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

Type Delegated Regulation
Publication 2017-03-31
Last updated 2026-03-02
State In force
Department European Commission, FISMA
Source EUR-Lex
articles 22
Reform history JSON API
Asset class – Bonds (all bond types except ETCs and ETNs) 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) 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: 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) 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) Asset class – Bonds (all bond types except ETCs and ETNs) Asset class – Bonds (all bond types except ETCs and ETNs) 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
Sovereign Bond in G1 as per Table 2.2 2 Considered not to have a liquid market EUR 5 000 000
Sovereign Bond in G1 as per Table 2.2 3 Considered to have a liquid market EUR 50 000 000
Sovereign Bond in G1 as per Table 2.2 4 Considered not to have a liquid market EUR 15 000 000
Sovereign Bond in G1 as per Table 2.2 5 Considered to have a liquid market EUR 100 000 000
Sovereign Bond in G1 as per Table 2.2 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
Sovereign Bond and Other Public Bond in G2 as per Table 2.2 2 Considered not to have a liquid market EUR 1 000 000
Sovereign Bond and Other Public Bond in G2 as per Table 2.2 3 Considered to have a liquid market EUR 20 000 000
Sovereign Bond and Other Public Bond in G2 as per Table 2.2 4 Considered not to have a liquid market EUR 2 000 000
Sovereign Bond and Other Public Bond in G2 as per Table 2.2 5 Considered to have a liquid market EUR 50 000 000
Sovereign Bond and Other Public Bond in G2 as per Table 2.2 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
Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2 2 Considered not to have a liquid market EUR 500 000
Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2 3 Considered to have a liquid market EUR 7 500 000
Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2 4 Considered not to have a liquid market EUR 2 000 000
Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2 5 Considered to have a liquid market EUR 15 000 000
Corporate Bond, Convertible Bond and Other Bond in G3 as per Table 2.2 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
Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2 2 Considered not to have a liquid market EUR 500 000
Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2 3 Considered to have a liquid market EUR 5 000 000
Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2 4 Considered not to have a liquid market EUR 2 000 000
Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2 5 Considered to have a liquid market EUR 10 000 000
Corporate Bond, Convertible Bond and Other Bond in G4 as per Table 2.2 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
Covered Bonds in G5 as per Table 2.2 2 Considered not to have a liquid market EUR 1 000 000
Covered Bonds in G5 as per Table 2.2 3 Considered to have a liquid market EUR 20 000 000
Covered Bonds in G5 as per Table 2.2 4 Considered not to have a liquid market EUR 5 000 000
Covered Bonds in G5 as per Table 2.2 5 Considered to have a liquid market EUR 50 000 000
Covered Bonds in G5 as per Table 2.2 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

4. Securitised derivatives

Table 4.1
Securitised derivatives — classes not having a liquid market
Asset class – Securitised Derivatives
means a transferable security as defined in Article 4(1)(44)(c) of Directive 2014/65/EU different from structured finance products and shall include at least:
(a.1)  plain vanilla covered warrants which mean securities issued by a financial institution giving the holder the right, but not the obligation, to (a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or (b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer; (a.2)  warrants which mean securities issued by the same issuer of the underlying asset giving the holder the right, but not the obligation, to (a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or (b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer; (b) leverage certificates means certificates that track the performance of the underlying asset with leverage effect; (c) exotic covered warrants means covered warrants whose main component is a combination of options; (d) negotiable rights whose underlying is a non-equity instrument; (e) investment certificates means certificates that track the performance of the underlying asset without leverage effect.
RTS2#3 = SDRV
For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied
all securitised derivatives are considered to have a liquid market
Table 4.2
Securitised derivatives – pre- and post-trade SSTI and LIS thresholds
Asset class – Securitised Derivatives Asset class – Securitised Derivatives Asset class – Securitised Derivatives
Pre-trade and post-trade SSTI and LIS thresholds Pre-trade and post-trade SSTI and LIS thresholds 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

5. Interest rate derivatives

Table 5.1
Interest rate derivatives — classes not having a liquid market
Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives
any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan. any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan. any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan. any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan. any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan.
Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1), point (b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1), point (b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1), point (b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied
Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below *Average daily notional amount (ADNA)* [quantitative liquidity criterion 1] *Average daily number of trades* [quantitative liquidity criterion 2] Additional qualitative liquidity criterion
Bond futures/forwards / Future on a bond future / Forward on a bond future Future on a bond RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = BOND or Forward on a bond RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FORW RTS2#16 = BOND or Future on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = BNFD or Forward on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FORW RTS2#16 = BNFD a bond future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#17) — issuer of the underlying Segmentation criterion 2 (RTS2#18) — term of the underlying deliverable bond defined as follows: Short-term: the underlying deliverable bond with a term up to 4 years shall be considered to have a short-term Medium-term: the underlying deliverable bond with a term between 4 and 8 years shall be considered to have a medium-term Long-term: the underlying deliverable bond with a term between 8 and 15 years shall be considered to have a long-term Ultra-long-term: the underlying deliverable bond with a term longer than 15 years shall be considered to have an ultra-long-term Segmentation criterion 3 — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5 000 000 10 whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month
Bond Option / Option on a bond option / Option on a bond future Bond Option Option on a bond option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BOND or Option on a bond option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BOND or Option on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BNFD a bond option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#22) — ultimate underlying bond Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5 000 000 10
IR futures and FRA/ Future on an interest rate future/ Forward rate agreement on an interest rate future Future on an interest rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = INTR or Forward rate agreement RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FRAS RTS2#16 = INTR or Future on an interest rate future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = IFUT or Forward rate agreement on an interest rate future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FRAS RTS2#16 = IFUT an interest rate future sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#24) — underlying interest rate Segmentation criterion 2 (RTS2#25) — term of the underlying interest rate Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 500 000 000 10 whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month
IR options /Option on an interest rate future/FRA /Option on an interest rate option /Option on an option on an interest rate future/FRA Option on an interest rate future/FRA//'Option on an interest rate option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = IFUT or IR Option //'Option on an option on an interest rate future/FRA RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = INTR an interest rate option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#24) —underlying interest rate Segmentation criterion 2 (RTS2#25) — term of the underlying interest rate Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 500 000 000 10
Swaptions RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWPT a swaption sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#16) — underlying swap type defined as follows: fixed-to-fixed single currency swap, futures/forwards on fixed-to-fixed single currency swap [RTS2#16 = XXSC] fixed-to-float single currency swap, futures/forwards on fixed-to-float single currency swap [RTS2#16 = XFSC] float-to-float single currency swap, futures/forwards on float-to-float single currency swap [RTS2#16 = FFSC] inflation single currency swap, futures/forwards on inflation single currency swap [RTS2#16 = IFSC] OIS single currency swap, futures/forwards on OIS single currency swap [RTS2#16 = OSSC] fixed-to-fixed multi-currency swap, futures/forwards on fixed-to-fixed multi-currency swap [RTS2#16 = XXMC] fixed-to-float multi-currency swap, futures/forwards on fixed-to-float multi-currency swap [RTS2#16 = XFMC] float-to-float multi-currency swap, futures/forwards on float-to-float multi-currency swap [RTS2#16 = FFMC] inflation multi-currency swap, futures/forwards on inflation multi-currency swap [RTS2#16 = IFMC] OIS multi-currency swap, futures/forwards on OIS multi-currency swap [RTS2#16 = OSMC] Segmentation criterion 2 (RTS2#20) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 3 (RTS2#22 or RTS2#23) — inflation index if the underlying swap type is either an inflation single currency swap or an inflation multi-currency swap Segmentation criterion 4 (RTS2#21) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 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 Segmentation criterion 5 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 6 months Maturity bucket 2: 6 months < time to maturity ≤ 1 year Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 4: 2 years < time to maturity ≤ 5 years Maturity bucket 5: 5 years < time to maturity ≤ 10 years Maturity bucket 6: over 10 years EUR 500 000 000 10
Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Fixed-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and the cash flows of one leg are determined by a fixed interest rate and the cash flows of the other leg are determined by a floating interest rate. RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XFMC a fixed-to-float multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < maturity ≤ 1 month Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 50 000 000 10
Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Float-to-Float ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by floating interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = FFMC a float-to-float multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < maturity ≤ 1 month Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 50 000 000 10
Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Fixed-to-Fixed ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of both legs are determined by fixed interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XXMC a fixed-to-fixed multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 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 EUR 50 000 000 10
Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/options on Overnight Index Swap (OIS) ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = OSMC an overnight index swap (OIS) multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 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 EUR 50 000 000 10
Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ and futures/forwards/ options on Inflation ‘multi-currency swaps’ or ‘cross-currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an inflation rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = IFMC an inflation multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 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 EUR 50 000 000 10
Fixed-to-Float ‘single currency swaps’ and futures/forwards/ options on Fixed-to-Float ‘single currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and the cash flows of one leg are determined by a fixed interest rate while those of the other leg are determined by a floating interest rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XFSC a fixed-to-float single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8)— time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 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 EUR 50 000 000 10
Float-to-Float ‘single currency swaps’ and futures/forwards/ options on Float-to-Float ‘single currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by floating interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = FFSC a float-to-float single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 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 EUR 50 000 000 10
Fixed-to-Fixed ‘single currency swaps’ and futures/forwards/ options on Fixed-to-Fixed ‘single currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of both legs are determined by fixed interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XXSC a fixed-to-fixed single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 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 EUR 50 000 000 10
Overnight Index Swap (OIS) ‘single currency swaps’ and futures/forwards/ options on Overnight Index Swap (OIS) ‘single currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = OSSC an overnight index swap (OIS) single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 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 EUR 50 000 000 10
Inflation ‘single currency swaps’ and futures/forwards/ options on Inflation ‘single currency swaps’ a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an inflation rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = IFSC an inflation single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8)— time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 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 EUR 50 000 000 10
Asset class — Interest Rate Derivatives Asset class — Interest Rate Derivatives Asset class — Interest Rate Derivatives Asset class — Interest Rate Derivatives Asset class — Interest Rate Derivatives
Sub-asset class For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), the following methodology shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), the following methodology shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), the following methodology shall be applied For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), the following methodology shall be applied
Other Interest Rate Derivatives an interest rate derivative that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OTHR any other interest rate derivative is considered not to have a liquid market any other interest rate derivative is considered not to have a liquid market any other interest rate derivative is considered not to have a liquid market any other interest rate derivative is considered not to have a liquid market
Table 5.2
Interest rate derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives 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 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 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 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 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 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 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 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 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
Sub-asset class Transactions to be considered for the calculations of the thresholds LIS pre-trade LIS pre-trade SSTI post-trade SSTI post-trade SSTI post-trade LIS post-trade LIS post-trade LIS post-trade
Sub-asset class Transactions to be considered for the calculations of the thresholds 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 Asset class – Interest Rate Derivatives Asset class – Interest Rate Derivatives 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 Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market
Sub-asset class LIS pre-trade SSTI post-trade LIS post-trade
Sub-asset class 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

6. Equity derivatives

Table 6.1
Equity derivatives — classes not having a liquid market

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