# ANNEX III **Commission Delegated Regulation (EU) 2025/1246 · binding · OJ L, 2025/1246, 3.11.2025 · dated 18 Jun 2025 [in force]** *In force · Commission Delegated Regulation (EU) 2025/1246, OJ L, 2025/1246, 3.11.2025 · Checked against EUR-Lex on 20 Oct 2026 · [Official source](https://eur-lex.europa.eu/eli/reg_del/2025/1246/oj/eng)* Annex III to Delegated Regulation (EU) 2017/583 is amended as follows:\ 1) 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 ’

2) 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 ’

3) 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 ’

4) 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
					Average daily notional amount (ADNA)	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 ’

5) 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 ’

6) 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 ’

7) 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 ’

8) 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 ’

9) 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 ’

10) 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’

11) 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’