Commission Delegated Regulation (EU) 2025/1246of 18 June 2025amending the regulatory technical standards laid down in Delegated Regulations (EU) 2017/583 and (EU) 2017/587 as regards transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances, and equity instruments(Text with EEA relevance)

Regulated Market (RM)

Multilateral Trading Facility (MTF),

Organised Trading Facility (OTF)

Approved Publication Arrangement (APA)

{DATE_TIME_FORMAT}

2Instrument identification codeFor all financial instrumentsCode used to identify the financial instrumentRM, MTF, OTF, APA{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

{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

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{CURRENCY CODE_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

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{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{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

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{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{CURRENCY CODE_3}12[deleted]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

{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{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 12 of Delegated Regulation (EU) 2025/1155.

For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second.

RM, MTF, OTF, APA{DATE_TIME_FORMAT}16Venue of publicationFor all financial instrumentsCode used to identify the trading venue and APA publishing the transaction.RM, MTF, OTF, APA{MIC}17Transaction Identification CodeFor all financial instrumentsAlphanumerical 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.RM, MTF, OTF, APA{ALPHANUMERICAL-52}18Transaction to be clearedFor derivativesCode to identify whether the transaction will be cleared.RM, MTF, OTF, APA

TRUE – transaction to be cleared

FALSE – transaction not to be cleared

19FlagsFor all financial instruments

One or multiple fields should be populated with the applicable flags as described in Table 3 of Annex II.

Where none of the specified circumstances apply, the transaction should be published without a flag.

Where a combination of flags is possible and reported in one field, the flags should be reported separated by commas.

RM, MTF, OTF, APAAs specified in Table 3 of Annex II20Trading SystemFor all financial instruments

Type of trading system on which the transaction was executed.

When the field Venue of execution is populated with SINT or XOFF, this field shall not be populated.

RM, MTF, OTF

CLOB – central limit order book trading system.

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

PATS – periodic auction trading systems.

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

VOIC – voice trading system, meaning a trading system where transactions between members are arranged through voice negotiation.

HYBR – hybrid trading system meaning a system falling into two or more of the types of trading systems referred to above.

OTHR – any other trading system, meaning any other type of trading system not covered above.

21Number of transactionsFor sovereign debt instrumentsThis field should be populated with the number of transactions executed when deferred publication of details of several tpransactions in an aggregated form is required under Article 11(3)(b) of Regulation (EU) No 600/2014.RM, MTF, OTF, APA{DECIMAL-18/17}

(2) Table 3 is replaced by the following:

Table 3

List of flags for the purpose of post-trade transparency

POST-TRADE DEFERRAL FLAGS FOR DERIVATIVESFlagNameType of execution or publication venueDescriptionLRGSPost-trade LIS transaction flagRM, MTF, OTF, APATransactions executed under the post-trade large in scale deferralILQDIlliquid instrument transaction flagRM, MTF, OTF, APATransactions executed under the deferral for instruments for which there is not a liquid marketSIZEPost-trade SSTI transaction flagRM, MTF, OTF, APATransactions executed under the post-trade size specific to the instrument deferral

POST-TRADE DEFERRAL FLAGS FOR BONDS (EXCEPT ETCs AND ETNs)FlagNameType of execution or publication venueDescriptionMLF1Medium Liquid FlagRM, MTF, OTF, APATransactions in bonds benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(a) of this Regulation.MIF2Medium Illiquid FlagRM, MTF, OTF, APATransactions in bonds benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(b) of this Regulation.LLF3Large Liquid FlagRM, MTF, OTF, APATransactions in bonds benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(c) of this Regulation.LIF4Large Illiquid FlagRM, MTF, OTF, APATransactions in bonds benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(d) of this Regulation.VLF5Very Large Liquid FlagRM, MTF, OTF, APATransactions in bonds benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(e) of this Regulation.VIF5Very Large Illiquid FlagRM, MTF, OTF, APATransactions in bonds benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(e) of this Regulation.POST-TRADE DEFERRAL FLAGS FOR ETCs, ETNs, SFPs AND EMISSION ALLOWANCESFlagNameType of execution or publication venueDescriptionDEFFDeferral for ETCs, ETNs, SFPs and emission allowancesRM, MTF, OTF, APATransactions in ETCs, ETNs, SFPs and emission allowances, which benefit from a deferral as specified under Article 8a(2) and (3) of this Regulation.SUPPLEMENTARY DEFERRAL FLAGS FOR DERIVATIVESArticle 11(1), point (a)(i)LMTFLimited details flagRM, MTF, OTF, APAFirst report with publication of limited details in accordance with Article 11(1), point (a)(i).FULFFull details flagRM, MTF, OTF, APATransaction for which limited details have been previously published in accordance with Article 11(1), point (a)(i).

Annex

ANNEX III

Annex III to Delegated Regulation (EU) 2017/583 is amended as follows:

(1) Section 1 Instructions for the purpose of this annex, Section 2 Bonds, and Section 3 Structured Finance Products (SFPs) are replaced by the following:

1. Instructions for the purpose of this annex

1. The reference to outstanding bond issuance size in Table 2.2 refers to the total value of bonds that have been issued and are currently held by investors.

1. A reference to an asset class means a reference to the following classes of financial instruments: bonds, structured finance products, securitised derivatives, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives, C10 derivatives, CFDs, emission allowances and emission allowance derivatives.

1. A reference to a sub-asset class means a reference to an asset class segmented to a more granular level on the basis of the contract type and/or the type of underlying.

1. A reference to a sub-class means a reference to a sub-asset class segmented to a more granular level on basis of further qualitative segmentation criteria as set out in Tables 2.2 to 13.3 of this Annex.

1. Average daily notional amount (ADNA) means the total notional amount for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.

1. Average daily number of trades means the total number of transactions executed for a particular financial instrument in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.

1. Future means a contract to buy or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller. Every futures contract has standard terms that dictate the minimum quantity and quality that can be bought or sold, the smallest amount by which the price may change, delivery procedures, maturity date and other characteristics related to the contract.

1. Option means a contract that gives the owner the right, but not the obligation, to buy (call) or sell (put) a specific financial instrument or commodity at a predetermined price, strike or exercise price, at or up to a certain future date or exercise date.

1. Swap means a contract in which two parties agree to exchange cash flows in one financial instrument for those of another financial instrument at a certain future date.

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

1. Forward or Forward agreement means a private agreement between two parties to buy or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller.

1. Swaption 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.

1. Future on a swap means a future contract that gives the owner the obligation, to enter a swap at or up to a certain future date.

1. Forward on a swap means a forward contract that gives the owner the obligation, to enter a swap at or up to a certain future date.

1. Bonds

Table 2.2.

Bonds (all bond types except ETCs and ETNs) – classes not having a liquid market

Each individual bond shall be determined not to have a liquid market as per Article 6a if it is characterised by a specific combination of bond characteristics as specified in each row of the tables below.

Commission Delegated Regulation (EU) 2017/585 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the data standards and formats for financial instrument reference data and technical measures in relation to arrangements to be made by the European Securities and Markets Authority and competent authorities (OJ L 87, 31.3.2017, p. 368, ELI: http://data.europa.eu/eli/reg_del/2017/585/oj).

Sovereign and Other Public BondsGroup IDMiFIR IDBond TypeIssuer or Issuer countryRemaining maturityType of couponOutstanding issuance sizeRTS2#3RTS2#9The country of the issuer reported under Commission Delegated Regulation (EU) 2017/585 (RTS23) field Issuer or operator of the trading venue identifierThe time remaining until the maturity date reported under RTS23 field Maturity dateThe third letter of the CFI code reported under RTS23 field Instrument classificationRTS23 field Total issued nominal amount converted to EURG1BOND

EUSB

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) in the case of a federal Member State, a member of the federation; (d) a special purpose vehicle for several Member States; (e) 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; (f) the European Investment Bank; (g) a sovereign entity of a third country.

The issuer country is a Member State, the United States of America or the United Kingdom;

OR

The issuer is the Union.

Up to and including 10 yearsF (fixed coupon)Less than EUR 5000000000G2BOND

EUSB or OEPB

OEPB means a bond which is neither a convertible nor a covered bond and is issued by a public entity which is not a sovereign issuer.

Any instrument not in G1Less than EUR 1000000000

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, ELI: http://data.europa.eu/eli/reg/2001/2157/oj).

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, ELI: http://data.europa.eu/eli/dir/2013/34/oj).

Corporate, Convertible and Other BondsGroup IDMiFIR IDBond TypeCurrencyCredit RatingOutstanding issuance sizeRTS2#3RTS2#9The currency of the instrument reported under RTS23 field Notional Currency 1RTS23 field Total issued nominal amount converted to EURG3BOND

CRPB, CVTB or OTHR

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

CVTB means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity.

EUR, GBP, USDInvestment GradeLess than EUR 500000000G4BONDCRPB, CVTB or OTHRAny instrument not in G3Less than EUR 500000000

Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32, ELI: http://data.europa.eu/eli/dir/2009/65/oj).

Covered bondsGroup IDMiFIR IDBond TypeOutstanding issuance sizeRTS2#3RTS2#9RTS23 field Total issued nominal amount converted to EURG5BOND

CVDB

CVDB means bonds as referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council

Less than EUR 500000000

Table 2.3.

Bonds (all bond types except ETCs and ETNs) – pre-trade LIS thresholds

Asset class – Bonds (all bond types except ETCs and ETNs)Bond typePre-trade LISSovereign Bond and Other Public BondEUR 5000000Corporate Bond, Convertible Bond and Other BondEUR 1000000Covered BondEUR 5000000

Table 2.4.

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

Asset class – Bonds (ETC and ETN bond type)For the purpose of determining the classes of financial instruments considered not to have a liquid market as per Article 6a the following methodology shall apply: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.All ETCs are considered not to have a liquid marketExchange 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.All ETNs are considered not to have a liquid market

Table 2.5.

Bonds (ETC and ETN bond types) – pre-trade LIS threshold

Asset class – Bonds (ETC and ETN bond type)Bond typePre-trade LISETCsEUR 1000000ETNsEUR 1000000

Table 2.6.

Bonds (all bond types except ETCs and ETNs) – deferral regime

Asset class – Bonds (all bond types except ETCs and ETNs)Bond typeCategoryLiquiditySize (Above or equal to)Sovereign Bond in G1 as per Table 2.21Considered to have a liquid marketEUR 150000002Considered not to have a liquid marketEUR 50000003Considered to have a liquid marketEUR 500000004Considered not to have a liquid marketEUR 150000005Considered to have a liquid marketEUR 1000000005Considered not to have a liquid marketEUR 50000000Sovereign Bond and Other Public Bond in G2 as per Table 2.21Considered to have a liquid marketEUR 100000002Considered not to have a liquid marketEUR 10000003Considered to have a liquid marketEUR 200000004Considered not to have a liquid marketEUR 20000005Considered to have a liquid marketEUR 500000005Considered not to have a liquid marketEUR 5000000Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.21Considered to have a liquid marketEUR 15000002Considered not to have a liquid marketEUR 5000003Considered to have a liquid marketEUR 75000004Considered not to have a liquid marketEUR 20000005Considered to have a liquid marketEUR 150000005Considered not to have a liquid marketEUR 5000000

Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.21Considered to have a liquid marketEUR 10000002Considered not to have a liquid marketEUR 5000003Considered to have a liquid marketEUR 50000004Considered not to have a liquid marketEUR 20000005Considered to have a liquid marketEUR 100000005Considered not to have a liquid marketEUR 5000000Covered Bonds in G5 as per Table 2.21Considered to have a liquid marketEUR 50000002Considered not to have a liquid marketEUR 10000003Considered to have a liquid marketEUR 200000004Considered not to have a liquid marketEUR 50000005Considered to have a liquid marketEUR 500000005Considered not to have a liquid marketEUR 10000000

1. Structured Finance Products (SFPs)

Table 3.1.

SFPs – classes not having a liquid market

Asset class – Structured Finance Products (SFPs)SFPs asset-class assessment for the purpose of the determination of the financial instruments considered not to have a liquid market as per Article 6a – RTS2#3 = SFPS.All SFPs are considered not to have a liquid market

Table 3.2.

SFPs – pre-trade LIS threshold

Asset class – Structured Finance Products (SFPs)Pre-trade LISEUR 250000

(2) in Section 4 Securitised derivatives, Table 4.2 Securitised derivatives – pre-trade and post-trade SSTI and LIS thresholds, is replaced by the following:

Table 4.2.

Securitised derivatives – pre- and post-trade SSTI and LIS thresholds

Asset class – Securitised DerivativesPre-trade and post-trade SSTI and LIS thresholdsLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueEUR 60000EUR 90000EUR 100000

(3) in Section 5 Interest Rate Derivatives, Table 5.2 Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market and Table 5.3 Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market are replaced by the following:

Table 5.2.

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

Asset class – Interest Rate DerivativesSub-asset classPercentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid marketTransactions to be considered for the calculations of the thresholdsLIS pre-tradeSSTI post-tradeLIS post-tradeTrade – percentileThreshold floorTrade – percentileVolume – percentileThreshold floorTrade – percentileVolume – percentileThreshold floorBond futures/forwardscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 200000009070EUR 25000000

Bond optionscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 200000009070EUR 25000000IR futures and FRAcalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 100000008060EUR 200000009070EUR 25000000IR optionscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 100000008060EUR 200000009070EUR 25000000

Swaptionscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 90000009070EUR 10000000Fixed-to-Float multi currency swaps or cross-currency swaps and futures/forwards on Fixed-to-Float multi currency swaps or cross-currency swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 90000009070EUR 10000000Float-to-Float multi currency swaps or cross-currency swaps and futures/forwards on Float-to-Float multi currency swaps or cross-currency swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 90000009070EUR 10000000

Fixed-to-Fixed multi currency swaps or cross-currency swaps and futures/forwards on Fixed-to-Fixed multi currency swaps or cross-currency swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 90000009070EUR 10000000Overnight Index Swap (OIS) multi currency swaps or cross-currency swaps and futures/forwards on Overnight Index Swap (OIS) multi currency swaps or cross-currency swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 90000009070EUR 10000000Inflation multi currency swaps or cross-currency swaps and futures/forwards on Inflation multi currency swaps or cross-currency swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 90000009070EUR 10000000

Fixed-to-Float single currency swaps and futures/forwards on Fixed-to-Float single currency swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 90000009070EUR 10000000Float-to-Float single currency swaps and futures/forwards on Float-to-Float single currency swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 90000009070EUR 10000000Fixed-to-Fixed single currency swaps and futures/forwards on Fixed-to-Fixed single currency swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 90000009070EUR 10000000

Overnight Index Swap (OIS) single currency swaps and futures/forwards on Overnight Index Swap (OIS) single currency swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 90000009070EUR 10000000Inflation single currency swaps and futures/forwards on Inflation single currency swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 90000009070EUR 10000000

Table 5.3.

Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market

Asset class – Interest Rate DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid marketLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueBond futures/forwardsEUR 5000000EUR 20000000EUR 25000000Bond optionsEUR 5000000EUR 20000000EUR 25000000IR futures and FRAEUR 10000000EUR 20000000EUR 25000000

IR optionsEUR 10000000EUR 20000000EUR 25000000SwaptionsEUR 5000000EUR 9000000EUR 10000000Fixed-to-Float multi currency swaps or cross-currency swaps and futures/forwards on Fixed-to-Float multi currency swaps or cross-currency swapsEUR 5000000EUR 9000000EUR 10000000Float-to-Float multi currency swaps or cross-currency swaps and futures/forwards on Float-to-Float multi currency swaps or cross-currency swapsEUR 5000000EUR 9000000EUR 10000000Fixed-to-Fixed multi currency swaps or cross-currency swaps and futures/forwards on Fixed-to-Fixed multi currency swaps or cross-currency swapsEUR 5000000EUR 9000000EUR 10000000Overnight Index Swap (OIS) multi currency swaps or cross-currency swaps and futures/forwards on Overnight Index Swap (OIS) multi currency swaps or cross-currency swapsEUR 5000000EUR 9000000EUR 10000000Inflation multi currency swaps or cross-currency swaps and futures/forwards on Inflation multi currency swaps or cross-currency swapsEUR 5000000EUR 9000000EUR 10000000Fixed-to-Float single currency swaps and futures/forwards on Fixed-to-Float single currency swapsEUR 5000000EUR 9000000EUR 10000000Float-to-Float single currency swaps and futures/forwards on Float-to-Float single currency swapsEUR 5000000EUR 9000000EUR 10000000Fixed-to-Fixed single currency swaps and futures/forwards on Fixed-to-Fixed single currency swapsEUR 5000000EUR 9000000EUR 10000000Overnight Index Swap (OIS) single currency swaps and futures/forwards on Overnight Index Swap (OIS) single currency swapsEUR 5000000EUR 9000000EUR 10000000

Inflation single currency swaps and futures/forwards on Inflation single currency swapsEUR 5000000EUR 9000000EUR 10000000Other Interest Rate DerivativesEUR 5000000EUR 9000000EUR 10000000

(4) in Section 6 Equity derivatives, Table 6.2 Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market and Table 6.3 Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market are replaced by the following:

Table 6.2.

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

Asset class – Equity DerivativesSub-asset classFor the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined belowTransactions to be considered for the calculations of the thresholdsPre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongsAverage daily notional amount (ADNA)LIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueStock index options

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

Segmentation criterion 1 – underlying stock index

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class< EUR 100 m ADNAEUR 25000EUR 1000000EUR 1500000EUR 100 m ≤ ADNA < EUR 200 mEUR 3000000EUR 25000000EUR 30000000EUR 200 m ≤ ADNA < EUR 600 mEUR 5500000EUR 50000000EUR 55000000ADNA ≥ EUR 600 mEUR 20000000EUR 150000000EUR 160000000

Stock index futures/forwards

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

Segmentation criterion 1 – underlying stock index

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class< EUR 100 m ADNAEUR 25000EUR 1000000EUR 1500000EUR 100 m ≤ ADNA < EUR 1 bnEUR 550000EUR 5000000EUR 5500000EUR 1 bn ≤ ADNA < EUR 3 bnEUR 5500000EUR 50000000EUR 55000000EUR 3 bn ≤ ADNA < EUR 5 bnEUR 20000000EUR 150000000EUR 160000000ADNA ≥ EUR 5 bnEUR 30000000EUR 250000000EUR 260000000Stock options

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

Segmentation criterion 1 – underlying share

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class< EUR 5 m ADNAEUR 25000EUR 1000000EUR 1250000EUR 5 m ≤ ADNA < EUR 10 mEUR 300000EUR 1250000EUR 1500000EUR 10 m ≤ ADNA < EUR 20 mEUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 20 mEUR 1500000EUR 5000000EUR 5500000

Stock futures/forwards

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

Segmentation criterion 1 – underlying share

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class< EUR 5 m ADNAEUR 25000EUR 1000000EUR 1250000EUR 5 m ≤ ADNA < EUR 10 mEUR 300000EUR 1250000EUR 1500000EUR 10 m ≤ ADNA < EUR 20 mEUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 20 mEUR 1500000EUR 5000000EUR 5500000Stock dividend options

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

Segmentation criterion 1 – underlying share entitling to dividends

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class< EUR 5 m ADNAEUR 25000EUR 400000EUR 450000EUR 5 m ≤ ADNA < EUR 10 mEUR 30000EUR 500000EUR 550000EUR 10 m ≤ ADNA < EUR 20 mEUR 100000EUR 1000000EUR 1500000ADNA ≥ EUR 20 mEUR 150000EUR 2000000EUR 2500000

Stock dividend futures/forwards

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

Segmentation criterion 1 – underlying share entitling to dividends

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class< EUR 5 m ADNAEUR 25000EUR 400000EUR 450000EUR 5 m ≤ ADNA < EUR 10 mEUR 30000EUR 500000EUR 550000EUR 10 m ≤ ADNA < EUR 20 mEUR 100000EUR 1000000EUR 1500000ADNA ≥ EUR 20 mEUR 150000EUR 2000000EUR 2500000Dividend index options

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

Segmentation criterion 1 – underlying dividend index

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class< EUR 100 m ADNAEUR 25000EUR 1000000EUR 1500000EUR 100 m ≤ ADNA < EUR 200 mEUR 3000000EUR 25000000EUR 30000000EUR 200 m ≤ ADNA < EUR 600 mEUR 5500000EUR 50000000EUR 55000000ADNA ≥ EUR 600 mEUR 20000000EUR 150000000EUR 160000000

Dividend index futures/forwards

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

Segmentation criterion 1 – underlying dividend index

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class< EUR 100 m ADNAEUR 25000EUR 1000000EUR 1500000EUR 100 m ≤ ADNA < EUR 1 bnEUR 550000EUR 5000000EUR 5500000EUR 1 bn ≤ ADNA < EUR 3 bnEUR 5500000EUR 50000000EUR 55000000EUR 3 bn ≤ ADNA < EUR 5 bnEUR 20000000EUR 150000000EUR 160000000ADNA ≥ EUR 5 bnEUR 30000000EUR 250000000EUR 260000000Volatility index options

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

Segmentation criterion 1 – underlying volatility index

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class< EUR 100 m ADNAEUR 25000EUR 1000000EUR 1500000EUR 100 m ≤ ADNA < EUR 200 mEUR 3000000EUR 25000000EUR 30000000EUR 200 m ≤ ADNA < EUR 600 mEUR 5500000EUR 50000000EUR 55000000ADNA ≥ EUR 600 mEUR 20000000EUR 150000000EUR 160000000

Volatility index futures/forwards

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

Segmentation criterion 1 – underlying volatility index

calculation of thresholds should be performed for each sub-class considering the transactions executed on instruments belonging to the sub-class< EUR 100 m ADNAEUR 25000EUR 1000000EUR 1500000EUR 100 m ≤ ADNA < EUR 1 bnEUR 550000EUR 5000000EUR 5500000EUR 1 bn ≤ ADNA < EUR 3 bnEUR 5500000EUR 50000000EUR 55000000EUR 3 bn ≤ ADNA < EUR 5 bnEUR 20000000EUR 150000000EUR 160000000ADNA ≥ EUR 5 bnEUR 30000000EUR 250000000EUR 260000000ETF options

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

Segmentation criterion 1 – underlying ETF

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class< EUR 5 m ADNAEUR 25000EUR 1000000EUR 1250000EUR 5 m ≤ ADNA < EUR 10 mEUR 300000EUR 1250000EUR 1500000EUR 10 m ≤ ADNA < EUR 20 mEUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 20 mEUR 1500000EUR 5000000EUR 5500000

ETF futures/forwards

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

Segmentation criterion 1 – underlying ETF

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class< EUR 5 m ADNAEUR 25000EUR 1000000EUR 1250000EUR 5 m ≤ ADNA < EUR 10 mEUR 300000EUR 1250000EUR 1500000EUR 10 m ≤ ADNA < EUR 20 mEUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 20 mEUR 1500000EUR 5000000EUR 5500000Swaps

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

Segmentation criterion 1 – underlying type: single name, index, basket

Segmentation criterion 2 – underlying single name, index, basket

Segmentation criterion 3 – parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility

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

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-classEUR 50 m ≤ ADNA < EUR 100 mEUR 300000EUR 1250000EUR 1500000EUR 100 m ≤ ADNA < EUR 200 mEUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 200 mEUR 1500000EUR 5000000EUR 5500000Price return basic performance parameterParameter return variance/volatilityParameter return dividendMaturity bucket 1: 0 < time to maturity ≤ 1 monthMaturity bucket 1: 0 < time to maturity ≤ 3 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 year

Maturity 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

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

Segmentation criterion 1 – underlying type: single name, index, basket

Segmentation criterion 2 – underlying single name, index, basket

Segmentation criterion 3 – parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility

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

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

calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-classEUR 50 m ≤ ADNA < EUR 100 mEUR 300000EUR 1250000EUR 1500000EUR 100 m ≤ ADNA < EUR 200 mEUR 550000EUR 2500000EUR 3000000ADNA ≥ EUR 200 mEUR 1500000EUR 5000000EUR 5500000

Table 6.3.

Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market

Asset class – Equity DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid marketLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueSwapsEUR 25000EUR 100000EUR 150000Portfolio SwapsEUR 25000EUR 100000EUR 150000Other equity derivativesEUR 25000EUR 100000EUR 150000

(5) in Section 7 Commodity derivatives, Table 7.2 Commodity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market and Table 7.3 Commodity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market are replaced by the following:

Table 7.2.

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

Asset class – Commodity DerivativesSub-asset classPercentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid marketTransactions to be considered for the calculations of the thresholdsLIS pre-tradeSSTI post-tradeLIS post-tradeTrade – percentileThreshold floorTrade – percentileVolume – percentileThreshold floorTrade – percentileVolume – percentileThreshold floorMetal commodity futures/forwardscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 5000008060EUR 7500009070EUR 1000000

Metal commodity optionscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 5000008060EUR 7500009070EUR 1000000Metal commodity swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 5000008060EUR 7500009070EUR 1000000

Energy commodity futures/forwardscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 5000008060EUR 7500009070EUR 1000000Energy commodity optionscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 5000008060EUR 7500009070EUR 1000000

Energy commodity swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 5000008060EUR 7500009070EUR 1000000Agricultural commodity futures/forwardscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 5000008060EUR 7500009070EUR 1000000

Agricultural commodity optionscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 5000008060EUR 7500009070EUR 1000000Agricultural commodity swapscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 5000008060EUR 7500009070EUR 1000000

Table 7.3.

Commodity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market

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

(6) in Section 8 Foreign exchange derivatives, Table 8.2 Foreign exchange derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market is replaced by the following:

Table 8.2.

Foreign exchange derivatives – pre-trade and pot-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market

Asset class – Foreign Exchange DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid marketLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueNon-deliverable forward (NDF)EUR 5000000EUR 20000000EUR 25000000Deliverable forward (DF)EUR 5000000EUR 20000000EUR 25000000Non-Deliverable FX options (NDO)EUR 5000000EUR 20000000EUR 25000000Deliverable FX options (DO)EUR 5000000EUR 20000000EUR 25000000Non-Deliverable FX swaps (NDS)EUR 5000000EUR 20000000EUR 25000000Deliverable FX swaps (DS)EUR 5000000EUR 20000000EUR 25000000FX futuresEUR 5000000EUR 20000000EUR 25000000Other Foreign Exchange DerivativesEUR 5000000EUR 20000000EUR 25000000

(7) in Section 9 Credit derivatives, Table 9.2 Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market and Table 9.3 Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market are replaced by the following:

Table 9.2.

Credit Derivatives – pre- 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 thresholdsLIS pre-tradeSSTI post-tradeLIS post-tradeTrade – percentileThreshold floorTrade – percentileVolume – percentileThreshold floorTrade – percentileVolume – percentileThreshold floorIndex credit default swap (CDS)calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 75000009070EUR 10000000Single name credit default swap (CDS)calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 75000009070EUR 10000000CDS index optionscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 75000009070EUR 10000000

Single name CDS optionscalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 50000008060EUR 75000009070EUR 10000000

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 marketLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueIndex credit default swap (CDS)EUR 5000000EUR 7500000EUR 10000000Single name credit default swap (CDS)EUR 5000000EUR 7500000EUR 10000000CDS index optionsEUR 5000000EUR 7500000EUR 10000000Single name CDS optionsEUR 5000000EUR 7500000EUR 10000000Other credit derivativesEUR 5000000EUR 7500000EUR 10000000

(8) in Section 10 C10 derivatives, Table 10.2 C10 derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market and Table 10.3 C10 derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market are replaced by the following:

Table 10.2.

C10 derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market

Asset class – C10 DerivativesSub-asset classPercentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid marketTransactions to be considered for the calculations of the thresholdsLIS pre-tradeSSTI post-tradeLIS post-tradeTrade – percentileThreshold floorTrade – percentileVolume – percentileThreshold floorTrade – percentileVolume – percentileThreshold floorFreight derivativescalculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class70EUR 500008060EUR 750009070EUR 100000

Table 10.3.

C10 derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market

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

(9) in Section 11 Financial contracts for differences (CFDs), Table 11.2 CFDs– pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market and Table 11.3 CFDs – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market are replaced by the following:

Table 11.2.

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

Asset class – Financial contracts for differences (CFDs)Sub-asset classPercentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid marketTransactions to be considered for the calculations of the thresholdsLIS pre-tradeSSTI post-tradeLIS post-tradeTrade – percentileThreshold floorTrade – percentileVolume – percentileThreshold floorTrade – percentileVolume – percentileThreshold floorCurrency CFDstransactions executed on currency CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)70EUR 600008060EUR 900009070EUR 100000Commodity CFDstransactions executed on commodity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)70EUR 600008060EUR 900009070EUR 100000Equity CFDstransactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)70EUR 600008060EUR 900009070EUR 100000

Bond CFDstransactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)70EUR 600008060EUR 900009070EUR 100000CFDs on an equity future/forwardtransactions executed on CFDs on future on an equity considered to have a liquid market as per Articles 6 and 8(1)(b)70EUR 600008060EUR 900009070EUR 100000CFDs on an equity optiontransactions executed on CFDs on option on an equity considered to have a liquid market as per Articles 6 and 8(1)(b)70EUR 600008060EUR 900009070EUR 100000

Table 11.3.

CFDs – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market

Asset class – Financial contracts for differences (CFDs)Sub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid marketLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueCurrency CFDsEUR 60000EUR 90000EUR 100000Commodity CFDsEUR 60000EUR 90000EUR 100000Equity CFDsEUR 60000EUR 90000EUR 100000Bond CFDsEUR 60000EUR 90000EUR 100000CFDs on an equity future/forwardEUR 60000EUR 90000EUR 100000CFDs on an equity optionEUR 60000EUR 90000EUR 100000Other CFDs/spread bettingEUR 60000EUR 90000EUR 100000

(10) Section 12 Emission allowances is replaced by the following:

1. Emission allowances

Table 12.1.

Emission allowances – classes not having a liquid market

Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 establishing a scheme for greenhouse gas emission allowance trading within the Community and amending Council Directive 96/61/EC (OJ L 275, 25.10.2003, p. 32, ELI: http://data.europa.eu/eli/dir/2003/87/oj).

Asset class – Emission allowancesFor the purpose of determining the sub-asset classes not having a liquid market as per Article 6a the following methodology shall apply:Sub-asset classLiquidity determination

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 RTS23#37 = EUAE

European Union Allowances (EUA) are considered to have a liquid market

Any other emission allowances

RTS2#3 = EMAL and RTS23#37 <> EUAE

Any other emission allowances are considered not to have a liquid market

Table 12.2.

Emission allowances – pre-trade LIS threshold and post-trade size threshold

Asset class – Emission allowancesSub-asset classPre-trade LISPost-trade size thresholdEuropean Union Allowances (EUA)5000 tons of Carbon Dioxide Equivalent25000 tons of Carbon Dioxide EquivalentAny other emission allowancesAny sizeAny size

(11) in Section 13 Emission allowance derivatives, Table 13.2 Emission allowance derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market and Table 13.3 Emission allowance derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market are replaced by the following:

Table 13.2.

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

Asset class – Emission Allowance DerivativesSub-asset classTransactions to be considered for the calculation of the thresholdsPercentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined to have a liquid marketLIS pre-tradeSSTI post-tradeLIS post-tradeTrade – percentileThreshold floorTrade – percentileThreshold floorTrade – percentileThreshold floorEmission allowance derivatives whose underlying is of the type European Union Allowances (EUA)transactions executed on all emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)7050000 tons of Carbon Dioxide8090000 tons of Carbon Dioxide90100000 tons of Carbon Dioxide

Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)transactions executed on all emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)7025000 tons of Carbon Dioxide8040000 tons of Carbon Dioxide9050000 tons of Carbon DioxideEmission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)transactions executed on all emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)7025000 tons of Carbon Dioxide8040000 tons of Carbon Dioxide9050000 tons of Carbon DioxideEmission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)transactions executed on all emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)7025000 tons of Carbon Dioxide8040000 tons of Carbon Dioxide9050000 tons of Carbon Dioxide

Table 13.3.

Emission allowance derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market

Asset class – Emission Allowance DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined not to have a liquid marketLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueEmission allowance derivatives whose underlying is of the type European Union Allowances (EUA)50000 tons of Carbon Dioxide90000 tons of Carbon Dioxide100000 tons of Carbon DioxideEmission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)25000 tons of Carbon Dioxide40000 tons of Carbon Dioxide50000 tons of Carbon DioxideEmission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)25000 tons of Carbon Dioxide40000 tons of Carbon Dioxide50000 tons of Carbon DioxideEmission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)25000 tons of Carbon Dioxide40000 tons of Carbon Dioxide50000 tons of Carbon DioxideOther Emission allowance derivatives25000 tons of Carbon Dioxide40000 tons of Carbon Dioxide50000 tons of Carbon Dioxide

Annex

ANNEX IV

Annex I to Delegated Regulation (EU) 2017/587 is amended as follows:

(1) in Table 1, the first row is replaced by the following:

RowType of trading systemDescription of the trading systemInformation to be made public1Continuous order book trading systemA system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis.The aggregate number of orders and the shares, depositary receipts, ETFs, certificates and other similar financial instruments that they represent at each price level for at least the five best bid and offer price levels.

(2) the following Tables 1a and 1b are inserted:

Table 1a

Symbol table for Table 1b

SymbolData typeDefinition{ALPHANUM-n}Up to n alphanumerical charactersFree text field.{CURRENCYCODE_3}3 alphanumerical characters3-letter currency code, as specified by ISO 4217 currency codes{DATE_TIME_ FORMAT}ISO 8601 date and time format

Date and time in the following format: YYYY-MM-DDThh:mm:ss.ddddddZ.

YYYY is the year;

MM is the month;

DD is the day;

T – means that the letter T shall be used

hh is the hour;

mm is the minute;

ss.dddddd is the second and its fraction of a second;

Z is UTC time. Dates and times shall be reported in UTC.

{DECIMAL-n/m}Decimal number of up to n digits in total of which up to m digits can be fraction digitsNumerical field for both positive and negative values. – decimal separator is . (full stop); – negative numbers are prefixed with – (minus); Where applicable, values shall be rounded and not truncated.{ISIN}12 alphanumerical charactersISIN code, as specified in ISO 6166{MIC}4 alphanumerical charactersMarket identifier as specified in ISO 10383{LEI}20 alphanumerical charactersLegal entity identifier as specified in ISO 17442

Table 1b

List of details for the purpose of pre-trade transparency

Commission Delegated Regulation (EU) 2025/1155 of 12 June 2025 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards specifying the input and output data of consolidated tapes, the synchronisation of business clocks and the revenue redistribution by the consolidated tape provider for shares and ETFs, and repealing Commission Delegated Regulation (EU) 2017/574 (OJ L, 2025/1155, 3.11.2025, ELI: http://data.europa.eu/eli/reg_del/2025/1155/oj).;

For non-aggregated orders or quotes as referred to in Table 1, the date and time when the order or quote was received for execution, cancelled or modified into the trading system.

For aggregated orders or quotes as referred to in Table 1, the date and time when the aggregated bid price (Field 5) or volume (Field 8) or the aggregated offer price (Field 5) or volume (Field 8) was calculated following the receipt of an order for execution, cancellation, or modification into the trading system, or following an execution.

For periodic auction trading systems as referred to in Table 1, the date and time at which the price would best satisfy the trading algorithm and any modification of the price (Field 5) or quantity (Field 8) thereafter.

The level of granularity shall be in accordance with the requirements set out in Article 12 of Commission Delegated Regulation (EU) 2025/1155.

{DATE_TIME_FORMAT}2Instrument identification codeCode used to identify the financial instrument.{ISIN}3Side

The side of the order or quote.

For periodic auction trading system, this field is not mandatory.

BUYI or SELL4Market MakerFor quote-driven trading system the identification of the market maker.{LEI}5Price

The price of orders and quotes as required under Table 1 and excluding, where applicable, commission and accrued interest.

For periodic auction trading system as referred to in Table 1, the price at which the auction trading system would best satisfy its trading algorithm.

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

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

{DECIMAL-18/13} when the price is expressed as monetary value in the case of equity and equity-like financial instruments

{DECIMAL-11/10} when the price is expressed as percentage or yield in the case of certificates and other equity-like financial instruments

{DECIMAL-18/17} when the price is expressed as percentage, yield or basis points in the case of certificates and other equity-like financial instruments

6Price currencyMajor currency unit in which the price (Field 5) is expressed (applicable where the price is expressed as monetary value).{CURRENCYCODE_3}7Price notationIndication as to whether the price (Field 5) is expressed in monetary value, in percentage or in yield.

MONE – Monetary value in the case of equity and equity-like financial instruments

PERC – Percentage in n the case of certificates and other equity-like financial instruments

YIEL – Yield in the case of certificates and other equity-like financial instruments

BAPO – Basis points in the case of certificates and other equity-like financial instruments

8Quantity

Number of units of the financial instruments attached to the quotes or orders as required under Table 1.

Where the quantity is not traded in units, the nominal or monetary value of the financial instrument shall be provided in the major currency unit.

For periodic auction trading systems as referred to in Table 1, the aggregated quantity attached to the price that would best satisfy the trading algorithm.

{DECIMAL-18/17} in case the quantity is expressed as number of units in the case of equity and equity-like financial instruments

{DECIMAL-18/5} in case the quantity is expressed as monetary or nominal value in the case of certificates and other equity-like financial instruments.

9Quantity currency

Major currency in which the quantity (Field 8) is expressed. The major currency unit shall be provided.

This field shall be populated where the quantity is not traded in units and is expressed as a nominal or monetary value. Otherwise, this field shall be center blank.

{CURRENCYCODE_3}10Aggregated number of orders and quotesThe number of aggregated orders or quotes from members or participants where aggregated information is required under Table 1.{DECIMAL-18/0}11Venue

Identification of the trading venue through the system of which orders and quotes are advertised.

Use the ISO 10383 segment MIC or, where the segment MIC does not exist, the operating MIC.

{MIC}

12Trading systemType of trading system where the order or quote is advertised

CLOB – central limit order book trading systems. A continuous order book trading system as referred to in Table 1 of Annex I, and a trading system combining elements of a continuous order book trading as referred to in Table 1 of Annex I and of a periodic auction trading system as referred to in Table 1 of Annex I.

QDTS – quote driven trading systems as referred to in Table 1 of Annex I.

PATS – periodic auction trading systems as referred to in Table 1 of Annex I.

RFQT – request for quote trading systems as referred to in Table 1 of Annex I.

HYBR – hybrid trading systems as referred to. in Table 1 of Annex I. A trading system combining elements of a continuous order book trading as referred to in Table 1 of Annex I and of a periodic auction trading system as referred to in Table 1 of Annex I shall not be considered a hybrid system but a CLOB.

OTHR – for any other trading system as referred to in Table 1 of Annex I.

13Trading system phaseType of trading system phase where the order or quote is advertised

UDUC – Undefined Auction

SOAU – Scheduled Opening Auction

SCAU – Scheduled Closing Auction

SIAU – Scheduled Intraday Auction

UAUC – Unscheduled Auction

ODAU – On Demand Auction (Frequent Batch Auction)

COTR – Continuous Trading

MACT – At Market Close Trading

OMST – Out of Main Session Trading

OTSP – Other

14Publication date and time

Date and time when the information was published by the trading venue.

The level of granularity shall be in accordance with the requirements set out in Article 12 of Delegated Regulation (EU) 2025/1155.

{DATE_TIME_FORMAT}

(3) Tables 3 and 4 are replaced by the following:

Table 3

List of details for the purpose of post-trade transparency

Field numField identifierDescription and details to be publishedType of execution or publication venueFormat to be populated as specified in Table 21Trading date and time

Date and time when the transaction was executed.

For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 12 of Delegated Regulation (EU) 2025/1155.

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

{DATE_TIME_FORMAT}

2Instrument identification codeCode used to identify the financial instrumentRM, MTF, APA{ISIN}3Price

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

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

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

RM, MTF, APA

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

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

{DECIMAL-18/17} when the price is expressed as basis points in the case of certificates and other equity-like financial instruments

4Missing Price

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

Where the price is not applicable, the value shall be NOAP.

RM, MTF APA

PNDG in case the price is not available

NOAP in case the price is not applicable

5Price currencyMajor currency unit in which the price is expressed (applicable where the price is expressed as monetary value).RM, MTF APA{CURRENCYCODE_3}

6Price notationIndication as to whether the price is expressed in monetary value, in percentage, or in yield.RM, MTF APA

MONE – Monetary value in the case of equity and equity-like financial instruments

PERC – Percentage in the case of certificates and other equity-like financial instruments

YIEL – Yield in the case of certificates and other equity-like financial instruments

BAPO – Basis points in the case of certificates and other equity-like financial instruments

7Quantity

Number of units of the financial instruments.

The nominal or monetary value of the financial instrument.

RM, MTF, APA

{DECIMAL-18/17} in case the quantity is expressed as number of units

{DECIMAL-18/5} in case the quantity is expressed as monetary or nominal value

8Venue of execution

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 on a systematic internaliser. Where the transaction is executed on an organised trading platform outside of the Union, the population of the field Third-country trading venue of execution shall be required, in addition to the MIC code XOFF.

RM, MTF, APA

{MIC} – EU trading venues or

SINT – systematic internaliser

XOFF – otherwise

9Third-country trading venue of execution

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, this field shall not be populated.

APA{MIC}10Trading system

Type of trading system on which the transaction was executed.

Where the field Venue of execution is populated with SINT or XOFF, this field shall not be populated.

RM, MTF

CLOB – central limit order book trading systems. A continuous order book trading system as referred to in Table 1 of Annex I and a trading system combining elements of a continuous order book trading as referred to in Table 1 of Annex I and of a periodic auction trading system as referred to in Table 1 of Annex I.

QDTS – quote driven trading systems as referred to in Table 1 of Annex I.

PATS – periodic auction trading systems as referred to in Table 1 of Annex I.

RFQT – request for quote trading systems as referred to in Table 1 of Annex I.

HYBR – hybrid trading systems as referred to in Table 1 of Annex I. A trading system combining elements of a continuous order book trading as referred to in Table 1 of Annex I and of a periodic auction trading system as referred to in Table 1 of Annex I shall not be considered a hybrid system but a CLOB.

OTHR – for any other trading system as referred to in Table 1 of Annex I.

11Publication date and time

Date and time when the transaction was published by a trading venue or APA.

For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 12 of Delegated Regulation (EU) 2025/1155.

For transactions not executed on a trading venue, the date and time shall be granular to at least the nearest second.

RM, MTF, APA{DATE_TIME_FORMAT}12Venue of PublicationCode used to identify the trading venue or APA publishing the transaction.RM, MTF, APA{MIC}13Transaction identification code

Alphanumerical code assigned by trading venues (pursuant to Article 12 of 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, the transaction identification code 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, APA{ALPHANUM-52}

14Flags

One or multiple fields shall be populated with the applicable flags referred to in Table 4 of Annex Ι.

Where none of the specified circumstances apply, the transaction shall be published without a flag.

Where a combination of flags is possible and reported in one field, the flags shall be reported separated by commas.

RM, MTF, APAAs per Table 4 of Annex I

Table 4

List of flags for the purpose of post-trade transparency

FlagNameType of execution or publication venueDescriptionBENCBenchmark transactions flag

RM, MTF

APA

Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price.NPFTNon-price forming transactions flagRM, MTFNon-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590.PORTPortfolio transactions flag

RM, MTF

APA

Transactions in five or more different financial instruments where those transactions are traded at the same time by the same client and as a single lot against a specific reference price.CONTContingent transactions flag

RM, MTF

APA

Transactions that are contingent on the purchase, sale, creation or redemption of a derivative contract or other financial instrument where all the components of the trade are meant to be executed as a single lot.

SDIVSpecial dividend transaction flag

RM, MTF

APA

Transactions that are either: executed during the ex-dividend period where the dividend or other form of distribution accrues to the buyer instead of the seller; or executed during the cum-dividend period where the dividend or other form of distribution accrues to the seller instead of the buyer.LRGSPost-trade large in scale transaction flag

RM, MTF

APA

Transactions that are large in scale compared with normal market size for which deferred publication is permitted under Article 15.RFPTReference price transaction flagRM, MTFTransactions which are executed under systems operating in accordance with Article 4(1), point (a), of Regulation (EU) No 600/2014.NLIQNegotiated transaction in liquid financial instruments flagRM, MTFTransactions executed in accordance with Article 4(1), point (b)(i), of Regulation (EU) No 600/2014.OILQNegotiated transaction in illiquid financial instruments flagRM, MTFTransactions executed in accordance with Article 4(1), point (b)(ii), of Regulation (EU) No 600/2014.PRICNegotiated transaction subject to conditions other than the current market price flagRM, MTFTransactions executed in accordance with Article 4(1), point (b)(iii), of Regulation (EU) No 600/2014 and as set out in Article 6 of this Regulation.ALGOAlgorithmic transaction flagRM, MTFTransactions executed as a result of an investment firm engaging in algorithmic trading as defined in Article 4(1), point (39), of Directive 2014/65/EU.CANCCancellation flag

RM, MTF

APA

Where a previously published transaction is cancelledAMNDAmendment flag

RM, MTF

APA

Where a previously published transaction is amended

Annex

ANNEX V

Annex II to Delegated Regulation (EU) 2017/587 is amended as follows:

(1) Table 3 is replaced by the following:

Table 3

Standard market sizes for shares and depositary receipts

Average value of transactions (AVT) in EURAVT bucket [0-10000)AVT bucket [10000-12000)AVT bucket [12000-14000)AVT bucket [14000-16000)AVT bucket [16000-18000)AVT bucket [18000-20000)AVT bucket [20000-40000)AVT bucket [40000-60000)Etc.Standard market size500011000130001500017000190003000050000Etc.

(2) the following Table 3a is inserted:

Table 3a

Standard market sizes for ETFs, certificates and other similar financial instruments

Average value of transactions (AVT) in EURAVT bucket [0-10000)AVT bucket [10000-15000)AVT bucket [15000-20000)AVT bucket [20000-25000)AVT bucket [25000-30000)AVT bucket [30000-35000)AVT bucket [35000-40000)AVT bucket [40000-60000)Etc.Standard market size500012500175002250027500325003750050000Etc.