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Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (Text with EEA relevance)Text with EEA relevance
Consolidated text: Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (Text with EEA relevance)Text with EEA relevance
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ELI: http://data.europa.eu/eli/reg_del/2017/583/2022-05-03
02017R0583 — EN — 03.05.2022 — 002.001
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of 14 July 2016
supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives
(OJ L 087 31.3.2017, p. 229)
COMMISSION DELEGATED REGULATION (EU) 2021/529 of 18 December 2020
COMMISSION DELEGATED REGULATION (EU) 2022/629 of 12 January 2022
L 115I
▼B
For the purposes of this Regulation, the following definitions shall apply:
'package transaction' means either of the following:
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);
a transaction which involves the execution of two or more component transactions in financial instruments; and:
which is executed between two or more counterparties;
where each component of the transaction bears meaningful economic or financial risk related to all the other components;
where the execution of each component is simultaneous and contingent upon the execution of all the other components;
'request-for-quote system' means a trading system where the following conditions are met:
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;
the quote is executable exclusively by the requesting member or participant;
the requesting member or market participant may conclude a transaction by accepting the quote or quotes provided to it on request;
'voice trading system' means a trading system where transactions between members are arranged through voice negotiation.
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)
Market operators and investment firms operating a trading venue shall make public the range of bid and offer prices and the depth of trading interest at those prices, in accordance with the type of trading system they operate and the information requirements set out in Annex I
Orders which are large in scale
(Article 9(1)(a) of Regulation (EU) No 600/2014)
An order is large in scale compared with normal market size where, at the point of entry of the order or following any amendment to the order, it is equal to or larger than the minimum size of order which shall be determined in accordance with the methodology set out in Article 13.
Type and minimum size of orders held in an order management facility
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:
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;
does not interact with other trading interest prior to disclosure to the order book operated by the trading venue;
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.
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:
in the case of a reserve order, greater than or equal to EUR 10 000 ;
for all other orders, a size that is greater than or equal to the minimum tradable quantity set in advance by the system operator under its rules and protocols.
A 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 release to the order book as a new disclosed order.
Size specific to the financial instrument
(Articles 8(4) and 9(1)(b) of Regulation (EU) No 600/2014)
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 set out in Article 13.
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 price of the trading interests where the trading venue makes public any of the following:
the best available price;
a simple average of prices;
an average price weighted on the basis of the volume, price, time or the number of actionable indications of interest.
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.
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.
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)
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.
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 specified in Table 3 of Annex II.
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 new trade report that contains all the details of the original trade report and the cancellation flag specified in Table 3 of Annex II;
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.
Post-trade information shall be made available as close to real time as is technically possible and in any case:
for the first three years of application of Regulation (EU) No 600/2014, within 15 minutes after the execution of the relevant transaction;
thereafter, within 5 minutes after the execution of the relevant transaction.
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.
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 action taken.
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.
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 for physicals transaction flag as specified in Table 3 of Annex II. Where the package transaction is eligible for deferred publication pursuant to Article 8, information on all components shall be made available after the deferral period for the transaction has lapsed.
Deferred publication of transactions
(Article 11(1) and (3) and Article 21(4) of Regulation (EU) No 600/2014)
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 transaction no later than 19.00 local time on the second working day after the date of the transaction, provided one of the following conditions is satisfied:
the transaction is large in scale compared with the normal market size as specified in Article 9;
the transaction is in a financial instrument or a class of financial instruments for which there is not a liquid market as specified in accordance with the methodology set out in Article 13;
the transaction is executed between an investment firm dealing on own account other than on a matched principal basis as per Article 4(1)(38) of Directive 2014/65/EU of the European Parliament and of the Council ( 1 ) and another counterparty and is above a size specific to the instrument as specified in Article 10;
the transaction is a package transaction which meets one of the following criteria:
one or more of its components are transactions in financial instruments which do not have a liquid market;
one or more of its components are transactions in financial instruments that are large in scale compared with the normal market size as determined by Article 9;
the transaction is executed between an investment firm dealing on own account other than on a matched principal basis as per Article 4(1)(38) of Directive 2014/65/EU and another counterparty, and one or more of its components are transactions in financial instruments that are above the size specific to the instrument as determined by Article 10.
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.
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 firm responsible for making the trade public through an APA in accordance with paragraphs 5, 6 and 7 of Article 7.
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.
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.
Transparency requirements in conjunction with deferred publication at the discretion of the competent authorities
(Article 11(3) of Regulation (EU) No 600/2014)
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:
where Article 11(3)(a) of Regulation (EU) No 600/2014 applies, competent authorities shall request the publication of either of the following information during the full period of deferral as set out in Article 8:
all the details of a transaction laid down in Tables 1 and 2 of Annex II with the exception of details relating to volume;
transactions in a daily aggregated form for a minimum number of 5 transactions executed on the same day, to be made public the following working day before 9.00 local time;
where Article 11(3)(b) of Regulation (EU) No 600/2014 applies, competent authorities shall allow the omission of the publication of the volume of an individual transaction for an extended time period of four weeks;
in respect of non-equity instruments that are not sovereign debt and where Article 11(3)(c) of Regulation (EU) No 600/2014 applies, competent authorities shall allow, for an extended time period of deferral of four weeks, the publication of the aggregation of several transactions executed over the course of one calendar week on the following Tuesday before 9.00 local time;
in respect of sovereign debt instruments and where Article 11(3)(d) of Regulation (EU) No 600/2014 applies, competent authorities shall allow, for an indefinite period of time, the publication of the aggregation of several transactions executed over the course of one calendar week on the following Tuesday before 9.00 local time.
Where the extended period of deferral set out in paragraph 1(b) has lapsed, the following requirements shall apply:
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;
in respect of sovereign debt instruments where competent authorities decide not to use the options provided for in Article 11(3)(b) and (d) of Regulation (EU) No 600/2014 consecutively, pursuant to the second subparagraph of Article 11(3) of Regulation (EU) No 600/2014, the publication of the full details of all individual transactions on the next working day before 9.00 local time;
in respect of sovereign debt instruments, where competent authorities apply the options provided for in Article 11(3)(b) and (d) of Regulation (EU) No 600/2014 consecutively pursuant to the second subparagraph of Article 11(3) of Regulation (EU) No 600/2014, the publication of several transactions executed in the same calendar week in an aggregated form on the Tuesday following the expiry of the extended period of deferral of four weeks counting from the last day of that calendar week before 9.00 local time.
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.
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:
the weighted average price;
the total volume traded as referred to in Table 4 of Annex II;
the total number of transactions.
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.
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.
Application of post-trade transparency to certain transactions executed outside a trading venue
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:
transactions listed in Article 2(5) of Commission Delegated Regulation (EU) 2017/590 ( 2 );
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 ) which transfer the beneficial ownership of financial instruments from one collective investment undertaking to another and where no investment firm is a party to the transaction;
'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;
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.
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)
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:
Static determination of liquidity for:
the asset class of securitised derivatives as defined in Table 4.1 of Annex III;
the following sub-asset classes of equity derivatives: stock index options, stock index futures/forwards, stock options, stock futures/forwards, stock dividend options, stock dividend futures/forwards, dividend index options, dividend index futures/forwards, volatility index options, volatility index futures/forwards, ETF options, ETF futures/forwards and other equity derivatives as defined in Table 6.1 of Annex III;
the asset class of foreign exchange derivatives as defined in Table 8.1 of Annex III;
the sub-asset classes of other interest rate derivatives, other commodity derivatives, other credit derivatives, other C10 derivatives, other contracts for difference (CFDs), other emission allowances and other emission allowance derivatives as defined in Tables 5.1, 7.1, 9.1, 10.1, 11.1, 12.1 and 13.1 of Annex III.
Periodic assessment based on quantitative and, where applicable, qualitative liquidity criteria for:
all bond types except ETCs and ETNs as defined in Table 2.1 of Annex III and as further specified in Article 17(1);
ETC and ETN bond types as defined in Table 2.4 of Annex III;
the asset-class of interest rate derivatives except the sub-asset class of other interest rate derivatives as defined in Table 5.1of Annex III;
the following sub-asset classes of equity derivatives: swaps and portfolio swaps as defined in Table 6.1 of Annex III;
the asset-class of commodity derivatives except the sub-asset class of other commodity derivatives as defined in Table 7.1 of Annex III;
the following sub-asset classes of credit derivatives: index credit default swaps and single name credit default swaps as defined in Table 9.1 of Annex III;
the asset-class of C10 derivatives except the sub-asset class of other C10 derivatives as defined in Table 10.1 of Annex III;
the following sub-asset classes of contracts for difference (CFDs): currency CFDs and commodity CFDs as defined in Table 11.1 of Annex III;
the asset-class of emission allowances except the sub-asset class of other emission allowances as defined in Table 12.1 of Annex III;
the asset-class of emission allowance derivatives except the sub-asset class of other emission allowance derivatives as defined in Table 13.1 of Annex III.
Periodic assessment based on qualitative liquidity criteria for:
the following sub-asset classes of credit derivatives: CDS index options and single name CDS options as defined in Table 9.1 of Annex III;
the following sub-asset classes of contracts for difference (CFDs): equity CFDs, bond CFDs, CFDs on an equity future/forward and CFDs on an equity option as defined in Table 11.1 of Annex III.
Periodic assessment based on a two tests methodology for structured finance products as defined in Table 3.1 of Annex III.
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:
the threshold value for:
each sub-class of equity derivatives as defined in Tables 6.2 and 6.3 of Annex III;
each sub-class of foreign exchange derivatives as defined in Table 8.2 of Annex III;
each sub-class considered not to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and contracts for difference (CFDs) as defined in Tables 5.3, 7.3, 9.3, 10.3 and 11.3 of Annex III;
each sub-asset class considered not to have a liquid market for the asset classes of emission allowances and emission allowance derivatives as defined in Tables 12.3 and 13.3 of Annex III;
each structured finance product where Test-1 under paragraph 1(d) is not passed as defined in Table 3.2 of Annex III;
each structured finance product considered not to have a liquid market where only Test-1 under paragraph 1(d) is passed as defined in Table 3.3 of Annex III.
the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile as further specified in Article 17(3) and the threshold floor for:
each bond type, except ETCs and ETNs, as defined in Table 2.3 of Annex III;
each sub-class having a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and CFDs as defined in Tables 5.2, 7.2, 9.2, 10.2 and 11.2 of Annex III;
each sub-asset class having a liquid market for the asset classes of emission allowances and emission allowance derivatives as defined in Tables 12.2 and 13.2 of Annex III;
each structured finance product considered to have a liquid market where Test-1 and Test-2 under paragraph 1(d) are passed as defined in Table 3.3 of Annex III.
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:
each sub-asset class considered not to have a liquid market for the asset class of emission allowances and emission allowance derivatives as defined in Tables 12.3 and 13.3 of Annex III;
the trade size below which lies the percentage of the transactions corresponding to the trade percentile for each bond type, except ETCs and ETNs, as defined in Table 2.3 of Annex III;
the greatest of the trade size below which lies the percentage of the transactions corresponding to the trade percentile, the trade size below which lies the percentage of volume corresponding to the volume percentile and the threshold floor for each sub-class considered to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and CFDs as provided in Tables 5.2, 7.2, 9.2, 10.2 and 11.2 of Annex III;
the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor for:
each sub-asset class considered to have a liquid market for the asset classes of emission allowances and emission allowance derivatives as provided in Tables 12.2 and 13.2 of Annex III;
each structured finance product considered to have a liquid market where the Test-1 and Test-2 under paragraph 1(d) are passed as defined in Table 3.3 of Annex III.
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 the size specific to the financial instrument referred to in Article 8(1)(c) and the size of transactions large in scale compared with normal market size referred to in Article 8(1)(a) shall be determined as the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor.
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:
the financial instruments and classes of financial instruments not having a liquid market as set out in paragraph 1;
the sizes large in scale compared to normal market size and the size specific to the instrument as set out in paragraphs 2 and 3.
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.
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.
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 instrument is not denominated in euros, the trade size shall be converted to the currency in which that financial instrument is denominated by applying the European Central Bank euro foreign exchange reference rate as of 31 December of the preceding year.
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 investment firms operating a trading venue may maintain such trade sizes until application of the results of the next calculations performed in accordance to paragraph 17.
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 .
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 be applied:
EUR 100 000 for all bond types except ETCs and ETNs;
the threshold values defined in paragraph 2(a) and paragraph 3(a) for all financial instruments not covered in point (a) of this paragraph.
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:
100 000 where the threshold value is smaller than 1 million;
500 000 where the threshold value is equal to or greater than 1 million but smaller than 10 million;
5 million where the threshold value is equal to or greater than 10 million but smaller than 100 million;
25 million where the threshold value is equal to or greater than 100 million.
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.
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 normal market size referred to in Article 3 and Article 8(1)(a) have been published and which belong to one of the sub-asset classes specified in paragraph 1(a)(ii), the size specific to the financial instrument and the size of orders and transactions large in scale compared with normal market size shall be those applicable to the smallest average daily notional amount (ADNA) band of the sub-asset class to which the equity derivative belongs.
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 market size referred to in Article 3 and Article 8(1)(a) have been published shall be considered not to have a liquid market until application of the results of the calculations performed in accordance to paragraph 17. The applicable size specific to the financial instrument referred to in Articles 5 and Article 8(1)(c) and the size of orders and transactions large in scale compared with normal market size referred to in Article 3 and Article 8(1)(a) shall be those of the sub-classes determined not to have a liquid market belonging to the same sub-asset class.
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 trading venue or whenever the details previously provided have changed.
Competent authorities shall ensure the publication of the results of the calculations referred to under paragraph 5 for each financial instrument and class of financial instrument by 30 April of the year following the date of application of Regulation (EU) No 600/2014 and by 30 April of each year thereafter. The results of the calculations shall apply from 1 June each year following publication.
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 first day of February, May, August and November following the date of application of Regulation (EU) No 600/2014 and on the first day of February, May, August and November each year thereafter. The calculations shall include transactions executed in the Union during the preceding calendar quarter and shall apply for the 3 month period beginning on the sixteenth day of February, May, August and November each year.
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 quarter.
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 calendar quarter.
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:
the transaction is carried out for the purposes of monetary policy, including an operation carried out in accordance with Articles 18 and 20 of the Statute of the European System of Central Banks and of the European Central Bank annexed to the Treaty on European Union or an operation carried out under equivalent national provisions for members of the ESCB in Member States whose currency is not the euro;
the transaction is a foreign-exchange operation, including operations carried out to hold or manage official foreign reserves of the Member States or the reserve management service provided by a member of the ESCB to central banks in other countries to which the exemption has been extended in accordance with Article 1(9) of Regulation (EU) No 600/2014;
the transaction is carried out for the purposes of financial stability policy.
Transactions to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 does not apply
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:
transactions entered into for the management of its own funds;
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;
transactions entered into for its investment portfolio pursuant to obligations under national law.
Temporary suspension of transparency obligations
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, emission allowances or derivatives, the total volume as defined in Table 4 of Annex II calculated for the previous 30 calendar days represents less than 40 % of the average monthly volume calculated for the 12 full calendar months preceding those 30 calendar days.
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 finance products, emission allowances or derivatives, the total volume as defined in Table 4 of Annex II calculated for the previous 30 calendar days represents less than 20 % of the average monthly volume calculated for the 12 full calendar months preceding those 30 calendar days.
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 performed at the level of the class of financial instruments to which the liquidity test set out in Article 13 is applied.
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.
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
▼M2
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 Article 13(1), point (b), the approach for the liquidity criterion 'average daily number of trades' shall be taken applying the 'average daily number of trades' corresponding to stage S3 (7 daily trades).
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:
the issuance size exceeds EUR 1 000 000 000 during stages S1 and S2, as determined in accordance with paragraph 6;
the issuance size exceeds EUR 500 000 000 during stages S3 and S4, as determined in accordance with paragraph 6.
For determining the size specific to the financial instrument for the purposes of Article 5 and according to the methodology specified under Article 13(2), point (b)(i), the approach for the trade percentile to be applied shall be used applying the trade percentile corresponding to the stage S3 (50th percentile).
For determining the size specific to the financial instrument for the purposes of Article 5 and according to the methodology specified under Article 13(2), points (b)(ii) to (iv), the approach for the trade percentile to be applied shall be used applying the trade percentile corresponding to the stage S1 (30th percentile).
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 as the trade percentiles that determine the size specific to the financial instruments covered by paragraph 8. The obligation to submit the assessment of the operation of the thresholds for the liquidity criterion for bonds ceases once S4 in the sequence of paragraph 6 is reached. The obligation to submit the assessment of the trade percentiles ceases once S4 in the sequence of paragraph 8 is reached.
The assessment referred to in paragraph 4 shall take into account:
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;
the impact on liquidity providers of the percentile thresholds used to determine the size specific to the financial instrument; and
any other relevant factors.
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 sequence:
S2 (10 daily trades) by 30 July of the year following the date of application of Regulation (EU) No 600/2014;
S3 (7 daily trades) by 30 July of the year thereafter; and
S4 (2 daily trades) by 30 July of the year thereafter.
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 next stage is not warranted. In this instance, the move to the next stage will be postponed by one year.
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:
S2 (40th percentile) by 30 July of the year following the date of application of Regulation (EU) No 600/2014;
S3 (50th percentile) by 30 July of the year thereafter; and
S4 (60th percentile) by 30 July of the year thereafter.
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).
For the purposes of paragraph 1:
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;
the results of the calculations contained in the first publication shall be used until the results of the first regular calculations set out in Article 13(17) apply.
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 the date of application of Regulation (EU) No 600/2014, based on a reference period of three months commencing on the first day of the fifth month preceding the date of application of Regulation (EU) No 600/2014.
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.
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 of the first regular calculation set out in Article 13(18) apply.
Entry into force and application
It shall apply from 3 January 2018. However, Article 18 shall apply from the date of the entry of force of this Regulation.
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 number of orders and the volume they represent at each price level, for at least the five best bid and offer price levels.
Quote-driven trading system
A system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself.
For each financial instrument, the best bid and offer by price of each market maker in that instrument, together with the volumes attaching to those prices.
The quotes made public shall be those that represent binding commitments to buy and sell the financial instruments and which indicate the price and volume of financial instruments in which the registered market makers are prepared to buy or sell. In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time.
Periodic auction trading system
A system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention.
For each financial instrument, the price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system.
Request-for-quote trading system
A trading system where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request.
The quotes and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable.
Voice trading system
A trading system where transactions between members are arranged through voice negotiation.
The bids and offers and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules
Trading system not covered by first 5 rows
A hybrid system falling into two or more of the first five rows or a system where the price determination process is of a different nature than that applicable to the types of system covered by first five rows.
Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit.
Details of transactions to be made available to the public
Symbol table for Table 2
{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.
— 'YYYY' is the year;
— 'MM' is the month;
— 'DD' is the day;
— 'T' — means that the letter 'T' shall be used
— 'hh' is the hour;
— 'mm' is the minute;
— 'ss.dddddd' is the second and its fraction of a second;
— Z is UTC time.
Dates and times shall be reported in UTC.
{DECIMAL-n/m}
Decimal number of up to n digits in total of which up to m digits can be fraction 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 truncated.
{ISIN}
12 alphanumerical characters
ISIN code, as defined in ISO 6166
{MIC}
Market identifier as defined in ISO 10383
List of details for the purpose of post-trade transparency
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 transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies (in fields 31, 34 and 40 as specified in Table 2 of Annex I of Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second.
Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 5 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission.
Regulated Market (RM), Multilateral Trading Facility (MTF), Organised Trading Facility (OTF)
Approved Publication Arrangement (APA)
Consolidated tape provider (CTP)
Instrument identification code type
Code type used to identify the financial instrument
RM, MTF, OTF
'ISIN' = ISIN-code, where ISIN is available
'OTHR' = other identifier
Instrument identification code
Code used to identify the financial instrument
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 as specified in Annex IV and fields 13 and 24 to 48 as specified in the Annex of Delegated Regulation (EU) 2017/585 and the grouping of derivative instruments as set out in Annex III.
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 reference price of the underlying instrument.
For credit default swaps (CDS) it shall be the coupon in basis points.
Where price is reported in monetary terms, it shall be provided in the major currency unit.
Where price is currently not available but pending, the value should be 'PNDG'.
Where price is not applicable the field shall not be populated.
The information reported in this field shall be consistent with the value provided in field Quantity.
{DECIMAL-18/13} in case the price is expressed as monetary value
{DECIMAL-11/10} in case the price is expressed as percentage or yield
'PNDG' in case the price is not available
{DECIMAL-18/17} in case the price is expressed as basis points
Venue of execution
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 admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue or systematic internaliser or organised trading platform outside of the Union.
Use SINT for financial instrument submitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser.
{MIC} –trading venues
'SINT' — systematic internaliser
Price notation
Indication as to whether the price is expressed in monetary value, in percentage or in yield
'MONE' — Monetary value
'PERC' — Percentage
'YIEL' — Yield
'BAPO' — Basis points
Price Currency
Currency in which the price is expressed (applicable if the price is expressed as monetary value)
Notation of the quantity in measurement unit
For commodity derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1) letters (a) and (b) of this Regulation.
Indication of measurement units in which the quantity in measurement unit is expressed
'TOCD' — tons of carbon dioxide equivalent
{ALPHANUM-25} otherwise
Quantity in measurement unit
The equivalent amount of commodity or emission allowance traded expressed in measurement unit
{DECIMAL-18/17}
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.
Notional amount
Nominal amount or notional amount
For spread bets, the notional amount shall be the monetary value wagered per point movement in the underlying financial instrument.
For credit default swaps, it shall be the notional amount for which the protection is acquired or disposed of.
The information reported in this field shall be consistent with the value provided in field Price
{DECIMAL-18/5}
Notional currency
For all financial instruments except in the cases described under Article 11(1) letters (a) and (b) of the Regulation.
Currency in which the notional is denominated
For emission allowances and emission allowance derivatives only
This field is only applicable for emission allowances and emission allowance derivatives.
'EUAE' — EUA
'CERE' — CER
'ERUE' — ERU
'EUAA' — EUAA
'OTHR' — Other (for derivatives only)
Publication Date and Time
Date and time when the transaction was published by a trading venue or APA.
For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Delegated Regulation (EU) 2017/574.
For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second.
Venue of publication
Code used to identify the trading venue and APA publishing the transaction.
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
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 shall be unique, consistent and persistent per ISO 10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day.
Where the APA does not use MICs, it should be unique, consistent and persistent per 4-character code used to identify the APA per trading day.
The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained
{ALPHANUMERICAL-52}
Transaction to be cleared
For derivatives
Code to identify whether the transaction will be cleared.
'true' — transaction to be cleared
'false' — transaction not to be cleared
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).
Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (see page 193 of this Official Journal).
List of flags for the purpose of post-trade transparency
Name of Flag
'BENC'
Benchmark transaction flag
All kinds of volume weighted average price transactions and all other trades where the price is calculated over multiple time instances according to a given benchmark.
'ACTX'
Agency cross transaction flag
Transactions where an investment firm has brought together two clients' orders with the purchase and the sale conducted as one transaction and involving the same volume and price.
'NPFT'
Non-price forming transaction flag
All types of transactions listed under Article 12 of this Regulation and which do not contribute to the price formation.
'LRGS'
Post-trade LIS transaction flag
Transactions executed under the post-trade large in scale deferral.
'ILQD'
Illiquid instrument transaction flag
Transactions executed under the deferral for instruments for which there is not a liquid market.
'SIZE'
Post-trade SSTI transaction flag
Transactions executed under the post-trade size specific to the instrument deferral.
'TPAC'
Package transaction flag
Package transactions which are not exchange for physicals as defined in Article 1.
'XFPH'
Exchange for physicals transaction flag
Exchange for physicals as defined in Article 1
'CANC'
Cancellation flag
When a previously published transaction is cancelled.
'AMND'
Amendment flag
When a previously published transaction is amended.
SUPPLEMENTARY DEFERRAL FLAGS
Article 11(1)(a)(i).
'LMTF'
Limited details flag
First report with publication of limited details in accordance with Article 11(1)(a)(i).
'FULF'
Full details flag
Transaction for which limited details have been previously published in accordance with Article 11(1)(a)(i).
Article 11(1)(a)(ii).
'DATF'
Daily aggregated transaction flag
Publication of daily aggregated transaction in accordance with Article 11(1)(a)(ii).
'FULA'
Individual transactions for which aggregated details have been previously published in accordance with Article 11(1)(a)(ii).
Article 11(1)(b)
'VOLO'
Volume omission flag
Transaction for which limited details are published in accordance with Article 11(1)(b).
'FULV'
Transaction for which limited details have been previously published in accordance with Article 11(1)(b)
Article 11(1)(c)
'FWAF'
Four weeks aggregation flag
Publication of aggregated transactions in accordance with Article 11(1)(c).
'FULJ'
Individual transactions which have previously benefited from aggregated publication in accordance with Article 11(1)(c).
Article 11(1)(d)
'IDAF'
Indefinite aggregation flag
Transactions for which the publication of several transactions in aggregated form for an indefinite period of time has been allowed in accordance with Article 11(1)(d).
Consecutive use of Article 11(1)(b) and Article 11(2)(c) for sovereign debt instruments
'VOLW'
Transaction for which limited are published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time will be consecutively allowed in accordance with Article 11(2)(c).
'COAF'
Consecutive aggregation flag (post volume omission for sovereign debt instruments)
Transactions for which limited details have been previously published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time has consecutively been allowed in accordance with Article 11(2)(c).
Measure of volume
Type of instrument
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
Notional amount of traded contracts
Foreign Exchange Derivatives
Credit derivatives
Contract for differences
C10 derivatives
Emission allowance derivatives
Tons of Carbon Dioxide equivalent
Emission allowances
Liquidity assessment, LIS and SSTI thresholds for non-equity financial instruments
1. Instructions for the purpose of this annex
A reference to an 'asset class' means a reference to the following classes of financial instruments: bonds, structured finance products, securitised derivatives, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives, C10 derivatives, CFDs, emission allowances and emission allowance derivatives.
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.
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.
'Average daily turnover (ADT)' means the total turnover for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
'Average daily notional amount (ADNA)' means the total notional amount for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for all the other financial instruments, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
'Percentage of days traded over the period considered' means the number of days in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for structured finance products, on which at least one transaction has been executed for that financial instrument, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
'Average daily number of trades' means the total number of transactions executed for a particular financial instrument in the period set out in Article 13(18) for all bonds except ETCs and ETN and in Article 13(7) all the other financial instruments, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
'Future' means a contract to buy or sell a commodity or financial instrument in a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller. Every futures contract has standard terms that dictate the minimum quantity and quality that can be bought or sold, the smallest amount by which the price may change, delivery procedures, maturity date and other characteristics related to the contract.
'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.
'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.
'Portfolio Swap' means a contract by which end-users can trade multiple swaps.
'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.
'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.
'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.
'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
Percentage of days traded over the period considered
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.
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)
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 have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems;
(d) the European Investment Bank;
(e) a public entity which is not an issuer of a sovereign bond as specified in the previous row.
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
means bonds as referred to in Article 52(4) of Directive 2009/65/EC
during stages S1 and S2
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
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
Council Regulation (EC) No 2157/2001 of 8 October 2001 on the Statute for a European company (SE) (OJ L 294, 10.11.2001, p. 1).
Directive 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 members and third parties, are required by Member States of companies within the meaning of the second paragraph of Article 48 of the Treaty, with a view to making such safeguards equivalent (OJ L 258, 1.10.2009, p. 11).
Bonds (all bond types except ETCs and ETNs) — pre-trade and post-trade SSTI and LIS thresholds
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
transactions executed on Sovereign Bonds following the exclusion of transactions as specified in Article 13(10)
transactions executed on Other Public Bonds following the exclusion of transactions as specified in Article 13(10)
transactions executed on Convertible Bonds following the exclusion of transactions as specified in Article 13(10)
transactions executed on Covered Bonds following the exclusion of transactions as specified in Article 13(10)
transactions executed on Corporate Bonds following the exclusion of transactions as specified in Article 13(10)
Other Bonds
transactions executed on Other Bonds following the exclusion of transactions as specified in Article 13(10)
Bonds (ETC and ETN bond types) — classes not having a liquid market
Asset class — Bonds (ETC and ETN bond types)
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]
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 commodity or commodity indices to which it refers.
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 underlying to which it refers.
Bonds (ETC and ETN bond types) — pre-trade and post-trade SSTI and LIS thresholds
Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined to have a liquid market
Threshold value
EUR 1 000 000
EUR 50 000 000
ETNs
Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined not to have a liquid market
3. Structured Finance Products (SFPs)
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)
Transactions executed in all SFPs
EUR 300 000 000
Test 2 — SFPs not having a liquid market
If the values related to the quantitative liquidity criteria are both above the quantitative liquidity thresholds set for the purpose of the SFPs asset-class assessment, then Test 1 is passed and Test-2 shall be performed. Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is not passed
Pre-trade and post-trade SSTI and LIS thresholds for all SFPs if Test 1 is not passed
SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is passed
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
Transactions executed in all SFPs determined to have a liquid market
Pre-trade and post-trade SSTI and LIS thresholds for SFPs determined not to have a liquid market if Test 1 is passed
4. Securitised derivatives
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:
plain vanilla covered warrants means securities giving the holder the right, but not the obligation, to purchase (sell), at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, the payment of the positive difference between the current market price (the strike price) and the strike price (the current market price);
leverage certificates means certificates that track the performance of the underlying asset with leverage effect;
exotic covered warrants means covered warrants whose main component is a combination of options;
negotiable rights;
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
Securitised derivatives — pre-trade and post-trade SSTI and LIS thresholds
Pre-trade and post-trade SSTI and LIS thresholds
EUR 50 000
5. Interest rate derivatives
Interest rate derivatives — classes not having a liquid market
Asset class — Interest Rate Derivatives
any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan.
Sub-asset class
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied
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 with a term between 1 and 4 years shall be considered to have a short-term
Medium-term: the underlying deliverable bond with a term between 4 and 8 years shall be considered to have a medium-term
Long-term: the underlying deliverable bond with a term between 8 and 15 years shall be considered to have a long-term
Ultra-long-term: the underlying deliverable bond with a term longer than 15 years shall be considered to have an ultra-long-term
Segmentation criterion 3 — time to maturity bucket of the future defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 3 months
Maturity bucket 2: 3 months < time to maturity ≤ 6 months
Maturity bucket 3: 6 months < time to maturity ≤ 1 year
Maturity bucket 4: 1 year < time to maturity ≤ 2 years
Maturity bucket 5: 2 years < time to maturity ≤ 3 years
Maturity bucket m: (n-1) years < time to maturity ≤ n years
whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month
Bond 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:
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
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
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/forwards on fixed-to-float single currency swap, float-to-float single currency swap, futures/forwards on float-to-float single currency swap, inflation single currency swap, futures/forwards on inflation single currency swap, OIS single currency swap, futures/forwards on OIS single currency swap, fixed-to-fixed multi-currency swap, futures/forwards on fixed-to-fixed multi-currency swap, fixed-to-float multi-currency swap, futures/forwards on fixed-to-float multi-currency swap, float-to-float multi-currency swap, futures/forwards on float-to-float multi-currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap, OIS multi-currency swap, futures/forwards on OIS multi-currency swap
Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the option is denominated
Segmentation criterion 3 — inflation index if the underlying swap type is either an inflation single currency swap or an inflation multi-currency swap
Segmentation criterion 4 — time to maturity bucket of the swap defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 month
Maturity bucket 2: 1 month < time to maturity ≤ 3 months
Maturity bucket 5: 5 years < time to maturity ≤ 10 years
Maturity bucket 6: over 10 years
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 are determined by a fixed interest rate while those of the other leg are determined by a floating interest rate
a fixed-to-float multi-currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated
Maturity bucket 1: 0 < maturity ≤ 1 month
Maturity bucket 2: 1 month < maturity ≤ 3 months
Maturity bucket 3: 3 months < maturity ≤ 6 months
Maturity bucket 4: 6 months < maturity ≤ 1 year
Maturity bucket 5: 1 year < maturity ≤ 2 years
Maturity bucket 6: 2 years < maturity ≤ 3 years
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 legs are determined by floating interest rates
a float-to-float multi-currency sub-class is defined by the following segmentation criteria:
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 legs are determined by fixed interest rates
a fixed-to-fixed multi-currency sub-class is defined by the following segmentation criteria:
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 where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate
an overnight index swap (OIS) multi-currency sub-class is defined by the following segmentation criteria:
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 leg are determined by an inflation rate
an inflation multi-currency sub-class is defined by the following segmentation criteria:
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 the other leg are determined by a floating interest rate
a fixed-to-float single currency sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — notional currency in which the two legs of the swap are denominated
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 float-to-float single currency sub-class is defined by the following segmentation criteria:
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 fixed-to-fixed single currency sub-class is defined by the following segmentation criteria:
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 by an Overnight Index Swap (OIS) rate
an overnight index swap (OIS) single currency sub-class is defined by the following segmentation criteria:
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 single currency sub-class is defined by the following segmentation criteria:
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
Interest rate derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
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
Volume — percentile
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
Interest rate derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market
6. Equity derivatives
Equity derivatives — classes not having a liquid market
Asset class — Equity Derivatives
any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to:
(a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments;
(b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments
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
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
Dividend index futures/forwards
a future/forward on an index composed of dividends of more than one share
all dividend index futures/forwards are considered to have a liquid market
Volatility index options
an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments
all volatility index options are considered to have a liquid market
Volatility index futures/forwards
a future/forward whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments
all volatility index futures/forwards are considered to have a liquid market
ETF options
an option whose underlying is an ETF
all ETF options are considered to have a liquid market
ETF futures/forwards
a future/forward whose underlying is an ETF
all ETF futures/forwards are considered to have a liquid market
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
a swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying type: single name, index, basket
Segmentation criterion 2 — underlying single name, index, basket
Segmentation criterion 3 — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility
Price return basic performance parameter
Parameter return variance/volatility
Parameter return dividend
Maturity bucket 1: 0 < time to maturity ≤ 1 year
Portfolio Swaps
a portfolio swap sub-class is defined by a specific combination of:
Segmentation criterion 4 — me to maturity bucket of the portfolio swap defined as follows:
Other equity derivatives
an equity derivative that does not belong to any of the above sub-asset classes
any other equity derivative is considered not to have a liquid market
Equity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below
Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs
a stock index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying stock index
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class
< EUR 100 million ADNA
EUR 100 million ≤ ADNA < EUR 200 million
ADNA ≥ EUR 600 million
a stock index future/forward sub-class is defined by the following segmentation criteria:
EUR 100 million ≤ ADNA < EUR 1 billion
EUR 1 billion ≤ ADNA < EUR 3 billion
ADNA ≥ EUR 5 billion
a stock option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share
< EUR 5 million ADNA
EUR 5 million ≤ ADNA < EUR 10 million
EUR 10 million ≤ ADNA < EUR 20 million
ADNA ≥ EUR 20 million
an stock future/forward sub-class is defined by the following segmentation criteria:
ADNA ≥ EUR 20 m
a stock dividend option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying share entitling to dividends
a stock dividend future/forward sub-class is defined by the following segmentation criteria:
a dividend index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying dvidend index
a dividend index future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying dividend index
a volatility index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying volatility index
a volatility index future/forward sub-class is defined by the following segmentation criteria:
an ETF option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying ETF
an ETF future/forward sub-class is defined by the following segmentation criteria:
EUR 50 million ≤ ADNA < EUR 100 million
Segmentation criterion 4 — time to maturity bucket of the portfolio swap defined as follows:
Equity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market
7. Commodity derivatives
Commodity derivatives — classes not having a liquid market
Asset class — Commodity Derivatives
Metal commodity futures/forwards
a metal commodity future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — metal type: precious metal, non-precious metal
Segmentation criterion 2 — underlying metal
Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the future/forward is denominated
Segmentation criterion 4 — time to maturity bucket of the future/forward defined as follows:
Non-precious metals
Metal commodity options
a metal commodity option sub-class is defined by the following segmentation criteria:
Metal commodity swaps
a metal commodity swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 3 — notional currency defined as the currency in which the notional amount of the swap is denominated
Segmentation criterion 4 — settlement type defined as cash, physical or other
Energy commodity futures/forwards
an energy commodity future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — energy type: oil, oil distillates, coal, oil light ends, natural gas, electricity, inter-energy
Segmentation criterion 2 — underlying energy
Segmentation criterion 4 — load type defined as baseload, peakload, off-peak or others, applicable to energy type: electricity
Segmentation criterion 5 — delivery/cash settlement location applicable to energy types: oil, oil distillates, oil light ends, electricity, inter-energy
Oil/Oil Distillates/Oil Light ends
Natural Gas/'Electricity/Inter-energy
Maturity bucket 2: 1 month < time to maturity ≤ 1 year
Energy commodity options
an energy commodity option sub-class is defined by the following segmentation criteria:
Energy commodity swaps
an energy commodity swap sub-class is defined by the following segmentation criteria:
Agricultural commodity futures/forwards
an agricultural commodity future/forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying agricultural commodity
Agricultural commodity options
an agricultural commodity option sub-class is defined by the following segmentation criteria:
Agricultural commodity swaps
an agricultural commodity swap sub-class is defined by the following segmentation criteria:
Other commodity derivatives
a commodity derivative that does not belong to any of the above sub-asset classes
any other commodity derivative is considered not to have a liquid market
Commodity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market
Commodity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
8. Foreign exchange derivatives
Foreign exchange derivatives — classes not having a liquid market
Asset class — Foreign Exchange Derivatives
a financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EU
Non-deliverable forward (NDF)
means a forward that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.
a non-deliverable FX forward sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract
Segmentation criterion 2 — time to maturity bucket of the forward defined as follows:
Maturity bucket 1: 0 < time to maturity ≤ 1 week
Maturity bucket 2: 1 week < time to maturity ≤ 3 months
Non-deliverable forward (NDF) are considered not to have a liquid market
Deliverable forward (DF)
means a forward that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.
a deliverable FX forward sub-class is defined by the following segmentation criteria:
Deliverable forward (DF) are considered not to have a liquid market
Non-Deliverable FX options (NDO)
means an option that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.
a non-deliverable FX option sub-class is defined by the following segmentation criteria:
Non-Deliverable FX options (NDO) are considered not to have a liquid market
Deliverable FX options (DO)
means an option that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.
a deliverable FX option sub-class is defined by the following segmentation criteria:
Deliverable FX options (DO) are considered not to have a liquid market
Non-Deliverable FX swaps (NDS)
means a swap that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract.
a non-deliverable FX swap sub-class is defined by the following segmentation criteria:
Non-Deliverable FX swaps (NDS) are considered not to have a liquid market
Deliverable FX swaps (DS)
means a swap that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange.
a deliverable FX swap sub-class is defined by the following segmentation criteria:
Deliverable FX swaps (DS) are considered not to have a liquid market
an FX future sub-class is defined by the following segmentation criteria:
FX futures are considered not to have a liquid market
Other Foreign Exchange Derivatives
an FX derivative that does not belong to any of the above sub-asset classes
any other FX derivative is considered not to have a liquid market
Foreign exchange derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
9. Credit derivatives
Credit derivatives — classes not having a liquid market
Asset class — Credit Derivatives
On-the-run status of the index
[Additional qualitative liquidity criterion]
Index credit default swap (CDS)
a swap whose exchange of cash flows is linked to the creditworthiness of several issuers of financial instruments composing an index and the occurrence of credit events
an index credit default swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying index
Segmentation criterion 2 — notional currency defined as the currency in which the notional amount of the derivative is denominated
Segmentation criterion 3 — time maturity bucket of the CDS defined as follows:
The underlying index is considered to have a liquid market:
(1) during the whole period of its 'on-the-run status'
(2) for the first 30 working days of its '1x off-the-run status'
'on-the-run' index means the rolling most recent version (series) of the index created on the date on which the composition of the index is effective and ending one day prior to the date on which the composition of the next version (series) of the index is effective.
'1x off-the-run status' means the version (series) of the index which is immediately prior to the current 'on-the-run' version (series) at a certain point in time. A version (series) ceases being 'on-the-run' and acquires its '1x off-the-run' status when the latest version (series) of the index is created.
Single name credit default swap (CDS)
a swap whose exchange of cash flows is linked to the creditworthiness of one issuer of financial instruments and the occurrence of credit events
a single name credit default swap sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — underlying reference entity
Segmentation criterion 2 — underlying reference entity type defined as follows:
'Issuer of sovereign and public type' means an issuer entity which is either:
(c) a sovereign entity which is not listed under points (a) and (b);
(d) in the case of a federal Member State, a member of that federation;
(e) a special purpose vehicle for several Member States;
(f) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems;
(g) the European Investment Bank;
(h) a public entity which is not a sovereign issuer as specified in the points (a) to (c).
'Issuer of corporate type' means an issuer entity which is not an issuer of sovereign and public type.
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet the following qualitative liquidity criterion
CDS index options
an option whose underlying is a CDS index
a CDS index option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — CDS index sub-class as specified for the sub-asset class of index credit default swap (CDS)
Segmentation criterion 2 — time maturity bucket of the option defined as follows:
a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market
a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market
a CDS index option whose underlying CDS index is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket
Single name CDS options
an option whose underlying is a single name CDS
a single name CDS option sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — single name CDS sub-class as specified for the sub-asset class of single name CDS
a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market
a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market
a single name CDS option whose underlying single name CDS is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall apply
Other credit derivatives
a credit derivative that does not belong to any of the above sub-asset classes
any other credit derivatives is considered not to have a liquid market
Credit derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
Bespoke basket credit default swap (CDS)
Credit derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
10. C10 derivatives
Table 10.1
C10 derivatives — classes not having a liquid market
Asset class — C10 Derivatives
Freight derivatives
a financial instrument relating to freight rates as defined in Section C(10) of Annex I of Directive 2014/65/EU
a freight derivative sub-class is defined by the following segmentation criteria:
Segmentation criterion 1 — contract type: Forward Freight Agreements (FFAs) or options
Segmentation criterion 2 — freight type: wet freight, dry freight
Segmentation criterion 3 — freight sub-type: dry bulk carriers, tanker, containership
Segmentation criterion 4 — specification of the size related to the freight sub-type
Segmentation criterion 5 — specific route or time charter average
Segmentation criterion 6 — time maturity bucket of the derivative defined as follows:
Other C10 derivatives
a financial instrument as defined in Section C(10) of Annex I of Directive 2014/65/EU which is not a 'Freight derivative', any of the following interest rate derivatives sub-asset classes: 'Inflation multi-currency swap or cross-currency swap', a 'Future/forward on inflation multi-currency swaps or cross-currency swaps', an 'Inflation single currency swap', a 'Future/forward on inflation single currency swap' and any of the following equity derivatives sub-asset classes: a 'Volatility index option', a 'Volatility index future/forward', a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility
any other C10 derivatives is considered not to have a liquid market
C10 derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
C10 derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
11. Financial contracts for differences (CFDs)
CFDs — classes not having a liquid market
Asset class — Financial contracts for differences (CFDs)
a derivative contract that gives the holder an exposure, which can be long or short, to the difference between the price of an underlying asset at the start of the contract and the price when the contract is closed
Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria or, where applicable, if it does not meet the qualitative liquidity criterion as defined below
Qualitative liquidity criterion
Currency CFDs
a currency CFD sub-class is defined by the underlying currency pair defined as combination of the two currencies underlying the CFD/spread betting contract
Commodity CFDs
a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract
Equity CFDs
an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract
an equity CFD sub-class is considered to have a liquid market if the underlying is an equity security for which there is a liquid market as determined in accordance with Article 2(1)(17)(b) of Regulation (EU) No 600/2014
Bond CFDs
a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract
a bond CFD sub-class is considered to have a liquid market if the underlying is a bond or bond future for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).
CFDs on an equity future/forward
a CFD on an equity future/forward sub-class is defined by the underlying future/forward on an equity of the CFD/spread betting contract
a CFD on an equity future/forward sub-class is considered to have a liquid market if the underlying is an equity future/forward for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).
CFDs on an equity option
a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract
a CFD on an equity option sub-class is considered to have a liquid market if the underlying is an equity option for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).
Other CFDs
a CFD/spread betting that does not belong to any of the above sub-asset classes
any other CFD/spread betting is considered not to have a liquid market
CFDs– pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
transactions executed on currency CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)
transactions executed on commodity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)
transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)
transactions executed on bond CFDs considered to have a liquid market as per Articles 6 and 8(1)(b)
transactions executed on CFDs on future on an equity considered to have a liquid market as per Articles 6 and 8(1)(b)
transactions executed on CFDs on option on an equity considered to have a liquid market as per Articles 6 and 8(1)(b)
CFDs — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
Other CFDs/spread betting
12. Emission allowances
Emission allowances — classes not having a liquid market
Asset class — Emission Allowances
Each sub-asset class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria
Average Daily Amount (ADA)
European Union Allowances (EUA)
any unit recognised for compliance with the requirements of Directive 2003/87/EC of the European Parliament and of the Council (1) (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)
150 000 tons of Carbon Dioxide Equivalent
European Union Aviation Allowances (EUAA)
any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) from aviation
Certified Emission Reductions (CER)
any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)
Emission Reduction Units (ERU)
Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 establishing a scheme for greenhouse gas emission allowance trading within the Community and amending Council Directive 96/61/EC (JO L 275, 25.10.2003, p. 32).
Emission allowances — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined to have a liquid market
transactions executed on all European Union Allowances (EUA)
40 000 tons of Carbon Dioxide Equivalent
transactions executed on all European Union Aviation Allowance (EUAA)
transactions executed on all Certified Emission Reductions (CER)
transactions executed on all Emission Reduction Units (ERU)
Emission allowances — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market
13. Emission allowance derivatives
Emission allowance derivatives — classes not having a liquid market
Asset class — Emission Allowance Derivatives
Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)
a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EU
Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)
a financial instrument relating to emission allowances of the type European Union Aviation Allowances (EUAA) as defined in Section C(4) of Annex I of Directive 2014/65/EU
Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)
a financial instrument relating to emission allowances of the type Certified Emission Reductions (CER) as defined in Section C(4) of Annex I of Directive 2014/65/EU
Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)
a financial instrument relating to emission allowances of the type Emission Reduction Units (ERU) as defined in Section C(4) of Annex I of Directive 2014/65/EU
Other Emission allowance derivatives
an emission allowance derivative whose underlying is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU)
any other emission allowance derivative is considered not to have a liquid market
Emission allowance derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market
transactions executed on all emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)
transactions executed on all emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)
transactions executed on all emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)
transactions executed on all emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)
Emission allowance derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market
Pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined not to have a liquid market
ANNEX IV
Reference data to be provided for the purpose of transparency calculations
— the number may be prefixed with '-' (minus) to indicate negative numbers.
{COUNTRYCODE_2}
2 letter country code, as defined by ISO 3166-1 alpha-2 country code
{DATEFORMAT}
ISO 8601 date format
Dates should be formatted by the following format:
YYYY-MM-DD.
{LEI}
Legal entity identifier as defined in ISO 17442
{INDEX}
4 alphabetic characters
'EONA' — EONIA
'EONS' — EONIA SWAP
'EURI' — EURIBOR
'EUUS' — EURODOLLAR
'EUCH' — EuroSwiss
'GCFR' — GCF REPO
'ISDA' — ISDAFIX
'LIBI' — LIBID
'LIBO' — LIBOR
'MAAA' — Muni AAA
'PFAN' — Pfandbriefe
'TIBO' — TIBOR
'STBO' — STIBOR
'BBSW' — BBSW
'JIBA' — JIBAR
'BUBO' — BUBOR
'CDOR' — CDOR
'CIBO' — CIBOR
'MOSP' — MOSPRIM
'NIBO' — NIBOR
'PRBO' — PRIBOR
'TLBO' — TELBOR
'WIBO' — WIBOR
'TREA' — Treasury
'SWAP' — SWAP
'FUSW' — Future SWAP
Details of the reference data to be provided for the purpose of transparency calculations
DETAILS TO BE REPORTED
FORMAT FOR REPORTING
Instrument full name
Full name of the financial instrument
{ALPHANUM-350}
MiFIR identifier
Identification of non-equity financial instruments:
Securitised derivatives as defined in Table 4.1 in Section 4 of Annex III
Structured Finance Products (SFPs) as defined in Article 2(1)(28) of Regulation (EU) No 600/2014
Bonds (for all bonds except ETCs and ETNs) as defined in Article 4(1)(44)(b) of Directive 2014/65/EU
ETCs as defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex III
ETNs as defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex III
Emission allowances as defined in Table 12.1 of Section 12 of Annex III
Derivative as defined in Annex I, Section C (4) to (10) of Directive 2014/65/EU
Non-equity financial instruments:
'SDRV' — Securitised derivatives
'SFPS' — Structured Finance Products (SFPs)
'BOND' — Bonds
'ETCS' — ETCs
'ETNS' — ETNs
'EMAL' — Emission Allowances
'DERV' — Derivative
Asset class of the underlying
To be populated when the MiFIR identifier is a securitised derivative or a derivative.
'INTR' — Interest rate
'EQUI' — Equity
'COMM' — Commodity
'CRDT' — Credit
'CURR' — Currency
To be populated when the MiFIR identifier is a derivative.
'OPTN' — Options
'FUTR' — Futures
'FRAS' — Forward Rate Agreement (FRA)
'FORW' — Forwards
'SWAP' — Swaps
'PSWP' — Portfolio Swaps
'SWPT' — Swaptions
'FONS' — Futures on a swap
'FWOS' — Forwards on a swap
'FFAS' — Forward Freight Agreements (FFAs)
'SPDB' — Spread betting
'CFDS' — CFD
'OTHR' — Other
Reporting day
Day for which the reference data is provided
Trading venue
Segment MIC for the trading venue, where available, otherwise operational MIC.
Maturity of the financial instrument. Field applicable for the asset classes of bonds, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives C10 derivatives and derivatives on emission allowances.
Bonds (all bond types except ETCs and ETNs) related fields
Bond type as specified in Table 2.2 of Section 2 of Annex III. To be populated only when the MiFIR identifier is equal to bonds.
'EUSB' — Sovereign Bond
'OEPB' — Other Public Bond
'CVTB' — Convertible Bond
'CVDB' — Covered Bond
'CRPB' — Corporate Bond
Issuance date
Date on which a bond is issued and begins to accrue interest.
Emission Allowances related fields
The fields in this section should only be populated for emission allowances as defined in Table 12.1 of Section 12 of Annex III
Emissions Allowances sub type
Emissions Allowances
Derivatives related fields
Commodity derivatives and C10 derivatives
Specification of the size related to the freight sub-type
To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight.
{ALPHANUM-25}
Specific route or time charter average
Delivery/cash settlement location
To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to energy.
Currency in which the notional is denominated.
The fields in this section should only be populated for interest rate derivatives as defined in Table 5.1 of Section 5 of Annex III
Underlying type
To be populated for contract type different from swaps, swaptions, futures on a swap and forwards on a swap with one of the following alternatives
To be populated for the contract types of swaps, swaptions, futures on a swap and forwards on a swap with regard to the underlying swap with one of the following alternatives
'BOND' — Bond
'BNDF' — Bond Futures
'IFUT' — Interest rate Futures-FRA
'FFMC' — FLOAT TO FLOAT MULTI-CURRENCY SWAPS
'XFMC' — FIXED TO FLOAT MULTI-CURRENCY SWAPS
'XXMC' — FIXED TO FIXED MULTI-CURRENCY SWAPS
'OSMC' — OIS MULTI-CURRENCY SWAPS
'IFMC' — INFLATION MULTI-CURRENCY SWAPS
'FFSC' — FLOAT TO FLOAT SINGLE-CURRENCY SWAPS
'XFSC' — FIXED TO FLOAT SINGLE-CURRENCY SWAPS
'XXSC' — FIXED TO FIXED SINGLE-CURRENCY SWAPS
'OSSC' — OIS SINGLE-CURRENCY SWAPS
'IFSC' — INFLATION SINGLE-CURRENCY SWAPS
Issuer of the underlying bond
To be populated when the underlying type is a bond or a bond future with the legal entity identifier code (LEI) of the issuer of the direct or ultimate underlying bond.
Maturity date of the underlying bond
To be populated with the date of maturity of the underlying bond.
The field applies to debt instruments with defined maturity.
Issuance date of the underlying bond
To be populated with the issuance date of the underlying bond
Notional currency of the swaption
To be populated for swaptions.
Maturity of the underlying swap
To be populated for swaptions, futures on swaps and forwards on a swap only.
Inflation index ISIN code
In case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap; whenever the inflation index has an ISIN, the field has to be populated with the ISIN code for that index.
Inflation index name
To be populated with standardised name of the index in case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap.
Reference rate
Name of the reference rate.
{ALPHANUM-25}- if the reference rate is not included in the {INDEX} list
IR Term of contract
This field states the term of the contract. The term shall be expressed in days, weeks, months or years.
{INTEGER-3}+'DAYS' — days
{INTEGER-3}+'WEEK' — weeks
{INTEGER-3}+'MNTH' — months
{INTEGER-3}+'YEAR' — years
The fields in this section should only be populated for foreign exchange derivatives as defined in Table 8.1 of Section 8 of Annex III
Contract sub-type
To be populated so as to differentiate deliverable and non-deliverable forwards, options and swaps as defined in Table 8.1 of Section 8 of Annex III.
'DLVB' — Deliverable
'NDLV' — Non-deliverable
The fields should only be populated for equity derivatives as defined in Table 6.1 of Section 6 of Annex III
To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is neither swaps nor portfolio swaps.
'STIX' — Stock Index
'SHRS' — Share/Stock
'DIVI' — Dividend Index
'DVSE' — Stock dividend
'BSKT' — Basket of shares resulting from a corporate action
'ETFS' — ETFs
'VOLI' — Volatility Index
'OTHR' — Other (including depositary receipts, certificates and other equity like financial instrument)
To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a single name.
To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is an index.
To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a basket.
'BSKT' — Basket
To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is one of the following: swaps, portfolio swaps.
'PRBP' — Price return basic performance parameter
'PRDV' — Parameter return dividend
'PRVA' — Parameter return variance
'PRVO' — Parameter return volatility
The fields should only be populated when the contract type is equal to contract for difference or spread betting
To be populated when the MiFIR identifier is a derivative and the contract type is equal to contract for difference or spread betting.
'FTEQ' — Futures on an equity
'OPEQ' — Options on an equity
Notional currency 1
Currency 1 of the underlying currency pair. This field is applicable when the underlying type is currency.
ISIN code of the underlying credit default swap
To be populated for derivatives on a credit default swaps with the ISIN code of the underlying swap.
Underlying Index code
To be populated for derivatives on a CDS index with the ISIN code of the index.
Underlying Index name
To be populated for derivatives on a CDS index with the standardised name of the index.
The series number of the composition of the index if applicable.
To be populated for a CDS Index or a derivative on a CDS Index with the series of the CDS Index.
A new version of a series is issued if one of the constituents defaults and the index has to be re-weighted to account for the new number of total constituents within the index.
To be populated for a CDS Index or a derivative on a CDS Index with the version of the CDS Index.
Roll months
All months when the roll is expected as established by the index provider for a given year. Field should be repeated for each month in the roll.
To be populated for a CDS Index or a derivative on a CDS Index.
'01', '02', '03', '04', '05', '06', '07', '08', '09', '10', '11', '12'
Next roll date
To be populated in the case of a CDS Index or a derivative on a CDS Index with the next roll date of the index as established by the index provider.
Issuer of sovereign and public type
To be populated when the reference entity of a single name CDS or a derivative on single name CDS is a sovereign issuer as defined in Table 9.1 Section 9 of Annex III.
'TRUE' — the reference entity is an issuer of sovereign and public type
'FALSE' — the reference entity is not an issuer of sovereign and public type
Reference obligation
To be populated for a derivative on a single name credit default swap with the ISIN of the reference obligation.
Reference entity
To be populated with the reference entity of a single name CDS or a derivative on single name CDS.
ISO 3166-2 — 2 character country code followed by dash '-' and up to 3 alphanumeric character country subdivision code