1. "package transaction" means either of the following: (a) a transaction in a derivative contract or other financial instrument contingent on the simultaneous execution of a transaction in an equivalent quantity of an underlying physical asset (Exchange for Physical or EFP); (b) a transaction which involves the execution of two or more component transactions in financial instruments; and: (i) which is executed between two or more counterparties; (ii) where each component of the transaction bears meaningful economic or financial risk related to all the other components; (iii) where the execution of each component is simultaneous and contingent upon the execution of all the other components;
2. "request-for-quote system" means a trading system where the following conditions are met: (a) a quote or quotes by a member or participant are provided in response to a request for a quote submitted by one or more other members or participants; (b) the quote is executable exclusively by the requesting member or participant; (c) the requesting member or market participant may conclude a transaction by accepting the quote or quotes provided to it on request;
3. "voice trading system" means a trading system where transactions between members are arranged through voice negotiation.
Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (Text with EEA relevance. )
Modified by
- Commission Delegated Regulation (EU) 2021/529of 18 December 2020establishing regulatory technical standards amending Delegated Regulation (EU) 2017/583 as regards adjustment of liquidity thresholds and trade percentiles used to determine the size specific to the instrument applicable to certain non-equity instruments(Text with EEA relevance), 32021R0529, March 26, 2021
(a) is intended to be disclosed to the order book operated by the trading venue and is contingent on objective conditions that are defined in advance by the system's protocol; (b) does not interact with other trading interest prior to disclosure to the order book operated by the trading venue; (c) once disclosed to the order book it interacts with other orders in accordance with the rules applicable to orders of that kind at the time of disclosure.
(a) in the case of a reserve order, greater than or equal to EUR 10000 ;(b) for all other orders, a size that is greater than or equal to the minimum tradable quantity set in advance by the system operator under its rules and protocols.
(a) the best available price; (b) a simple average of prices; (c) an average price weighted on the basis of the volume, price, time or the number of actionable indications of interest.
(a) a new trade report that contains all the details of the original trade report and the cancellation flag specified in Table 3 of Annex II; (b) a new trade report that contains all the details of the original trade report with all necessary details corrected and the amendment flag as specified in Table 3 of Annex II.
(a) for the first three years of application of Regulation (EU) No 600/2014, within 15 minutes after the execution of the relevant transaction; (b) thereafter, within 5 minutes after the execution of the relevant transaction.
(a) the transaction is large in scale compared with the normal market size as specified in Article 9; (b) the transaction is in a financial instrument or a class of financial instruments for which there is not a liquid market as specified in accordance with the methodology set out in Article 13; (c) the transaction is executed between an investment firm dealing on own account other than on a matched principal basis as per Article 4(1)(38) of Directive 2014/65/EU of the European Parliament and of the Council Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349 ).(d) the transaction is a package transaction which meets one of the following criteria: (i) one or more of its components are transactions in financial instruments which do not have a liquid market; (ii) one or more of its components are transactions in financial instruments that are large in scale compared with the normal market size as determined by Article 9; (iii) the transaction is executed between an investment firm dealing on own account other than on a matched principal basis as per Article 4(1)(38) of Directive 2014/65/EU and another counterparty, and one or more of its components are transactions in financial instruments that are above the size specific to the instrument as determined by Article 10.
(a) where Article 11(3)(a) of Regulation (EU) No 600/2014 applies, competent authorities shall request the publication of either of the following information during the full period of deferral as set out in Article 8: (i) all the details of a transaction laid down in Tables 1 and 2 of Annex II with the exception of details relating to volume; (ii) transactions in a daily aggregated form for a minimum number of 5 transactions executed on the same day, to be made public the following working day before 9.00 local time;
(b) where Article 11(3)(b) of Regulation (EU) No 600/2014 applies, competent authorities shall allow the omission of the publication of the volume of an individual transaction for an extended time period of four weeks; (c) in respect of non-equity instruments that are not sovereign debt and where Article 11(3)(c) of Regulation (EU) No 600/2014 applies, competent authorities shall allow, for an extended time period of deferral of four weeks, the publication of the aggregation of several transactions executed over the course of one calendar week on the following Tuesday before 9.00 local time; (d) in respect of sovereign debt instruments and where Article 11(3)(d) of Regulation (EU) No 600/2014 applies, competent authorities shall allow, for an indefinite period of time, the publication of the aggregation of several transactions executed over the course of one calendar week on the following Tuesday before 9.00 local time.
(a) in respect of all instruments that are not sovereign debt, the publication of the full details of all individual transactions, on the next working day before 9.00 local time; (b) in respect of sovereign debt instruments where competent authorities decide not to use the options provided for in Article 11(3)(b) and (d) of Regulation (EU) No 600/2014 consecutively, pursuant to the second subparagraph of Article 11(3) of Regulation (EU) No 600/2014, the publication of the full details of all individual transactions on the next working day before 9.00 local time; (c) in respect of sovereign debt instruments, where competent authorities apply the options provided for in Article 11(3)(b) and (d) of Regulation (EU) No 600/2014 consecutively pursuant to the second subparagraph of Article 11(3) of Regulation (EU) No 600/2014, the publication of several transactions executed in the same calendar week in an aggregated form on the Tuesday following the expiry of the extended period of deferral of four weeks counting from the last day of that calendar week before 9.00 local time.
(a) the weighted average price; (b) the total volume traded as referred to in Table 4 of Annex II; (c) the total number of transactions.
(a) transactions listed in Article 2(5) of Commission Delegated Regulation (EU) 2017/590 Commission Delegated Regulation (EU) 2017/590 of 28 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the reporting of transactions to competent authorities (see page 449 of this Official Journal).(b) transactions executed by a management company as defined in Article 2(1)(b) of Directive 2009/65/EC of the European Parliament and of the Council Directive 2009/65/EC of the European Parliment 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 ).Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1 ).(c) "give-up transaction" or "give-in transaction" which is a transaction where an investment firm passes a client trade to, or receives a client trade from, another investment firm for the purpose of post-trade processing; (d) transfers of financial instruments such as collateral in bilateral transactions or in the context of a central counterparty (CCP) margin or collateral requirements or as part of the default management process of a CCP.
(a) Static determination of liquidity for: (i) the asset class of securitised derivatives as defined in Table 4.1 of Annex III; (ii) the following sub-asset classes of equity derivatives: stock index options, stock index futures/forwards, stock options, stock futures/forwards, stock dividend options, stock dividend futures/forwards, dividend index options, dividend index futures/forwards, volatility index options, volatility index futures/forwards, ETF options, ETF futures/forwards and other equity derivatives as defined in Table 6.1 of Annex III; (iii) the asset class of foreign exchange derivatives as defined in Table 8.1 of Annex III; (iv) the sub-asset classes of other interest rate derivatives, other commodity derivatives, other credit derivatives, other C10 derivatives, other contracts for difference (CFDs), other emission allowances and other emission allowance derivatives as defined in Tables 5.1, 7.1, 9.1, 10.1, 11.1, 12.1 and 13.1 of Annex III.
(b) Periodic assessment based on quantitative and, where applicable, qualitative liquidity criteria for: (i) all bond types except ETCs and ETNs as defined in Table 2.1 of Annex III and as further specified in Article 17(1); (ii) ETC and ETN bond types as defined in Table 2.4 of Annex III; (iii) the asset-class of interest rate derivatives except the sub-asset class of other interest rate derivatives as defined in Table 5.1of Annex III; (iv) the following sub-asset classes of equity derivatives: swaps and portfolio swaps as defined in Table 6.1 of Annex III; (v) the asset-class of commodity derivatives except the sub-asset class of other commodity derivatives as defined in Table 7.1 of Annex III; (vi) the following sub-asset classes of credit derivatives: index credit default swaps and single name credit default swaps as defined in Table 9.1 of Annex III; (vii) the asset-class of C10 derivatives except the sub-asset class of other C10 derivatives as defined in Table 10.1 of Annex III; (viii) the following sub-asset classes of contracts for difference (CFDs): currency CFDs and commodity CFDs as defined in Table 11.1 of Annex III; (ix) the asset-class of emission allowances except the sub-asset class of other emission allowances as defined in Table 12.1 of Annex III; (x) the asset-class of emission allowance derivatives except the sub-asset class of other emission allowance derivatives as defined in Table 13.1 of Annex III.
(c) Periodic assessment based on qualitative liquidity criteria for: (i) the following sub-asset classes of credit derivatives: CDS index options and single name CDS options as defined in Table 9.1 of Annex III; (ii) the following sub-asset classes of contracts for difference (CFDs): equity CFDs, bond CFDs, CFDs on an equity future/forward and CFDs on an equity option as defined in Table 11.1 of Annex III.
(d) Periodic assessment based on a two tests methodology for structured finance products as defined in Table 3.1 of Annex III.
(a) the threshold value for: (i) ETC and ETN bond types as defined in Table 2.5 of Annex III; (ii) the asset class of securitised derivatives as defined in Table 4.2 of Annex III; (iii) each sub-class of equity derivatives as defined in Tables 6.2 and 6.3 of Annex III; (iv) each sub-class of foreign exchange derivatives as defined in Table 8.2 of Annex III; (v) each sub-class considered not to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and contracts for difference (CFDs) as defined in Tables 5.3, 7.3, 9.3, 10.3 and 11.3 of Annex III; (vi) each sub-asset class considered not to have a liquid market for the asset classes of emission allowances and emission allowance derivatives as defined in Tables 12.3 and 13.3 of Annex III; (vii) each structured finance product where Test-1 under paragraph 1(d) is not passed as defined in Table 3.2 of Annex III; (viii) each structured finance product considered not to have a liquid market where only Test-1 under paragraph 1(d) is passed as defined in Table 3.3 of Annex III.
(b) the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile as further specified in Article 17(3) and the threshold floor for: (i) each bond type, except ETCs and ETNs, as defined in Table 2.3 of Annex III; (ii) each sub-class having a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and CFDs as defined in Tables 5.2, 7.2, 9.2, 10.2 and 11.2 of Annex III; (iii) each sub-asset class having a liquid market for the asset classes of emission allowances and emission allowance derivatives as defined in Tables 12.2 and 13.2 of Annex III; (iv) each structured finance product considered to have a liquid market where Test-1 and Test-2 under paragraph 1(d) are passed as defined in Table 3.3 of Annex III.
(a) the threshold value for: (i) ETC and ETN bond types as defined in Table 2.5 of Annex III; (ii) the asset class of securitised derivatives as defined in Table 4.2 of Annex III; (iii) each sub-class of equity derivatives as defined in Tables 6.2 and 6.3 of Annex III; (iv) each sub-class of foreign exchange derivatives as defined in Table 8.2 of Annex III; (v) each sub-class considered not to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and contracts for difference (CFDs) as defined in Tables 5.3, 7.3, 9.3, 10.3 and 11.3 of Annex III; (vi) each sub-asset class considered not to have a liquid market for the asset class of emission allowances and emission allowance derivatives as defined in Tables 12.3 and 13.3 of Annex III; (vii) each structured finance product where Test-1 under paragraph 1(d) is not passed as defined in Table 3.2 of Annex III; (viii) each structured finance product considered not to have a liquid market where only Test-1 under paragraph 1(d) is passed as defined in Table 3.3 of Annex III.
(b) the trade size below which lies the percentage of the transactions corresponding to the trade percentile for each bond type, except ETCs and ETNs, as defined in Table 2.3 of Annex III; (c) the greatest of the trade size below which lies the percentage of the transactions corresponding to the trade percentile, the trade size below which lies the percentage of volume corresponding to the volume percentile and the threshold floor for each sub-class considered to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and CFDs as provided in Tables 5.2, 7.2, 9.2, 10.2 and 11.2 of Annex III; (d) the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor for: (i) each sub-asset class considered to have a liquid market for the asset classes of emission allowances and emission allowance derivatives as provided in Tables 12.2 and 13.2 of Annex III; (ii) each structured finance product considered to have a liquid market where the Test-1 and Test-2 under paragraph 1(d) are passed as defined in Table 3.3 of Annex III.
(a) the financial instruments and classes of financial instruments not having a liquid market as set out in paragraph 1; (b) the sizes large in scale compared to normal market size and the size specific to the instrument as set out in paragraphs 2 and 3.
(a) EUR 100000 for all bond types except ETCs and ETNs;(b) the threshold values defined in paragraph 2(a) and paragraph 3(a) for all financial instruments not covered in point (a) of this paragraph.
(a) 100000 where the threshold value is smaller than 1 million;(b) 500000 where the threshold value is equal to or greater than 1 million but smaller than 10 million;(c) 5 million where the threshold value is equal to or greater than 10 million but smaller than 100 million; (d) 25 million where the threshold value is equal to or greater than 100 million.
(a) the transaction is carried out for the purposes of monetary policy, including an operation carried out in accordance with Articles 18 and 20 of the Statute of the European System of Central Banks and of the European Central Bank annexed to the Treaty on European Union or an operation carried out under equivalent national provisions for members of the ESCB in Member States whose currency is not the euro; (b) the transaction is a foreign-exchange operation, including operations carried out to hold or manage official foreign reserves of the Member States or the reserve management service provided by a member of the ESCB to central banks in other countries to which the exemption has been extended in accordance with Article 1(9) of Regulation (EU) No 600/2014; (c) the transaction is carried out for the purposes of financial stability policy.
(a) transactions entered into for the management of its own funds; (b) transactions entered into for administrative purposes or for the staff of the member of the ESCB which include transactions conducted in the capacity as administrator of a pension scheme for its staff; (c) transactions entered into for its investment portfolio pursuant to obligations under national law.
(a) the issuance size exceeds EUR 1000000000 during stages S1 and S2, as determined in accordance with paragraph 6;(b) the issuance size exceeds EUR 500000000 during stages S3 and S4, as determined in accordance with paragraph 6.
(a) the evolution of trading volumes in non-equity instruments covered by the pre-trade transparency obligations pursuant to Article 8 and 9 of Regulation (EU) No 600/2014; (b) the impact on liquidity providers of the percentile thresholds used to determine the size specific to the financial instrument; and (c) any other relevant factors.
(a) S2 (10 daily trades) by 30 July of the year following the date of application of Regulation (EU) No 600/2014; (b) S3 (7 daily trades) by 30 July of the year thereafter; and (c) S4 (2 daily trades) by 30 July of the year thereafter.
(a) S2 (40th percentile) by 30 July of the year following the date of application of Regulation (EU) No 600/2014; (b) S3 (50th percentile) by 30 July of the year thereafter; and (c) S4 (60th percentile) by 30 July of the year thereafter.
(a) the calculations shall be based on a six-month reference period commencing 18 months prior to the date of application of Regulation (EU) No 600/2014; (b) the results of the calculations contained in the first publication shall be used until the results of the first regular calculations set out in Article 13(17) apply.
| Type of system | Description of system | Information to be made public |
|---|---|---|
| Continuous auction order book trading system | A system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis. | For each financial instrument, the aggregate number of orders and the volume they represent at each price level, for at least the five best bid and offer price levels. |
| Quote-driven trading system | A system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself. | |
| Periodic auction trading system | A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention. | For each financial instrument, the price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system. |
| Request-for-quote trading system | A trading system where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request. | The quotes and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable. |
| Voice trading system | A trading system where transactions between members are arranged through voice negotiation. | The bids and offers and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules |
| Trading system not covered by first 5 rows | A hybrid system falling into two or more of the first five rows or a system where the price determination process is of a different nature than that applicable to the types of system covered by first five rows. | Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit. |
| SYMBOL | DATA TYPE | DEFINITION |
|---|---|---|
| {ALPHANUM-n} | Up to n alphanumerical characters | Free text field. |
| {CURRENCYCODE_3} | 3 alphanumerical characters | 3 letter currency code, as defined by ISO 4217 currency codes |
| {DATE_TIME_FORMAT} | ISO 8601 date and time format |
|
| {DECIMAL-n/m} | Decimal number of up to n digits in total of which up to m digits can be fraction digits |
|
| {ISIN} | 12 alphanumerical characters | ISIN code, as defined in ISO 6166 |
| {MIC} | 4 alphanumerical characters | Market identifier as defined in ISO 10383 |
| Details | Financial instruments | Description/Details to be published | Type of execution/publication venue | Format to be populated as defined in Table 1 |
|---|---|---|---|---|
| Trading date and time | For all financial instruments | {DATE_TIME_FORMAT} | ||
| Instrument identification code type | For all financial instruments | Code type used to identify the financial instrument | ||
| Instrument identification code | For all financial instruments | Code used to identify the financial instrument | ||
| Price | For all financial instruments | |||
| Venue of execution | For all financial instruments | |||
| Price notation | For all financial instruments | Indication as to whether the price is expressed in monetary value, in percentage or in yield | ||
| Price Currency | For all financial instruments | Currency in which the price is expressed (applicable if the price is expressed as monetary value) | {CURRENCYCODE_3} | |
| Notation of the quantity in measurement unit | For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. | Indication of measurement units in which the quantity in measurement unit is expressed | ||
| Quantity in measurement unit | For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. | The equivalent amount of commodity or emission allowance traded expressed in measurement unit | {DECIMAL-18/17} | |
| Quantity | For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. | The number of units of the financial instrument, or the number of derivative contracts in the transaction. | {DECIMAL-18/17} | |
| Notional amount | For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. | {DECIMAL-18/5} | ||
| Notional currency | For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of the Regulation. | Currency in which the notional is denominated | {CURRENCYCODE_3} | |
| Type | For emission allowances and emission allowance derivatives only | This field is only applicable for emission allowances and emission allowance derivatives. | ||
| Publication Date and Time | For all financial instruments | {DATE_TIME_FORMAT} | ||
| Venue of publication | For all financial instruments | Code used to identify the trading venue and APA publishing the transaction. | CTP | |
| Transaction Identification Code | For all financial instruments | {ALPHANUMERICAL-52} | ||
| Transaction to be cleared | For derivatives | Code to identify whether the transaction will be cleared. |
| Flag | Name of Flag | Type of execution/publication venue | Description | |
|---|---|---|---|---|
| "BENC" | Benchmark transaction flag | All kinds of volume weighted average price transactions and all other trades where the price is calculated over multiple time instances according to a given benchmark. | ||
| "ACTX" | Agency cross transaction flag | Transactions where an investment firm has brought together two clients' orders with the purchase and the sale conducted as one transaction and involving the same volume and price. | ||
| "NPFT" | Non-price forming transaction flag | All types of transactions listed under Article 12 of this Regulation and which do not contribute to the price formation. | ||
| "LRGS" | Post-trade LIS transaction flag | Transactions executed under the post-trade large in scale deferral. | ||
| "ILQD" | Illiquid instrument transaction flag | Transactions executed under the deferral for instruments for which there is not a liquid market. | ||
| "SIZE" | Post-trade SSTI transaction flag | Transactions executed under the post-trade size specific to the instrument deferral. | ||
| "TPAC" | Package transaction flag | Package transactions which are not exchange for physicals as defined in Article 1. | ||
| "XFPH" | Exchange for physicals transaction flag | Exchange for physicals as defined in Article 1 | ||
| "CANC" | Cancellation flag | When a previously published transaction is cancelled. | ||
| "AMND" | Amendment flag | When a previously published transaction is amended. | ||
| Article 11(1)(a)(i). | "LMTF" | Limited details flag | First report with publication of limited details in accordance with Article 11(1)(a)(i). | |
| "FULF" | Full details flag | Transaction for which limited details have been previously published in accordance with Article 11(1)(a)(i). | ||
| Article 11(1)(a)(ii). | "DATF" | Daily aggregated transaction flag | Publication of daily aggregated transaction in accordance with Article 11(1)(a)(ii). | |
| "FULA" | Full details flag | Individual transactions for which aggregated details have been previously published in accordance with Article 11(1)(a)(ii). | ||
| Article 11(1)(b) | "VOLO" | Volume omission flag | Transaction for which limited details are published in accordance with Article 11(1)(b). | |
| "FULV" | Full details flag | Transaction for which limited details have been previously published in accordance with Article 11(1)(b) | ||
| Article 11(1)(c) | "FWAF" | Four weeks aggregation flag | Publication of aggregated transactions in accordance with Article 11(1)(c). | |
| "FULJ" | Full details flag | Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1)(c). | ||
| Article 11(1)(d) | "IDAF" | Indefinite aggregation flag | Transactions for which the publication of several transactions in aggregated form for an indefinite period of time has been allowed in accordance with Article 11(1)(d). | |
| Consecutive use of Article 11(1)(b) and Article 11(2)(c) for sovereign debt instruments | "VOLW" | Volume omission flag | Transaction for which limited are published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time will be consecutively allowed in accordance with Article 11(2)(c). | |
| "COAF" | Consecutive aggregation flag (post volume omission for sovereign debt instruments) | Transactions for which limited details have been previously published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time has consecutively been allowed in accordance with Article 11(2)(c). |
| Type of instrument | Volume |
|---|---|
| All bonds except ETCs and ETNs and structured finance products | Total nominal value of debt instruments traded |
| ETCs and ETNs bond types | Number of units traded |
| Securitised derivatives | Number of units traded |
| Interest rate derivatives | Notional amount of traded contracts |
| Foreign Exchange Derivatives | Notional amount of traded contracts |
| Equity derivatives | Notional amount of traded contracts |
| Commodity derivatives | Notional amount of traded contracts |
| Credit derivatives | Notional amount of traded contracts |
| Contract for differences | Notional amount of traded contracts |
| C10 derivatives | Notional amount of traded contracts |
| Emission allowance derivatives | Tons of Carbon Dioxide equivalent |
| Emission allowances | Tons of Carbon Dioxide equivalent |
1. A reference to an "asset class" means a reference to the following classes of financial instruments: bonds, structured finance products, securitised derivatives, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives, C10 derivatives, CFDs, emission allowances and emission allowance derivatives. 2. A reference to a "sub-asset class" means a reference to an asset class segmented to a more granular level on the basis of the contract type and/or the type of underlying. 3. A reference to a "sub-class" means a reference to a sub-asset class segmented to a more granular level on basis of further qualitative segmentation criteria as set out in Tables 2.1 to 13.3 of this Annex. 4. "Average daily turnover (ADT)" means the total turnover for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading. 5. "Average daily notional amount (ADNA)" means the total notional amount for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for all the other financial instruments, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading. 6. "Percentage of days traded over the period considered" means the number of days in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for structured finance products, on which at least one transaction has been executed for that financial instrument, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading. 7. "Average daily number of trades" means the total number of transactions executed for a particular financial instrument in the period set out in Article 13(18) for all bonds except ETCs and ETN and in Article 13(7) all the other financial instruments, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading. 8. "Future" means a contract to buy or sell a commodity or financial instrument in a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller. Every futures contract has standard terms that dictate the minimum quantity and quality that can be bought or sold, the smallest amount by which the price may change, delivery procedures, maturity date and other characteristics related to the contract. 9. "Option" means a contract that gives the owner the right, but not the obligation, to buy (call) or sell (put) a specific financial instrument or commodity at a predetermined price, strike or exercise price, at or up to a certain future date or exercise date. 10. "Swap" means a contract in which two parties agree to exchange cash flows in one financial instrument for those of another financial instrument at a certain future date. 11. "Portfolio Swap" means a contract by which end-users can trade multiple swaps. 12. "Forward" or "Forward agreement" means a private agreement between two parties to buy or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller. 13. "Swaption" means a contract that gives the owner the right, but not the obligation, to enter a swap at or up to a certain future date or exercise date. 14. "Future on a swap" means a future contract that gives the owner the obligation, to enter a swap at or up to a certain future date. 15. "Forward on a swap" means a forward contract that gives the owner the obligation, to enter a swap at or up to a certain future date.
| Asset class — Bonds (all bond types except ETCs and ETNs) | |||||
|---|---|---|---|---|---|
| EUR | S1 | S2 | S3 | S4 | 80 % |
| 15 | 10 | 7 | 2 | ||
| 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. | |||||
| Sovereign Bond |
| smaller than (in EUR) | |||
| Other Public Bond |
| smaller than (in EUR) | |||
| Convertible Bond | means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity | smaller than (in EUR) | |||
| Covered Bond | means bonds as referred to in Article 52(4) of Directive 2009/65/EC | during stages S1 and S2 | during stages S3 and S4 | ||
| smaller than (in EUR) | smaller than (in EUR) | ||||
| Corporate Bond | means a bond that is issued by a Societas Europaea established in accordance with Council Regulation (EC) No 2157/2001 | during stages S1 and S2 | during stages S3 and S4 | ||
| smaller than (in EUR) | smaller than (in EUR) | ||||
| Other Bond | A bond that does not belong to any of the above bond types is considered not to have a liquid market | ||||
| Asset class — Bonds (all bond types except ETCs and ETNs) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Sovereign Bond | transactions executed on Sovereign Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 90 |
| 30 | 40 | 50 | 60 | |||||||
| Other Public Bond | transactions executed on Other Public Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 90 |
| 30 | 40 | 50 | 60 | |||||||
| Convertible Bond | transactions executed on Convertible Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 90 |
| 30 | 40 | 50 | 60 | |||||||
| Covered Bond | transactions executed on Covered Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 90 |
| 30 | 40 | 40 | 40 | |||||||
| Corporate Bond | transactions executed on Corporate Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 90 |
| 30 | 40 | 50 | 60 | |||||||
| Other Bonds | transactions executed on Other Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 90 |
| 30 | 40 | 50 | 60 | |||||||
| Asset class — Bonds (ETC and ETN bond types) | ||
|---|---|---|
| EUR | 10 | |
| EUR | 10 | |
| Asset class — Bonds (ETC and ETN bond types) | ||||
|---|---|---|---|---|
| ETCs | EUR | EUR | EUR | EUR |
| ETNs | EUR | EUR | EUR | EUR |
| ETCs | EUR | EUR | EUR | EUR |
| ETNs | EUR | EUR | EUR | EUR |
| 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 Articles 6 and 8(1)(b) | ||
| Transactions executed in all SFPs | EUR | 500 |
| If the values related to the quantitative liquidity criteria are both above the quantitative liquidity thresholds set for the purpose of the SFPs asset-class assessment, then Test 1 is passed and Test-2 shall be performed. Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria | ||
| EUR | 2 | 80 % |
| Asset class — Structured Finance Products (SFPs) | |||
|---|---|---|---|
| EUR | EUR | EUR | EUR |
| Asset class — Structured Finance Products (SFPs) | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Transactions executed in all SFPs determined to have a liquid market | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | EUR | 90 | EUR |
| 30 | 40 | 50 | 60 | ||||||||
| Pre-trade and post-trade SSTI and LIS thresholds for SFPs determined not to have a liquid market if Test 1 is passed | |||
|---|---|---|---|
| EUR | EUR | EUR | EUR |
(a) plain vanilla covered warrants means securities giving the holder the right, but not the obligation, to purchase (sell), at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, the payment of the positive difference between the current market price (the strike price) and the strike price (the current market price); (b) leverage certificates means certificates that track the performance of the underlying asset with leverage effect; (c) exotic covered warrants means covered warrants whose main component is a combination of options; (d) negotiable rights; (e) investment certificates means certificates that track the performance of the underlying asset without leverage effect.
| Asset class — Securitised Derivatives | |||
|---|---|---|---|
| EUR | EUR | EUR | EUR |
| Asset class — Interest Rate Derivatives | ||||
|---|---|---|---|---|
| any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan. | ||||
| EUR | 10 | whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month | |
| EUR | 10 | ||
| EUR | 10 | whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month | |
| EUR | 10 | ||
| EUR | 10 | ||
| ||||
| EUR | 10 | ||
| EUR | 10 | ||
| EUR | 10 | ||
| EUR | 10 | ||
| EUR | 10 | ||
| EUR | 10 | ||
| EUR | 10 | ||
| EUR | 10 | ||
| EUR | 10 | ||
| EUR | 10 | ||
| Asset class — Interest Rate Derivatives | ||||
| an interest rate derivative that does not belong to any of the above sub-asset classes | any other interest rate derivative is considered not to have a liquid market | |||
| Asset class — Interest Rate Derivatives | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| Asset class — Interest Rate Derivatives | ||||
|---|---|---|---|---|
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| Asset class — Equity Derivatives | |||||
|---|---|---|---|---|---|
| |||||
| all index options are considered to have a liquid market | |||||
| all index futures/forwards are considered to have a liquid market | |||||
| all stock options are considered to have a liquid market | |||||
| all stock futures/forwards are considered to have a liquid market | |||||
| all stock dividend options are considered to have a liquid market | |||||
| all stock dividend futures/forwards are considered to have a liquid market | |||||
| all dividend index options are considered to have a liquid market | |||||
| all dividend index futures/forwards are considered to have a liquid market | |||||
| all volatility index options are considered to have a liquid market | |||||
| all volatility index futures/forwards are considered to have a liquid market | |||||
| all ETF options are considered to have a liquid market | |||||
| all ETF futures/forwards are considered to have a liquid market | |||||
| Asset class — Equity Derivatives | |||||
| Swaps |
| EUR | 15 | ||
| Price return basic performance parameter | Parameter return variance/volatility | Parameter return dividend | |||
| … | |||||
| … | |||||
| … | |||||
| EUR | 15 | |||
| Asset class — Equity Derivatives | |||||
| an equity derivative that does not belong to any of the above sub-asset classes | any other equity derivative is considered not to have a liquid market | ||||
| Asset class — Equity Derivatives | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | |||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | ||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| … | |||||||||
| … | |||||||||
| … | |||||||||
| calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR | EUR | EUR | EUR | ||||
| EUR | EUR | EUR | EUR | ||||||
| EUR | EUR | EUR | EUR | ||||||
| … | |||||||||
| Asset class — Equity Derivatives | ||||
|---|---|---|---|---|
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| Asset class — Commodity Derivatives | |||||
|---|---|---|---|---|---|
| EUR | 10 | |||
| … | |||||
| … | |||||
| EUR | 10 | |||
| … | |||||
| … | |||||
| EUR | 10 | |||
| … | |||||
| … | |||||
| EUR | 10 | |||
| … | … | ||||
| … | |||||
| EUR | 10 | |||
| … | … | ||||
| … | |||||
| EUR | 10 | |||
| … | … | ||||
| … | |||||
| EUR | 10 | |||
| EUR | 10 | |||
| EUR | 10 | |||
| a commodity derivative that does not belong to any of the above sub-asset classes | any other commodity derivative is considered not to have a liquid market | ||||
| Asset class — Commodity Derivatives | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| Asset class — Commodity Derivatives | ||||
|---|---|---|---|---|
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| Asset class — Foreign Exchange Derivatives | |||
|---|---|---|---|
| a financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EU | |||
| Non-deliverable forward (NDF) are considered not to have a liquid market | ||
| Deliverable forward (DF) are considered not to have a liquid market | ||
| Non-Deliverable FX options (NDO) are considered not to have a liquid market | ||
| Deliverable FX options (DO) are considered not to have a liquid market | ||
| Non-Deliverable FX swaps (NDS) are considered not to have a liquid market | ||
| Deliverable FX swaps (DS) are considered not to have a liquid market | ||
| FX futures are considered not to have a liquid market | ||
| Asset class — Foreign Exchange Derivatives | |||
| an FX derivative that does not belong to any of the above sub-asset classes | any other FX derivative is considered not to have a liquid market | ||
| Asset class — Foreign Exchange Derivatives | ||||
|---|---|---|---|---|
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| Asset class — Credit Derivatives | ||||
|---|---|---|---|---|
| EUR | 10 |
| |
| EUR | 10 | ||
| Asset class — Credit Derivatives | ||||
| ||||
| ||||
| Asset class — Credit Derivatives | ||||
| a credit derivative that does not belong to any of the above sub-asset classes | any other credit derivatives is considered not to have a liquid market | |||
| Asset class — Credit Derivatives | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| Asset class — Credit Derivatives | ||||
|---|---|---|---|---|
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| Asset class — C10 Derivatives | |||
|---|---|---|---|
| EUR | 10 | |
| Asset class — 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 | ||
| Asset class — C10 Derivatives | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| Asset class — C10 Derivatives | ||||
|---|---|---|---|---|
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| Asset class — Financial contracts for differences (CFDs) | ||||
|---|---|---|---|---|
| a derivative contract that gives the holder an exposure, which can be long or short, to the difference between the price of an underlying asset at the start of the contract and the price when the contract is closed | ||||
| Qualitative liquidity criterion | ||||
| 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 | EUR | 100 | ||
| a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract | EUR | 100 | ||
| an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract | 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 | |||
| a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract | 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). | |||
| 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 | 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). | |||
| a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract | 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) | ||||
| a CFD/spread betting that does not belong to any of the above sub-asset classes | any other CFD/spread betting is considered not to have a liquid market | |||
| Asset class — Financial contracts for differences (CFDs) | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| transactions executed on currency CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| transactions executed on commodity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| transactions executed on bond CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| transactions executed on CFDs on future on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| transactions executed on CFDs on option on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) | S1 | S2 | S3 | S4 | EUR | 70 | EUR | 80 | 60 | EUR | 90 | 70 | EUR | |
| 30 | 40 | 50 | 60 | |||||||||||
| Asset class — Financial contracts for differences (CFDs) | ||||
|---|---|---|---|---|
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| EUR | EUR | EUR | EUR | |
| Asset class — Emission Allowances | ||
|---|---|---|
| 5 | ||
| 5 | ||
| 5 | ||
| 5 | ||
| Asset class — Emission Allowances | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| transactions executed on all European Union Allowances (EUA) | S1 | S2 | S3 | S4 | 70 | 80 | 90 | |||||
| 30 | 40 | 50 | 60 | |||||||||
| transactions executed on all European Union Aviation Allowance (EUAA) | S1 | S2 | S3 | S4 | 70 | 80 | 90 | |||||
| 30 | 40 | 50 | 60 | |||||||||
| transactions executed on all Certified Emission Reductions (CER) | S1 | S2 | S3 | S4 | 70 | 80 | 90 | |||||
| 30 | 40 | 50 | 60 | |||||||||
| transactions executed on all Emission Reduction Units (ERU) | S1 | S2 | S3 | S4 | 70 | 80 | 90 | |||||
| 30 | 40 | 50 | 60 | |||||||||
| Asset class — Emission Allowances | ||||
|---|---|---|---|---|
| Asset class — Emission Allowance Derivatives | ||
|---|---|---|
| 5 | ||
| 5 | ||
| 5 | ||
| 5 | ||
| Asset class — Emission Allowance Derivatives | ||
| an emission allowance derivative whose underlying is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU) | any other emission allowance derivative is considered not to have a liquid market | |
| Asset class — Emission Allowance Derivatives | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| transactions executed on all emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) | S1 | S2 | S3 | S4 | 70 | 80 | 90 | |||||
| 30 | 40 | 50 | 60 | |||||||||
| transactions executed on all emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) | S1 | S2 | S3 | S4 | 70 | 80 | 90 | |||||
| 30 | 40 | 50 | 60 | |||||||||
| transactions executed on all emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) | S1 | S2 | S3 | S4 | 70 | 80 | 90 | |||||
| 30 | 40 | 50 | 60 | |||||||||
| transactions executed on all emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) | S1 | S2 | S3 | S4 | 70 | 80 | 90 | |||||
| 30 | 40 | 50 | 60 | |||||||||
| Asset class — Emission Allowance Derivatives | ||||
|---|---|---|---|---|
| SYMBOL | DATA TYPE | DEFINITION |
|---|---|---|
| {ALPHANUM-n} | Up to n alphanumerical characters | Free text field. |
| {DECIMAL-n/m} | Decimal number of up to n digits in total of which up to m digits can be fraction digits |
|
| {COUNTRYCODE_2} | 2 alphanumerical characters | 2 letter country code, as defined by ISO 3166-1 alpha-2 country code |
| {CURRENCYCODE_3} | 3 alphanumerical characters | 3 letter currency code, as defined by ISO 4217 currency codes |
| {DATEFORMAT} | ISO 8601 date format | |
| {ISIN} | 12 alphanumerical characters | ISIN code, as defined in ISO 6166 |
| {LEI} | 20 alphanumerical characters | Legal entity identifier as defined in ISO 17442 |
| {MIC} | 4 alphanumerical characters | Market identifier as defined in ISO 10383 |
| {INDEX} | 4 alphabetic characters |
| # | FIELD | DETAILS TO BE REPORTED | FORMAT FOR REPORTING |
|---|---|---|---|
| 1 | Instrument identification code | Code used to identify the financial instrument | {ISIN} |
| 2 | Instrument full name | Full name of the financial instrument | {ALPHANUM-350} |
| 3 | MiFIR identifier |
|
|
| 4 | Asset class of the underlying | To be populated when the MiFIR identifier is a securitised derivative or a derivative. | |
| 5 | Contract type | To be populated when the MiFIR identifier is a derivative. | |
| 6 | Reporting day | Day for which the reference data is provided | {DATEFORMAT} |
| 7 | Trading venue | Segment MIC for the trading venue, where available, otherwise operational MIC. | {MIC} |
| 8 | Maturity | 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} |
| 9 | Bond type | Bond type as specified in Table 2.2 of Section 2 of Annex III. To be populated only when the MiFIR identifier is equal to bonds. | |
| 10 | Issuance date | Date on which a bond is issued and begins to accrue interest. | {DATEFORMAT} |
| 11 | Emissions Allowances sub type | Emissions Allowances | |
| 12 | Specification of the size related to the freight sub-type | To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight. | {ALPHANUM-25} |
| 13 | Specific route or time charter average | To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight. | {ALPHANUM-25} |
| 14 | Delivery/cash settlement location | To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to energy. | {ALPHANUM-25} |
| 15 | Notional currency | Currency in which the notional is denominated. | {CURRENCYCODE_3} |
| 16 | Underlying type | ||
| 17 | Issuer of the underlying bond | To be populated when the underlying type is a bond or a bond future with the legal entity identifier code (LEI) of the issuer of the direct or ultimate underlying bond. | {LEI} |
| 18 | Maturity date of the underlying bond | {DATEFORMAT} | |
| 19 | Issuance date of the underlying bond | To be populated with the issuance date of the underlying bond | {DATEFORMAT} |
| 20 | Notional currency of the swaption | To be populated for swaptions. | {CURRENCYCODE_3} |
| 21 | Maturity of the underlying swap | To be populated for swaptions, futures on swaps and forwards on a swap only. | {DATEFORMAT} |
| 22 | Inflation index ISIN code | 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. | {ISIN} |
| 23 | Inflation index name | To be populated with standardised name of the index in case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap. | {ALPHANUM-25} |
| 24 | Reference rate | Name of the reference rate. | |
| 25 | IR Term of contract | This field states the term of the contract. The term shall be expressed in days, weeks, months or years. | |
| 26 | Contract sub-type | To be populated so as to differentiate deliverable and non-deliverable forwards, options and swaps as defined in Table 8.1 of Section 8 of Annex III. | |
| 27 | Underlying type | To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is neither swaps nor portfolio swaps. | |
| 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. | |||
| 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. | |||
| To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a basket. | "BSKT" — Basket | ||
| 28 | Parameter | To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is one of the following: swaps, portfolio swaps. | |
| 29 | Underlying type | To be populated when the MiFIR identifier is a derivative and the contract type is equal to contract for difference or spread betting. | |
| 30 | Notional currency 1 | Currency 1 of the underlying currency pair. This field is applicable when the underlying type is currency. | {CURRENCYCODE_3} |
| 31 | Notional currency 2 | Currency 2 of the underlying currency pair. This field is applicable when the underlying type is currency. | {CURRENCYCODE_3} |
| 32 | ISIN code of the underlying credit default swap | To be populated for derivatives on a credit default swaps with the ISIN code of the underlying swap. | {ISIN} |
| 33 | Underlying Index code | To be populated for derivatives on a CDS index with the ISIN code of the index. | {ISIN} |
| 34 | Underlying Index name | To be populated for derivatives on a CDS index with the standardised name of the index. | {ALPHANUM-25} |
| 35 | Series | {DECIMAL-18/17} | |
| 36 | Version | {DECIMAL-18/17} | |
| 37 | Roll months | "01", "02", "03", "04", "05", "06", "07", "08", "09", "10", "11", "12" | |
| 38 | Next roll date | To be populated in the case of a CDS Index or a derivative on a CDS Index with the next roll date of the index as established by the index provider. | {DATEFORMAT} |
| 39 | Issuer of sovereign and public type | To be populated when the reference entity of a single name CDS or a derivative on single name CDS is a sovereign issuer as defined in Table 9.1 Section 9 of Annex III. | |
| 40 | Reference obligation | To be populated for a derivative on a single name credit default swap with the ISIN of the reference obligation. | {ISIN} |
| 41 | Reference entity | To be populated with the reference entity of a single name CDS or a derivative on single name CDS. | |
| 42 | Notional currency | Currency in which the notional is denominated. | {CURRENCYCODE_3} |
| 43 | Emission Allowances derivative sub type | To be populated when variable #3 "MiFIR identifier" is "DERV"-derivative and variable #4 "asset class of the underlying" is "EMAL"-emission allowances. |