In this act Annex III of 5
ANNEX III
Financial servicesLevel 2RTSMiFIRIn forceOfficial source
Annex III to Delegated Regulation (EU) 2017/583 is amended as follows:\
- Section 1 ‘Instructions for the purpose of this annex’, Section 2 ‘Bonds’, and Section 3 ‘Structured Finance Products (SFPs)’ are replaced by the following: ‘1. Instructions for the purpose of this annex\
1. The reference to outstanding bond issuance size in Table 2.2 refers to the total value of bonds that have been issued and are currently held by investors.\
2. 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.\
3. 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.\
4. 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 2.2 to 13.3 of this Annex.\
5. “Average daily notional amount (ADNA)” means the total notional amount for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(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.\
6. “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(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.\
7. “Future” means a contract 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. 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.\
8. “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.\
9. “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.\
10. “Portfolio Swap” means a contract by which end-users can trade multiple swaps.\
11. “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.\
12. “Swaption” or “Option on a swap” means a contract that gives the owner the right, but not the obligation, to enter a swap at or up to a certain future date or exercise date.\
13. “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.\
14. “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 2.2.
Bonds (all bond types except ETCs and ETNs) – classes not having a liquid market
Each individual bond shall be determined not to have a liquid market as per Article 6a if it is characterised by a specific combination of bond characteristics as specified in each row of the tables below.
| Sovereign and Other Public Bonds | ||||||
| Group ID | MiFIR ID | Bond Type | Issuer or Issuer country | Remaining maturity | Type of coupon | Outstanding issuance size |
| RTS2#3 | RTS2#9 | The country of the issuer reported under Commission Delegated Regulation (EU) 2017/585 (“RTS23”) field “Issuer or operator of the trading venue identifier” | The time remaining until the maturity date reported under RTS23 field “Maturity date” | The third letter of the CFI code reported under RTS23 field “Instrument classification” | RTS23 field “Total issued nominal amount” converted to EUR | |
| G1 | BOND | EUSB EUSB means a bond which is neither a convertible nor a covered bond and is issued by a sovereign issuer: (a) the Union; (b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) in the case of a federal Member State, a member of the federation; (d) a special purpose vehicle for several Member States; (e) 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; (f) the European Investment Bank; (g) a sovereign entity of a third country. | The issuer country is a Member State, the United States of America or the United Kingdom; OR The issuer is the Union. | Up to and including 10 years | F (fixed coupon) | Less than EUR 5 000 000 000 |
| G2 | BOND | EUSB or OEPB OEPB means a bond which is neither a convertible nor a covered bond and is issued by a public entity which is not a sovereign issuer. | Any instrument not in G1 | Less than EUR 1 000 000 000 | ||
| Corporate, Convertible and Other Bonds | |||||
| Group ID | MiFIR ID | Bond Type | Currency | Credit Rating | Outstanding issuance size |
| RTS2#3 | RTS2#9 | The currency of the instrument reported under RTS23 field “Notional Currency 1” | RTS23 field “Total issued nominal amount” converted to EUR | ||
| G3 | BOND | CRPB, CVTB or OTHR CRPB means a bond which is neither a convertible nor a covered bond and that is issued by a Societas Europaea established in accordance with Council Regulation (EC) No 2157/2001 or a type of company listed in Annex I or Annex II of Directive 2013/34/EU of the European Parliament and of the Council or equivalent in third countries. CVTB means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity. | EUR, GBP, USD | Investment Grade | Less than EUR 500 000 000 |
| G4 | BOND | CRPB, CVTB or OTHR | Any instrument not in G3 | Less than EUR 500 000 000 | |
| Covered bonds | |||
| Group ID | MiFIR ID | Bond Type | Outstanding issuance size |
| RTS2#3 | RTS2#9 | RTS23 field “Total issued nominal amount” converted to EUR | |
| G5 | BOND | CVDB CVDB means bonds as referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council | Less than EUR 500 000 000 |
Table 2.3.
Bonds (all bond types except ETCs and ETNs) – pre-trade LIS thresholds
| Asset class – Bonds (all bond types except ETCs and ETNs) | |
| Bond type | Pre-trade LIS |
| Sovereign Bond and Other Public Bond | EUR 5 000 000 |
| Corporate Bond, Convertible Bond and Other Bond | EUR 1 000 000 |
| Covered Bond | EUR 5 000 000 |
Table 2.4.
Bonds (ETC and ETN bond types) – classes not having a liquid market
| Asset class – Bonds (ETC and ETN bond type) | |
| For the purpose of determining the classes of financial instruments considered not to have a liquid market as per Article 6a the following methodology shall apply: | |
| Exchange Traded Commodities (ETCs) – RTS2#3 = 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. | All ETCs are considered not to have a liquid market |
| Exchange Traded Notes (ETNs) – RTS2#3 = 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. | All ETNs are considered not to have a liquid market |
Table 2.5.
Bonds (ETC and ETN bond types) – pre-trade LIS threshold
| Asset class – Bonds (ETC and ETN bond type) | |
| Bond type | Pre-trade LIS |
| ETCs | EUR 1 000 000 |
| ETNs | EUR 1 000 000 |
Table 2.6.
Bonds (all bond types except ETCs and ETNs) – deferral regime
| Asset class – Bonds (all bond types except ETCs and ETNs) | |||
| Bond type | Category | Liquidity | Size (Above or equal to) |
| Sovereign Bond in G1 as per Table 2.2 | 1 | Considered to have a liquid market | EUR 15 000 000 |
| 2 | Considered not to have a liquid market | EUR 5 000 000 | |
| 3 | Considered to have a liquid market | EUR 50 000 000 | |
| 4 | Considered not to have a liquid market | EUR 15 000 000 | |
| 5 | Considered to have a liquid market | EUR 100 000 000 | |
| 5 | Considered not to have a liquid market | EUR 50 000 000 | |
| Sovereign Bond and Other Public Bond in G2 as per Table 2.2 | 1 | Considered to have a liquid market | EUR 10 000 000 |
| 2 | Considered not to have a liquid market | EUR 1 000 000 | |
| 3 | Considered to have a liquid market | EUR 20 000 000 | |
| 4 | Considered not to have a liquid market | EUR 2 000 000 | |
| 5 | Considered to have a liquid market | EUR 50 000 000 | |
| 5 | Considered not to have a liquid market | EUR 5 000 000 | |
| Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2 | 1 | Considered to have a liquid market | EUR 1 500 000 |
| 2 | Considered not to have a liquid market | EUR 500 000 | |
| 3 | Considered to have a liquid market | EUR 7 500 000 | |
| 4 | Considered not to have a liquid market | EUR 2 000 000 | |
| 5 | Considered to have a liquid market | EUR 15 000 000 | |
| 5 | Considered not to have a liquid market | EUR 5 000 000 | |
| Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2 | 1 | Considered to have a liquid market | EUR 1 000 000 |
| 2 | Considered not to have a liquid market | EUR 500 000 | |
| 3 | Considered to have a liquid market | EUR 5 000 000 | |
| 4 | Considered not to have a liquid market | EUR 2 000 000 | |
| 5 | Considered to have a liquid market | EUR 10 000 000 | |
| 5 | Considered not to have a liquid market | EUR 5 000 000 | |
| Covered Bonds in G5 as per Table 2.2 | 1 | Considered to have a liquid market | EUR 5 000 000 |
| 2 | Considered not to have a liquid market | EUR 1 000 000 | |
| 3 | Considered to have a liquid market | EUR 20 000 000 | |
| 4 | Considered not to have a liquid market | EUR 5 000 000 | |
| 5 | Considered to have a liquid market | EUR 50 000 000 | |
| 5 | Considered not to have a liquid market | EUR 10 000 000 | |
3. Structured Finance Products (SFPs)
Table 3.1.
SFPs – classes not having a liquid market
| Asset class – Structured Finance Products (SFPs) |
|---|
| SFPs asset-class assessment for the purpose of the determination of the financial instruments considered not to have a liquid market as per Article 6a – RTS2#3 = SFPS. |
| All SFPs are considered not to have a liquid market |
Table 3.2.
SFPs – pre-trade LIS threshold
| Asset class – Structured Finance Products (SFPs) |
| Pre-trade LIS |
| EUR 250 000 ’ |
- in Section 4 ‘Securitised derivatives’, Table 4.2 ‘Securitised derivatives – pre-trade and post-trade SSTI and LIS thresholds’, is replaced by the following: ‘Table 4.2. Securitised derivatives – pre- and post-trade SSTI and LIS thresholds
| Asset class – Securitised Derivatives | ||
| Pre-trade and post-trade SSTI and LIS thresholds | ||
| LIS pre-trade | SSTI post-trade | LIS post-trade |
| Threshold value | Threshold value | Threshold value |
| EUR 60 000 | EUR 90 000 | EUR 100 000 ’ |
- in Section 5 ‘Interest Rate Derivatives’, Table 5.2 ‘Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market’ and Table 5.3 ‘Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market’ are replaced by the following: ‘Table 5.2. Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
| Asset class – Interest Rate Derivatives | |||||||||
| Sub-asset class | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market | ||||||||
| Transactions to be considered for the calculations of the thresholds | LIS pre-trade | SSTI post-trade | LIS post-trade | ||||||
| Trade – percentile | Threshold floor | Trade – percentile | Volume – percentile | Threshold floor | Trade – percentile | Volume – percentile | Threshold floor | ||
| Bond futures/forwards | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |
| Bond options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |
| IR futures and FRA | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 10 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |
| IR options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 10 000 000 | 80 | 60 | EUR 20 000 000 | 90 | 70 | EUR 25 000 000 |
| Swaptions | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |
| Fixed-to-Float “multi currency swaps” or “cross-currency swaps” and futures/forwards on Fixed-to-Float “multi currency swaps” or “cross-currency swaps” | 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 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |
| Float-to-Float “multi currency swaps” or “cross-currency swaps” and futures/forwards on Float-to-Float “multi currency swaps” or “cross-currency swaps” | 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 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |
| Fixed-to-Fixed “multi currency swaps” or “cross-currency swaps” and futures/forwards on Fixed-to-Fixed “multi currency swaps” or “cross-currency swaps” | 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 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |
| Overnight Index Swap (OIS) “multi currency swaps” or “cross-currency swaps” and futures/forwards on Overnight Index Swap (OIS) “multi currency swaps” or “cross-currency swaps” | 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 | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |
| Inflation “multi currency swaps” or “cross-currency swaps” and futures/forwards on Inflation “multi currency swaps” or “cross-currency swaps” | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |
| Fixed-to-Float “single currency swaps” and futures/forwards on Fixed-to-Float “single currency swaps” | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |
| Float-to-Float “single currency swaps” and futures/forwards on Float-to-Float “single currency swaps” | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |
| Fixed-to-Fixed “single currency swaps” and futures/forwards on Fixed-to-Fixed “single currency swaps” | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |
| Overnight Index Swap (OIS) “single currency swaps” and futures/forwards on Overnight Index Swap (OIS) “single currency swaps” | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |
| Inflation “single currency swaps” and futures/forwards on Inflation “single currency swaps” | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 9 000 000 | 90 | 70 | EUR 10 000 000 |
Table 5.3.
Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
| Asset class – Interest Rate Derivatives | |||
| Sub-asset class | Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market | ||
| LIS pre-trade | SSTI post-trade | LIS post-trade | |
| Threshold value | Threshold value | Threshold value | |
| Bond futures/forwards | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Bond options | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| IR futures and FRA | EUR 10 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| IR options | EUR 10 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Swaptions | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
| Fixed-to-Float “multi currency swaps” or “cross-currency swaps” and futures/forwards on Fixed-to-Float “multi currency swaps” or “cross-currency swaps” | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
| Float-to-Float “multi currency swaps” or “cross-currency swaps” and futures/forwards on Float-to-Float “multi currency swaps” or “cross-currency swaps” | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
| Fixed-to-Fixed “multi currency swaps” or “cross-currency swaps” and futures/forwards on Fixed-to-Fixed “multi currency swaps” or “cross-currency swaps” | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
| Overnight Index Swap (OIS) “multi currency swaps” or “cross-currency swaps” and futures/forwards on Overnight Index Swap (OIS) “multi currency swaps” or “cross-currency swaps” | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
| Inflation “multi currency swaps” or “cross-currency swaps” and futures/forwards on Inflation “multi currency swaps” or “cross-currency swaps” | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
| Fixed-to-Float “single currency swaps” and futures/forwards on Fixed-to-Float “single currency swaps” | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
| Float-to-Float “single currency swaps” and futures/forwards on Float-to-Float “single currency swaps” | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
| Fixed-to-Fixed “single currency swaps” and futures/forwards on Fixed-to-Fixed “single currency swaps” | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
| Overnight Index Swap (OIS) “single currency swaps” and futures/forwards on Overnight Index Swap (OIS) “single currency swaps” | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
| Inflation “single currency swaps” and futures/forwards on Inflation “single currency swaps” | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 |
| Other Interest Rate Derivatives | EUR 5 000 000 | EUR 9 000 000 | EUR 10 000 000 ’ |
- in Section 6 ‘Equity derivatives’, Table 6.2 ‘Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market’ and Table 6.3 ‘Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market’ are replaced by the following: ‘Table 6.2. Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
| Asset class – Equity Derivatives | ||||||||
| Sub-asset class | 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 | Transactions to be considered for the calculations of the thresholds | 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 | |||||
| Average daily notional amount (ADNA) | LIS pre-trade | SSTI post-trade | LIS post-trade | |||||
| Threshold value | Threshold value | Threshold value | ||||||
| Stock index options | 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 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | ||
| EUR 100 m ≤ ADNA < EUR 200 m | EUR 3 000 000 | EUR 25 000 000 | EUR 30 000 000 | |||||
| EUR 200 m ≤ ADNA < EUR 600 m | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | |||||
| ADNA ≥ EUR 600 m | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | |||||
| Stock index futures/forwards | a stock index future/forward 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 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | ||
| EUR 100 m ≤ ADNA < EUR 1 bn | EUR 550 000 | EUR 5 000 000 | EUR 5 500 000 | |||||
| EUR 1 bn ≤ ADNA < EUR 3 bn | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | |||||
| EUR 3 bn ≤ ADNA < EUR 5 bn | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | |||||
| ADNA ≥ EUR 5 bn | EUR 30 000 000 | EUR 250 000 000 | EUR 260 000 000 | |||||
| Stock options | a stock option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying share | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 | ||
| EUR 5 m ≤ ADNA < EUR 10 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | |||||
| EUR 10 m ≤ ADNA < EUR 20 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | |||||
| ADNA ≥ EUR 20 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | |||||
| Stock futures/forwards | a stock future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying share | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 | ||
| EUR 5 m ≤ ADNA < EUR 10 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | |||||
| EUR 10 m ≤ ADNA < EUR 20 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | |||||
| ADNA ≥ EUR 20 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | |||||
| Stock dividend options | a stock dividend option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying share entitling to dividends | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 400 000 | EUR 450 000 | ||
| EUR 5 m ≤ ADNA < EUR 10 m | EUR 30 000 | EUR 500 000 | EUR 550 000 | |||||
| EUR 10 m ≤ ADNA < EUR 20 m | EUR 100 000 | EUR 1 000 000 | EUR 1 500 000 | |||||
| ADNA ≥ EUR 20 m | EUR 150 000 | EUR 2 000 000 | EUR 2 500 000 | |||||
| Stock dividend futures/forwards | a stock dividend future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying share entitling to dividends | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 400 000 | EUR 450 000 | ||
| EUR 5 m ≤ ADNA < EUR 10 m | EUR 30 000 | EUR 500 000 | EUR 550 000 | |||||
| EUR 10 m ≤ ADNA < EUR 20 m | EUR 100 000 | EUR 1 000 000 | EUR 1 500 000 | |||||
| ADNA ≥ EUR 20 m | EUR 150 000 | EUR 2 000 000 | EUR 2 500 000 | |||||
| Dividend index options | a dividend index option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying dividend 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 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | ||
| EUR 100 m ≤ ADNA < EUR 200 m | EUR 3 000 000 | EUR 25 000 000 | EUR 30 000 000 | |||||
| EUR 200 m ≤ ADNA < EUR 600 m | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | |||||
| ADNA ≥ EUR 600 m | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | |||||
| Dividend index futures/forwards | a dividend index future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying dividend 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 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | ||
| EUR 100 m ≤ ADNA < EUR 1 bn | EUR 550 000 | EUR 5 000 000 | EUR 5 500 000 | |||||
| EUR 1 bn ≤ ADNA < EUR 3 bn | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | |||||
| EUR 3 bn ≤ ADNA < EUR 5 bn | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | |||||
| ADNA ≥ EUR 5 bn | EUR 30 000 000 | EUR 250 000 000 | EUR 260 000 000 | |||||
| Volatility index options | a volatility index option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying volatility 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 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | ||
| EUR 100 m ≤ ADNA < EUR 200 m | EUR 3 000 000 | EUR 25 000 000 | EUR 30 000 000 | |||||
| EUR 200 m ≤ ADNA < EUR 600 m | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | |||||
| ADNA ≥ EUR 600 m | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | |||||
| Volatility index futures/forwards | a volatility index future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying volatility index | calculation of thresholds should be performed for each sub-class considering the transactions executed on instruments belonging to the sub-class | < EUR 100 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 500 000 | ||
| EUR 100 m ≤ ADNA < EUR 1 bn | EUR 550 000 | EUR 5 000 000 | EUR 5 500 000 | |||||
| EUR 1 bn ≤ ADNA < EUR 3 bn | EUR 5 500 000 | EUR 50 000 000 | EUR 55 000 000 | |||||
| EUR 3 bn ≤ ADNA < EUR 5 bn | EUR 20 000 000 | EUR 150 000 000 | EUR 160 000 000 | |||||
| ADNA ≥ EUR 5 bn | EUR 30 000 000 | EUR 250 000 000 | EUR 260 000 000 | |||||
| ETF options | an ETF option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying ETF | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 | ||
| EUR 5 m ≤ ADNA < EUR 10 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | |||||
| EUR 10 m ≤ ADNA < EUR 20 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | |||||
| ADNA ≥ EUR 20 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | |||||
| ETF futures/forwards | an ETF future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying ETF | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | < EUR 5 m ADNA | EUR 25 000 | EUR 1 000 000 | EUR 1 250 000 | ||
| EUR 5 m ≤ ADNA < EUR 10 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | |||||
| EUR 10 m ≤ ADNA < EUR 20 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | |||||
| ADNA ≥ EUR 20 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | |||||
| Swaps | 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 Segmentation criterion 4 – time to maturity bucket of the swap defined as follows: | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR 50 m ≤ ADNA < EUR 100 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | ||
| EUR 100 m ≤ ADNA < EUR 200 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | |||||
| ADNA ≥ EUR 200 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | |||||
| Price return basic performance parameter | Parameter return variance/volatility | Parameter return dividend | ||||||
| Maturity bucket 1: 0 < time to maturity ≤ 1 month | Maturity bucket 1: 0 < time to maturity ≤ 3 months | Maturity bucket 1: 0 < time to maturity ≤ 1 year | ||||||
| Maturity bucket 2: 1 month < time to maturity ≤ 3 months | Maturity bucket 2: 3 months < time to maturity ≤ 6 months | Maturity bucket 2: 1 year < time to maturity ≤ 2 years | ||||||
| Maturity bucket 3: 3 months < time to maturity ≤ 6 months | Maturity bucket 3: 6 months < time to maturity ≤ 1 year | Maturity bucket 3: 2 years < time to maturity ≤ 3 years | ||||||
| Maturity bucket 4: 6 months < time to maturity ≤ 1 year | Maturity bucket 4: 1 year < time to maturity ≤ 2 years | ... | ||||||
| Maturity bucket 5: 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 | ||||||
| Maturity bucket 6: 2 years < time to maturity ≤ 3 years | ... | |||||||
| ... | Maturity bucket m: (n-1) years < time to maturity ≤ n years | |||||||
| Maturity bucket m: (n-1) years < time to maturity ≤ n years | ||||||||
| Portfolio Swaps | a portfolio swap sub-class is defined by a specific combination of: 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 Segmentation criterion 4 – time to maturity bucket of the portfolio swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years ... Maturity bucket m: (n-1) years < time to maturity ≤ n years | calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class | EUR 50 m ≤ ADNA < EUR 100 m | EUR 300 000 | EUR 1 250 000 | EUR 1 500 000 | ||
| EUR 100 m ≤ ADNA < EUR 200 m | EUR 550 000 | EUR 2 500 000 | EUR 3 000 000 | |||||
| ADNA ≥ EUR 200 m | EUR 1 500 000 | EUR 5 000 000 | EUR 5 500 000 | |||||
Table 6.3.
Equity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
| Asset class – Equity Derivatives | |||
| Sub-asset class | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market | ||
| LIS pre-trade | SSTI post-trade | LIS post-trade | |
| Threshold value | Threshold value | Threshold value | |
| Swaps | EUR 25 000 | EUR 100 000 | EUR 150 000 |
| Portfolio Swaps | EUR 25 000 | EUR 100 000 | EUR 150 000 |
| Other equity derivatives | EUR 25 000 | EUR 100 000 | EUR 150 000 ’ |
- in Section 7 ‘Commodity derivatives’, Table 7.2 ‘Commodity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market’ and Table 7.3 ‘Commodity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market’ are replaced by the following: ‘Table 7.2. Commodity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
| Asset class – Commodity Derivatives | |||||||||
| Sub-asset class | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | ||||||||
| Transactions to be considered for the calculations of the thresholds | LIS pre-trade | SSTI post-trade | LIS post-trade | ||||||
| Trade – percentile | Threshold floor | Trade – percentile | Volume – percentile | Threshold floor | Trade – percentile | Volume – percentile | Threshold floor | ||
| Metal commodity futures/forwards | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Metal commodity options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Metal commodity swaps | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Energy commodity futures/forwards | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Energy commodity options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Energy commodity swaps | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Agricultural commodity futures/forwards | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Agricultural commodity options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Agricultural commodity swaps | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
Table 7.3.
Commodity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
| Asset class – Commodity Derivatives | |||
| Sub-asset class | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market | ||
| LIS pre-trade | SSTI post-trade | LIS post-trade | |
| Threshold value | Threshold value | Threshold value | |
| Metal commodity futures/forwards | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Metal commodity options | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Metal commodity swaps | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Energy commodity futures/forwards | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Energy commodity options | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Energy commodity swaps | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Agricultural commodity futures/forwards | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Agricultural commodity options | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Agricultural commodity swaps | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Other commodity derivatives | EUR 500 000 | EUR 750 000 | EUR 1 000 000 ’ |
- in Section 8 ‘Foreign exchange derivatives’, Table 8.2 ‘Foreign exchange derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market’ is replaced by the following: ‘Table 8.2. Foreign exchange derivatives – pre-trade and pot-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
| Asset class – Foreign Exchange Derivatives | |||
| Sub-asset class | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market | ||
| LIS pre-trade | SSTI post-trade | LIS post-trade | |
| Threshold value | Threshold value | Threshold value | |
| Non-deliverable forward (NDF) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Deliverable forward (DF) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Non-Deliverable FX options (NDO) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Deliverable FX options (DO) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Non-Deliverable FX swaps (NDS) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Deliverable FX swaps (DS) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| FX futures | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Other Foreign Exchange Derivatives | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 ’ |
- in Section 9 ‘Credit derivatives’, Table 9.2 ‘Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market’ and Table 9.3 ‘Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market’ are replaced by the following: ‘Table 9.2. Credit Derivatives – pre- and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
| Asset class – Credit Derivatives | |||||||||
| Sub-asset class | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | ||||||||
| Transactions to be considered for the calculations of the thresholds | LIS pre-trade | SSTI post-trade | LIS post-trade | ||||||
| Trade – percentile | Threshold floor | Trade – percentile | Volume – percentile | Threshold floor | Trade – percentile | Volume – percentile | Threshold floor | ||
| Index credit default swap (CDS) | 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 | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |
| Single name credit default swap (CDS) | 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 | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |
| CDS index options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |
| Single name CDS options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 5 000 000 | 80 | 60 | EUR 7 500 000 | 90 | 70 | EUR 10 000 000 |
Table 9.3.
Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
| Asset class – Credit Derivatives | |||
| Sub-asset class | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market | ||
| LIS pre-trade | SSTI post-trade | LIS post-trade | |
| Threshold value | Threshold value | Threshold value | |
| Index credit default swap (CDS) | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |
| Single name credit default swap (CDS) | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |
| CDS index options | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |
| Single name CDS options | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 |
| Other credit derivatives | EUR 5 000 000 | EUR 7 500 000 | EUR 10 000 000 ’ |
- in Section 10 ‘C10 derivatives’, Table 10.2 ‘C10 derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market’ and Table 10.3 ‘C10 derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market” are replaced by the following: ‘Table 10.2. C10 derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
| Asset class – C10 Derivatives | |||||||||
| Sub-asset class | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | ||||||||
| Transactions to be considered for the calculations of the thresholds | LIS pre-trade | SSTI post-trade | LIS post-trade | ||||||
| Trade – percentile | Threshold floor | Trade – percentile | Volume – percentile | Threshold floor | Trade – percentile | Volume – percentile | Threshold floor | ||
| Freight derivatives | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 50 000 | 80 | 60 | EUR 75 000 | 90 | 70 | EUR 100 000 |
Table 10.3.
C10 derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
| Asset class – C10 Derivatives | |||
| Sub-asset class | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market | ||
| LIS pre-trade | SSTI post-trade | LIS post-trade | |
| Threshold value | Threshold value | Threshold value | |
| Freight derivatives | EUR 50 000 | EUR 75 000 | EUR 100 000 |
| Other C10 derivatives | EUR 50 000 | EUR 75 000 | EUR 100 000 ’ |
- in Section 11 ‘Financial contracts for differences (CFDs)’, Table 11.2 ‘CFDs– pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market’ and Table 11.3 ‘CFDs – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market’ are replaced by the following: ‘Table 11.2. CFDs – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
| Asset class – Financial contracts for differences (CFDs) | |||||||||
| Sub-asset class | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | ||||||||
| Transactions to be considered for the calculations of the thresholds | LIS pre-trade | SSTI post-trade | LIS post-trade | ||||||
| Trade – percentile | Threshold floor | Trade – percentile | Volume – percentile | Threshold floor | Trade – percentile | Volume – percentile | Threshold floor | ||
| Currency CFDs | transactions executed on currency CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |
| Commodity CFDs | transactions executed on commodity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |
| Equity CFDs | transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |
| Bond CFDs | transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |
| CFDs on an equity future/forward | transactions executed on CFDs on future on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |
| CFDs on an equity option | transactions executed on CFDs on option on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) | 70 | EUR 60 000 | 80 | 60 | EUR 90 000 | 90 | 70 | EUR 100 000 |
Table 11.3.
CFDs – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
| Asset class – Financial contracts for differences (CFDs) | |||
| Sub-asset class | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market | ||
| LIS pre-trade | SSTI post-trade | LIS post-trade | |
| Threshold value | Threshold value | Threshold value | |
| Currency CFDs | EUR 60 000 | EUR 90 000 | EUR 100 000 |
| Commodity CFDs | EUR 60 000 | EUR 90 000 | EUR 100 000 |
| Equity CFDs | EUR 60 000 | EUR 90 000 | EUR 100 000 |
| Bond CFDs | EUR 60 000 | EUR 90 000 | EUR 100 000 |
| CFDs on an equity future/forward | EUR 60 000 | EUR 90 000 | EUR 100 000 |
| CFDs on an equity option | EUR 60 000 | EUR 90 000 | EUR 100 000 |
| Other CFDs/spread betting | EUR 60 000 | EUR 90 000 | EUR 100 000 ’ |
- Section 12 ‘Emission allowances’ is replaced by the following: ‘12. Emission allowances Table 12.1. Emission allowances – classes not having a liquid market
| Asset class – Emission allowances | |
| For the purpose of determining the sub-asset classes not having a liquid market as per Article 6a the following methodology shall apply: | |
| Sub-asset class | Liquidity determination |
European Union Allowances (EUA) any unit recognised for compliance with the requirements of Directive 2003/87/EC of the European Parliament and of the Council (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS23#37 = EUAE | European Union Allowances (EUA) are considered to have a liquid market |
Any other emission allowances RTS2#3 = EMAL and RTS23#37 <> EUAE | Any other emission allowances are considered not to have a liquid market |
Table 12.2.
Emission allowances – pre-trade LIS threshold and post-trade size threshold
| Asset class – Emission allowances | ||
| Sub-asset class | Pre-trade LIS | Post-trade size threshold |
| European Union Allowances (EUA) | 5 000 tons of Carbon Dioxide Equivalent | 25 000 tons of Carbon Dioxide Equivalent |
| Any other emission allowances | Any size | Any size’ |
- in Section 13 ‘Emission allowance derivatives’, Table 13.2 ‘Emission allowance derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market’ and Table 13.3 ‘Emission allowance derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market’ are replaced by the following: ‘Table 13.2. Emission allowance derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
| Asset class – Emission Allowance Derivatives | |||||||
| Sub-asset class | 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 the sub-asset classes determined to have a liquid market | |||||
| LIS pre-trade | SSTI post-trade | LIS post-trade | |||||
| Trade – percentile | Threshold floor | Trade – percentile | Threshold floor | Trade – percentile | Threshold floor | ||
| 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 Allowances (EUA) | 70 | 50 000 tons of Carbon Dioxide | 80 | 90 000 tons of Carbon Dioxide | 90 | 100 000 tons of Carbon Dioxide |
| 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 European Union Aviation Allowances (EUAA) | 70 | 25 000 tons of Carbon Dioxide | 80 | 40 000 tons of Carbon Dioxide | 90 | 50 000 tons of Carbon Dioxide |
| 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 Certified Emission Reductions (CER) | 70 | 25 000 tons of Carbon Dioxide | 80 | 40 000 tons of Carbon Dioxide | 90 | 50 000 tons of Carbon Dioxide |
| Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) | transactions executed on all emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) | 70 | 25 000 tons of Carbon Dioxide | 80 | 40 000 tons of Carbon Dioxide | 90 | 50 000 tons of Carbon Dioxide |
Table 13.3.
Emission allowance derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
| Asset class – Emission Allowance Derivatives | |||
| Sub-asset class | Pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined not to have a liquid market | ||
| LIS pre-trade | SSTI post-trade | LIS post-trade | |
| Threshold value | Threshold value | Threshold value | |
| Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) | 50 000 tons of Carbon Dioxide | 90 000 tons of Carbon Dioxide | 100 000 tons of Carbon Dioxide |
| Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) | 25 000 tons of Carbon Dioxide | 40 000 tons of Carbon Dioxide | 50 000 tons of Carbon Dioxide |
| Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) | 25 000 tons of Carbon Dioxide | 40 000 tons of Carbon Dioxide | 50 000 tons of Carbon Dioxide |
| Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) | 25 000 tons of Carbon Dioxide | 40 000 tons of Carbon Dioxide | 50 000 tons of Carbon Dioxide |
| Other Emission allowance derivatives | 25 000 tons of Carbon Dioxide | 40 000 tons of Carbon Dioxide | 50 000 tons of Carbon Dioxide’ |