What changed, Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014

+ ## CHAPTER I / **DEFINITIONS**
− ### art_1
+ ### Article 1 — Definitions
− Article 1
+ 1. ‘package transaction’ means either of the following: (a) a transaction in a derivative contract or other financial instrument contingent on the simultaneous execution of a transaction in an equivalent quantity of an underlying physical asset (Exchange for Physical or EFP); (b) a transaction which…
+ 
+ 2. ‘request-for-quote system’ means a trading system where the following conditions are met: (a) a quote or quotes by a member or participant are provided in response to a request for a quote submitted by one or more other members or participants; (b) the quote is executable exclusively by the reque…
+ 
+ 3. ‘voice trading system’ means a trading system where transactions between members are arranged through voice negotiation.
− | 1. | ‘package transaction’ means either of the following:(a)a transaction in a derivative contract or other financial instrument contingent on the simultaneous execution of a transaction in an equivalent quantity of an underlying physical asset (Exchange for Physical or EFP);(b)a transaction which…
− | --- | --- |
− | (a) | a transaction in a derivative contract or other financial instrument contingent on the simultaneous execution of a transaction in an equivalent quantity of an underlying physical asset (Exchange for Physical or EFP); |
− | (b) | a transaction which involves the execution of two or more component transactions in financial instruments; and:(i)which is executed between two or more counterparties;(ii)where each component of the transaction bears meaningful economic or financial risk related to all the other components;(…
− | (i) | which is executed between two or more counterparties; |
− | (ii) | where each component of the transaction bears meaningful economic or financial risk related to all the other components; |
− | (iii) | where the execution of each component is simultaneous and contingent upon the execution of all the other components; |
+ ## CHAPTER II / **PRE-TRADE TRANSPARENCY FOR REGULATED MARKETS, MULTILATERAL TRADING FACILITIES AND ORGANISED TRADING FACILITIES**
− | 2. | ‘request-for-quote system’ means a trading system where the following conditions are met:(a)a quote or quotes by a member or participant are provided in response to a request for a quote submitted by one or more other members or participants;(b)the quote is executable exclusively by the reque…
− | --- | --- |
− | (a) | a quote or quotes by a member or participant are provided in response to a request for a quote submitted by one or more other members or participants; |
− | (b) | the quote is executable exclusively by the requesting member or participant; |
− | (c) | the requesting member or market participant may conclude a transaction by accepting the quote or quotes provided to it on request; |
+ ### Article 2
− | 3. | ‘voice trading system’ means a trading system where transactions between members are arranged through voice negotiation. |
− | --- | --- |
+ Pre-trade transparency obligations
− ### art_2
+ (Article 8(1) and (2) of Regulation (EU) No 600/2014)
− Article 2
+ ### Article 3
+ 
+ Orders which are large in scale
− ### art_3
+ (Article 9(1)(a) of Regulation (EU) No 600/2014)
− Article 3
+ 
+ ### Article 4
+ 
+ Type and minimum size of orders held in an order management facility
+ 
+ (Article 9(1)(a) of Regulation (EU) No 600/2014)
+ 
+ **1.** The type of order held in an order management facility of a trading venue pending disclosure for which pre-trade transparency obligations may be waived is an order which:(a) is intended to be disclosed to the order book operated by the trading venue and is contingent on objective conditions t…
+ 
+ **2.** The minimum size of orders held in an order management facility of a trading venue pending disclosure for which pre-trade transparency obligations may be waived shall, at the point of entry and following any amendment, be one of the following:(a) in the case of a reserve order, greater than o…
+ 
+ **3.** A reserve order referred to in paragraph 2(a) shall be considered a limit order consisting of a disclosed order relating to a portion of the quantity and a non-disclosed order relating to the remainder of the quantity, where the non-disclosed quantity is capable of execution only after its re…
+ 
+ ### Article 5
+ 
+ Size specific to the financial instrument
+ 
+ (Articles 8(4) and 9(1)(b) of Regulation (EU) No 600/2014)
+ 
+ **1.** An actionable indication of interest is above the size specific to the financial instrument where, at the point of entry or following any amendment, it is equal to or larger than the minimum size of an actionable indication of interest which shall be determined in accordance with the methodol…
+ 
+ **2.** Indicative pre-trade prices for actionable indications of interest that are above the size specific to the financial instrument determined in accordance with paragraph 1 and smaller than the relevant large in scale size determined in accordance with Article 3 shall be considered close to the …
+ 
+ **3.** Market operators and investment firms operating a trading venue shall make public the methodology for calculating pre-trade prices and the time of publication when entering and updating indicative pre-trade prices.
+ 
+ ### Article 6
+ 
+ The classes of financial instruments for which there is not a liquid market
+ 
+ (Article 9(1)(c) of Regulation (EU) No 600/2014)
+ 
+ A financial instrument or a class of financial instruments shall be considered not to have a liquid market if so specified in accordance with the methodology set out in Article 13.
+ 
+ ## CHAPTER III / **POST-TRADE TRANSPARENCY FOR TRADING VENUES AND INVESTMENT FIRMS TRADING OUTSIDE A TRADING VENUE**
+ 
+ ### Article 7
+ 
+ Post-trade transparency obligations
+ 
+ (Article 10(1) and Article 21(1) and (5) of Regulation (EU) No 600/2014)
+ 
+ **1.** Investment firms trading outside the rules of a trading venue and market operators and investment firms operating a trading venue shall make public by reference to each transaction the details set out in Tables 1 and 2 of Annex II and use each applicable flag listed in Table 3 of Annex II.
+ 
+ **2.** Where a previously published trade report is cancelled, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public a new trade report which contains all the details of the original trade report and the cancellation fl…
+ 
+ **3.** Where a previously published trade report is amended, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make the following information public:(a) a new trade report that contains all the details of the original trade rep…
+ 
+ **4.** Post-trade information shall be made available as close to real time as is technically possible and in any case:(a) for the first three years of application of Regulation (EU) No 600/2014, within 15 minutes after the execution of the relevant transaction;(b) thereafter, within 5 minutes after…
+ 
+ **5.** Where a transaction between two investment firms is concluded outside the rules of a trading venue, either on own account or on behalf of clients, only the investment firm that sells the financial instrument concerned shall make the transaction public through an APA.
+ 
+ **6.** By way of derogation from paragraph 5, where only one of the investment firms party to the transaction is a systematic internaliser in the given financial instrument and it is acting as the buying firm, only that firm shall make the transaction public through an APA, informing the seller of t…
+ 
+ **7.** Investment firms shall take all reasonable steps to ensure that the transaction is made public as a single transaction. For that purpose, two matching trades entered at the same time and for the same price with a single party interposed shall be considered to be a single transaction.
+ 
+ **8.** Information relating to a package transaction shall be made available with respect to each component as close to real-time as is technically possible, having regard to the need to allocate prices to particular financial instruments and shall include the package transaction flag or the exchang…
+ 
+ ### Article 8
+ 
+ Deferred publication of transactions
+ 
+ (Article 11(1) and (3) and Article 21(4) of Regulation (EU) No 600/2014)
+ 
+ **1.** Where a competent authority authorises the deferred publication of the details of transactions pursuant to Article 11(1) of Regulation (EU) No 600/2014, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public each …
+ 
+ **2.** When the time limit of deferral set out in paragraph 1 has lapsed, all the details of the transaction shall be published unless an extended or an indefinite time period of deferral is granted in accordance with Article 11.
+ 
+ **3.** Where a transaction between two investment firms, either on own account or on behalf of clients, is executed outside the rules of a trading venue, the relevant competent authority for the purposes of determining the applicable deferral regime shall be the competent authority of the investment…
+ 
+ ### Article 9
+ 
+ Transactions which are large in scale
+ 
+ (Article 11(1)(a) of Regulation (EU) No 600/2014)
+ 
+ A transaction shall be considered large in scale compared with normal market size where it is equal to or larger than the minimum size of transaction, which shall be calculated in accordance with the methodology set out in Article 13.
+ 
+ ### Article 10
+ 
+ The size specific to the financial instrument
+ 
+ (Article 11(1)(c) of Regulation (EU) No 600/2014)
+ 
+ A transaction shall be considered above a size specific to the financial instrument where it is equal to or larger than the minimum size of transaction, which shall be calculated in accordance with the methodology set out in Article 13.
+ 
+ ### Article 11
+ 
+ Transparency requirements in conjunction with deferred publication at the discretion of the competent authorities
+ 
+ (Article 11(3) of Regulation (EU) No 600/2014)
+ 
+ **1.** Where competent authorities exercise their powers in conjunction with an authorisation of deferred publication pursuant to Article 11(3) of Regulation (EU) No 600/2014, the following shall apply:(a) where Article 11(3)(a) of Regulation (EU) No 600/2014 applies, competent authorities shall req…
+ 
+ **2.** Where the extended period of deferral set out in paragraph 1(b) has lapsed, the following requirements shall apply:(a) in respect of all instruments that are not sovereign debt, the publication of the full details of all individual transactions, on the next working day before 9.00 local time;…
+ 
+ **3.** In respect of all instruments that are not sovereign debt, all the details of the transactions on an individual basis shall be published four weeks after the publication of the aggregated details in accordance with paragraph 1(c) before 9.00 local time.
+ 
+ **4.** The aggregated daily or weekly data referred to in paragraphs 1 and 2 shall contain the following information for bonds, structured finance products, derivatives and emission allowances in respect of each day or week of the calendar period concerned:(a) the weighted average price;(b) the tota…
+ 
+ **5.** Transactions shall be aggregated per ISIN-code. Where the ISIN code is not available, transactions shall be aggregated at the level of the class of financial instruments to which the liquidity test set out in Article 13 applies.
+ 
+ **6.** Where the weekday foreseen for the publications set out in points (c) and (d) of paragraph 1, and paragraphs 2 and 3, is not a working day, the publications shall be effected on the following working day before 9.00 local time.
+ 
+ ### 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 obligation to make public the volume and price of transactions and the time at which they were concluded as set out in Article 21(1) of Regulation (EU) No 600/2014 shall not apply to any of the following:
+ 
+ (a) transactions listed in Article 2(5) of Commission Delegated Regulation (EU) 2017/590 (2);
+ 
+ (b) transactions executed by a management company as defined in Article 2(1)(b) of Directive 2009/65/EC of the European Parliament and of the Council (3) or an alternative investment fund manager as defined in Article 4(1)(b) of Directive 2011/61/EU of the European Parliament and of the Council (4) …
+ 
+ (c) ‘give-up transaction’ or ‘give-in transaction’ which is a transaction where an investment firm passes a client trade to, or receives a client trade from, another investment firm for the purpose of post-trade processing;
+ 
+ (d) transfers of financial instruments such as collateral in bilateral transactions or in the context of a central counterparty (CCP) margin or collateral requirements or as part of the default management process of a CCP.
+ 
+ ## CHAPTER IV / **PROVISIONS COMMON TO PRE-TRADE AND POST-TRADE TRANSPARENCY**
+ 
+ ### Article 13
+ 
+ Methodology to perform the transparency calculations
+ 
+ (Article 9(1) and (2), Article 11(1) and Article 22(1) of Regulation (EU) No 600/2014)
+ 
+ **1.** For determining financial instruments or classes of financial instruments for which there is not a liquid market for the purposes of Article 6 and point (b) of paragraph 1 of Article 8, the following methodologies shall be applied across asset classes:(a) Static determination of liquidity for…
+ 
+ **2.** For determining the size specific to the financial instrument referred to in Article 5 and the orders that are large in scale compared with normal market size referred to in Article 3, the following methodologies shall be applied:(a) the threshold value for:(i) ETC and ETN bond types as defin…
+ 
+ **3.** For the determination of the size specific to the financial instrument referred to in Article 8(1)(c) and transactions that are large in scale compared with normal market size referred to in Article 8(1)(a), the following methodologies shall be applied:(a) the threshold value for:(i) ETC and …
+ 
+ **4.** For the purpose of paragraph 3(c) where the trade size corresponding to the volume percentile for the determination of the transaction that is large in scale compared with normal market size is higher than the 97,5 trade percentile, the trade volume shall not be taken into consideration and t…
+ 
+ **5.** In accordance with Delegated Regulations (EU) 2017/590 and (EU) 2017/577 competent authorities shall collect on a daily basis the data from trading venues, APAs and CTPs which is necessary to perform the calculations to determine:(a) the financial instruments and classes of financial instrume…
+ 
+ **6.** Competent authorities performing the calculations for a class of financial instruments shall establish cooperation arrangements between each other as to ensure the aggregation of the data across the Union necessary for the calculations.
+ 
+ **7.** For the purpose of paragraph 1(b) and (d), paragraph 2(b) and paragraph 3(b), (c) and (d), competent authorities shall take into account transactions executed in the Union between 1 January and 31 December of the preceding year.
+ 
+ **8.** The trade size for the purpose of paragraph 2(b) and paragraph 3(b), (c) and (d) shall be determined according to the measure of volume as defined in Table 4 of Annex II. Where the trade size defined for the purpose of paragraphs 2 and 3 is expressed in monetary value and the financial instru…
+ 
+ **9.** Market operators and investment firms operating a trading venue may convert the trade sizes determined according to paragraphs 2 and 3 to the corresponding number of lots as defined in advance by that trading venue for the respective sub-class or sub-asset class. Market operators and investme…
+ **10.** The calculations referred to in paragraph 2(b)(i) and paragraph 3(b) shall exclude transactions with a size equal to or smaller than EUR 100 000 .
+ 
+ **11.** For the purpose of the determinations referred to in paragraphs 2 and 3, points (b) of paragraph 2 and points (b), (c) and (d) of paragraph 3 shall not apply whenever the number of transactions considered for calculations is smaller than 1 000 , in which case the following thresholds shall b…
+ 
+ **12.** Except when they refer to emission allowances or derivatives thereof, the calculations referred to in paragraph 2(b) and paragraph 3(b), (c) and (d) shall be rounded up to the next:(a) 100 000 where the threshold value is smaller than 1 million;(b) 500 000 where the threshold value is equal …
+ 
+ **13.** For the purpose of paragraph 1, the quantitative liquidity criteria specified for each asset class in Annex III shall be determined according to Section 1 of Annex III.
+ 
+ **14.** For equity derivatives that are admitted to trading or first traded on a trading venue, that do not belong to a sub-class for which the size specific to the financial instrument referred to in Article 5 and Article 8(1)(c) and the size of orders and transactions large in scale compared with …
+ 
+ **15.** Financial instruments admitted to trading or first traded on a trading venue which do not belong to any sub-class for which the size specific to the financial instrument referred to in Article 5 and Article 8(1)(c) and the size of orders and transactions large in scale compared with normal m…
+ 
+ **16.** After the end of the trading day but before the end of that day, trading venues shall submit to competent authorities the details included in Annex IV for performing the calculations referred to in paragraph 5 whenever the financial instrument is admitted to trading or first traded on that t…
+ 
+ **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…
+ 
+ **18.** For the purposes of the calculations in paragraph 1(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(a) on a quarterly basis, on the fir…
+ 
+ **19.** Bonds, except for ETCs and ETNs, that are admitted to trading or first traded on a trading venue during the first two months of a quarter shall be considered to have a liquid market as specified in Table 2.2 of Annex III until the application of the results of the calculation of the calendar…
+ 
+ **20.** Bonds, except for ETCs and ETNs, that are admitted to trading or first traded on a trading venue during the last month of a quarter shall be considered to have a liquid market as specified in Table 2.2 of Annex III until the application of the results of the calculation of the following cale…
+ 
+ ### Article 14
+ 
+ Transactions to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 applies
+ 
+ (Article 1(6) of Regulation (EU) No 600/2014)
+ 
+ A transaction shall be considered to be entered into by a member of the European System of Central Banks (ESCB) in performance of monetary, foreign exchange and financial stability policy where that transaction meets any of the following requirements:
+ 
+ (a) the transaction is carried out for the purposes of monetary policy, including an operation carried out in accordance with Articles 18 and 20 of the Statute of the European System of Central Banks and of the European Central Bank annexed to the Treaty on European Union or an operation carried out…
+ 
+ (b) the transaction is a foreign-exchange operation, including operations carried out to hold or manage official foreign reserves of the Member States or the reserve management service provided by a member of the ESCB to central banks in other countries to which the exemption has been extended in ac…
+ 
+ (c) the transaction is carried out for the purposes of financial stability policy.
+ 
+ ### Article 15
+ 
+ Transactions to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 does not apply
+ 
+ (Article 1(7) of Regulation (EU) No 600/2014)
+ 
+ Article 1(6) of Regulation (EU) No 600/2014 shall not apply to the following types of transactions entered into by a member of the ESCB for the performance of an investment operation that is unconnected with that member's performance of one of the tasks referred to in Article 14:
+ 
+ (a) transactions entered into for the management of its own funds;
+ 
+ (b) transactions entered into for administrative purposes or for the staff of the member of the ESCB which include transactions conducted in the capacity as administrator of a pension scheme for its staff;
+ 
+ (c) transactions entered into for its investment portfolio pursuant to obligations under national law.
+ 
+ ### Article 16
+ 
+ Temporary suspension of transparency obligations
+ 
+ (Article 9(5)(a) of Regulation (EU) No 600/2014)
+ 
+ **1.** For financial instruments for which there is a liquid market in accordance with the methodology set out in Article 13, a competent authority may temporarily suspend the obligations set out in Articles 8 and 10 Regulation (EU) No 600/2014 where for a class of bonds, structured finance products…
+ 
+ **2.** For financial instruments for which there is not a liquid market in accordance with the methodology set out in Article 13, a competent authority may temporarily suspend the obligations referred to in Articles 8 and 10 of Regulation (EU) No 600/2014 when for a class of bonds, structured financ…
+ 
+ **3.** Competent authorities shall take into account the transactions executed on all venues in the Union for the class of bonds, structured finance products, emission allowances or derivatives concerned when performing the calculations referred to in paragraphs 1 and 2. The calculations shall be pe…
+ 
+ **4.** Before competent authorities decide to suspend transparency obligations, they shall ensure that the significant decline in liquidity across all venues is not the result of seasonal effects of the relevant class of financial instruments on liquidity.
+ 
+ ### Article 17 — Provisions for the liquidity assessment for bonds and for the determination of the pre-trade size specific to the instrument thresholds based on trade percentiles
+ 
+ **1.** For determining the bonds for which there is not a liquid market for the purposes of Article 6 and according to the methodology specified in point (b) of Article 13(1), the approach for the liquidity criterion ‘average daily number of trades’ shall be taken applying the ‘average daily number …
+ 
+ **2.** Corporate bonds and covered bonds that are admitted to trading or first traded on a trading venue shall be considered to have a liquid market until the application of the results of the first quarterly liquidity determination as set out in Article 13(18) where:(a) the issuance size exceeds EU…
+ 
+ **3.** For determining the size specific to the financial instrument for the purposes of Article 5 and according to the methodology specified under point (b)(i) of Article 13(2), the approach for the trade percentile to be applied shall be used applying the trade percentile corresponding to the stag…
+ 
+ For determining the size specific to the financial instrument for the purposes of Article 5 and according to the methodology specified under points (b)(ii), (iii) and (iv) of Article 13(2), the approach for the trade percentile to be applied shall be used applying the trade percentile corresponding …
+ 
+ **4.** ESMA shall, by 30 July of the year following the date of application of Regulation (EU) No 600/2014 and by 30 July of each year thereafter, submit to the Commission an assessment of the operation of the thresholds for the liquidity criterion 'average daily number of trades' for bonds as well …
+ 
+ **5.** The assessment referred to in paragraph 4 shall take into account:(a) the evolution of trading volumes in non-equity instruments covered by the pre-trade transparency obligations pursuant to Article 8 and 9 of Regulation (EU) No 600/2014;(b) the impact on liquidity providers of the percentile…
+ 
+ **6.** ESMA shall, in light of the assessment undertaken in accordance with paragraphs 4 and 5, submit to the Commission an amended version of the regulatory technical standard adjusting the threshold for the liquidity criterion ‘average daily number of trades’ for bonds according to the following s…
+ 
+ **7.** Where ESMA does not submit an amended regulatory technical standard adjusting the threshold to the next stage according to the sequence referred to in paragraph 6, the ESMA assessment undertaken in accordance with paragraphs 4 and 5 shall explain why adjusting the threshold to the relevant ne…
+ 
+ **8.** ESMA shall, in light of the assessment undertaken in accordance with paragraphs 4 and 5, submit to the Commission an amended version of the regulatory technical standard adjusting the threshold for trade percentiles according to the following sequence:(a) S2 (40th percentile) by 30 July of th…
+ 
+ **9.** Where ESMA does not submit an amended regulatory technical standard adjusting the threshold to the next stage according to the sequence referred to in paragraph 8, the ESMA assessment undertaken in accordance with paragraphs 4 and 5 shall explain why adjusting the threshold to the relevant ne…
+ 
+ ### Article 18 — Transitional provisions
+ 
+ **1.** Competent authorities shall, no later than six months prior to the date of application of Regulation (EU) No 600/2014, collect the necessary data, calculate and ensure publication of the details referred to in Article 13(5).
+ 
+ **2.** For the purposes of paragraph 1:(a) the calculations shall be based on a six-month reference period commencing 18 months prior to the date of application of Regulation (EU) No 600/2014;(b) the results of the calculations contained in the first publication shall be used until the results of th…
+ 
+ **3.** By derogation from paragraph 1, for all bonds, except ETCs and ETNs, competent authorities shall use their best endeavours to ensure publication of the results of the transparency calculations specified in paragraph 1(b)(i) of Article 13 no later than on the first day of the month preceding t…
+ 
+ **4.** Competent authorities, market operators and investment firms including investment firms operating a trading venue shall use the information published in accordance with paragraph 3 until the results of the first regular calculation set out in Article 13(18) apply.
+ 
+ **5.** Bonds, except for ETCs and ETNs, which are admitted to trading or first traded on a trading venue in the three month period preceding the date of application of Regulation (EU) No 600/2014 shall be considered not to have a liquid market as set out in Table 2.2 of Annex III until the results o…
+ 
+ ### Article 19 — Entry into force and application
+ 
+ This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
+ 
+ It shall apply from 3 January 2018. However, Article 18 shall apply from the date of the entry of force of this Regulation.
+ 
+ This Regulation shall be binding in its entirety and directly applicable in all Member States.
+ 
+ ### ANNEX I
+ 
+ **Description of the type of system and the related information to be made public in accordance with Article 2**
+ 
+ **Information to be made public in accordance with Article 2**
+ 
+ | Type of 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 numb…
+ | 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 a…
+ | 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…
+ | 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 partici…
+ | Voice trading system | A trading system where transactions between members are arranged through voice negotiation. | The bids and offers and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules |
+ | Trading system not covered by first 5 rows | A hybrid system falling into two or more of the first five rows or a system where the price determination process is of a different nature than that applicable to the types of system covered by first five rows. | Adequate information as to the level of …
+ 
+ ### ANNEX II
+ 
+ **Details of transactions to be made available to the public**
+ 
+ *Table 1*
+ 
+ **Symbol table for Table 2**
+ 
+ | SYMBOL | DATA TYPE | DEFINITION |
+ | --- | --- | --- |
+ | {ALPHANUM-n} | Up to n alphanumerical characters | Free text field. |
+ | {CURRENCYCODE_3} | 3 alphanumerical characters | 3 letter currency code, as defined by ISO 4217 currency codes |
+ | {DATE_TIME_FORMAT} | ISO 8601 date and time format | Date and time in the following format:YYYY-MM-DDThh:mm:ss.ddddddZ.Where:— ‘YYYY’ is the year;— ‘MM’ is the month;— ‘DD’ is the day;— ‘T’ — means that the letter ‘T’ shall be used— ‘hh’ is the hour;— ‘mm’ is the minute;— ‘ss.dddddd’ is the second…
+ | {DECIMAL-n/m} | Decimal number of up to n digits in total of which up to m digits can be fraction digits | Numerical field for both positive and negative values:— decimal separator is ‘.’ (full stop);— negative numbers are prefixed with ‘-’ (minus).Where applicable, values shall be rounded and not…
+ | {ISIN} | 12 alphanumerical characters | ISIN code, as defined in ISO 6166 |
+ | {MIC} | 4 alphanumerical characters | Market identifier as defined in ISO 10383 |
− ### art_4
+ *Table 2*
− Article 4
+ **List of details for the purpose of post-trade transparency**
+ 
+ | Details | Financial instruments | Description/Details to be published | Type of execution/publication venue | Format to be populated as defined in Table 1 |
+ | --- | --- | --- | --- | --- |
+ | Trading date and time | For all financial instruments | Date and time when the transaction was executed.For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 3 of Commission Delegated Regulation (EU) 2017/574 (1).For …
+ | Instrument identification code type | For all financial instruments | Code type used to identify the financial instrument | RM, MTF, OTFAPACTP | ‘ISIN’ = ISIN-code, where ISIN is available‘OTHR’ = other identifier |
+ | Instrument identification code | For all financial instruments | Code used to identify the financial instrument | RM, MTF, OTFAPACTP | {ISIN}Where Instrument identification code is not an ISIN, an identifier that identifies the derivative instrument based on the fields 3 to 5, 7 and 8 and 12 to 42…
+ | Price | For all financial instruments | Traded price of the transaction excluding, where applicable, commission and accrued interest.In the case of option contracts, it shall be the premium of the derivative contract per underlying or index point.In the case of spread bets it shall be the referenc…
+ | 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 a trading venue. Where the segment MIC does not exist, use the operating MIC.Use MIC code ‘XOFF’ for financial instruments …
+ | Price notation | For all financial instruments | Indication as to whether the price is expressed in monetary value, in percentage or in yield | RM, MTF, OTFAPACTP | ‘MONE’ — Monetary value‘PERC’ — Percentage‘YIEL’ — Yield‘BAPO’ — Basis points |
+ | Price Currency | For all financial instruments | Currency in which the price is expressed (applicable if the price is expressed as monetary value) | RM, MTF, OTFAPACTP | {CURRENCYCODE_3} |
+ | Notation of the quantity in measurement unit | For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. | Indication of measurement units in which the quantity in measurement unit is …
+ | Quantity in measurement unit | For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. | The equivalent amount of commodity or emission allowance traded expressed in measurement unit…
+ | Quantity | For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. | The number of units of the financial instrument, or the number of derivative contracts in the transaction. | RM, MTF, OTFAPACTP | {DECIMAL-18/17} |
+ | Notional amount | For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of this Regulation. | Nominal amount or notional amountFor spread bets, the notional amount shall be the monetary value wagered per point movement in the underlying financial instr…
+ | Notional currency | For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of the Regulation. | Currency in which the notional is denominated | RM, MTF, OTFAPACTP | {CURRENCYCODE_3} |
+ | Type | For emission allowances and emission allowance derivatives only | This field is only applicable for emission allowances and emission allowance derivatives. | RM, MTF, OTFAPACTP | ‘EUAE’ — EUA‘CERE’ — CER‘ERUE’ — ERU‘EUAA’ — EUAA‘OTHR’ — Other (for derivatives only) |
+ | 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 (E…
+ | 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. |
+ | Transaction Identification Code | For all financial instruments | Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580 (2) and APAs and used in any subsequent reference to the specific trade.The transaction identification code shal…
+ | Transaction to be cleared | For derivatives | Code to identify whether the transaction will be cleared. | RM, MTF, OTFAPACTP | ‘true’ — transaction to be cleared‘false’ — transaction not to be cleared |
+ | (1)Commission Delegated Regulation (EU) 2017/574 of 7 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the level of accuracy of business clocks (see page 148 of this Official Journal).(2)Commission Delegate…
− 1. The type of order held in an order management facility of a trading venue pending disclosure for which pre-trade transparency obligations may be waived is an order which:
+ *Table 3*
− | (a) | is intended to be disclosed to the order book operated by the trading venue and is contingent on objective conditions that are defined in advance by the system's protocol; |
− | --- | --- |
+ **List of flags for the purpose of post-trade transparency**
− | (b) | does not interact with other trading interest prior to disclosure to the order book operated by the trading venue; |
− | --- | --- |
+ |  | Flag | Name of Flag | Type of execution/publication venue | Description |
+ | --- | --- | --- | --- | --- |
+ |  | ‘BENC’ | Benchmark transaction flag | RM, MTF, OTFAPACTP | All kinds of volume weighted average price transactions and all other trades where the price is calculated over multiple time instances according to a given benchmark. |
+ |  | ‘ACTX’ | Agency cross transaction flag | APACTP | 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, OTFCTP | All types of transactions listed under Article 12 of this Regulation and which do not contribute to the price formation. |
+ |  | ‘LRGS’ | Post-trade LIS transaction flag | RM, MTF, OTFAPACTP | Transactions executed under the post-trade large in scale deferral. |
+ |  | ‘ILQD’ | Illiquid instrument transaction flag | RM, MTF, OTFAPACTP | Transactions executed under the deferral for instruments for which there is not a liquid market. |
+ |  | ‘SIZE’ | Post-trade SSTI transaction flag | RM, MTF, OTFAPACTP | Transactions executed under the post-trade size specific to the instrument deferral. |
+ |  | ‘TPAC’ | Package transaction flag | RM, MTF, OTFAPACTP | Package transactions which are not exchange for physicals as defined in Article 1. |
+ |  | ‘XFPH’ | Exchange for physicals transaction flag | RM, MTF, OTFAPACTP | Exchange for physicals as defined in Article 1 |
+ |  | ‘CANC’ | Cancellation flag | RM, MTF, OTFAPACTP | When a previously published transaction is cancelled. |
+ |  | ‘AMND’ | Amendment flag | RM, MTF, OTFAPACTP | When a previously published transaction is amended. |
+ | SUPPLEMENTARY DEFERRAL FLAGS |  |  |  |  |
+ | Article 11(1)(a)(i). | ‘LMTF’ | Limited details flag | RM, MTF, OTFAPACTP | First report with publication of limited details in accordance with Article 11(1)(a)(i). |
+ | ‘FULF’ | Full details flag | Transaction for which limited details have been previously published in accordance with Article 11(1)(a)(i). |  |  |
+ | Article 11(1)(a)(ii). | ‘DATF’ | Daily aggregated transaction flag | RM, MTF, OTFAPACTP | Publication of daily aggregated transaction in accordance with Article 11(1)(a)(ii). |
+ | ‘FULA’ | Full details flag | RM, MTF, OTFAPACTP | Individual transactions for which aggregated details have been previously published in accordance with Article 11(1)(a)(ii). |  |
+ | Article 11(1)(b) | ‘VOLO’ | Volume omission flag | RM, MTF, OTFAPACTP | Transaction for which limited details are published in accordance with Article 11(1)(b). |
+ | ‘FULV’ | Full details flag | RM, MTF, OTFAPACTP | Transaction for which limited details have been previously published in accordance with Article 11(1)(b) |  |
+ | Article 11(1)(c) | ‘FWAF’ | Four weeks aggregation flag | RM, MTF, OTFAPACTP | Publication of aggregated transactions in accordance with Article 11(1)(c). |
+ | ‘FULJ’ | Full details flag | RM, MTF, OTFAPACTP | Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1)(c). |  |
+ | Article 11(1)(d) | ‘IDAF’ | Indefinite aggregation flag | RM, MTF, OTFAPACTP | Transactions for which the publication of several transactions in aggregated form for an indefinite period of time has been allowed in accordance with Article 11(1)(d). |
+ | Consecutive use of Article 11(1)(b) and Article 11(2)(c) for sovereign debt instruments | ‘VOLW’ | Volume omission flag | RM, MTF, OTFAPACTP | Transaction for which limited are published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form fo…
+ | ‘COAF’ | Consecutive aggregation flag (post volume omission for sovereign debt instruments) | RM, MTF, OTFAPACTP | 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 …
− | (c) | once disclosed to the order book it interacts with other orders in accordance with the rules applicable to orders of that kind at the time of disclosure. |
− | --- | --- |
+ *Table 4*
− 2. The minimum size of orders held in an order management facility of a trading venue pending disclosure for which pre-trade transparency obligations may be waived shall, at the point of entry and following any amendment, be one of the following:
+ **Measure of volume**
− | (a) | in the case of a reserve order, greater than or equal to EUR 10 000; |
− | --- | --- |
+ | Type of instrument | Volume |
− | (b) | for all other orders, a size that is greater than or equal to the minimum tradable quantity set in advance by the system operator under its rules and protocols. |
+ | All bonds except ETCs and ETNs and structured finance products | Total nominal value of debt instruments traded |
+ | ETCs and ETNs bond types | Number of units traded (1) |
+ | Securitised derivatives | Number of units traded (1) |
+ | Interest rate derivatives | Notional amount of traded contracts |
+ | Foreign Exchange Derivatives | Notional amount of traded contracts |
+ | Equity derivatives | Notional amount of traded contracts |
+ | Commodity derivatives | Notional amount of traded contracts |
+ | Credit derivatives | Notional amount of traded contracts |
+ | Contract for differences | Notional amount of traded contracts |
+ | C10 derivatives | Notional amount of traded contracts |
+ | Emission allowance derivatives | Tons of Carbon Dioxide equivalent |
+ | Emission allowances | Tons of Carbon Dioxide equivalent |
+ | (1)Price per unit. |  |
+ ### ANNEX III
− 3. A reserve order referred to in paragraph 2(a) shall be considered a limit order consisting of a disclosed order relating to a portion of the quantity and a non-disclosed order relating to the remainder of the quantity, where the non-disclosed quantity is capable of execution only after its releas…
+ **Liquidity assessment, LIS and SSTI thresholds for non-equity financial instruments**
− ### art_5
+ 1. ****Instructions for the purpose of this annex****
− Article 5
+ 1. A reference to an ‘asset class’ means a reference to the following classes of financial instruments: bonds, structured finance products, securitised derivatives, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives, C10 derivatives…
− 1. An actionable indication of interest is above the size specific to the financial instrument where, at the point of entry or following any amendment, it is equal to or larger than the minimum size of an actionable indication of interest which shall be determined in accordance with the methodology …
+ 2. A reference to a ‘sub-asset class’ means a reference to an asset class segmented to a more granular level on the basis of the contract type and/or the type of underlying.
− 2. Indicative pre-trade prices for actionable indications of interest that are above the size specific to the financial instrument determined in accordance with paragraph 1 and smaller than the relevant large in scale size determined in accordance with Article 3 shall be considered close to the pric…
+ 3. A reference to a ‘sub-class’ means a reference to a sub-asset class segmented to a more granular level on basis of further qualitative segmentation criteria as set out in Tables 2.1 to 13.3 of this Annex.
− | (a) | the best available price; |
− | --- | --- |
+ 4. ‘Average daily turnover (ADT)’ means the total turnover for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, t…
− | (b) | a simple average of prices; |
− | --- | --- |
+ 5. ‘Average daily notional amount (ADNA)’ means the total notional amount for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for a…
− | (c) | an average price weighted on the basis of the volume, price, time or the number of actionable indications of interest. |
− | --- | --- |
+ 6. ‘Percentage of days traded over the period considered’ means the number of days in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for structured finance products, on which at least one transaction has been executed for that financial instrument, divid…
− 3. Market operators and investment firms operating a trading venue shall make public the methodology for calculating pre-trade prices and the time of publication when entering and updating indicative pre-trade prices.
+ 7. ‘Average daily number of trades’ means the total number of transactions executed for a particular financial instrument in the period set out in Article 13(18) for all bonds except ETCs and ETN and in Article 13(7) all the other financial instruments, divided by the number of trading days in that …
− ### art_6
+ 8. ‘Future’ means a contract to buy or sell a commodity or financial instrument in a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller. Every futures contract has standard terms that dictate the minimum quantity and quality that can be bought or …
− Article 6
+ 9. ‘Option’ means a contract that gives the owner the right, but not the obligation, to buy (call) or sell (put) a specific financial instrument or commodity at a predetermined price, strike or exercise price, at or up to a certain future date or exercise date.
− A financial instrument or a class of financial instruments shall be considered not to have a liquid market if so specified in accordance with the methodology set out in Article 13.
+ 10. ‘Swap’ means a contract in which two parties agree to exchange cash flows in one financial instrument for those of another financial instrument at a certain future date.
− ### art_7
+ 11. ‘Portfolio Swap’ means a contract by which end-users can trade multiple swaps.
− Article 7
+ 12. ‘Forward’ or ‘Forward agreement’ means a private agreement between two parties to buy or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller.
− 1. Investment firms trading outside the rules of a trading venue and market operators and investment firms operating a trading venue shall make public by reference to each transaction the details set out in Tables 1 and 2 of Annex II and use each applicable flag listed in Table 3 of Annex II.
+ 13. ‘Swaption’ means a contract that gives the owner the right, but not the obligation, to enter a swap at or up to a certain future date or exercise date.
− 2. Where a previously published trade report is cancelled, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public a new trade report which contains all the details of the original trade report and the cancellation flag s…
+ 14. ‘Future on a swap’ means a future contract that gives the owner the obligation, to enter a swap at or up to a certain future date.
− 3. Where a previously published trade report is amended, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make the following information public:
+ 15. ‘Forward on a swap’ means a forward contract that gives the owner the obligation, to enter a swap at or up to a certain future date.
− | (a) | a new trade report that contains all the details of the original trade report and the cancellation flag specified in Table 3 of Annex II; |
− | --- | --- |
+ 2. ****Bonds****
− | (b) | a new trade report that contains all the details of the original trade report with all necessary details corrected and the amendment flag as specified in Table 3 of Annex II. |
− | --- | --- |
+ *Table 2.1*
− 4. Post-trade information shall be made available as close to real time as is technically possible and in any case:
+ **Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market**
− | (a) | for the first three years of application of Regulation (EU) No 600/2014, within 15 minutes after the execution of the relevant transaction; |
− | --- | --- |
+ | Asset class — Bonds (all bond types except ETCs and ETNs) |  |  |  |  |  |
+ | --- | --- | --- | --- | --- | --- |
+ | **Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria on a cumulative basis** |  |  |  |  |  |
+ | **Average daily notional amount**[quantitative liquidity criteria 1] | **Average daily number of trades**[quantitative liquidity criteria 2] | **Percentage of days traded over the period considered**[quantitative liquidity criteria 3] |  |  |  |
+ | EUR 100 000 | S1 | S2 | S3 | S4 | 80 % |
+ | 15 | 10 | 7 | 2 |  |  |
− | (b) | thereafter, within 5 minutes after the execution of the relevant transaction. |
− | --- | --- |
+ *Table 2.2*
− 5. Where a transaction between two investment firms is concluded outside the rules of a trading venue, either on own account or on behalf of clients, only the investment firm that sells the financial instrument concerned shall make the transaction public through an APA.
+ **Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market**
− 6. By way of derogation from paragraph 5, where only one of the investment firms party to the transaction is a systematic internaliser in the given financial instrument and it is acting as the buying firm, only that firm shall make the transaction public through an APA, informing the seller of the a…
+ | 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** |  |
+ | Sovereign Bond | means a bond issued by a sovereign issuer which is either:(a) the Union;(b) a Member State including a government department, an agency or a special purpose vehicle of a Member State;(c) a sovereign entity which is not listed under points (a) and (b). | smaller than (in EUR) | 1 0…
+ | Other Public Bond | means a bond issued by any of the following public issuers:(a) in the case of a federal Member State, a member of that federation;(b) a special purpose vehicle for several Member States;(c) an international financial institution established by two or more Member States which ha…
+ | Convertible Bond | means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity | smaller than (in EUR) | 500 000 000 |
+ | Covered Bond | means bonds as referred to in Article 52(4) of Directive 2009/65/EC | during stages S1 and S2 | during stages S3 and S4 |
+ | smaller than (in EUR) | 1 000 000 000 | smaller than (in EUR) | 500 000 000 |
+ | Corporate Bond | means a bond that is issued by a Societas Europaea established in accordance with Council Regulation (EC) No 2157/2001 (1) or a type of company listed in Article 1 of Directive 2009/101/EC of the European Parliament and of the Council (2) or equivalent in third countries | during …
+ | smaller than (in EUR) | 1 000 000 000 | smaller than (in EUR) | 500 000 000 |
+ | **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 | A bond that does not belong to any of the above bond types is considered not to have a liquid market |  |  |
+ | (1)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).(2)Directive 2009/101/EC of the European Parliament and of the Council of 16 September 2009 on coordination of safeguards which, for the protection of the interests of …
− 7. Investment firms shall take all reasonable steps to ensure that the transaction is made public as a single transaction. For that purpose, two matching trades entered at the same time and for the same price with a single party interposed shall be considered to be a single transaction.
+ *Table 2.3*
− 8. Information relating to a package transaction shall be made available with respect to each component as close to real-time as is technically possible, having regard to the need to allocate prices to particular financial instruments and shall include the package transaction flag or the exchange fo…
+ **Bonds (all bond types except ETCs and ETNs) — pre-trade and post-trade SSTI and LIS thresholds**
− ### art_8
+ | Asset class — Bonds (all bond types except ETCs and ETNs) |  |  |  |  |  |  |  |  |  |  |
+ | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
+ | **Bond Type** | **Transactions to be considered for the calculation of the thresholds per bond type** | **Percentiles to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each bond type** |  |  |  |  |  |  |  |  |
+ | **SSTI pre-trade** | **LIS pre-trade** | **SSTI post-trade** | **LIS post-trade** |  |  |  |  |  |  |  |
+ | **Trade — percentile** | **threshold floor** | **Trade — percentile** | **threshold floor** | **Trade — percentile** | **Trade — percentile** |  |  |  |  |  |
+ | Sovereign Bond | transactions executed on Sovereign Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 300 000 | 70 | EUR 300 000 | 80 | 90 |
+ | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |
+ | Other Public Bond | transactions executed on Other Public Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 300 000 | 70 | EUR 300 000 | 80 | 90 |
+ | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |
+ | Convertible Bond | transactions executed on Convertible Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 200 000 | 70 | EUR 200 000 | 80 | 90 |
+ | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |
+ | Covered Bond | transactions executed on Covered Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 300 000 | 70 | EUR 300 000 | 80 | 90 |
+ | 30 | 40 | 40 | 40 |  |  |  |  |  |  |  |
+ | Corporate Bond | transactions executed on Corporate Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 200 000 | 70 | EUR 200 000 | 80 | 90 |
+ | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |
+ | Other Bonds | transactions executed on Other Bonds following the exclusion of transactions as specified in Article 13(10) | S1 | S2 | S3 | S4 | EUR 200 000 | 70 | EUR 200 000 | 80 | 90 |
+ | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |
− Article 8
+ *Table 2.4*
− 1. Where a competent authority authorises the deferred publication of the details of transactions pursuant to Article 11(1) of Regulation (EU) No 600/2014, investment firms trading outside a trading venue and market operators and investment firms operating a trading venue shall make public each tran…
+ **Bonds (ETC and ETN bond types) — classes not having a liquid market**
− | (a) | the transaction is large in scale compared with the normal market size as specified in Article 9; |
− | --- | --- |
+ | Asset class — Bonds (ETC and ETN bond types) |  |  |
+ | --- | --- | --- |
+ | **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] |  |
… diff truncated at 500 changed lines …