Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (Text with EEA relevance. )

CHAPTER I DEFINITIONS

Article 1

Definitions

(Article 9(5), point (f), of Regulation (EU) No 600/2014)

For the purposes of this Regulation, the following definitions shall apply:

• (1) ‘central limit order book trading system’ means any of the following:
• (a) a continuous order book trading system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis;
• (b) a trading system combining elements of a continuous order book trading system, as referred to in point (a), and of a periodic auction trading system, as defined in point (2);

• (2) ‘periodic auction trading system’ means a trading system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention.

Article 1a

Scope of application of Articles 3, 6, 8, 9, 10, 11 and 13

CHAPTER II PRE-TRADE TRANSPARENCY FOR REGULATED MARKETS, MULTILATERAL TRADING FACILITIES AND ORGANISED TRADING FACILITIES

Article 2

Pre-trade transparency obligations

(Article 8(1) and (2) of Regulation (EU) No 600/2014)

Market operators and investment firms operating a trading venue shall make public the range of bid and offer prices and the depth of trading interest at those prices, in accordance with the type of trading system they operate and the information requirements set out in Annex I

Article 3

Orders which are large in scale

(Article 9(1)(a) of Regulation (EU) No 600/2014)

An order is large in scale compared with normal market size where, at the point of entry of the order or following any amendment to the order, it is equal to or larger than the minimum size of order which shall be determined in accordance with the methodology set out in Article 13.

Article 3a

Orders which are large in scale for bonds, structured finance products and emission allowances

(Article 9(1), point (a), of Regulation (EU) No 600/2014)

An order in bonds, structured finance products or emission allowances shall be large in scale compared with normal market size where, at the point of entry of the order or following any amendment to the order, that order is equal to or larger than the following thresholds:

• (a) for all bond types, except Exchange Traded Commodities (‘ETCs’) and Exchange Traded Notes (‘ETNs’), the thresholds set out in Table 2.3 of Annex III;

• (b) for ETCs and ETNs, the thresholds set out in Table 2.5 of Annex III;

• (c) for structured finance products, the thresholds set out in Table 3.2 of Annex III;

• (d) for emission allowances, the thresholds set out in Table 12.2 of Annex III.

Article 4

Type and minimum size of orders held in an order management facility

(Article 9(1)(a) of Regulation (EU) No 600/2014)

• (a) is intended to be disclosed to the order book operated by the trading venue and is contingent on objective conditions that are defined in advance by the system's protocol;

• (b) does not interact with other trading interest prior to disclosure to the order book operated by the trading venue;

• (c) once disclosed to the order book it interacts with other orders in accordance with the rules applicable to orders of that kind at the time of disclosure.

• (a) in the case of a reserve order, greater than or equal to EUR 10 000 ;

• (b) for all other orders, a size that is greater than or equal to the minimum tradable quantity set in advance by the system operator under its rules and protocols.

Article 6

The classes of financial instruments for which there is not a liquid market

(Article 9(1)(c) of Regulation (EU) No 600/2014)

A financial instrument or a class of financial instruments shall be considered not to have a liquid market if so specified in accordance with the methodology set out in Article 13.

Article 6a

The classes of bonds, structured finance products and emission allowances for which there is not a liquid market

(Article 9(1), point (c), of Regulation (EU) No 600/2014)

To determine whether a bond, structured finance product or emission allowance is to be considered not to have a liquid market, competent authorities shall apply the following static determination of liquidity:

• (a) for all bond types, except ETCs and ETNs, the determination set out in Table 2.2 of Annex III;

• (b) for ETCs and ETNs, the determination set out in Table 2.4 of Annex III;

• (c) for structured finance products, the determination set out in Table 3.1 of Annex III;

• (d) for emission allowances, the determination set out in Table 12.1 of Annex III.

CHAPTER III POST-TRADE TRANSPARENCY FOR TRADING VENUES AND INVESTMENT FIRMS TRADING OUTSIDE A TRADING VENUE

Article 7

Post-trade transparency obligations

(Article 10(1) and Article 21(1) and (5) of Regulation (EU) No 600/2014)

The field names set out in Table 2 of Annex II shall be made public using the same naming conventions as set out in the field identifier of that table.

• (a) a new trade report that contains all the details of the original trade report and the cancellation flag specified in Table 3 of Annex II;

• (b) a new trade report that contains all the details of the original trade report with all necessary details corrected and the amendment flag as specified in Table 3 of Annex II.

Article 8

Deferred publication of transactions

(Article 11(1) and (3) and Article 21(4) of Regulation (EU) No 600/2014)

• (a) the transaction is large in scale compared with the normal market size as specified in Article 9;

• (b) the transaction is in a financial instrument or a class of financial instruments for which there is not a liquid market as specified in accordance with the methodology set out in Article 13;

• (c) the transaction is executed between an investment firm dealing on own account other than on a matched principal basis as per Article 4(1)(38) of Directive 2014/65/EU of the European Parliament and of the Council ([^E0001]) and another counterparty and is above a size specific to the instrument as specified in Article 10;

• (d) the transaction is a package transaction which meets one of the following criteria:
• (i) one or more of its components are transactions in financial instruments which do not have a liquid market;
• (ii) one or more of its components are transactions in financial instruments that are large in scale compared with the normal market size as determined by Article 9;
• (iii) the transaction is executed between an investment firm dealing on own account other than on a matched principal basis as per Article 4(1)(38) of Directive 2014/65/EU and another counterparty, and one or more of its components are transactions in financial instruments that are above the size specific to the instrument as determined by Article 10.

Article 8a

Deferred publication of transactions for bonds, structured finance products and emission allowances

(Article 11 of Regulation (EU) No 600/2014)

• (a) a price deferral and a volume deferral not exceeding 15 minutes, for transactions in category 1 as referred to in Table 2.6 of Annex III;

• (b) a price deferral and a volume deferral not exceeding the end of the trading day, for transactions in category 2 as referred to in Table 2.6 of Annex III;

• (c) a price deferral not exceeding the end of the first trading day after the transaction date and a volume deferral not exceeding one week after the transaction date, for transactions in category 3 as referred to in Table 2.6 of Annex III;

• (d) a price deferral not exceeding the end of the second trading day after the transaction date and a volume deferral not exceeding two weeks after the transaction date, for transactions in category 4 as referred to in Table 2.6 of Annex III;

• (e) a price deferral and a volume deferral not exceeding four weeks after the transaction date, for transactions in category 5 as referred to in Table 2.6 of Annex III.

• (a) a price deferral not exceeding the end of the second trading day after the transaction date, for transactions of any size; and

• (b) a volume deferral not exceeding two weeks after the transaction date, for transactions of any size.

Article 9

Transactions which are large in scale

(Article 11(1)(a) of Regulation (EU) No 600/2014)

A transaction shall be considered large in scale compared with normal market size where it is equal to or larger than the minimum size of transaction, which shall be calculated in accordance with the methodology set out in Article 13.

Article 10

The size specific to the financial instrument

(Article 11(1)(c) of Regulation (EU) No 600/2014)

A transaction shall be considered above a size specific to the financial instrument where it is equal to or larger than the minimum size of transaction, which shall be calculated in accordance with the methodology set out in Article 13.

Article 11

Transparency requirements in conjunction with deferred publication at the discretion of the competent authorities

(Article 11(3) of Regulation (EU) No 600/2014)

• (a) where Article 11(3)(a) of Regulation (EU) No 600/2014 applies, competent authorities shall request the publication of either of the following information during the full period of deferral as set out in Article 8:
• (i) all the details of a transaction laid down in Tables 1 and 2 of Annex II with the exception of details relating to volume;
• (ii) transactions in a daily aggregated form for a minimum number of 5 transactions executed on the same day, to be made public the following working day before 9.00 local time;

• (b) where Article 11(3)(b) of Regulation (EU) No 600/2014 applies, competent authorities shall allow the omission of the publication of the volume of an individual transaction for an extended time period of four weeks;

• (c) in respect of non-equity instruments that are not sovereign debt and where Article 11(3)(c) of Regulation (EU) No 600/2014 applies, competent authorities shall allow, for an extended time period of deferral of four weeks, the publication of the aggregation of several transactions executed over the course of one calendar week on the following Tuesday before 9.00 local time.

• (a) in respect of all instruments that are not sovereign debt, the publication of the full details of all individual transactions, on the next working day before 9.00 local time.

• (a) the weighted average price;

• (b) the total volume traded as referred to in Table 4 of Annex II;

• (c) the total number of transactions.

Article 11a

Transparency requirements for sovereign debt instruments in conjunction with deferred publication at the discretion of competent authorities

(Article 11(3) of Regulation (EU) No 600/2014)

• (a) the weighted average price;

• (b) the total volume traded as referred to in Table 4 of Annex II;

• (c) the total number of transactions.

• 1. Transactions shall be aggregated per ISIN-code.

• 1. Where the weekday for the publications set out in paragraph 1 is not a working day, the publications shall be made on the following working day before 09:00 local time.

Article 12

Application of post-trade transparency to certain transactions executed outside a trading venue

(Article 21(1) of Regulation (EU) No 600/2014)

The obligations set out in Article 21(1) of Regulation (EU) No 600/2014 shall not apply to transactions listed in Article 2(5) of Commission Delegated Regulation (EU) 2017/590 ([^E0002]).

CHAPTER IV PROVISIONS COMMON TO PRE-TRADE AND POST-TRADE TRANSPARENCY

Article 13

Methodology to perform the transparency calculations

(Article 9(1) and (2), Article 11(1) and Article 22(1) of Regulation (EU) No 600/2014)

• (a) Static determination of liquidity for:
• (i) the asset class of securitised derivatives as defined in Table 4.1 of Annex III;
• (ii) the following sub-asset classes of equity derivatives: stock index options, stock index futures/forwards, stock options, stock futures/forwards, stock dividend options, stock dividend futures/forwards, dividend index options, dividend index futures/forwards, volatility index options, volatility index futures/forwards, ETF options, ETF futures/forwards and other equity derivatives as defined in Table 6.1 of Annex III;
• (iii) the asset class of foreign exchange derivatives as defined in Table 8.1 of Annex III;
• (iv) the sub-asset classes of other interest rate derivatives, other commodity derivatives, other credit derivatives, other C10 derivatives, other contracts for difference (CFDs), and other emission allowance derivatives as referred to in Tables 5.1, 7.1, 9.1, 10.1, 11.1 and 13.1 of Annex III.

• (b) Periodic assessment based on quantitative and, where applicable, qualitative liquidity criteria for: —————
• (iii) the asset-class of interest rate derivatives except the sub-asset class of other interest rate derivatives as defined in Table 5.1of Annex III;
• (iv) the following sub-asset classes of equity derivatives: swaps and portfolio swaps as defined in Table 6.1 of Annex III;
• (v) the asset-class of commodity derivatives except the sub-asset class of other commodity derivatives as defined in Table 7.1 of Annex III;
• (vi) the following sub-asset classes of credit derivatives: index credit default swaps and single name credit default swaps as defined in Table 9.1 of Annex III;
• (vii) the asset-class of C10 derivatives except the sub-asset class of other C10 derivatives as defined in Table 10.1 of Annex III;
• (viii) the following sub-asset classes of contracts for difference (CFDs): currency CFDs and commodity CFDs as defined in Table 11.1 of Annex III; —————
• (x) the asset-class of emission allowance derivatives except the sub-asset class of other emission allowance derivatives as defined in Table 13.1 of Annex III.

• (c) Periodic assessment based on qualitative liquidity criteria for:
• (i) the following sub-asset classes of credit derivatives: CDS index options and single name CDS options as defined in Table 9.1 of Annex III;
• (ii) the following sub-asset classes of contracts for difference (CFDs): equity CFDs, bond CFDs, CFDs on an equity future/forward and CFDs on an equity option as defined in Table 11.1 of Annex III.

• (a) the threshold value for: —————
• (ii) the asset class of securitised derivatives as defined in Table 4.2 of Annex III;
• (iii) each sub-class of equity derivatives as defined in Tables 6.2 and 6.3 of Annex III;
• (iv) each sub-class of foreign exchange derivatives as defined in Table 8.2 of Annex III;
• (v) each sub-class considered not to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and contracts for difference (CFDs) as defined in Tables 5.3, 7.3, 9.3, 10.3 and 11.3 of Annex III;
• (vi) each sub-asset class considered not to have a liquid market for the asset classes of emission allowance derivatives as referred to in Table 13.3 of Annex III. —————

• (b) the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor for: —————
• (ii) each sub-class having a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and CFDs as defined in Tables 5.2, 7.2, 9.2, 10.2 and 11.2 of Annex III;
• (iii) each sub-asset class having a liquid market for the asset classes of emission allowance derivatives as referred to in Table 13.2 of Annex III; —————

• (a) the threshold value for: —————
• (ii) the asset class of securitised derivatives as defined in Table 4.2 of Annex III;
• (iii) each sub-class of equity derivatives as defined in Tables 6.2 and 6.3 of Annex III;
• (iv) each sub-class of foreign exchange derivatives as defined in Table 8.2 of Annex III;
• (v) each sub-class considered not to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and contracts for difference (CFDs) as defined in Tables 5.3, 7.3, 9.3, 10.3 and 11.3 of Annex III;
• (vi) each sub-asset class considered not to have a liquid market for the asset class of emission allowance derivatives as referred to in Table 13.3 of Annex III; —————

• (c) the greatest of the trade size below which lies the percentage of the transactions corresponding to the trade percentile, the trade size below which lies the percentage of volume corresponding to the volume percentile and the threshold floor for each sub-class considered to have a liquid market for the asset classes of interest rate derivatives, commodity derivatives, credit derivatives, C10 derivatives and CFDs as provided in Tables 5.2, 7.2, 9.2, 10.2 and 11.2 of Annex III;

• (d) the greater of the trade size below which lies the percentage of the transactions corresponding to the trade percentile and the threshold floor for each sub-asset class considered to have a liquid market for emission allowance derivatives as provided for in Table 13.2 of Annex III.

• (a) the financial instruments and classes of financial instruments not having a liquid market as set out in paragraph 1;

• (b) the sizes large in scale compared to normal market size and the size specific to the instrument as set out in paragraph 3.

The data referred to in the first subparagraph shall be collected in accordance with Annex V.

• (a) 100 000 where the threshold value is smaller than 1 million;

• (b) 500 000 where the threshold value is equal to or greater than 1 million but smaller than 10 million;

• (c) 5 million where the threshold value is equal to or greater than 10 million but smaller than 100 million;

• (d) 25 million where the threshold value is equal to or greater than 100 million.

Article 14

Transactions to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 applies

(Article 1(6) of Regulation (EU) No 600/2014)

A transaction shall be considered to be entered into by a member of the European System of Central Banks (ESCB) in performance of monetary, foreign exchange and financial stability policy where that transaction meets any of the following requirements:

• (a) the transaction is carried out for the purposes of monetary policy, including an operation carried out in accordance with Articles 18 and 20 of the Statute of the European System of Central Banks and of the European Central Bank annexed to the Treaty on European Union or an operation carried out under equivalent national provisions for members of the ESCB in Member States whose currency is not the euro;

• (b) the transaction is a foreign-exchange operation, including operations carried out to hold or manage official foreign reserves of the Member States or the reserve management service provided by a member of the ESCB to central banks in other countries to which the exemption has been extended in accordance with Article 1(9) of Regulation (EU) No 600/2014;

• (c) the transaction is carried out for the purposes of financial stability policy.

Article 15

Transactions to which the exemption in Article 1(6) of Regulation (EU) No 600/2014 does not apply

(Article 1(7) of Regulation (EU) No 600/2014)

Article 1 (6) of Regulation (EU) No 600/2014 shall not apply to the following types of transactions entered into by a member of the ESCB for the performance of an investment operation that is unconnected with that member's performance of one of the tasks referred to in Article 14:

• (a) transactions entered into for the management of its own funds;

• (b) transactions entered into for administrative purposes or for the staff of the member of the ESCB which include transactions conducted in the capacity as administrator of a pension scheme for its staff;

• (c) transactions entered into for its investment portfolio pursuant to obligations under national law.

Article 16

Temporary suspension of transparency obligations

(Article 9(4) of Regulation (EU) No 600/2014)

Article 19

Entry into force and application

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 3 January 2018. However, Article 18 shall apply from the date of the entry of force of this Regulation.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

ANNEX I

Types of system and the related information to be made public in accordance with Article 2

Type of system	Information to be made public
Continuous order book trading system	For each financial instrument, the aggregate number of orders and the volume they represent at each price level, for at least the five best bid and offer price levels.
Periodic auction trading system	For each financial instrument, the price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system.

ANNEX II

Details of transactions to be made available to the public

Table 1

Symbol table for Table 2

SYMBOL	DATA TYPE	DEFINITION
{ALPHANUM-n}	Up to n alphanumerical characters	Free text field.
{CURRENCYCODE_3}	3 alphanumerical characters	3 letter currency code, as defined by ISO 4217 currency codes
{DATE_TIME_FORMAT}	ISO 8601 date and time format	Date and time in the following format: YYYY-MM-DDThh:mm:ss.ddddddZ. Where: — ‘YYYY’ is the year; — ‘MM’ is the month; — ‘DD’ is the day; — ‘T’ — means that the letter ‘T’ shall be used — ‘hh’ is the hour; — ‘mm’ is the minute; — ‘ss.dddddd’ is the second and its fraction of a second; — Z is UTC time. Dates and times shall be reported in UTC.
{DECIMAL-n/m}	Decimal number of up to n digits in total of which up to m digits can be fraction digits	Numerical field for both positive and negative values: — decimal separator is ‘.’ (full stop); — negative numbers are prefixed with ‘-’ (minus). Where applicable, values shall be rounded and not truncated.
{ISIN}	12 alphanumerical characters	ISIN code, as defined in ISO 6166
{MIC}	4 alphanumerical characters	Market identifier as defined in ISO 10383

Table 2

List of details for the purpose of post-trade transparency

The field names (column headers) as published shall be identical to the field identifier provided in Table 2.

#	Field identifier	Financial instruments	Description and details to be published	Type of execution or publication venue	Format to be populated as specified in Table 1
1	Trading date and time	For all financial instruments	Date and time when the transaction was executed. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 12 of Commission Delegated Regulation (EU) 2025/1155 [^E0003]. For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies, as specified in fields 31, 34 and 44 of Table 2 of Annex I to Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 4 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission.	Regulated Market (RM) Multilateral Trading Facility (MTF), Organised Trading Facility (OTF) Approved Publication Arrangement (APA)	{DATE_TIME_FORMAT}
2	Instrument identification code	For all financial instruments	Code used to identify the financial instrument	RM, MTF, OTF, APA	{ISIN}
3	Price	For all financial instruments	Traded price of the transaction excluding, where applicable, commission and accrued interest. The traded price shall be reported in accordance with standard market convention. The value provided in this field shall be consistent with the value provided in the field ‘Price Notation’. Where price is currently not available but pending (‘PNDG’) or not applicable (‘NOAP’), this field shall not be populated.	RM, MTF, OTF, APA	{DECIMAL-18/13} in case the price is expressed as monetary value {DECIMAL-11/10} in case the price is expressed as percentage or yield {DECIMAL-18/17} in case the price is expressed as basis points
4	Missing Price	For all financial instruments	Where price is currently not available but pending, the value shall be ‘PNDG’. Where price is not applicable the value shall be ‘NOAP’.	RM, MTF, OTF, APA	‘PNDG’ in case the price is not available ‘NOAP’ in case the price is not applicable
5	Price currency	For all financial instruments	Major currency in which the price is expressed (applicable if the price is expressed as monetary value).	RM, MTF, OTF, APA	{CURRENCY CODE_3}
6	Price notation	For all financial instruments	Indication as to whether the price is expressed in monetary value, in percentage, in basis points or in yield The price notation shall be reported in accordance with standard market convention. For credit default swaps, this field shall be populated with ‘BAPO’. For bonds (other than ETNs and ETCs) this field shall be populated with percentage (PERC) of the notional amount. Where a price in percentage is not the standard market convention, it shall be populated with YIEL, BAPO or MONE, in accordance with the standard market convention. The value provided in this field shall be consistent with the value provided in the field ‘Price’. Where the price is reported in monetary terms, it shall be provided in the major currency unit. Where the price is currently not available but pending (‘PNDG’) or not applicable (‘NOAP’), this field shall not be populated.	RM, MTF, OTF, APA	‘MONE’ – Monetary value ‘PERC’ – Percentage ‘YIEL’ – Yield ‘BAPO’ – Basis points
7	Quantity	For all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation.	For financial instruments traded in units, the number of units of the financial instrument. Empty otherwise.	RM, MTF, OTF, APA	{DECIMAL-18/17}
8	Quantity in measurement unit	For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b), of this Regulation.	The equivalent amount of commodity or emission allowance traded expressed in measurement unit.	RM, MTF, OTF, APA	{DECIMAL-18/17}
9	Notation of the quantity in measurement unit	For contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b), of this Regulation	Indication of the notation in which the quantity in measurement unit is expressed.	RM, MTF, OTF, APA	‘TOCD’ – tonnes of carbon dioxide equivalent, for any contract related to emission allowances ‘TONE’ – metric tonnes ‘MWHO’ – megawatt hours ‘MBTU’ – one million British thermal units ‘THMS’ – Therms ‘DAYS’– days or {ALPHANUM-4} otherwise
10	Notional amount	For all financial instruments except in the cases described under Article 11(1), points (a) and (b), of this Regulation.	This field shall be populated: (i) for bonds (excluding ETCs and ETNs), with the face value, which is the amount repaid at redemption to the investor; (ii) for ETCs and ETNs and securitised derivatives, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field; (iii) for structured finance products (SFPs), with the nominal value per unit multiplied by the number of instruments at the time of the transaction; (iv) for credit default swaps, with the notional amount for which the protection is acquired or disposed of; (v) for options, swaptions, swaps other than those in (iv), futures and forwards, with the notional amount of the contract; (vi) for emission allowances, with the resulting amount of the quantity at the relevant price set in the contract at the time of the transaction. Equivalently, with the price field multiplied by the quantity in measurement unit field; (vii) for spread bets, with the monetary value wagered per point movement in the underlying financial instrument at the time of the transaction; (viii) for contracts for difference, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field.	RM, MTF, OTF, APA	{DECIMAL-18/5}
11	Notional currency	For all financial instruments except in the cases described under Article 11(1), points (a) and (b), of this Regulation.	Major currency in which the notional amount is denominated. In the case of an FX derivative contract or a multi-currency swap or a swaption where the underlying swap is multi-currency or a currency CFD or spread-betting contract, this will be the notional currency of leg 1.	RM, MTF, OTF, APA	{CURRENCY CODE_3}
12	[deleted]
13	Venue of execution	For all financial instruments	Identification of the venue where the transaction was executed. Use the ISO 10383 segment MIC for transactions executed on an EU trading venue. Where the segment MIC does not exist, use the operating MIC. Use ‘SINT’ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser. Use MIC code ‘XOFF’ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is neither executed on an EU trading venue nor executed by a systematic internaliser. If the transaction is executed on an organised trading platform outside of the EU then in addition to ‘XOFF’ also the population of the field ‘Third-country trading venue of execution’ is required.	RM, MTF, OTF, APA	{MIC} – EU trading venues or ‘SINT’ – systematic internaliser ‘XOFF’ – otherwise
14	Third-country trading venue of execution	For all financial instruments	Identification of the third-country trading venue where the transaction was executed. Use the ISO 10383 segment MIC. Where the segment MIC does not exist, use the operating MIC. Where the transaction is not executed on a third- country trading venue, the field shall not be populated.	APA	{MIC}
15	Publication Date and Time	For all financial instruments	Date and time when the transaction was published by a trading venue or APA. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 12 of Delegated Regulation (EU) 2025/1155. For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second.	RM, MTF, OTF, APA	{DATE_TIME_FORMAT}
16	Venue of publication	For all financial instruments	Code used to identify the trading venue and APA publishing the transaction.	RM, MTF, OTF, APA	{MIC}
17	Transaction Identification Code	For all financial instruments	Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580 [^E0004] and APAs and used in any subsequent reference to the specific trade.	RM, MTF, OTF, APA	{ALPHANUMERICAL-52}
18	Transaction to be cleared	For derivatives	Code to identify whether the transaction will be cleared.	RM, MTF, OTF, APA	‘TRUE’ – transaction to be cleared ‘FALSE’ – transaction not to be cleared
19	Flags	For all financial instruments	One or multiple fields should be populated with the applicable flags as described in Table 3 of Annex II. Where none of the specified circumstances apply, the transaction should be published without a flag. Where a combination of flags is possible and reported in one field, the flags should be reported separated by commas.	RM, MTF, OTF, APA	As specified in Table 3 of Annex II
20	Trading System	For all financial instruments	Type of trading system on which the transaction was executed. When the field ‘Venue of execution’ is populated with ‘SINT’ or ‘XOFF’, this field shall not be populated.	RM, MTF, OTF	‘CLOB’ – central limit order book trading system. ‘QDTS’ – quote driven trading systems, meaning a system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself. ‘PATS’ – periodic auction trading systems. ‘RFQT’ – request for quote trading systems, meaning a trading system where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request. ‘VOIC’ – voice trading system, meaning a trading system where transactions between members are arranged through voice negotiation. ‘HYBR’ – hybrid trading system meaning a system falling into two or more of the types of trading systems referred to above. ‘OTHR’ – any other trading system, meaning any other type of trading system not covered above.
21	Number of transactions	For sovereign debt instruments	This field should be populated with the number of transactions executed when deferred publication of details of several tpransactions in an aggregated form is required under Article 11(3)(b) of Regulation (EU) No 600/2014.	RM, MTF, OTF, APA	{DECIMAL-18/17}

Commission Delegated Regulation (EU) 2025/1155 of 12 June 2025 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards specifying the input and output data of consolidated tapes, the synchronisation of business clocks and the revenue redistribution by the consolidated tape provider for shares and ETFs, and repealing Commission Delegated Regulation (EU) 2017/574 (OJ L, 2025/1155, 3.11.2025, ELI: http://data.europa.eu/eli/reg_del/2025/1155/oj).

Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (OJ L 87, 31.3.2017, p. 193, ELI: http://data.europa.eu/eli/reg_del/2017/580/oj).

Table 3

List of flags for the purpose of post-trade transparency

POST-TRADE DEFERRAL FLAGS FOR DERIVATIVES	POST-TRADE DEFERRAL FLAGS FOR DERIVATIVES	POST-TRADE DEFERRAL FLAGS FOR DERIVATIVES	POST-TRADE DEFERRAL FLAGS FOR DERIVATIVES
Flag	Name	Type of execution or publication venue	Description
‘LRGS’	Post-trade LIS transaction flag	RM, MTF, OTF, APA	Transactions executed under the post-trade large in scale deferral
‘ILQD’	Illiquid instrument transaction flag	RM, MTF, OTF, APA	Transactions executed under the deferral for instruments for which there is not a liquid market
‘SIZE’	Post-trade SSTI transaction flag	RM, MTF, OTF, APA	Transactions executed under the post-trade size specific to the instrument deferral
---	---	---	---
POST-TRADE DEFERRAL FLAGS FOR BONDS (EXCEPT ETCs AND ETNs)	POST-TRADE DEFERRAL FLAGS FOR BONDS (EXCEPT ETCs AND ETNs)	POST-TRADE DEFERRAL FLAGS FOR BONDS (EXCEPT ETCs AND ETNs)	POST-TRADE DEFERRAL FLAGS FOR BONDS (EXCEPT ETCs AND ETNs)
Flag	Name	Type of execution or publication venue	Description
‘MLF1’	Medium Liquid Flag	RM, MTF, OTF, APA	Transactions in bonds benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(a) of this Regulation.
‘MIF2’	Medium Illiquid Flag	RM, MTF, OTF, APA	Transactions in bonds benefiting from a deferral applicable to transactions of a medium size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(b) of this Regulation.
‘LLF3’	Large Liquid Flag	RM, MTF, OTF, APA	Transactions in bonds benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(c) of this Regulation.
‘LIF4’	Large Illiquid Flag	RM, MTF, OTF, APA	Transactions in bonds benefiting from a deferral applicable to transactions of a large size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(d) of this Regulation.
‘VLF5’	Very Large Liquid Flag	RM, MTF, OTF, APA	Transactions in bonds benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is a liquid market in accordance with Article 8a(1)(e) of this Regulation.
‘VIF5’	Very Large Illiquid Flag	RM, MTF, OTF, APA	Transactions in bonds benefiting from a deferral applicable to transactions of a very large size in a financial instrument for which there is not a liquid market in accordance with Article 8a(1)(e) of this Regulation.
---	---	---	---
POST-TRADE DEFERRAL FLAGS FOR ETCs, ETNs, SFPs AND EMISSION ALLOWANCES	POST-TRADE DEFERRAL FLAGS FOR ETCs, ETNs, SFPs AND EMISSION ALLOWANCES	POST-TRADE DEFERRAL FLAGS FOR ETCs, ETNs, SFPs AND EMISSION ALLOWANCES	POST-TRADE DEFERRAL FLAGS FOR ETCs, ETNs, SFPs AND EMISSION ALLOWANCES
Flag	Name	Type of execution or publication venue	Description
‘DEFF’	Deferral for ETCs, ETNs, SFPs and emission allowances	RM, MTF, OTF, APA	Transactions in ETCs, ETNs, SFPs and emission allowances, which benefit from a deferral as specified under Article 8a(2) and (3) of this Regulation.
---	---	---	---
SUPPLEMENTARY DEFERRAL FLAGS FOR DERIVATIVES	SUPPLEMENTARY DEFERRAL FLAGS FOR DERIVATIVES	SUPPLEMENTARY DEFERRAL FLAGS FOR DERIVATIVES	SUPPLEMENTARY DEFERRAL FLAGS FOR DERIVATIVES
Article 11(1), point (a)(i)	‘LMTF’	Limited details flag	RM, MTF, OTF, APA
Article 11(1), point (a)(i)	‘FULF’	Full details flag	RM, MTF, OTF, APA
Article 11(1), point (a)(ii)	‘DATF’	Daily aggregated transaction flag	RM, MTF, OTF, APA
Article 11(1), point (a)(ii)	‘FULA’	Full details flag	RM, MTF, OTF, APA
Article 11(1), point (b)	‘VOLO’	Volume omission flag	RM, MTF, OTF, APA
Article 11(1), point (b)	‘FULV’	Full details flag	RM, MTF, OTF, APA
Article 11(1), point (c)	‘FWAF’	Four weeks aggregation flag	RM, MTF, OTF, APA
Article 11(1), point (c)	‘FULJ’	Full details flag	RM, MTF, OTF, APA
---	---	---	---
SUPPLEMENTARY DEFERRAL FLAGS FOR SOVEREIGN BONDS	SUPPLEMENTARY DEFERRAL FLAGS FOR SOVEREIGN BONDS	SUPPLEMENTARY DEFERRAL FLAGS FOR SOVEREIGN BONDS	SUPPLEMENTARY DEFERRAL FLAGS FOR SOVEREIGN BONDS
Article 11(3)(a)	‘OMIS’	Volume omission flag	RM, MTF, OTF, APA
Article 11(3)(a)	‘FULO’	Full details flag	RM, MTF, OTF, APA
Article 11(3)(b)	‘AGFW’	Four weeks aggregation flag	RM, MTF, OTF, APA
Article 11(3)(b)	‘FULG’	Full details flag	RM, MTF, OTF, APA
---	---	---	---
OTHER FLAGS	OTHER FLAGS	OTHER FLAGS	OTHER FLAGS
Flag	Name	Type of execution or publication venue	Description
‘BENC’	Benchmark transaction flag	RM, MTF, OTF, APA	Transactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price.
‘NPFT’	Non-price forming transaction flag	RM, MTF, OTF, APA	Non-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590.
‘TPAC’	Package transaction flag	RM, MTF, OTF, APA	Package transactions, which are not exchange for physicals, as defined in Article 2(1)(50), point (b) of Regulation (EU) No 600/2014.
‘XFPH’	Exchange for physicals transaction flag	RM, MTF, OTF, APA	Exchange for physicals as defined in Article 2(1), point (48), of Regulation (EU) No 600/2014.
‘CANC’	Cancellation flag	RM, MTF, OTF, APA	When a previously published transaction is cancelled.
‘AMND’	Amendment flag	RM, MTF, OTF, APA	When a previously published transaction is amended.
‘PORT’	Portfolio trade flag	RM, MTF, OTF, APA	Transaction in five or more different financial instruments where those transactions are traded at the same time by the same client and against a single lot price and that is not a ‘package transaction’ as defined in Article 2(1), point (50), of Regulation (EU) No 600/2014.
‘MTCH’	Matched principal trading flag	OTF	Matched principal transactions as set out in Article 4(1)(38) of Directive 2014/65/EU.
‘NEGO’	Negotiated transaction flag	RM, MTF, OTF	Transactions which are negotiated privately but reported under the rules of a trading venue.

Table 4

Measure of volume

Type of instrument	Volume
All bonds except ETCs and ETNs and structured finance products	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
ETCs and ETNs bond types	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Securitised derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Interest rate derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Foreign Exchange Derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Equity derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Commodity derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Credit derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Contract for differences	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
C10 derivatives	‘Notional amount’ of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.
Emission allowance derivatives	‘Quantity in measurement unit’ as per field 8 of Table 2 of Annex II of this Regulation.
Emission allowances	‘Quantity in measurement unit’ as per field 8 of Table 2 of Annex II of this Regulation.

ANNEX III

Liquidity assessment, LIS and SSTI thresholds for non-equity financial instruments

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	Sovereign and Other Public Bonds	Sovereign and Other Public Bonds	Sovereign and Other Public Bonds	Sovereign and Other Public Bonds	Sovereign and Other Public Bonds	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 [^E0005] (‘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	Any instrument not in G1	Any instrument not in G1	Less than EUR 1 000 000 000

Commission Delegated Regulation (EU) 2017/585 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the data standards and formats for financial instrument reference data and technical measures in relation to arrangements to be made by the European Securities and Markets Authority and competent authorities (OJ L 87, 31.3.2017, p. 368, ELI: http://data.europa.eu/eli/reg_del/2017/585/oj).

Corporate, Convertible and Other Bonds	Corporate, Convertible and Other Bonds	Corporate, Convertible and Other Bonds	Corporate, Convertible and Other Bonds	Corporate, Convertible and Other Bonds	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 [^E0006] 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 [^E0007] 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	Any instrument not in G3	Less than EUR 500 000 000

Council Regulation (EC) No 2157/2001 of 8 October 2001 on the Statute for a European company (SE) (OJ L 294, 10.11.2001, p. 1, ELI: http://data.europa.eu/eli/reg/2001/2157/oj).

Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19, ELI: http://data.europa.eu/eli/dir/2013/34/oj).

Covered bonds	Covered bonds	Covered bonds	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 [^E0008]	Less than EUR 500 000 000

Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32, ELI: http://data.europa.eu/eli/dir/2009/65/oj).

Table 2.3

Bonds (all bond types except ETCs and ETNs) – pre-trade LIS thresholds