(1) in Article 4, the following paragraph 4 is added: "4. For the purposes of paragraph 2, point (a), the size of orders held in an order management facility shall be measured by the notional amount of the traded contracts as referred to in Annex II, table 2, field 10."; (2) Article 12 is replaced by the following: "Article 12 Application of post-trade transparency to certain transactions executed outside a trading venue (Article 21(1) of Regulation (EU) No 600/2014) The obligations set out in Article 21(1) of Regulation (EU) No 600/2014 shall not apply to 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 (OJ L 87, 31.3.2017, p. 449 ).";----------------------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 (OJ L 87, 31.3.2017, p. 449 ).";(3) Article 13 is amended as follows: (a) in paragraph 5, the following subparagraph is added: "The data referred to in the first subparagraph shall be collected in accordance with Annex V."; (b) paragraphs 17 and 18 are replaced by the following: "17. Competent authorities shall ensure the publication of the results of the calculations referred to under paragraph 5 for each financial instrument and class of financial instrument by 30 April of the year following the date of application of Regulation (EU) No 600/2014 and by 30 April of each year thereafter. The results of the calculations shall apply from the first Monday of June each year following publication until the day before the first Monday of June of the subsequent year. 18. For the purposes of the calculations referred to in paragraph 1, point (b)(i) and by way of derogation from paragraphs 7, 15 and 17, competent authorities shall, in respect of bonds except ETCs and ETNs, ensure the publication of the calculations referred to under paragraph 5, point (a) on a quarterly basis, on the first Monday of February, May, August and November following the date of application of Regulation (EU) No 600/2014 and on the first Monday of February, May, August and November each year thereafter. The calculations shall include transactions executed in the Union during the preceding calendar quarter and shall apply from the third Monday of February, May, August and November each year until the calculations of the subsequent quarterly period apply.";
(4) Annex I is replaced by the text in Annex I to this Regulation; (5) Annex II is amended in accordance with Annex II to this Regulation; (6) Annex III is amended in accordance with Annex III to this Regulation; (7) Annex IV is amended in accordance with Annex IV to this Regulation; (8) The text set out in Annex V to this Regulation is added as Annex V.
Commission Delegated Regulation (EU) 2023/945 of 17 January 2023 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2017/583 as regards certain transparency requirements applicable to transactions in non-equity instruments (Text with EEA relevance)
| 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. |
| Hybrid trading system | A system falling into two or more of the types of trading systems referred to in rows 1 to 5 of this Table. | |
| Any other trading system | Any other type of trading system not covered by rows 1 to 6. | Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit." |
(1) Table 2 is replaced by the following: " Table 2 List of details for the purpose of post-trade transparency Commission Delegated Regulation (EU) 2017/574 of 7 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the level of accuracy of business clocks (OJ L 87, 31.3.2017, p. 148 ).Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (OJ L 87, 31.3.2017, p. 193 ).Delegated Regulation (EU) No 148/2013 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories." # Field identifier Financial instruments Description and details to be published Type of execution or publication venue Format to be populated as defined in Table 1 1 Trading date and time For all financial instruments Date and time when the transaction was executed. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Commission Delegated Regulation (EU) 2017/574 . For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies, as specified in fields 31, 34 and 44 of Table 2 of Annex I of Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 4 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission. Regulated Market (RM) Multilateral Trading Facility (MTF), Organised Trading Facility (OTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP) {DATE_TIME_FORMAT} 2 Instrument identification code For all financial instruments Code used to identify the financial instrument RM, MTF, OTF, APA, CTP {ISIN}. 3 Price For all financial instruments Traded price of the transaction excluding, where applicable, commission and accrued interest. The traded price shall be reported in accordance with standard market convention. The value provided in this field shall be consistent with the value provided in the field "Price Notation". Where price is currently not available but pending ("PNDG") or not applicable ("NOAP"), this field shall not be populated. RM, MTF, OTF, APA, CTP {DECIMAL-18/13} in case the price is expressed as monetary value {DECIMAL-11/10} in case the price is expressed as percentage or yield {DECIMAL-18/17} in case the price is expressed as basis points 4 Missing Price For all financial instruments Where price is currently not available but pending, the value shall be "PNDG". Where price is not applicable the value shall be "NOAP". RM, MTF, OTF, APA, CTP "PNDG" in case the price is not available "NOAP" in case the price is not applicable 5 Price currency For all financial instruments Major currency in which the price is expressed (applicable if the price is expressed as monetary value). RM, MTF, OTF, APA, CTP {CURRENCYCODE_3} 6 Price notation For all financial instruments Indication as to whether the price is expressed in monetary value, in percentage, in basis points or in yield The price notation shall be reported in accordance with standard market convention. For credit default swaps, this field shall be populated with "BAPO". For bonds (other than ETNs and ETCs) this field shall be populated with percentage (PERC) of the notional amount. Where a price in percentage is not the standard market convention, it shall be populated with YIEL, BAPO or MONE, in accordance with the standard market convention. The value provided in this field shall be consistent with the value provided in the field "Price". Where the price is reported in monetary terms, it shall be provided in the major currency unit. Where the price is currently not available but pending ("PNDG") or not applicable ("NOAP"), this field shall not be populated. RM, MTF, OTF, APA, CTP "MONE" — Monetary value "PERC" — Percentage "YIEL" — Yield "BAPO" — Basis points 7 Quantity For all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation. For financial instruments traded in units, the number of units of the financial instrument. Empty otherwise. RM, MTF, OTF, APA, CTP {DECIMAL-18/17} 8 Quantity in measurement unit For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b) of this Regulation. The equivalent amount of commodity or emission allowance traded expressed in measurement unit. RM, MTF, OTF, APA, CTP {DECIMAL-18/17} 9 Notation of the quantity in measurement unit For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b) of this Regulation Indication of the notation in which the quantity in measurement unit is expressed. RM, MTF, OTF, APA, CTP "TOCD" — tonnes of carbon dioxide equivalent, for any contract related to emission allowances "TONE" — metric tonnes "MWHO" — megawatt hours "MBTU" — one million British thermal units "THMS" — Therms "DAYS"— days or {ALPHANUM-4} otherwise 10 Notional amount For all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation. This field shall be populated: (i) for bonds (excluding ETCs and ETNs), with the face value, which is the amount repaid at redemption to the investor; (ii) for ETCs and ETNs and securitised derivatives, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field; (iii) for structured finance products (SFPs), with the nominal value per unit multiplied by the number of instruments at the time of the transaction; (iv) for credit default swaps, with the notional amount for which the protection is acquired or disposed of; (v) for options, swaptions, swaps other than those in (iv), futures and forwards, with the notional amount of the contract; (vi) for emission allowances, with the resulting amount of the quantity at the relevant price set in the contract at the time of the transaction. Equivalently, with the price field multiplied by the quantity in measurement unit field; (vii) for spread bets, with the monetary value wagered per point movement in the underlying financial instrument at the time of the transaction; (viii) for contracts for difference, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field.
RM, MTF, OTF, APA, CTP {DECIMAL-18/5} 11 Notional currency For all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation. Major currency in which the notional amount is denominated. In the case of an FX derivative contract or a multi-currency swap or a swaption where the underlying swap is multi-currency or a currency CFD or spread-betting contract, this will be the notional currency of leg 1. RM, MTF, OTF, APA, CTP {CURRENCYCODE_3} 12 Type For emission allowances and emission allowance derivatives only This field is only applicable for emission allowances and emission allowance derivatives. RM, MTF, OTF, APA, CTP "EUAE" — EUA "CERE" — CER "ERUE" — ERU "EUAA" — EUAA "OTHR" — Other 13 Venue of execution For all financial instruments Identification of the venue where the transaction was executed. Use the ISO 10383 segment MIC for transactions executed on an EU trading venue. Where the segment MIC does not exist, use the operating MIC. Use "SINT" for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser. Use MIC code "XOFF" for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is neither executed on an EU trading venue nor executed by a systematic internaliser. If the transaction is executed on an organised trading platform outside of the EU then in addition to "XOFF" also the population of the field "Third-country trading venue of execution" is required. RM, MTF, OTF, APA, CTP {MIC} – EU trading venues or "SINT" — systematic internaliser "XOFF" — otherwise 14 Third-country trading venue of execution For all financial instruments Identification of the third-country trading venue where the transaction was executed. Use the ISO 10383 segment MIC. Where the segment MIC does not exist, use the operating MIC. Where the transaction is not executed on a third-country trading venue, the field shall not be populated. APA, CTP {MIC} 15 Publication Date and Time For all financial instruments Date and time when the transaction was published by a trading venue or APA. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Delegated Regulation (EU) 2017/574. For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second. RM, MTF, OTF, APA, CTP {DATE_TIME_FORMAT} 16 Venue of publication For all financial instruments Code used to identify the trading venue and APA publishing the transaction. CTP Trading venue: {MIC} APA: {MIC} where available. Otherwise, 4 character code as published in the list of data reporting services providers on ESMA's website. 17 Transaction Identification Code For all financial instruments Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580 ) and APAs and used in any subsequent reference to the specific trade. The transaction identification code shall be unique, consistent and persistent per ISO 10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day. Where the APA does not use MICs, it shall be unique, consistent and persistent per 4-character code used to identify the APA per trading day. The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained RM, MTF, OTF, APA, CTP {ALPHANUMERICAL-52} 18 Transaction to be cleared For derivatives Code to identify whether the transaction will be cleared. RM,MTF, OTF, APA, CTP "TRUE" — transaction to be cleared "FALSE" — transaction not to be cleared (2) Table 3 is replaced by the following: " Table 3 List of flags for the purpose of post-trade transparency Flag Name Type of execution or publication venue Description "BENC" Benchmark transaction flag RM, MTF, OTF, APA, CTP Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price. "ACTX" Agency cross transaction flag APA, CTP Transactions where an investment firm has brought together two clients’ orders with the purchase and the sale conducted as one transaction and involving the same volume and price. "NPFT" Non-price forming transaction flag RM, MTF, OTF, CTP Non-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590. "LRGS" Post-trade LIS transaction flag RM, MTF, OTF APA CTP Transactions executed under the post-trade large in scale deferral. "ILQD" Illiquid instrument transaction flag RM, MTF, OTF, APA, CTP Transactions executed under the deferral for instruments for which there is not a liquid market. "SIZE" Post-trade SSTI transaction flag RM, MTF, OTF APA, CTP Transactions executed under the post-trade size specific to the instrument deferral. "TPAC" Package transaction flag RM, MTF, OTF, APA, CTP Package transactions which are not exchange for physicals as defined in Article 1. "XFPH" Exchange for physicals transaction flag RM, MTF, OTF, APA, CTP Exchange for physicals as defined in Article 1. "CANC" Cancellation flag RM, MTF, APA, CTP When a previously published transaction is cancelled. "AMND" Amendment flag RM, MTF, APA, CTP When a previously published transaction is amended. "PORT" Portfolio trade flag RM, MTF, APA, CTP Transaction in five or more different financial instruments where those transactions are traded at the same time by the same client and against a single lot price and that is not a "package transaction" as referred to in Article 1(1). SUPPLEMENTARY DEFERRAL FLAGS Article 11(1)(a)(i). "LMTF" Limited details flag RM, MTF, OTF, APA, CTP First report with publication of limited details in accordance with Article 11(1), point (a)(i). "FULF" Full details flag Transaction for which limited details have been previously published in accordance with Article 11(1), point (a)(i). Article 11(1)(a)(ii). "DATF" Daily aggregated transaction flag RM, MTF, OTF, APA, CTP Publication of daily aggregated transaction in accordance with Article 11(1), point (a)(ii). "FULA" Full details flag RM, MTF, OTF, APA, CTP Individual transactions for which aggregated details have been previously published in accordance with Article 11(1), point (a)(ii). Article 11(1)(b) "VOLO" Volume omission flag RM, MTF, OTF, APA, CTP Transaction for which limited details are published in accordance with Article 11(1), point (b). "FULV" Full details flag RM, MTF, OTF, APA, CTP Transaction for which limited details have been previously published in accordance with Article 11(1), point (b) Article 11(1)(c) "FWAF" Four weeks aggregation flag RM, MTF, OTF, APA, CTP Publication of aggregated transactions in accordance with Article 11(1), point (c). "FULJ" Full details flag RM, MTF, OTF, APA, CTP Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1), point (c). Article 11(1)(d) "IDAF" Indefinite aggregation flag RM, MTF, OTF, APA, CTP Transactions for which the publication of several transactions in aggregated form for an in definite period of time has been allowed in accordance with Article 11(1), point (d). Consecutive use of Article 11(1)(b) and Article 11(2)(c) for sovereign debt instruments "VOLW" Volume omission flag RM, MTF, OTF, APA, CTP 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), point (c). "COAF" Consecutive aggregation flag (post volume omission for sovereign debt instruments) RM, MTF, OTF, APA, CTP 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), point (c)." (3) Table 4 is replaced by the following: " Table 4 Measure of volume Type of instrument Volume All bonds except ETCs and ETNs and structured finance products "Notional amount" of the traded contract as per field 10 of Table 2 of Annex II of this Regulation. ETCs and ETNs bond types "Notional amount" of the traded contract as per field 10 of Table 2 of Annex II of this Regulation. Securitised derivatives "Notional amount" of the traded contract as per field 10 of Table 2 of Annex II of this Regulation. Interest rate derivatives "Notional amount" of the traded contract as per field 10 of Table 2 of Annex II of this Regulation. Foreign Exchange Derivatives "Notional amount" of the traded contract as per field 10 of Table 2 of Annex II of this Regulation. Equity derivatives "Notional amount" of the traded contract as per field 10 of Table 2 of Annex II of this Regulation. Commodity derivatives "Notional amount" of the traded contract as per field 10 of Table 2 of Annex II of this Regulation. Credit derivatives "Notional amount" of the traded contract as per field 10 of Table 2 of Annex II of this Regulation. Contract for differences "Notional amount" of the traded contract as per field 10 of Table 2 of Annex II of this Regulation. C10 derivatives "Notional amount" of the traded contract as per field 10 of Table 2 of Annex II of this Regulation. Emission allowance derivatives "Quantity in measurement unit" as per field 8 of Table 2 of Annex II of this Regulation. Emission allowances "Quantity in measurement unit" as per field 8 of Table 2 of Annex II of this Regulation."
(1) in part 1, point 13 is replaced by the following: "13. "Swaption" or "Option on a swap" means a contract that gives the owner the right, but not the obligation, to enter a swap at or up to a certain future date or exercise date.";
(2) Table 2.2 is replaced by the following: " Table 2.2 Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market Council Regulation (EC) No 2157/2001 of 8 October 2001 on the Statute for a European company (SE) (OJ L 294, 10.11.2001, p. 1 ).Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19 )."Asset class — Bonds (all bond types except ETCs and ETNs) Each individual bond shall be determined not to have a liquid market as per Article 13(18) if it is characterised by a specific combination of bond type and issuance size as specified in each row of the table. Bond Type Issuance size - RTS23#14Sovereign Bond RTS2#3 = BOND and RTS2#9 = EUSB means a bond which is neither a convertible nor a covered bond and is issued by a sovereign issuer: (a) the Union; (b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) a sovereign entity which is not listed under points (a) and (b).
smaller than (in EUR) 1000000000 Other Public Bond RTS2#3 = BOND and RTS2#9 = OEPB means a bond which is neither a convertible nor a covered bond and is issued by any of the following public issuers: (a) in the case of a federal Member State, a member of that federation; (b) a special purpose vehicle for several Member States; (c) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems; (d) the European Investment Bank; (e) a public entity which is not an issuer of a sovereign bond as specified in the previous row.
smaller than (in EUR) 500000000 Convertible Bond RTS2#3 = BOND and RTS2#9 = CVTB means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity smaller than (in EUR) 500000000 Covered Bond RTS2#3 = BOND and RTS2#9 = CVDB means bonds as referred to in Article 52(4) of Directive 2009/65/EC during stages S1 and S2 during stages S3 and S4 smaller than (in EUR) 1000000000 smaller than (in EUR) 500000000 Corporate Bond RTS2#3 = BOND and RTS2#9 = CRPB means a bond which is neither a convertible nor a covered bond and that is issued by a Societas Europaea established in accordance with Council Regulation (EC) No 2157/2001 or a type of company listed in Annex I or Annex II of Directive 2013/34/EU of the European Parliament and of the Council or equivalent in third countries during stages S1 and S2 during stages S3 and S4 smaller than (in EUR) 1000000000 smaller than (in EUR) 500000000 Bond Type For the purpose of the determination of the financial instruments considered not to have a liquid market as per Article 13(18), the following methodology shall be applied Other Bond RTS2#3 = BOND and RTS2#9 = OTHR A bond that does not belong to any of the above bond types is considered not to have a liquid market ----------------------Council Regulation (EC) No 2157/2001 of 8 October 2001 on the Statute for a European company (SE) (OJ L 294, 10.11.2001, p. 1 ).Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19 )."(3) Table 2.4 is replaced by the following: " Table 2.4 Bonds (ETC and ETN bond types) — classes not having a liquid market Bond type Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily turnover (ADT) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Exchange Traded Commodities (ETCs) - RTS2#3 = ETCSa debt instrument issued against a direct investment by the issuer in commodities or commodities derivative contracts. The price of an ETC is directly or indirectly linked to the performance of the underlying. An ETC passively tracks the performance of the commodity or commodity indices to which it refers. EUR 500000 10 Exchange Traded Notes (ETNs) - RTS2#3 = ETNSa debt instrument issued against a direct investment by the issuer in the underlying or underlying derivative contracts. The price of an ETN is directly or indirectly linked to the performance of the underlying. An ETN passively tracks the performance of the underlying to which it refers. EUR 500000 10" (4) Table 3.1 is replaced by the following: " Table 3.1 SFPs — classes not having a liquid market Asset class – Structured Finance Products (SFPs) Test 1 – SFPs asset-class assessment SFPs asset-class assessment for the purpose of the determination of the financial instruments considered not to have a liquid market as per Articles 6 and 8(1), point (b) – RTS2#3 = SFPS Transactions to be considered for the calculations of the values related to the quantitative liquidity criteria for the purpose of the SFPs asset-class assessment The SFPs asset-class shall be assessed by application of the following thresholds of the quan- titative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Transactions executed in all SFPs EUR 300000000 500 Test 2 — SFPs not having a liquid market If the values related to the quantitative liquidity criteria are both above the quantitative liquidity thresholds set for the purpose of the SFPs asset-class assessment, then Test 1 is passed and Test-2 shall be performed. Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Percentage of days traded over the period considered [quantitative liquidity criteria 3] EUR 100000 2 80 %" (5) Table 4.1 is replaced by the following: " Table 4.1 Securitised derivatives — classes not having a liquid market Asset class – Securitised Derivatives means a transferable security as defined in Article 4(1)(44)(c) of Directive 2014/65/EU different from structured finance products and shall include at least: (a.1) plain vanilla covered warrants which mean securities issued by a financial institution giving the holder the right, but not the obligation, to (a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or (b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer;
(a.2) warrants which mean securities issued by the same issuer of the underlying asset giving the holder the right, but not the obligation, to (a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or (b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer;
(b) leverage certificates means certificates that track the performance of the underlying asset with leverage effect; (c) exotic covered warrants means covered warrants whose main component is a combination of options; (d) negotiable rights whose underlying is a non-equity instrument; (e) investment certificates means certificates that track the performance of the underlying asset without leverage effect.
RTS2#3 = SDRV For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied all securitised derivatives are considered to have a liquid market"; (6) Table 5.1 is replaced by the following: " Table 5.1 Interest rate derivatives — classes not having a liquid market Asset class – Interest Rate Derivatives any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan. Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1), point (b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Additional qualitative liquidity criterion Bond futures/forwards / Future on a bond future / Forward on a bond future Future on a bond RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = BOND or Forward on a bond RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FORW RTS2#16 = BOND or Future on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = BNFD or Forward on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FORW RTS2#16 = BNFD a bond future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#17) — issuer of the underlyingSegmentation criterion 2 (RTS2#18) — term of the underlying deliverable bond defined as follows:Short-term : the underlying deliverable bond with a term up to 4 years shall be considered to have a short-termMedium-term : the underlying deliverable bond with a term between 4 and 8 years shall be considered to have a medium-termLong-term : the underlying deliverable bond with a term between 8 and 15 years shall be considered to have a long- termUltra-long-term : the underlying deliverable bond with a term longer than 15 years shall be considered to have an ultra-long-term
Segmentation criterion 3 — time to maturity bucket of the future defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 5000000 10 whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month Bond Option / Option on a bond option / Option on a bond future Bond Option Option on a bond option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BOND or Option on a bond option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BOND or Option on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BNFD a bond option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#22) — ultimate underlying bondSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 5000000 10 IR futures and FRA/ Future on an interest rate future/ Forward rate agreement on an interest rate future Future on an interest rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = INTR or Forward rate agreement RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FRAS RTS2#16 = INTR or Future on an interest rate future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = IFUT or Forward rate agreement on an interest rate future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FRAS RTS2#16 = IFUT an interest rate future sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#24) — underlying interest rateSegmentation criterion 2 (RTS2#25) — term of the underlying interest rateSegmentation criterion 3 (RTS2#8) — time to maturity bucket of the future defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 500000000 10 whenever a sub-class is de- termined to have a liquid market with respect to a specific time to maturity bucket and the sub-class de- fined by the next time to maturity bucket is deter- mined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month IR options /Option on an interest rate future/FRA /Option on an interest rate option /Option on an option on an interest rate future/FRA Option on an interest rate future/FRA//'Option on an interest rate option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = IFUT or IR Option //'Option on an option on an interest rate future/FRA RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = INTR an interest rate option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#24) —underlying interest rateSegmentation criterion 2 (RTS2#25) — term of the underlying interest rateSegmentation criterion 3 (RTS2#8) — time to maturity bucket of the option defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 500000000 10 Swaptions RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWPT a swaption sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#16) — underlying swap type defined as follows: fixed-to-fixed single currency swap, futures/forwards on fixed-to-fixed single currency swap [RTS2#16 = XXSC] fixed-to-float single currency swap, futures/forwards on fixed-to-float single currency swap [ RTS2#16 = XFSC] float-to-float single currency swap, futures/forwards on float-to-float single currency swap [ RTS2#16 = FFSC] inflation single currency swap, futures/forwards on inflation single currency swap [ RTS2#16 = IFSC] OIS single currency swap, futures/for- wards on OIS single currency swap [ RTS2#16 = OSSC] fixed-to-fixed multi-currency swap, futures/forwards on fixed-to-fixed multi-currency swap [RTS2#16 = XXMC] fixed-to-float multi-currency swap, futures/forwards on fixed-to-float multi-currency swap [ RTS2#16 = XFMC] float-to-float multi-currency swap, futures/forwards on float-to-float multi-currency swap [ RTS2#16 = FFMC] inflation multi-currency swap, futures/forwards on inflation multi-currency swap [ RTS2#16 = IFMC] OIS multi-currency swap, futures/forwards on OIS multi-currency swap [ RTS2#16 = OSMC] Segmentation criterion 2 (RTS2#20) — notional currency defined as the currency in which the notional amount of the option is denominatedSegmentation criterion 3 (RTS2#22 or RTS2#23) — inflation index if the underlying swap type is either an inflation single currency swap or an inflation multi-currency swapSegmentation criterion 4 (RTS2#21) — time to maturity bucket of the swap defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Segmentation criterion 5 (RTS2#8) — time to maturity bucket of the option defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 6 monthsMaturity bucket 2 : 6 months < time to maturity ≤ 1 yearMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 4 : 2 years < time to maturity ≤ 5 yearsMaturity bucket 5 : 5 years < time to maturity ≤ 10 yearsMaturity bucket 6 : over 10 years
EUR 500000000 10 Fixed-to-Float "multi-currency swaps" or "cross-currency swaps" and futures/forwards/ options on Fixed-to-Float "multi-currency swaps" or "cross-currency swaps" a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and the cash flows of one leg are determined by a fixed interest rate and the cash flows of the other leg are determined by a floating interest rate. RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XFMC a fixed-to-float multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominatedSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows:Maturity bucket 1: 0 < maturity ≤ 1 month Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50000000 10 Float-to-Float "multi-currency swaps" or "cross-currency swaps" and futures/forwards/ options on Float-to-Float "multi-currency swaps" or "cross-currency swaps" a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of both legs are determined by floating interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = FFMC a float-to-float multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominatedSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows:Maturity bucket 1: 0 < maturity ≤ 1 month Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50000000 10 Fixed-to-Fixed "multi-currency swaps" or "cross-currency swaps" and futures/forwards/ options on Fixed-to-Fixed "multi-currency swaps" or "cross-currency swaps" a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of both legs are determined by fixed interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XXMC a fixed-to-fixed multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominatedSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50000000 10 Overnight Index Swap (OIS) "multi-currency swaps" or "cross-currency swaps" and futures/forwards/options on Over- night Index Swap (OIS) "multi-currency swaps" or "cross-currency swaps" a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = OSMC an overnight index swap (OIS) multi-currency sub-class is de- fined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominatedSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50000000 10 Inflation "multi-currency swaps" or "cross-currency swaps" and futures/forwards/ options on Inflation "multi-currency swaps" or "cross-currency swaps" a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an inflation rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = IFMC an inflation multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominatedSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50000000 10 Fixed-to-Float "single currency swaps" and futures/forwards/ options on Fixed-to-Float "single currency swaps" a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and the cash flows of one leg are deter- mined by a fixed interest rate while those of the other leg are determined by a floating interest rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XFSC a fixed-to-float single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominatedSegmentation criterion 2 (RTS2#8)— time to maturity bucket of the swap defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50000000 10 Float-to-Float "single currency swaps" and futures/forwards/ options on Float-to-Float "single currency swaps" a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of both legs are determined by floating interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = FFSC a float-to-float single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominatedSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50000000 10 Fixed-to-Fixed "single currency swaps" and futures/forwards/ options on Fixed-to-Fixed "single currency swaps" a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of both legs are determined by fixed interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XXSC a fixed-to-fixed single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominatedSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50000000 10 Overnight Index Swap (OIS) "single currency swaps" and futures/forwards/ options on Over- night Index Swap (OIS) "single currency swaps" a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an Over- night Index Swap (OIS) rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = OSSC an overnight index swap (OIS) single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominatedSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50000000 10 Inflation "single currency swaps" and futures/forwards/ options on Inflation "single currency swaps" a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an inflation rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = IFSC an inflation single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominatedSegmentation criterion 2 (RTS2#8)— time to maturity bucket of the swap defined as follows:Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years
EUR 50000000 10 Asset class — Interest Rate Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), the following methodology shall be applied Other Interest Rate Derivatives an interest rate derivative that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OTHR any other interest rate derivative is considered not to have a liquid market" (7) Table 6.1 is replaced by the following: " Table 6.1 Equity derivatives — classes not having a liquid market Asset class – Equity Derivatives any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to: (a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments; (b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments
Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Stock index options an option whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = STIX RTS23#26 or if null RTS23#28 all index options are considered to have a liquid market Stock index futures/forwards a future/forward whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = STIX RTS23#26 or if null RTS23#28 all index futures/forwards are considered to have a liquid market Stock options an option whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = SHRS RTS23#26 or if null RTS23#28 all stock options are considered to have a liquid market Stock futures/forwards a future/forward whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = SHRS RTS23#26 or if null RTS23#28 all stock futures/forwards are considered to have a liquid market Stock dividend options an option on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DVSE RTS23#26 or if null RTS23#28 all stock dividend options are considered to have a liquid market Stock dividend futures/forwards a future/forward on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DVSE RTS23#26 or if null RTS23#28 all stock dividend futures/forwards are considered to have a liquid market Dividend index options an option on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DIVI RTS23#26 or if null RTS23#28 all dividend index options are considered to have a liquid market Dividend index futures/forwards a future/forward on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DIVI RTS23#26 or if null RTS23#28 all dividend index futures/forwards are considered to have a liquid market Volatility index options an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = VOLI RTS23#26 or if null RTS23#28 all volatility index options are considered to have a liquid market Volatility index futures/forwards a future/forward whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = VOLI RTS23#26 or if null RTS23#28 all volatility index futures/forwards are considered to have a liquid market ETF options an option whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = ETFS RTS23#26 or if null RTS23#28 all ETF options are considered to have a liquid market ETF futures/forwards a future/forward whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = ETFS RTS23#26 or if null RTS23#28 all ETF futures/forwards are considered to have a liquid market Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid mar- ket as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a li- quid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP a swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basketSegmentation criterion 2 RTS23#26 or if null RTS23#28) — underlying single name, index, basketSegmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatilitySegmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap defined as follows:
EUR 50000000 Price return basic performance para- meter Parameter return variance/volatility Parameter return dividend Maturity bucket 1 : 0 < time to maturity ≤ 1 monthMaturity bucket 1 : 0 < time to maturity ≤ 3 monthsMaturity bucket 1 : 0 < time to maturity ≤ 1 yearMaturity bucket 2 : 1 month < time to maturity ≤ 3 monthsMaturity bucket 2 : 3 months < time to maturity ≤ 6 monthsMaturity bucket 2 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 3 months < time to maturity ≤ 6 monthsMaturity bucket 3 : 6 months < time to maturity ≤ 1 yearMaturity bucket 3 : 2 years < time to maturity ≤ 3 yearsMaturity bucket 4 : 6 months < time to maturity ≤ 1 yearMaturity bucket 4 : 1 year < time to maturity ≤ 2 years… Maturity bucket 5 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 5 : 2 years < time to maturity ≤ 3 yearsMaturity bucket m : (n-1) years < time to maturity ≤ n yearsMaturity bucket 6 : 2 years < time to maturity ≤ 3 years… … Maturity bucket m : (n-1) years < time to maturity ≤ n yearsMaturity bucket m : (n-1) years < time to maturity ≤ n yearsPortfolio Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = PSWP a portfolio swap sub-class is defined by a specific combination of: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basketSegmentation criterion 2 (RTS23#26 or if null RTS23#28) — underlying single name, index, basketSegmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatilitySegmentation criterion 4 (RTS2#8) — time to maturity bucket of the portfolio swap defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 1 monthMaturity bucket 2 : 1 month < time to maturity ≤ 3 monthsMaturity bucket 3 : 3 months < time to maturity ≤ 6 monthsMaturity bucket 4 : 6 months < time to maturity ≤ 1 yearMaturity bucket 5 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 6 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
EUR 50000000 15 Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Other equity derivatives an equity derivative that does not belong to any of the above sub-asset classesRTS2#3 = DERV RTS2#4 = EQUI RTS2#5 = OTHR’ any other equity derivative is considered not to have a liquid market" (8) Table 7.1 is replaced by the following: " Table 7.1 Commodity derivatives – classes not having a liquid market Asset class — Commodity Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Metal commodity futures/forwards RTS2#3 = "DERV" and RTS2#4 = "COMM" and RTS23#35 = "METL" and [RTS2#5 = "FUTR" or "FORW"] a metal commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metalSegmentation criterion 2 (RTS23#37) — underlying metalSegmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominatedSegmentation criterion 4 (RTS2#8) — time to maturity bucket of the future/forward defined as follows:
EUR 10000000 10 Precious metals Non-precious metals Maturity bucket 1 : 0 < time to maturity ≤ 3 monthsMaturity bucket 1 : 0 < time to maturity ≤ 1 yearMaturity bucket 2 : 3 months < time to maturity ≤ 1 yearMaturity bucket 2 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 2 years < time to maturity ≤ 3 yearsMaturity bucket 4 : 2 years < time to maturity ≤ 3 years… … Maturity bucket m : (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMetal commodity options RTS2#3 = "DERV" and RTS2#4 = "COMM" and RTS23#35 = "METL" and RTS2#5 = "OPTN" a metal commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metalSegmentation criterion 2 (RTS23#37) — underlying metalSegmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominatedSegmentation criterion 4 (RTS2#8) — time to maturity bucket of the option defined as follows:
EUR 10000000 10 Precious metals Non-precious metals Maturity bucket 1 : 0 < time to maturity ≤ 3 monthsMaturity bucket 1 : 0 < time to maturity ≤ 1 yearMaturity bucket 2 : 3 months < time to maturity ≤ 1 yearMaturity bucket 2 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 2 years < time to maturity ≤ 3 yearsMaturity bucket 4 : 2 years < time to maturity ≤ 3 years… … Maturity bucket m : (n-1) years < time to maturity ≤ n yearsMaturity bucket m : (n-1) years < time to maturity ≤ n yearsMetal commodity swaps RTS2#3 = "DERV" and RTS2#4 = "COMM" and RTS23#35 = "METL" and RTS2#5 = "SWAP" a metal commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metalSegmentation criterion 2 (RTS23#37) — underlying metalSegmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominatedSegmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optionalSegmentation criterion 5 (RTS2#8) — time to maturity bucket of the swap defined as follows:
EUR 10000000 10 Precious metals Non-precious metals Maturity bucket 1 : 0 < time to maturity ≤ 3 monthsMaturity bucket 1 : 0 < time to maturity ≤ 1 yearMaturity bucket 2 : 3 months < time to maturity ≤ 1 yearMaturity bucket 2 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 2 years < time to maturity ≤ 3 yearsMaturity bucket 4 : 2 years < time to maturity ≤ 3 years… … Maturity bucket m : (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsEnergy commodity futures/forwards RTS2#3 = "DERV" and RTS2#4 = "COMM" and RTS23#35 = "NRGY" and [RTS2#5 = "FUTR" or "FORW"] an energy commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter energySegmentation criterion 2 (RTS23#37) — underlying energySegmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominatedSegmentation criterion 4 — [deleted]Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy typesSegmentation criterion 6 (RTS2#8) — time to maturity bucket of the future/forward defined as follows:
EUR 10000000 10 Oil/ Distillates/ Light ends Coal Natural Gas/Electricity/Inter-energy Maturity bucket 1 : 0 < time to maturity ≤ 4 monthsMaturity bucket 1 : 0 < time to maturity ≤ 6 monthsMaturity bucket 1 : 0 < time to maturity ≤ 1 monthMaturity bucket 2 : 4 months < time to maturity ≤ 8 monthsMaturity bucket 2 : 6 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 1 yearMaturity bucket 3 : 8 months < time to maturity ≤ 1 yearMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 4 : 1 year < time to maturity ≤ 2 years… … … Maturity bucket m : (n-1) years < time to maturity ≤ n yearsMaturity bucket m : (n-1) years < time to maturity ≤ n yearsMaturity bucket m : (n-1) years < time to maturity ≤ n yearsEnergy commodity options RTS2#3 = "DERV" and RTS2#4 = "COMM" and RTS23#35 = "NRGY" and RTS2#5 = "OPTN" an energy commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energySegmentation criterion 2 (RTS23#37) — underlying energySegmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominatedSegmentation criterion 4 — [deleted]Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy typesSegmentation criterion 6 (RTS2#8) — time to maturity bucket of the option defined as follows:
EUR 10000000 10 Oil/Distillates/Light ends Coal Natural Gas/Electricity/Inter-energy Maturity bucket 1 : 0 < time to maturity ≤ 4 monthsMaturity bucket 1 : 0 < time to maturity ≤ 6 monthsMaturity bucket 1 : 0 < time to maturity ≤ 1 monthMaturity bucket 2 : 4 months < time to maturity ≤ 8 monthsMaturity bucket 2 : 6 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 1 yearMaturity bucket 3 : 8 months < time to maturity ≤ 1 yearMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 4 : 1 year < time to maturity ≤ 2 years… … … Maturity bucket m : (n-1) years < time to maturity ≤ n yearsMaturity bucket m : (n-1) years < time to maturity ≤ n yearsMaturity bucket m : (n-1) years < time to maturity ≤ n yearsEnergy commodity swaps RTS2#3 = "DERV" and RTS2#4 = "COMM" and RTS23#35 = "NRGY" and RTS2#5 = "SWAP" an energy commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energySegmentation criterion 2 (RTS23#37) — underlying energySegmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominatedSegmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optionalSegmentation criterion 5 — [deleted]Segmentation criterion 6 (RTS2#14) — delivery/cash settlement location applicable to all energy typesSegmentation criterion 7 (RTS2#8) — time to maturity bucket of the swap defined as follows:
EUR 10000000 10 Oil/Distillates/Light ends Coal Natural Gas/'Electricity/Inter-energy Maturity bucket 1 : 0 < time to maturity ≤ 4 monthsMaturity bucket 1 : 0 < time to maturity ≤ 6 monthsMaturity bucket 1 : 0 < time to maturity ≤ 1 monthMaturity bucket 2 : 4 months < time to maturity ≤ 8 monthsMaturity bucket 2 : 6 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 1 yearMaturity bucket 3 : 8 months < time to maturity ≤ 1 yearMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 4 : 1 year < time to maturity ≤ 2 years… … … Maturity bucket m : (n-1) years < time to maturity ≤ n yearsMaturity bucket m : (n-1) years < time to maturity ≤ n yearsMaturity bucket m : (n-1) years < time to maturity ≤ n yearsAgricultural commodity futures/forwards RTS2#3 = "DERV" and RTS2#4 = "COMM" and RTS23#35 = "AGRI" and [RTS2#5 = "FUTR" or "FORW"] an agricultural commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product)Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominatedSegmentation criterion 3 (RTS2#8) — time to maturity bucket of the future/forward defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 3 monthsMaturity bucket 2 : 3 months < time to maturity ≤ 6 monthsMaturity bucket 3 : 6 months < time to maturity ≤ 1 yearMaturity bucket 4 : 1 year < time to maturity ≤ 2 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
EUR 10000000 10 Agricultural commodity options RTS2#3 = "DERV" and RTS2#4 = "COMM" and RTS23#35 = "AGRI" and RTS2#5 = "OPTN" an agricultural commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product)Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominatedSegmentation criterion 3 (RTS2#8) — time to maturity bucket of the option defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 3 monthsMaturity bucket 2 : 3 months < time to maturity ≤ 6 monthsMaturity bucket 3 : 6 months < time to maturity ≤ 1 yearMaturity bucket 4 : 1 year < time to maturity ≤ 2 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
EUR 10000000 10 Agricultural commodity swaps RTS2#3 = "DERV" and RTS2#4 = "COMM" and RTS23#35 = "AGRI" and RTS2#5 = "SWAP" an agricultural commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product)Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominatedSegmentation criterion 3 (RTS23#34) —delivery type defined as cash, physical or optionalSegmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 3 monthsMaturity bucket 2 : 3 months < time to maturity ≤ 6 monthsMaturity bucket 3 : 6 months < time to maturity ≤ 1 yearMaturity bucket 4 : 1 year < time to maturity ≤ 2 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
EUR 10000000 10 Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Other commodity derivatives a commodity derivative that does not belong to any of the above sub-asset classes any other commodity derivative is considered not to have a liquid market" (9) Table 8.1 is replaced by the following: " Table 8.1 Foreign exchange derivatives – classes not having a liquid market Asset class — Foreign Exchange Derivatives a financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EU Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Arti- cles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Non-deliverable forward (NDF) means a forward that, by its terms, is cash- settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as be- tween the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the con- tract. RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = FORW RTS2#26 = NDLV a non-deliverable FX forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contractSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the forward defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 1 weekMaturity bucket 2 : 1 week < time to maturity ≤ 3 monthsMaturity bucket 3 : 3 months < time to maturity ≤ 1 yearMaturity bucket 4 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 5 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
Non-deliverable forward (NDF) are considered not to have a liquid market Deliverable forward (DF) means a forward that solely involves the ex- change of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = FORW RTS2#26 = DLVB a deliverable FX forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contractSegmentation criterion 2 (RTS2#8)— time to maturity bucket of the forward defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 1 weekMaturity bucket 2 : 1 week < time to maturity ≤ 3 monthsMaturity bucket 3 : 3 months < time to maturity ≤ 1 yearMaturity bucket 4 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 5 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
Deliverable forward (DF) are considered not to have a liquid market Non-Deliverable FX options (NDO) means an option that, by its terms, is cash- settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as be- tween the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the con- tract. RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = OPTN RTS2#26 = NDLV a non-deliverable FX option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contractSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 1 weekMaturity bucket 2 : 1 week < time to maturity ≤ 3 monthsMaturity bucket 3 : 3 months < time to maturity ≤ 1 yearMaturity bucket 4 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 5 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
Non-Deliverable FX options (NDO) are considered not to have a liquid market Deliverable FX options (DO) means an option that solely involves the ex- change of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = OPTN RTS2#26 = DLVB a deliverable FX option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47)— underlying currency pair defined as combination of the two currencies underlying the derivative contractSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 1 weekMaturity bucket 2 : 1 week < time to maturity ≤ 3 monthsMaturity bucket 3 : 3 months < time to maturity ≤ 1 yearMaturity bucket 4 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 5 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
Deliverable FX options (DO) are considered not to have a liquid market Non-Deliverable FX swaps (NDS) means a swap that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract. RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = SWAP RTS2#26 = NDLV a non-deliverable FX swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contractSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 1 weekMaturity bucket 2 : 1 week < time to maturity ≤ 3 monthsMaturity bucket 3 : 3 months < time to maturity ≤ 1 yearMaturity bucket 4 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 5 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
Non-Deliverable FX swaps (NDS) are considered not to have a liquid market Deliverable FX swaps (DS) means a swap that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = SWAP RTS2#26 = DLVB a deliverable FX swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contractSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 1 weekMaturity bucket 2 : 1 week < time to maturity ≤ 3 monthsMaturity bucket 3 : 3 months < time to maturity ≤ 1 yearMaturity bucket 4 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 5 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
Deliverable FX swaps (DS) are considered not to have a liquid market FX futures RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = FUTR an FX future sub-class is defined by the following seg- mentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contractSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the future defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 1 weekMaturity bucket 2 : 1 week < time to maturity ≤ 3 monthsMaturity bucket 3 : 3 months < time to maturity ≤ 1 yearMaturity bucket 4 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 5 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
FX futures are considered not to have a liquid market Asset class — Foreign Exchange Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Other Foreign Exchange Derivatives an FX derivative that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = OTHR any other FX derivative is considered not to have a liquid market" (10) Tables 9.1, 9.2 and 9.3 are replaced by the following: " Table 9.1 Credit derivatives — classes not having a liquid market Asset class — Credit Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] On-the-run status of the index [Additional qualitative liquidity criterion] Index credit default swap (CDS) a swap whose exchange of cash flows is linked to the creditworthiness of several issuers of financial instruments composing an index and the occurrence of credit eventsRTS2#3 = DERV RTS2#4 = CRDT an index credit default swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#34) — underlying indexSegmentation criterion 2 (RTS2#42) — notional currency defined as the currency in which the notional amount of the derivative is denominatedSegmentation criterion 3 ( RTS2#8)— time to maturity bucket of the CDS defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 1 yearMaturity bucket 2 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
EUR 200000000 10 The underlying index is considered to have a liquid market: (1) during the whole period of its "on-the-run status" (2) for the first 30 working days of its "1x off-the-run status"
"on-the-run" index means the rolling most recent version (series) of the index created on the date on which the composition of the index is effective and ending one day prior to the date on which the composition of the next version (series) of the index is effective. "1x off-the-run status" means the version (series) of the index which is immediately prior to the cur- rent "on-the-run" version (series) at a certain point in time. A version (series) ceases being "on-the-run" and acquires its "1x off-the-run" status when the latest version (series) of the index is created. Single name credit de- fault swap (CDS) a swap whose exchange of cash flows is linked to the creditworthiness of one issuer of financial instruments and the occurrence of credit eventsRTS2#3 = DERV RTS2#4 = CRDT a single name credit default swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#41) — underlying reference entitySegmentation criterion 2 (RTS2#39) — underlying reference entity type defined as follows:"Issuer of sovereign and public type" means an issuer entity which is either: (a) the Union; (b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) a sovereign entity which is not listed under points (a) and (b); (d) in the case of a federal Member State, a member of that federation; (e) a special purpose vehicle for several Member States; (f) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems; (g) the European Investment Bank; (h) a public entity which is not a sovereign issuer as specified in the points (a) to (c).
"Issuer of corporate type" means an issuer entity which is not an issuer of sovereign and public type.
Segmentation criterion 3 (RTS2#42) — notional currency defined as the currency in which the notional amount of the derivative is denominatedSegmentation criterion 4 (RTS2#8) — time to maturity bucket of the CDS defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 1 yearMaturity bucket 2 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 3 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
EUR 10000000 10 Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet the following qualitative liquidity criterion CDS index options an option whose underlying is a CDS indexRTS2#3 = DERV RTS2#4 = CRDT a CDS index option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#26) — CDS index sub-class as specified for the sub-asset class of index credit default swap (CDS)Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 6 monthsMaturity bucket 2 : 6 months < time to maturity ≤ 1 yearMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 4 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket Single name CDS options an option whose underly-ing is a single name CDSRTS2#3 = DERV RTS2#4 = CRDT a single name CDS option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#26) — single name CDS sub-class as specified for the sub-asset class of single name CDSSegmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 6 monthsMaturity bucket 2 : 6 months < time to maturity ≤ 1 yearMaturity bucket 3 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 4 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket Asset class — Credit Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall apply Other credit derivatives a credit derivative that does not belong to any of the above sub-asset classesRTS2#3 = DERV RTS2#4 = CRDT RTS2#5 = OTHRany other credit derivatives is considered not to have a liquid market Table 9.2 Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market Asset class — Credit Derivatives Sub-asset class Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market Transactions to be considered for the calculations of the thresholds SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Trade — percentile Threshold floor Trade — percentile Threshold floor Trade — percentile Volume — percentile Threshold floor Trade — percentile Volume — percentile Threshold floor Index credit default swap (CDS) Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class S1 S2 S3 S4 EUR 2500000 70 EUR 5000000 80 60 EUR 7500000 90 70 EUR 10000000 30 40 50 60 Single name credit default swap (CDS) Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class S1 S2 S3 S4 EUR 2500000 70 EUR 5000000 80 60 EUR 7500000 90 70 EUR 10000000 30 40 50 60 CDS index options Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class S1 S2 S3 S4 EUR 2500000 70 EUR 5000000 80 60 EUR 7500000 90 70 EUR 10000000 30 40 50 60 Single name CDS options Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class S1 S2 S3 S4 EUR 2500000 70 EUR 5000000 80 60 EUR 7500000 90 70 EUR 10000000 30 40 50 60 Table 9.3 Credit derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market Asset class — Credit Derivatives Sub-asset class Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market SSTI pre-trade LIS pre-trade SSTI post-trade LIS post-trade Threshold value Threshold value Threshold value Threshold value Index credit default swap (CDS) EUR 2500000 EUR 5000000 EUR 7500000 EUR 10000000 Single name credit default swap (CDS) EUR 2500000 EUR 5000000 EUR 7500000 EUR 10000000 CDS index options EUR 2500000 EUR 5000000 EUR 7500000 EUR 10000000 Single name CDS options EUR 2500000 EUR 5000000 EUR 7500000 EUR 10000000 Other credit derivatives EUR 2500000 EUR 5000000 EUR 7500000 EUR 10000000 "(11) Table 10.1 is replaced by the following: " Table 10.1 C10 derivatives – classes not having a liquid market Asset class — C10 Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Freight derivatives a financial instrument relating to freight rates as defined in Section C(10) of Annex I of Directive 2014/65/EU RTS2#3 = "DERV" and RTS2#4 = "COMM" and RTS23#35 = "FRGT" a freight derivative sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#5) — contract type: futures or optionsSegmentation criterion 2 (RTS23#36) — freight typeSegmentation criterion 3 (RTS2#37) — freight sub-typeSegmentation criterion 4 (RTS2#12) —specification of the size related to the freight sub-typeSegmentation criterion 5 (RTS2#13) — specific route or time charter averageSegmentation criterion 6 (RTS2#8) — time to maturity bucket of the derivative defined as follows:Maturity bucket 1 : 0 < time to maturity ≤ 1 monthMaturity bucket 2 : 1 month < time to maturity ≤ 3 monthsMaturity bucket 3 : 3 months < time to maturity ≤ 6 monthsMaturity bucket 4 : 6 months < time to maturity ≤ 9 monthsMaturity bucket 5 : 9 months < time to maturity ≤ 1 yearMaturity bucket 6 : 1 year < time to maturity ≤ 2 yearsMaturity bucket 7 : 2 years < time to maturity ≤ 3 years… Maturity bucket m : (n-1) years < time to maturity ≤ n years
EUR 10000000 10 Asset class — C10 Derivatives Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Other C10 derivatives a financial instrument as defined in Section C(10) of Annex I of Directive 2014/65/EU which is not a "Freight derivative", any of the following interest rate derivatives sub- asset classes: "Inflation multi-currency swap or cross-currency swap", a "Future/forward on inflation multi-currency swaps or cross-currency swaps", an "Inflation single currency swap", a "Future/forward on inflation single currency swap" and any of the following equity derivatives sub- asset classes: a "Volatility index option", a "Volatility index future/forward", a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility any other C10 derivatives is considered not to have a liquid market" (12) Table 11.1 is replaced by the following: " Table 11.1 CFDs – classes not having a liquid market Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Qualitative liquidity criterion Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Currency CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = CURR a currency CFD sub-class is defined by the underlying currency pair defined as combination of the two currencies underlying the CFD/spread betting contract. RTS2#30 and RTS2#31 EUR 50000000 100 Commodity CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = COMM a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract RTS23#35 and RTS23#36 and RTS23#37 EUR 50000000 100 Equity CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = EQUI an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract RTS23#26 an equity CFD sub-class is considered to have a liquid market if the underlying is an equity security for which there is a liquid market as determined in accordance with Article 2(1)(17)(b) of Regulation (EU) No 600/2014 Bond CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = BOND a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract RTS23#26 a bond CFD sub-class is considered to have a liquid market if the underlying is a bond or bond future for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). CFDs on an equity future/for- ward RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = FTEQ a CFD on an equity future/forward sub-class is defined by the underlying future/forward on an equity of the CFD/spread betting contract RTS23#26 a CFD on an equity future/forward sub-class is considered to have a liquid market if the underlying is an equity future/forward for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). CFDs on an equity option RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = OPEQ a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract RTS23#26 a CFD on an equity option sub-class is considered to have a liquid market if the underlying is an equity option for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). Asset class – Financial contracts for differences (CFDs) Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Other CFDs a CFD/spread betting that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = OTHR any other CFD/spread betting is considered not to have a liquid market" (13) Table 12.1 is replaced by the following: " Table 12.1 Emission allowances — classes not having a liquid market Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 establishing a scheme for greenhouse gas emission allowance trading within the Community and amending Council Directive 96/61/EC (JO L 275, 25.10.2003, p. 32 )."Asset class — Emission Allowances Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average Daily Amount (ADA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] European Union Allowances (EUA) any unit recognised for compliance with the requirements of Directive 2003/87/EC of the European Parliament and of the Council (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO 2 e)RTS2#3 = EMAL and RTS2#11 = EUAE 150000 tonnes of Carbon Dioxide Equivalent5 European Union Aviation Allowances (EUAA) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of car- bon dioxide equivalent (tCO 2 e) from aviationRTS2#3 = EMAL and RTS2#11 = EUAA 150000 tonnes of Carbon Dioxide Equivalent5 Certified Emission Reductions (CER) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO 2 e)RTS2#3 = EMAL and RTS2#11 = CERE 150000 tonnes of Carbon Dioxide Equivalent5 Emission Reduction Units (ERU) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO 2 e)RTS2#3 = EMAL and RTS2#11 = ERUE 150000 tonnes of Carbon Dioxide Equivalent5 Other Emission Allowances an emission allowance which is an emission allowance recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) or an Emission Reduction Units (ERU) RTS2#3 = EMAL and RTS2#11 = OTHR any other emission allowances is considered not to have a liquid market ----------------------Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 establishing a scheme for greenhouse gas emission allowance trading within the Community and amending Council Directive 96/61/EC (JO L 275, 25.10.2003, p. 32 )."(14) Table 13.1 is replaced by the following: " Table 13.1 Emission allowance derivatives — classes not having a liquid market Asset class — Emission Allowance Derivatives Sub-asset class Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average Daily Amount (ADA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAE 150000 tonnes of Carbon Dioxide Equivalent5 Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) a financial instrument relating to emission allowances of the type European Union Aviation Allowances (EUAA) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAA 150000 tonnes of Carbon Dioxide Equivalent5 Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) a financial instrument relating to emission allowances of the type Certified Emission Reductions (CER) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = CERE 150000 tonnes of Carbon Dioxide Equivalent5 Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) a financial instrument relating to emission allowances of the type Emission Reduction Units (ERU) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = ERUE 150000 tonnes of Carbon Dioxide Equivalent5 Other Emission allowance derivatives an emission allowance derivative whose underlying is an emission allowances recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU) RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = OTHR any other emission allowance derivative is considered not to have a liquid market"
| SYMBOL | DATA TYPE | DEFINITION |
|---|---|---|
| {ALPHANUM-n} | Up to n alphanumerical char- acters | 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 | Dates shall be formatted by the following format: YYYY-MM-DD. |
| {ISIN} | 12 alphanumerical characters | ISIN code, as defined in ISO 6166 |
| {LEI} | 20 alphanumerical characters | Legal entity identifier as defined in ISO 17442 |
| {MIC} | 4 alphanumerical characters | Market identifier as defined in ISO 10383 |
| {EIC} | 16 alphanumerical characters | an EIC code pertaining to a delivery point within or outside the European Union |
| {INDEX} | 4 alphabetic characters |
| # | 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 operating MIC. | {MIC} |
| 8 | Maturity | Defined maturity of the financial instrument. Field applicable for the asset classes of bonds, Interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives C10 derivatives and derivatives on emission allowances. | {DATEFORMAT} |
| 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. | |
| 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. | |
| 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. | |
| 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 | To be populated with the date of the defined maturity of the underlying bond. | {DATEFORMAT} |
| 19 | Issuance date of the under- lying bond | To be populated with the issuance date of the underlying bond. | {DATEFORMAT} |
| 20 | Notional currency of the swaption | To be populated for swaptions only. | {CURRENCYCODE_3} |
| 21 | Maturity of the underlying swap | To be populated for swaptions, options on swaps, futures on swaps and for- wards on a swap only. | {DATEFORMAT} |
| 22 | Inflation index ISIN code/ISIN code of the underlying bond | ||
| 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 | Term of the underlying interest rate |
| 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. | |
| 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 | ||
| 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 de- fault swap with the ISIN of the reference obligation. | {ISIN} |
| 41 | Reference entity | To be populated with the reference entity of a single name CDS or a derivative on single name CDS. | |
| 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 allowance |
| Symbol | Data Type | Definition |
|---|---|---|
| {ALPHANUM-n} | Up to n alphanumerical characters | Free text field. |
| {ISIN} | 12 alphanumerical characters | ISIN code, as defined in ISO 6166 |
| {MIC} | 4 alphanumerical characters | Market identifier as defined in ISO 10383 |
| {DATEFORMAT} | ISO 8601 date format | Dates shall be formatted by the following format: YYYY-MM-DD. |
| {DECIMAL-n/m} | Decimal number of up to n digits in total of which up to m digits can be fraction digits | |
| {INTEGER-n} | Integer number of up to n digits | Numerical field for both positive and negative integer values. |
| # | Field | Details to be reported | Type of execution or publication venue | Format and standards for reporting |
|---|---|---|---|---|
| 1 | Instrument identification code | Code used to identify the financial instrument | {ISIN} | |
| 2 | Execution date | Date on which the trades are executed. | RM, MTF, OTF, APA, CTP | {DATEFORMAT} |
| 3 | Execution venue | RM, MTF, OTF, APA, CTP | {MIC} of the trading venue or systematic internaliser or "XOFF" | |
| 4 | Suspended instrument flag | RM, MTF, OTF | ||
| 5 | Total number of transactions | RM, MTF, OTF, APA, CTP | {INTEGER-18} | |
| 6 | Total volume | RM, MTF, OTF, APA, CTP | {DECIMAL-18/5} | |
| 7 | "Size of transaction" bin range | RM, MTF, OTF, APA, CTP | {ALPHANUM - -140} | |
| 8 | Total number of transactions executed for that bin | RM, MTF, OTF, APA, CTP | {INTEGER-18} | |
| 9 | Total volume traded for that bin | RM, MTF, OTF, APA, CTP | {DECIMAL-18/5} |
| Scope | Size of transaction bin | Definition |
|---|---|---|
| Transactions with a size between 0 and 1,000,000 (excluded) | ]0 – 100,000[ | Transactions with a trade size smaller than EUR 100,000 |
| [100,000 – 100,000] | Transactions with a trade size equal to EUR 100,000 | |
| ]100,000 – 200,000[ | Transactions with a trade size greater than EUR 100,000 and smaller than EUR 200,000 | |
| [200,000 – 300,000[ | Transactions with a trade size greater than or equal to EUR 200,000 and smaller than EUR 300,000 | |
| [300,000 – 400,000[ | Transactions with a trade size greater than or equal to EUR 300,000 and smaller than EUR 400,000 | |
| [Y– Y+100,000[ | Transactions with a trade size greater than or equal to EUR Y and smaller than EUR Y + 100,000 (EUR 100,000 step) | |
| [900,000 – 1,000,000[ | Transactions with a trade size greater than or equal to EUR 900,000 and smaller than EUR 1,000,000 | |
| Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) | [1,000,000 – 1,500,000[ | Transactions with a trade size greater than or equal to EUR 1,000,000 and smaller than EUR 1,500,000 |
| [1,500,000 – 2,000,000[ | Transactions with a trade size greater than or equal to EUR 1,500,000 and smaller than EUR 2,000,000 | |
| [Z– Z+500,000[ | Transactions with a trade size greater than or equal to EUR Z and smaller than EUR Z + 500,000 (EUR 500,000 step) | |
| [9,500,000 – 10,000,000[ | Transactions with a trade size greater than or equal to EUR 9,500,000 and smaller than EUR 10,000,000 | |
| Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) | [10,000,000 – 15,000,000[ | Transactions with a trade size greater than or equal to EUR 10,000,000 and smaller than EUR 15,000,000 |
| [15,000,000 – 20,000,000[ | Transactions with a trade size greater than or equal to EUR 15,000,000 and smaller than EUR 20,000,000 | |
| [W– W+5,000,000[ | Transactions with a trade size greater than or equal to EUR W and smaller than EUR W + 5,000,000 (EUR 5,000,000 step) | |
| [95,000,000 – 100,000,000[ | Transactions with a trade size greater than or equal to EUR 95,000,000 and smaller than EUR 100,000,000 | |
| Transactions with a size greater than or equal to 100,000,000 | [100,000,000 – 125,000,000[ | Transactions with a trade size greater than or equal to EUR 100,000,000 and smaller than EUR 125,000,000 |
| [125,000,000 – 150,000,000[ | Transactions with a trade size greater than or equal to EUR 125,000,000 and smaller than EUR 150,000,000 | |
| [X– X+25,000,000[ | Transactions with a trade size greater than or equal to EUR X and smaller than EUR X + 25,000,000 (EUR 25,000,000 step) | |
| … | … | … |
| Scope | Size of transaction bin | Definition |
|---|---|---|
| Transactions with a size between 0 and 1,000,000 (excluded) | ]0 – 100,000[ | Transactions with a trade size smaller than 100,000 tonnes of carbon dioxide equivalent (tCO |
| [100,000 – 100,000] | Transactions with a trade size equal to 100,000 tCO | |
| ]100,000 – 200,000[ | Transactions with a trade size greater than 100,000 tCO | |
| [200,000 – 300,000[ | Transactions with a trade size greater than or equal to 200,000 tCO | |
| [300,000 – 400,000[ | Transactions with a trade size greater than or equal to 300,000 tCO | |
| [Y– Y+100,000[ | Transactions with a trade size greater than or equal to Y tCO | |
| [900,000 – 1,000,000[ | Transactions with a trade size greater than or equal to 900,000 tCO | |
| Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded) | [1,000,000 – 1,500,000[ | Transactions with a trade size greater than or equal to 1,000,000 tCO |
| [1,500,000 – 2,000,000[ | Transactions with a trade size greater than or equal to 1,500,000 tCO | |
| [Z– Z+500,000[ | Transactions with a trade size greater than or equal to Z tCO | |
| [9,500,000 – 10,000,000[ | Transactions with a trade size greater than or equal to 9,500,000 tCO | |
| Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded) | [10,000,000 – 15,000,000[ | Transactions with a trade size greater than or equal to 10,000,000 tCO |
| [15,000,000 – 20,000,000[ | Transactions with a trade size greater than or equal to 15,000,000 tCO | |
| [W– W+5,000,000[ | Transactions with a trade size greater than or equal to W tCO | |
| [95,000,000 – 100,000,000[ | Transactions with a trade size greater than or equal to 95,000,000 tCO | |
| Transactions with a size greater than or equal to 100,000,000 | [100,000,000 – 125,000,000[ | Transactions with a trade size greater than or equal to 100,000,000 tCO |
| [125,000,000 – 150,000,000[ | Transactions with a trade size greater than or equal to 125,000,000 tCO | |
| [X– X+25,000,000[ | Transactions with a trade size greater than or equal to X tCO | |
| … | … | …" |