criterion 1 (RTS2#24) —underlying interest rate

Segmentation criterion 2 (RTS2#25) — term of the underlying interest rate

Segmentation criterion 3 (RTS2#8) — 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

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = SWPT

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

Segmentation criterion 1 (RTS2#16) — underlying swap type defined as follows: fixed-to-fixed single currency swap, futures/forwards on fixed-to-fixed single currency swap [RTS2#16 = XXSC]

fixed-to-float single currency swap, futures/forwards on fixed-to-float single currency swap [RTS2#16 = XFSC]

float-to-float single currency swap, futures/forwards on float-to-float single currency swap [RTS2#16 = FFSC]

inflation single currency swap, futures/forwards on inflation single currency swap [RTS2#16 = IFSC]

OIS single currency swap, futures/for- wards on OIS single currency swap [RTS2#16 = OSSC]

fixed-to-fixed multi-currency swap, futures/forwards on fixed-to-fixed multi-currency swap [RTS2#16 = XXMC]

fixed-to-float multi-currency swap, futures/forwards on fixed-to-float multi-currency swap [RTS2#16 = XFMC]

float-to-float multi-currency swap, futures/forwards on float-to-float multi-currency swap [RTS2#16 = FFMC]

inflation multi-currency swap, futures/forwards on inflation multi-currency swap [RTS2#16 = IFMC]

OIS multi-currency swap, futures/forwards on OIS multi-currency swap [RTS2#16 = OSMC]

Segmentation criterion 2 (RTS2#20) — notional currency defined as the currency in which the notional amount of the option is denominated

Segmentation criterion 3 (RTS2#22 or RTS2#23) — inflation index if the underlying swap type is either an inflation single currency swap or an inflation multi-currency swap

Segmentation criterion 4 (RTS2#21) — time to maturity bucket of the swap defined as follows:

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

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

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

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

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

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

…

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

Segmentation criterion 5 (RTS2#8) — 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

EUR 50000000010

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

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

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = SWAP or FONS or FWOS or OPTS

RTS2#16 = XFMC

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

Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated

Segmentation criterion 2 (RTS2#8) — 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/ options on Float-to-Float multi-currency swaps or cross-currency swaps

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

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = SWAP or FONS or FWOS or OPTS

RTS2#16 = FFMC

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

Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated

Segmentation criterion 2 (RTS2#8) — 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/ options on Fixed-to-Fixed multi-currency swaps or cross-currency swaps

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

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = SWAP or FONS or FWOS or OPTS

RTS2#16 = XXMC

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

Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated

Segmentation criterion 2 (RTS2#8) — 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/options on Over- night Index Swap (OIS) multi-currency swaps or cross-currency swaps

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

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = SWAP or FONS or FWOS or OPTS

RTS2#16 = OSMC

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

Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated

Segmentation criterion 2 (RTS2#8) — 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/ options on Inflation multi-currency swaps or cross-currency swaps

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

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = SWAP or FONS or FWOS or OPTS

RTS2#16 = IFMC

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

Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated

Segmentation criterion 2 (RTS2#8) — 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/ options on Fixed-to-Float single currency swaps

a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and the cash flows of one leg are deter- mined by a fixed interest rate while those of the other leg are determined by a floating interest rate

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = SWAP or FONS or FWOS or OPTS

RTS2#16 = XFSC

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

Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated

Segmentation criterion 2 (RTS2#8)— 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/ options on Float-to-Float single currency swaps

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

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = SWAP or FONS or FWOS or OPTS

RTS2#16 = FFSC

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

Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated

Segmentation criterion 2 (RTS2#8) — 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/ options on Fixed-to-Fixed single currency swaps

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

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = SWAP or FONS or FWOS or OPTS

RTS2#16 = XXSC

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

Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated

Segmentation criterion 2 (RTS2#8) — 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/ options on Over- night Index Swap (OIS) single currency swaps

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

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = SWAP or FONS or FWOS or OPTS

RTS2#16 = OSSC

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

Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated

Segmentation criterion 2 (RTS2#8) — 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/ options on Inflation single currency swaps

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

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = SWAP or FONS or FWOS or OPTS

RTS2#16 = IFSC

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

Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated

Segmentation criterion 2 (RTS2#8)— 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

Asset 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 applied

Other Interest Rate Derivatives

an interest rate derivative that does not belong to any of the above sub-asset classes

RTS2#3 = DERV

RTS2#4 = INTR

RTS2#5 = OTHR

any other interest rate derivative is considered not to have a liquid market

(7) Table 6.1 is replaced by the following:

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

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = OPTN

RTS2#27 = STIX

RTS23#26 or if null RTS23#28

all index options are considered to have a liquid market

Stock index futures/forwards

a future/forward whose underlying is an index composed of shares

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = FUTR or FORW

RTS2#27 = STIX

RTS23#26 or if null RTS23#28

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

Stock options

an option whose underlying is a share or a basket of shares resulting from a corporate action

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = OPTN

RTS2#27 = SHRS

RTS23#26 or if null RTS23#28

all stock options are considered to have a liquid market

Stock futures/forwards

a future/forward whose underlying is a share or a basket of shares resulting from a corporate action

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = FUTR or FORW

RTS2#27 = SHRS

RTS23#26 or if null RTS23#28

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

Stock dividend options

an option on the dividend of a specific share

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = OPTN

RTS2#27 = DVSE

RTS23#26 or if null RTS23#28

all stock dividend options are considered to have a liquid market

Stock dividend futures/forwards

a future/forward on the dividend of a specific share

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = FUTR or FORW

RTS2#27 = DVSE

RTS23#26 or if null RTS23#28

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

Dividend index options

an option on an index composed of dividends of more than one share

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = OPTN

RTS2#27 = DIVI

RTS23#26 or if null RTS23#28

all dividend index options are considered to have a liquid market

Dividend index futures/forwards

a future/forward on an index composed of dividends of more than one share

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = FUTR or FORW

RTS2#27 = DIVI

RTS23#26 or if null RTS23#28

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

Volatility index options

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

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = OPTN

RTS2#27 = VOLI

RTS23#26 or if null RTS23#28

all volatility index options are considered to have a liquid market

Volatility index futures/forwards

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

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = FUTR or FORW

RTS2#27 = VOLI

RTS23#26 or if null RTS23#28

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

ETF options

an option whose underlying is an ETF

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = OPTN

RTS2#27 = ETFS

RTS23#26 or if null RTS23#28

all ETF options are considered to have a liquid market

ETF futures/forwards

a future/forward whose underlying is an ETF

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = FUTR or FORW

RTS2#27 = ETFS

RTS23#26 or if null RTS23#28

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

Sub-asset classFor the purpose of the determination of the classes of financial instruments considered not to have a liquid mar- ket 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 li- quid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria

Average daily notional amount (ADNA)

[quantitative liquidity criterion 1]

Average daily number of trades

[quantitative liquidity criterion 2]

Swaps

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = SWAP

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

Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket

Segmentation criterion 2 RTS23#26 or if null RTS23#28) — underlying single name, index, basket

Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility

Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap defined as follows:

EUR 50000000Price return basic performance para- meterParameter 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 yearsMaturity 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 years

Portfolio Swaps

RTS2#3 = DERV

RTS2#4 = EQUI’

RTS2#5 = PSWP

a portfolio swap sub-class is defined by a specific combination of:

Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket

Segmentation criterion 2 (RTS23#26 or if null RTS23#28) — underlying single name, index, basket

Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility

Segmentation criterion 4 (RTS2#8) — time 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

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

Other equity derivatives an equity derivative that does not belong to any of the above sub-asset classes

RTS2#3 = DERV

RTS2#4 = EQUI

RTS2#5 = OTHR’

any other equity derivative is considered not to have a liquid market

(8) Table 7.1 is replaced by the following:

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

Average daily notional amount (ADNA)

[quantitative liquidity criterion 1]

Average daily number of trades

[quantitative liquidity criterion 2]

Metal commodity futures/forwards

RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = METL and [RTS2#5 = FUTR or FORW]

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

Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal

Segmentation criterion 2 (RTS23#37) — underlying metal

Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated

Segmentation criterion 4 (RTS2#8) — 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 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 years

Metal commodity options

RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = METL and RTS2#5 = OPTN

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

Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal

Segmentation criterion 2 (RTS23#37) — underlying metal

Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated

Segmentation criterion 4 (RTS2#8) — 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 years

Maturity 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 years

Metal commodity swaps

RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = METL and RTS2#5 = SWAP

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

Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal

Segmentation criterion 2 (RTS23#37) — underlying metal

Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated

Segmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optional

Segmentation criterion 5 (RTS2#8) — 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 year

Maturity 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 years

Energy commodity futures/forwards

RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = NRGY and [RTS2#5 = FUTR or FORW]

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

Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter energy

Segmentation criterion 2 (RTS23#37) — underlying energy

Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated

Segmentation criterion 4 — [deleted]

Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy types

Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the future/forward defined as follows:

EUR 1000000010

Oil/ Distillates/ 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 years

Energy commodity options

RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = NRGY and RTS2#5 = OPTN

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

Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy

Segmentation criterion 2 (RTS23#37) — underlying energy

Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated

Segmentation criterion 4 — [deleted]

Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy types

Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the option defined as follows:

EUR 1000000010Oil/Distillates/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 years

Maturity 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 years

Energy commodity swaps

RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = NRGY and RTS2#5 = SWAP

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

Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy

Segmentation criterion 2 (RTS23#37) — underlying energy

Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated

Segmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optional

Segmentation criterion 5 — [deleted]

Segmentation criterion 6 (RTS2#14) — delivery/cash settlement location applicable to all energy types

Segmentation criterion 7 (RTS2#8) — time to maturity bucket of the swap defined as follows:

EUR 1000000010

Oil/Distillates/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 years

Agricultural commodity futures/forwards

RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = AGRI and [RTS2#5 = FUTR or FORW]

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

Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product)

Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated

Segmentation criterion 3 (RTS2#8) — 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 1000000010

Agricultural commodity options

RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = AGRI and RTS2#5 = OPTN

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

Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product)

Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated

Segmentation criterion 3 (RTS2#8) — 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

RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = AGRI and RTS2#5 = SWAP

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

Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product)

Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated

Segmentation criterion 3 (RTS23#34) —delivery type defined as cash, physical or optional

Segmentation criterion 4 (RTS2#8) — 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 1000000010

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 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

(9) Table 8.1 is replaced by the following:

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 Arti- cles 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 be- tween 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 con- tract.

RTS2#3 = DERV

RTS2#4 = CURR

RTS2#5 = FORW

RTS2#26 = NDLV

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

Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 (RTS2#8) — 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 ex- change of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.

RTS2#3 = DERV

RTS2#4 = CURR’

RTS2#5 = FORW

RTS2#26 = DLVB

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

Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 (RTS2#8)— 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 be- tween 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 con- tract.

RTS2#3 = DERV

RTS2#4 = CURR’

RTS2#5 = OPTN

RTS2#26 = NDLV

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

Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 (RTS2#8) — 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 ex- change of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.

RTS2#3 = DERV

RTS2#4 = CURR

RTS2#5 = OPTN

RTS2#26 = DLVB

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

Segmentation criterion 1 (RTS23#13 and RTS23#47)— underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 (RTS2#8) — 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.

RTS2#3 = DERV

RTS2#4 = CURR’

RTS2#5 = SWAP

RTS2#26 = NDLV

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

Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 (RTS2#8) — 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.

RTS2#3 = DERV

RTS2#4 = CURR

RTS2#5 = SWAP

RTS2#26 = DLVB

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

Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 (RTS2#8) — 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

RTS2#3 = DERV

RTS2#4 = CURR’

RTS2#5 = FUTR

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

Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 (RTS2#8) — 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 applied

Other Foreign Exchange Derivatives

an FX derivative that does not belong to any of the above sub-asset classes

RTS2#3 = DERV

RTS2#4 = CURR

RTS2#5 = OTHR

any other FX derivative is considered not to have a liquid market

(10) Tables 9.1, 9.2 and 9.3 are replaced by the following:

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

RTS2#3 = DERV

RTS2#4 = CRDT

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

Segmentation criterion 1 (RTS2#34) — underlying index

Segmentation criterion 2 (RTS2#42) — notional currency defined as the currency in which the notional amount of the derivative is denominated

Segmentation criterion 3 ( RTS2#8)— time to 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 cur- rent 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 de- fault swap (CDS) a swap whose exchange of cash flows is linked to the creditworthiness of one issuer of financial instruments and the occurrence of credit events

RTS2#3 = DERV

RTS2#4 = CRDT

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

Segmentation criterion 1 (RTS2#41) — underlying reference entity

Segmentation criterion 2 (RTS2#39) — 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 (RTS2#42) — notional currency defined as the currency in which the notional amount of the derivative is denominated

Segmentation criterion 4 (RTS2#8) — time to 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

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 the following qualitative liquidity criterion

CDS index options an option whose underlying is a CDS index

RTS2#3 = DERV

RTS2#4 = CRDT

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

Segmentation criterion 1 (RTS23#26) — CDS index sub-class as specified for the sub-asset class of index credit default swap (CDS)

Segmentation criterion 2 (RTS2#8) — 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 ≤ 3 years

…

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

a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market

a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market

a CDS index option whose underlying CDS index is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket

Single name CDS options an option whose underly-ing is a single name CDS

RTS2#3 = DERV

RTS2#4 = CRDT

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

Segmentation criterion 1 (RTS23#26) — single name CDS sub-class as specified for the sub-asset class of single name CDS

Segmentation criterion 2 (RTS2#8) — 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 ≤ 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 apply

Other credit derivatives a credit derivative that does not belong to any of the above sub-asset classes

RTS2#3 = DERV

RTS2#4 = CRDT RTS2#5 = OTHR

any other credit derivatives is considered not to have a liquid market

Table 9.2

Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market

Asset class — Credit 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 shall 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 shall 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 shall 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 shall 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 10000000CDS index optionsEUR 2500000EUR 5000000EUR 7500000EUR 10000000Single name CDS optionsEUR 2500000EUR 5000000EUR 7500000EUR 10000000Other credit derivativesEUR 2500000EUR 5000000EUR 7500000EUR 10000000

(11) Table 10.1 is replaced by the following:

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

RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = FRGT

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

Segmentation criterion 1 (RTS2#5) — contract type: futures or options

Segmentation criterion 2 (RTS23#36) — freight type

Segmentation criterion 3 (RTS2#37) — freight sub-type

Segmentation criterion 4 (RTS2#12) —specification of the size related to the freight sub-type

Segmentation criterion 5 (RTS2#13) — specific route or time charter average

Segmentation criterion 6 (RTS2#8) — time to 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 applied

Other C10 derivatives

a financial instrument as defined in Section C(10) of Annex I of Directive 2014/65/EU which is not a Freight derivative, any of the following interest rate derivatives sub- asset classes: Inflation multi-currency swap or cross-currency swap, a Future/forward on inflation multi-currency swaps or cross-currency swaps, an Inflation single currency swap, a Future/forward on inflation single currency swap and any of the following equity derivatives sub- asset classes: a Volatility index option, a Volatility index future/forward, a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility

any other C10 derivatives is considered not to have a liquid market

(12) Table 11.1 is replaced by the following:

Table 11.1

CFDs – classes not having a liquid market

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 belowQualitative liquidity criterion

Average daily notional amount (ADNA)

[quantitative liquidity criterion 1]

Average daily number of trades

[quantitative liquidity criterion 2]

Currency CFDs

RTS2#3 = DERV

RTS2#5 = CFDS

RTS2#29 = CURR

a currency CFD sub-class is defined by the underlying currency pair defined as combination of the two currencies underlying the CFD/spread betting contract.

RTS2#30 and RTS2#31

EUR 50000000100

Commodity CFDs

RTS2#3 = DERV

RTS2#5 = CFDS

RTS2#29 = COMM

a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract

RTS23#35 and RTS23#36 and RTS23#37

EUR 50000000100

Equity CFDs

RTS2#3 = DERV

RTS2#5 = CFDS

RTS2#29 = EQUI

an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract

RTS23#26

an equity CFD sub-class is considered to have a liquid market if the underlying is an equity security for which there is a liquid market as determined in accordance with Article 2(1)(17)(b) of Regulation (EU) No 600/2014

Bond CFDs

RTS2#3 = DERV

RTS2#5 = CFDS

RTS2#29 = BOND

a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract

RTS23#26

a bond CFD sub-class is considered to have a liquid market if the underlying is a bond or bond future for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).

CFDs on an equity future/for- ward

RTS2#3 = DERV

RTS2#5 = CFDS

RTS2#29 = FTEQ

a CFD on an equity future/forward sub-class is defined by the underlying future/forward on an equity of the CFD/spread betting contract

RTS23#26

a CFD on an equity future/forward sub-class is considered to have a liquid market if the underlying is an equity future/forward for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).

CFDs on an equity option

RTS2#3 = DERV

RTS2#5 = CFDS

RTS2#29 = OPEQ

a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract

RTS23#26

a CFD on an equity option sub-class is considered to have a liquid market if the underlying is an equity option for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).Asset class – Financial contracts for differences (CFDs)Sub-asset 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 CFDs

a CFD/spread betting that does not belong to any of the above sub-asset classes

RTS2#3 = DERV

RTS2#5 = CFDS

RTS2#29 = OTHR

any other CFD/spread betting is considered not to have a liquid market

(13) Table 12.1 is replaced by the following:

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-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)

RTS2#3 = EMAL and RTS2#11 = EUAE

150000 tonnes of Carbon Dioxide Equivalent5

European Union Aviation Allowances (EUAA)

any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of car- bon dioxide equivalent (tCO2e) from aviation

RTS2#3 = EMAL and RTS2#11 = EUAA

150000 tonnes of Carbon Dioxide Equivalent5

Certified Emission Reductions (CER)

any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)

RTS2#3 = EMAL and RTS2#11 = CERE

150000 tonnes of Carbon Dioxide Equivalent5

Emission Reduction Units (ERU)

any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)

RTS2#3 = EMAL and RTS2#11 = ERUE

150000 tonnes of Carbon Dioxide Equivalent5

Other Emission Allowances

an emission allowance which is an emission allowance recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) or an Emission Reduction Units (ERU)

RTS2#3 = EMAL and RTS2#11 = OTHR

any other emission allowances is considered not to have a liquid market

(14) Table 13.1 is replaced by the following:

Table 13.1

Emission allowance derivatives — classes not having a liquid market

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

Average Daily Amount (ADA)

[quantitative liquidity criterion 1]

Average daily number of trades

[quantitative liquidity criterion 2]

Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)

a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EU

RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAE

150000 tonnes 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

RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAA

150000 tonnes 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

RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = CERE

150000 tonnes 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

RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = ERUE

150000 tonnes of Carbon Dioxide Equivalent5

Other Emission allowance derivatives

an emission allowance derivative whose underlying is an emission allowances recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU)

RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = OTHR

any other emission allowance derivative is considered not to have a liquid market

Annex

ANNEX IV

In Annex IV, Tables 1 and 2 are replaced by the following:

Table 1

Symbol table for Table 2

SYMBOLDATA TYPEDEFINITION{ALPHANUM-n}Up to n alphanumerical char- actersFree 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 formatDates shall 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{EIC}16 alphanumerical charactersan EIC code pertaining to a delivery point within or outside the European Union{INDEX}4 alphabetic characters

EONA — EONIA

EONS — EONIA SWAP

EURI — EURIBOR

EUUS — EURODOLLAR

EUCH — EuroSwiss

GCFR — GCF REPO

ISDA — ISDAFIX

LIBI — LIBID

LIBO — LIBOR

MAAA — Muni AAA

PFAN — Pfandbriefe

TIBO — TIBOR

STBO — STIBOR

BBSW — BBSW

JIBA — JIBAR

BUBO — BUBOR

CDOR — CDOR

CIBO — CIBOR

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

OCTN — Other C10

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

OPTN — Options

FUTR — Futures (including — Forward Freight Agreements (FFAs))

FRAS — Forward Rate Agreement (FRA)

FORW — Forwards

SWAP — Swaps

PSWP — Portfolio Swaps

SWPT — Swaptions

OPTS — Option on a swap

FONS — Futures on a swap

FWOS — Forwards on a swap

SPDB — Spread betting CFDS — CFD

OTHR — Other

6Reporting dayDay for which the reference data is provided{DATEFORMAT}

7Trading venueSegment MIC for the trading venue, where available, otherwise operating MIC.{MIC}8MaturityDefined maturity of the financial instrument. Field applicable for the asset classes of bonds, Interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives C10 derivatives and derivatives on emission allowances.{DATEFORMAT}

Bonds (all bond types except ETCs and ETNs) related fields

The fields in this section shall only be populated for Bonds as defined in Table 2.1 of Section 2 of Annex III

9Bond 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 fields

The fields in this section shall only be populated for emission allowances as defined in Table 12.1 of Section 12 of Annex III

11Emissions Allowances sub typeEmissions Allowances

CERE — CER

ERUE — ERU

EUAE — EUA

EUAA — EUAA

OTHR — Other

Derivatives related fields

Commodity derivatives and C10 derivatives

The fields in this section shall only be populated for commodity derivatives as defined in Table 7.1 of Section 7 of Annex III and for C10 derivatives as defined in Table 10.1 of Section 10 of Annex III

12Specification 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.

For dry freight:

CAPE — Capesize

PNMX — Panamax

SPMX — Supramax

HAND — Handysize

For wet freight:

CLAN — Clean

DRTY — Dirty

{ALPHANUM-4} otherwise

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.

For wet freight:

TD7 — TD7

TD8 — TD8

TD17 — TD17

TD19 — TD19

TD20 — TD20

BLPG1 — BLPG1

TD3C — TD3C

TC2 — TC2

TC2_37 — TC2_37

TD3 — TD3

TC5 — TC5

TC6 — TC6

TC7 — TC7

TC9 — TC9

TC12 — TC12

TC14 — TC14

TC15 — TC15

For dry freight:

4TC — 4TC

5TC — 5TC

6TC — 6TC

10TC — 10TC

C3 — C3

C5 — C5

C7 — C7

P1A — P1A

P2A — P2A

P3A — P3A

P1E — P1E

P2E — P2E

P3E— P3E

{ALPHANUM-6} otherwise

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.

{EIC} for electricity or natural gas

OTHR — Other

15Notional currencyCurrency in which the notional is denominated.{CURRENCYCODE_3}

Interest rate derivatives

The fields in this section shall only be populated for interest rate derivatives as defined in Table 5.1 of Section 5 of Annex III

16Underlying type

To be populated for contract type different from swaps, swaptions, futures on a swap and forwards on a swap with one of the following alternatives

To be populated for the contract types of swaps, swaptions, options on a swap, futures on a swap and forwards on a swap with regard to the underlying swap with one of the following alternatives

BOND — Bond

BNDF — Bond Futures INTR — Interest rate

IFUT — Interest rate Futures

FFMC — FLOAT TO FLOAT MULTI-CURRENCY SWAPS

XFMC — FIXED TO FLOAT MULTI-CURRENCY SWAPS

XXMC — FIXED TO FIXED MULTI-CURRENCY SWAPS

OSMC — OIS MULTI-CURRENCY SWAPS

IFMC — INFLATION MULTI- CURRENCY SWAPS

FFSC — FLOAT TO FLOAT SINGLE-CURRENCY SWAPS

XFSC — FIXED TO FLOAT SINGLE-CURRENCY SWAPS

XXSC — FIXED TO FIXED SINGLE-CURRENCY SWAPS

OSSC — OIS SINGLE-CUR- RENCY SWAPS

IFSC — INFLATION SINGLE- CURRENCY SWAPS

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 bondTo be populated with the date of the defined maturity of the underlying bond.{DATEFORMAT}19Issuance date of the under- lying bondTo be populated with the issuance date of the underlying bond.{DATEFORMAT}20Notional currency of the swaptionTo be populated for swaptions only.{CURRENCYCODE_3}21Maturity of the underlying swapTo be populated for swaptions, options on swaps, futures on swaps and for- wards on a swap only.{DATEFORMAT}

22Inflation index ISIN code/ISIN code of the underlying bond

In case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap; whenever the inflation index has an ISIN, the field has to be populated with the ISIN code for that index.

In case of Bond Options/ Options on a bond option/ Options on a bond future, the field has to be populated with the ISIN code of the ultimate underlying bond.

{ISIN}

{ISIN}

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

25Term of the underlying interest rate

This field states the term of the interest rate underlying the contract. The term shall be expressed in days, weeks, months or years.

Starting with the largest term unit (years) and working downwards, if the term of the interest rate is an integer number, such standard term shall be populated in this field.

{INTEGER-3}+DAYS — days

{INTEGER-3}+WEEK — weeks

{INTEGER-3}+MNTH — months

{INTEGER-3}+YEAR — years

Foreign exchange derivatives

The fields in this section shall only be populated for foreign exchange derivatives as defined in Table 8.1 of Section 8 of Annex III

26Contract 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 derivatives

The fields shall only be populated for equity derivatives as defined in Table 6.1 of Section 6 of Annex III

27Underlying 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 — Basket

28ParameterTo 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 shall only be populated when the contract type is equal to contract for difference or spread betting

29Underlying 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/Forward 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 derivatives

The fields in this section shall only be populated for credit derivatives as defined in Table 9.1 of Section 9 of Annex III

32ISIN 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 shall be repeated for each month in the roll.

To be populated for a CDS Index or a derivative on a CDS Index.

01, 02, 03, 04, 05, 06,

07, 08, 09, 10, 11, 12

38Next 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 de- fault 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 derivatives

The fields in this section shall only be populated for emission allowance derivatives as defined in Table 13.1 of Section 13 of Annex III

43Emission 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 allowance

CERE — CER

ERUE —ERU

EUAE — EUA

EUAA —EUAA

OTHR — Other

Annex

ANNEX V

Annex

ANNEX V

Quantitative 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.{ISIN}12 alphanumerical charactersISIN code, as defined in ISO 6166{MIC}4 alphanumerical charactersMarket identifier as defined in ISO 10383{DATEFORMAT}ISO 8601 date formatDates shall be formatted by the following format: YYYY-MM-DD.{DECIMAL-n/m}Decimal number of up to n digits in total of which up to m digits can be fraction digits

Numerical field for both positive and negative values.

Decimal separator is . (full stop);

negative numbers are prefixed with – (minus);

values are rounded and not truncated.

{INTEGER-n}Integer number of up to n digitsNumerical field for both positive and negative integer values.

Table 2

Details of the data to be provided for the purpose of determining a liquid market, the LIS and SSTI thresholds for non-equity financial instruments

Regulated Market (RM)

Multilateral Trading Facility (MTF)

Organised Traded Facility (OTF)

Approved Publication Arrangement (APA)

Consolidated tape provider (CTP)

{ISIN}

2Execution dateDate on which the trades are executed.RM, MTF, OTF, APA, CTP{DATEFORMAT}3Execution venue

Segment MIC of the EU trading venue or systematic internaliser, where available, otherwise operating MIC.

Segment MIC of the systematic internaliser where available, otherwise the operating MIC.

The MIC code XOFF for OTC transactions.

For a given ISIN and execution date, APAs shall sum all OTC trading activity for that instrument in a single record (ISIN, XOFF, execution date).

RM, MTF, OTF, APA, CTP{MIC} of the trading venue or systematic internaliser or XOFF4Suspended instrument flag

Indicator of whether the instrument was suspended during the whole day for trading on the respective TV on the execution date.

As a consequence, Fields 5 shall be reported with a value of zero.

RM, MTF, OTF

TRUE – if the instrument was suspended for the whole trading day

or FALSE – if the instrument was not suspended for the whole trading day

5Total number of transactions

The total number of transactions executed on the execution date.

Transactions that have been cancelled shall be excluded from the reported figures.

Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date.

In all cases, the field has to be populated with a value greater than or equal to zero.

For instruments that are suspended for the whole day, the field shall have zero value.

RM, MTF, OTF, APA, CTP{INTEGER-18}6Total volume

The total volume executed on the execution date.

The volume shall be measured in accordance with Table 4 of Annex II of this Regulation.

Monetary amounts shall be reported in Euros.

Transactions that have been cancelled shall be excluded from the reported figures.

Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date.

RM, MTF, OTF, APA, CTP{DECIMAL-18/5}

7Size of transaction bin range

This field shall be populated with the values as provided in Tables 3 and 4 of this Annex.

The size of transaction bin range as defined:

in Table 4 of this Annex for emission allowances and derivatives thereof;

In Table 3 of this Annex for the other instruments.

For instruments that are suspended for the whole day, data related to this field and to fields 8 and 9 shall not be reported.

RM, MTF, OTF, APA, CTP{ALPHANUM - -140}8Total number of transactions executed for that bin

Total number of transactions executed on the execution date which size lies in the bin’s range.

Transactions that have been cancelled shall be excluded from the reported figures.

Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date.

RM, MTF, OTF, APA, CTP{INTEGER-18}9Total volume traded for that bin

Total volume traded represented by all transactions executed on the reporting day which size lies in the bin’s range.

The volume shall be measured in accordance with Table 4 of Annex II of this Regulation.

Monetary amounts shall be reported in Euros.

Transactions that have been cancelled shall be excluded from the reported figures.

Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date.

RM, MTF, OTF, APA, CTP{DECIMAL-18/5}

Table 3

Trade-size bins for bonds, SFPs, securitised derivatives, interest rate derivatives, equity derivatives, foreign exchange derivatives, credit derivatives, commodity derivatives, C10 derivatives and CFDs

ScopeSize of transaction binDefinitionTransactions with a size between 0 and 1,000,000 (excluded)]0 – 100,000[Transactions with a trade size smaller than EUR 100,000[100,000 – 100,000]Transactions with a trade size equal to EUR 100,000]100,000 – 200,000[Transactions with a trade size greater than EUR 100,000 and smaller than EUR 200,000[200,000 – 300,000[Transactions with a trade size greater than or equal to EUR 200,000 and smaller than EUR 300,000[300,000 – 400,000[Transactions with a trade size greater than or equal to EUR 300,000 and smaller than EUR 400,000[Y– Y+100,000[Transactions with a trade size greater than or equal to EUR Y and smaller than EUR Y + 100,000 (EUR 100,000 step)[900,000 – 1,000,000[Transactions with a trade size greater than or equal to EUR 900,000 and smaller than EUR 1,000,000Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded)[1,000,000 – 1,500,000[Transactions with a trade size greater than or equal to EUR 1,000,000 and smaller than EUR 1,500,000[1,500,000 – 2,000,000[Transactions with a trade size greater than or equal to EUR 1,500,000 and smaller than EUR 2,000,000[Z– Z+500,000[Transactions with a trade size greater than or equal to EUR Z and smaller than EUR Z + 500,000 (EUR 500,000 step)[9,500,000 – 10,000,000[Transactions with a trade size greater than or equal to EUR 9,500,000 and smaller than EUR 10,000,000

Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded)[10,000,000 – 15,000,000[Transactions with a trade size greater than or equal to EUR 10,000,000 and smaller than EUR 15,000,000[15,000,000 – 20,000,000[Transactions with a trade size greater than or equal to EUR 15,000,000 and smaller than EUR 20,000,000[W– W+5,000,000[Transactions with a trade size greater than or equal to EUR W and smaller than EUR W + 5,000,000 (EUR 5,000,000 step)[95,000,000 – 100,000,000[Transactions with a trade size greater than or equal to EUR 95,000,000 and smaller than EUR 100,000,000Transactions with a size greater than or equal to 100,000,000[100,000,000 – 125,000,000[Transactions with a trade size greater than or equal to EUR 100,000,000 and smaller than EUR 125,000,000[125,000,000 – 150,000,000[Transactions with a trade size greater than or equal to EUR 125,000,000 and smaller than EUR 150,000,000[X– X+25,000,000[Transactions with a trade size greater than or equal to EUR X and smaller than EUR X + 25,000,000 (EUR 25,000,000 step)………

Table 4

Size of transaction bin ranges for emission allowances and derivatives on emission allowances

ScopeSize of transaction binDefinitionTransactions with a size between 0 and 1,000,000 (excluded)]0 – 100,000[Transactions with a trade size smaller than 100,000 tonnes of carbon dioxide equivalent (tCO2e)[100,000 – 100,000]Transactions with a trade size equal to 100,000 tCO2e]100,000 – 200,000[Transactions with a trade size greater than 100,000 tCO2e and smaller than 200,000 tCO2e[200,000 – 300,000[Transactions with a trade size greater than or equal to 200,000 tCO2e and smaller than 300,000 tCO2e[300,000 – 400,000[Transactions with a trade size greater than or equal to 300,000 tCO2e and smaller than 400,000 tCO2e[Y– Y+100,000[Transactions with a trade size greater than or equal to Y tCO2e and smaller than Y tCO2e + 100,000 (100,000 tCO2e step)[900,000 – 1,000,000[Transactions with a trade size greater than or equal to 900,000 tCO2e and smaller than 1,000,000 tCO2e

Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded)[1,000,000 – 1,500,000[Transactions with a trade size greater than or equal to 1,000,000 tCO2e and smaller than 1,500,000 tCO2e[1,500,000 – 2,000,000[Transactions with a trade size greater than or equal to 1,500,000 tCO2e and smaller than 2,000,000 tCO2e[Z– Z+500,000[Transactions with a trade size greater than or equal to Z tCO2e and smaller than Z tCO2e + 500,000 (500,000 tCO2e step)[9,500,000 – 10,000,000[Transactions with a trade size greater than or equal to 9,500,000 tCO2e and smaller than 10,000,000 tCO2eTransactions with a size between 10,000,000 (included) and 100,000,000 (excluded)[10,000,000 – 15,000,000[Transactions with a trade size greater than or equal to 10,000,000 tCO2e and smaller than 15,000,000 tCO2e[15,000,000 – 20,000,000[Transactions with a trade size greater than or equal to 15,000,000 tCO2e and smaller than 20,000,000 tCO2e[W– W+5,000,000[Transactions with a trade size greater than or equal to W tCO2e and smaller than W tCO2e + 5,000,000 (5,000,000 tCO2e step)[95,000,000 – 100,000,000[Transactions with a trade size greater than or equal to 95,000,000 tCO2e and smaller than 100,000,000 tCO2eTransactions with a size greater than or equal to 100,000,000[100,000,000 – 125,000,000[Transactions with a trade size greater than or equal to 100,000,000 tCO2e and smaller than 125,000,000 tCO2e[125,000,000 – 150,000,000[Transactions with a trade size greater than or equal to 125,000,000 tCO2e and smaller than 150,000,000 tCO2e[X– X+25,000,000[Transactions with a trade size greater than or equal to X tCO2e and smaller than X tCO2e + 25,000,000 (25,000,000 tCO2e step)………