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

+ ## CHAPTER I — DEFINITIONS
− ## CHAPTER I / **DEFINITIONS**
+ ## CHAPTER II — PRE-TRADE TRANSPARENCY FOR REGULATED MARKETS, MULTILATERAL TRADING FACILITIES AND ORGANISED TRADING FACILITIES
− ## CHAPTER II / **PRE-TRADE TRANSPARENCY FOR REGULATED MARKETS, MULTILATERAL TRADING FACILITIES AND ORGANISED TRADING FACILITIES**
− 
− Pre-trade transparency obligations
− 
− (Article 8(1) and (2) of Regulation (EU) No 600/2014)
− Orders which are large in scale
− 
− (Article 9(1)(a) of Regulation (EU) No 600/2014)
− 
− 
− Type and minimum size of orders held in an order management facility
− (Article 9(1)(a) of Regulation (EU) No 600/2014)
− 
+ **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.
+ 
− Size specific to the financial instrument
− 
− (Articles 8(4) and 9(1)(b) of Regulation (EU) No 600/2014)
− 
− 
− The classes of financial instruments for which there is not a liquid market
− 
− (Article 9(1)(c) of Regulation (EU) No 600/2014)
+ ## CHAPTER III — POST-TRADE TRANSPARENCY FOR TRADING VENUES AND INVESTMENT FIRMS TRADING OUTSIDE A TRADING VENUE
− ## CHAPTER III / **POST-TRADE TRANSPARENCY FOR TRADING VENUES AND INVESTMENT FIRMS TRADING OUTSIDE A TRADING VENUE**
− 
− Post-trade transparency obligations
− 
− (Article 10(1) and Article 21(1) and (5) of Regulation (EU) No 600/2014)
− 
− Deferred publication of transactions
− 
− (Article 11(1) and (3) and Article 21(4) of Regulation (EU) No 600/2014)
− Transactions which are large in scale
− 
− (Article 11(1)(a) of Regulation (EU) No 600/2014)
− 
− 
− The size specific to the financial instrument
− 
− (Article 11(1)(c) of Regulation (EU) No 600/2014)
− Transparency requirements in conjunction with deferred publication at the discretion of the competent authorities
− 
− (Article 11(3) of Regulation (EU) No 600/2014)
− 
− 
− Application of post-trade transparency to certain transactions executed outside a trading venue
− (Article 21(1) of Regulation (EU) No 600/2014)
− 
+ ## CHAPTER IV — PROVISIONS COMMON TO PRE-TRADE AND POST-TRADE TRANSPARENCY
− ## CHAPTER IV / **PROVISIONS COMMON TO PRE-TRADE AND POST-TRADE TRANSPARENCY**
− Methodology to perform the transparency calculations
− 
− (Article 9(1) and (2), Article 11(1) and Article 22(1) of Regulation (EU) No 600/2014)
− 
+ 
+ The data referred to in the first subparagraph shall be collected in accordance with Annex V.
+ **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…
− **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 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…
− **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…
− 
− 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)
− 
− 
− 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)
− 
− Temporary suspension of transparency obligations
− 
− (Article 9(5)(a) of Regulation (EU) No 600/2014)
− 
− 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 |
− 
− *Table 2*
− 
− **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…
− 
− *Table 3*
− 
− **List of flags for the purpose of post-trade transparency**
− 
− |  | 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 …
− 
− *Table 4*
− 
− **Measure of volume**
− 
− | Type of instrument | Volume |
− | --- | --- |
− | All bonds except ETCs and ETNs and structured finance products | Total nominal value of debt instruments traded |
− | ETCs and ETNs bond types | Number of units traded (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
− 
− **Liquidity assessment, LIS and SSTI thresholds for non-equity financial instruments**
− 
− 1. ****Instructions for the purpose of this annex****
− 
− 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…
− 
− 2. A reference to a ‘sub-asset class’ means a reference to an asset class segmented to a more granular level on the basis of the contract type and/or the type of underlying.
− 
− 3. A reference to a ‘sub-class’ means a reference to a sub-asset class segmented to a more granular level on basis of further qualitative segmentation criteria as set out in Tables 2.1 to 13.3 of this Annex.
− 
− 4. ‘Average daily turnover (ADT)’ means the total turnover for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, t…
− 
− 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…
− 
− 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…
− 
− 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 …
− 
− 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 …
− 
− 9. ‘Option’ means a contract that gives the owner the right, but not the obligation, to buy (call) or sell (put) a specific financial instrument or commodity at a predetermined price, strike or exercise price, at or up to a certain future date or exercise date.
− 
− 10. ‘Swap’ means a contract in which two parties agree to exchange cash flows in one financial instrument for those of another financial instrument at a certain future date.
− 
− 11. ‘Portfolio Swap’ means a contract by which end-users can trade multiple swaps.
− 
− 12. ‘Forward’ or ‘Forward agreement’ means a private agreement between two parties to buy or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller.
− 
− 13. ‘Swaption’ means a contract that gives the owner the right, but not the obligation, to enter a swap at or up to a certain future date or exercise date.
− 
− 14. ‘Future on a swap’ means a future contract that gives the owner the obligation, to enter a swap at or up to a certain future date.
− 
− 15. ‘Forward on a swap’ means a forward contract that gives the owner the obligation, to enter a swap at or up to a certain future date.
− 
− 2. ****Bonds****
− 
− *Table 2.1*
− 
− **Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market**
− 
− | 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 |  |  |
− 
− *Table 2.2*
− 
− **Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market**
− 
− | 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 …
− 
− *Table 2.3*
− 
− **Bonds (all bond types except ETCs and ETNs) — pre-trade and post-trade SSTI and LIS thresholds**
− 
− | 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 |  |  |  |  |  |  |  |
− 
− *Table 2.4*
− 
− **Bonds (ETC and ETN bond types) — classes not having a liquid market**
− 
− | 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] |  |
− | **Exchange Traded Commodities (ETCs)**a debt instrument issued against a direct investment by the issuer in commodities or commodities derivative contracts. The price of an ETC is directly or indirectly linked to the performance of the underlying. An ETC passively tracks the performance of the com…
− | **Exchange Traded Notes (ETNs)**a debt instrument issued against a direct investment by the issuer in the underlying or underlying derivative contracts. The price of an ETN is directly or indirectly linked to the performance of the underlying. An ETN passively tracks the performance of the underly…
− 
− *Table 2.5*
− 
− **Bonds (ETC and ETN bond types) — pre-trade and post-trade SSTI and LIS thresholds**
− 
− | Asset class — Bonds (ETC and ETN bond types) |  |  |  |  |
− | --- | --- | --- | --- | --- |
− | **Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined to have a liquid market** |  |  |  |  |
− | **Bond type** | **SSTI pre-trade** | **LIS pre-trade** | **SSTI post-trade** | **LIS post-trade** |
− | **Threshold value** | **Threshold value** | **Threshold value** | **Threshold value** |  |
− | ETCs | EUR 1 000 000 | EUR 1 000 000 | EUR 50 000 000 | EUR 50 000 000 |
− | ETNs | EUR 1 000 000 | EUR 1 000 000 | EUR 50 000 000 | EUR 50 000 000 |
− | **Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined not to have a liquid market** |  |  |  |  |
− | **Bond type** | **SSTI pre-trade** | **LIS pre-trade** | **SSTI post-trade** | **LIS post-trade** |
− | **Threshold value** | **Threshold value** | **Threshold value** | **Threshold value** |  |
− | ETCs | EUR 900 000 | EUR 900 000 | EUR 45 000 000 | EUR 45 000 000 |
− | ETNs | EUR 900 000 | EUR 900 000 | EUR 45 000 000 | EUR 45 000 000 |
− 
− 3. ****Structured Finance Products (SFPs)****
− 
− *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)(b) |  |  |
− | **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 quantitative 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 300 000 000 | 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 liqu…
− | **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 100 000 | 2 | 80 % |
− 
− *Table 3.2*
− 
− **SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is not passed**
− 
− | Asset class — Structured Finance Products (SFPs) |  |  |  |
− | --- | --- | --- | --- |
− | **Pre-trade and post-trade SSTI and LIS thresholds for all SFPs if Test 1 is not passed** |  |  |  |
− | **SSTI pre-trade** | **LIS pre-trade** | **SSTI post-trade** | **LIS post-trade** |
− | **Threshold value** | **Threshold value** | **Threshold value** | **Threshold value** |
− | EUR 100 000 | EUR 250 000 | EUR 500 000 | EUR 1 000 000 |
− 
− *Table 3.3*
− 
− **SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is passed**
− 
− | Asset class — Structured Finance Products (SFPs) |  |  |  |  |  |  |  |  |  |  |  |
− | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
− | **Transactions to be considered for the calculation of the thresholds** | **Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for SFPs determined to have a liquid market if Test 1 is passed** |  |  |  |  |  |  |  |  |  |  |
− | **SSTI pre-trade** | **LIS pre-trade** | **SSTI post-trade** | **LIS post-trade** |  |  |  |  |  |  |  |  |
− | **Trade — percentile** | **Threshold floor** | **Trade — percentile** | **Threshold floor** | **Trade — percentile** | **Threshold floor** | **Trade — percentile** | **Threshold floor** |  |  |  |  |
− | Transactions executed in all SFPs determined to have a liquid market | S1 | S2 | S3 | S4 | EUR 100 000 | 70 | EUR 250 000 | 80 | EUR 500 000 | 90 | EUR 1 000 000 |
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |
− 
− | Pre-trade and post-trade SSTI and LIS thresholds for SFPs determined not to have a liquid market if Test 1 is passed |  |  |  |
− | --- | --- | --- | --- |
− | **SSTI pre-trade** | **LIS pre-trade** | **SSTI post-trade** | **LIS post-trade** |
− | **Threshold value** | **Threshold value** | **Threshold value** | **Threshold value** |
− | EUR 100 000 | EUR 250 000 | EUR 500 000 | EUR 1 000 000 |
− 
− 4. ****Securitised derivatives****
− 
− *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 should include at least:
− 
− (a) plain vanilla covered warrants means securities giving the holder the right, but not the obligation, to purchase (sell), at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, the payment of the positive dif…
− 
− (b) leverage certificates means certificates that track the performance of the underlying asset with leverage effect;
− 
− (c) exotic covered warrants means covered warrants whose main component is a combination of options;
− 
− (d) negotiable rights;
− 
− (e) investment certificates means certificates that track the performance of the underlying asset without leverage effect.
− 
− **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
− 
− *Table 4.2*
− 
− **Securitised derivatives — pre-trade and post-trade SSTI and LIS thresholds**
− 
− | Asset class — Securitised Derivatives |  |  |  |
− | --- | --- | --- | --- |
− | **Pre-trade and post-trade SSTI and LIS thresholds** |  |  |  |
− | **SSTI pre-trade** | **LIS pre-trade** | **SSTI post-trade** | **LIS post-trade** |
− | **Threshold value** | **Threshold value** | **Threshold value** | **Threshold value** |
− | EUR 50 000 | EUR 60 000 | EUR 90 000 | EUR 100 000 |
− 
− 5. ****Interest rate derivatives****
− 
− *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 …
− | **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** | a bond future/forward sub-class is defined by the following segmentation criteria:**Segmentation criterion 1** — issuer of the underlying**Segmentation criterion 2** — term of the underlying deliverable bond defined as follows:**Short-term**: the underlying deliverable …
− | **Bond options** | a bond option sub-class is defined by the following segmentation criteria:**Segmentation criterion 1** — underlying bond or underlying bond future/forward**Segmentation criterion 2** — time to maturity bucket of the option defined as follows:**Maturity bucket 1**: 0 < time to ma…
− | **IR futures and FRA** | an interest rate future sub-class is defined by the following segmentation criteria:**Segmentation criterion 1** — underlying interest rate**Segmentation criterion 2** — term of the underlying interest rate**Segmentation criterion 3** — time to maturity bucket of the futur…
− | **IR options** | an interest rate option sub-class is defined by the following segmentation criteria:**Segmentation criterion 1** — underlying interest rate or underlying interest rate future or FRA**Segmentation criterion 2** — term of the underlying interest rate**Segmentation criterion 3** — ti…
− | **Swaptions** | a swaption sub-class is defined by the following segmentation criteria:**Segmentation criterion 1** — underlying swap type defined as follows: fixed-to-fixed single currency swap, futures/forwards on fixed-to-fixed single currency swap, fixed-to-float single currency swap, futures/…
− | **Segmentation criterion 5** — time to maturity bucket of the option defined as follows:**Maturity bucket 1**: 0 < time to maturity ≤ 6 months**Maturity bucket 2**: 6 months < time to maturity ≤ 1 year**Maturity bucket 3**: 1 year < time to maturity ≤ 2 years**Maturity bucket 4**: 2 years < time t…
− | **Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’**a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and the cash flows of one leg ar…
− | **Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’**a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both…
− | **Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’**a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both…
− | **Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’**a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and wher…
− | **Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’**a swap or a future/forward on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one l…
− | **Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’**a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and the cash flows of one leg are determined by a fixed interest rate while those of …
− | **Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’**a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by floating interest rates | a f…
− | **Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’**a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by fixed interest rates | a fixe…
− | **Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’**a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined b…
− | **Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’**a swap or a future/forward on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an inflation rate | an inflation…
− | 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 | any other interest rate derivative is considered not to have a liquid market |  |  |  |
− 
− *Table 5.2*
− 
− **Interest rate derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market**
− 
− | Asset class — Interest Rate 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 each sub-class 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** |  |  |  |  |  |
− | **Bond futures/forwards** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 7…
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Bond options** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 2…
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **IR futures and FRA** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR 5 000 000 | 70 | EUR 10 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 …
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **IR options** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR 5 000 000 | 70 | EUR 10 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25…
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Swaptions** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | EUR 4 000 000 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 00…
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial i…
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial i…
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial i…
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions…
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments…
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | …
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | …
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | …
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to th…
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− | **Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’** | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | S1 | S2 | S3 | S4 | …
− | 30 | 40 | 50 | 60 |  |  |  |  |  |  |  |  |  |  |  |
− 
− *Table 5.3*
− 
− **Interest rate derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market**
− 
− | Asset class — Interest Rate Derivatives |  |  |  |  |
− | --- | --- | --- | --- | --- |
− | **Sub-asset class** | **Pre-trade and post-trade SSTI and LIS thresholds for each sub-class 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** |  |
− | **Bond futures/forwards** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
− | **Bond options** | EUR 4 000 000 | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
− | **IR futures and FRA** | EUR 5 000 000 | EUR 10 000 000 | EUR 20 000 000 | EUR 25 000 000 |
− | **IR options** | EUR 5 000 000 | EUR 10 000 000 | EUR 20 000 000 | EUR 25 000 000 |
− | **Swaptions** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− | **Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− | **Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− | **Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− | **Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− | **Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− | **Fixed-to-Float ‘single currency swaps’ and futures/forwards on Fixed-to-Float ‘single currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− | **Float-to-Float ‘single currency swaps’ and futures/forwards on Float-to-Float ‘single currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− | **Fixed-to-Fixed ‘single currency swaps’ and futures/forwards on Fixed-to-Fixed ‘single currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− | **Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards on Overnight Index Swap (OIS) ‘single currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− | **Inflation ‘single currency swaps’ and futures/forwards on Inflation ‘single currency swaps’** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− | **Other Interest Rate Derivatives** | EUR 4 000 000 | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
− 
− 6. ****Equity derivatives****
− 
− *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, certifica…
− | **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 | 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 | 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 | 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 | all stock futures/forwards are considered to have a liquid market |  |  |
− | **Stock dividend options**an option on the dividend of a specific share | 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 | 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 | all dividend index options are considered to have a liquid market |  |  |
… diff truncated at 500 changed lines …