LegalizeCommission 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. )
| Asset class — Commodity Derivatives | Asset class — Commodity Derivatives | Asset class — Commodity Derivatives | Asset class — Commodity Derivatives | Asset class — Commodity Derivatives | Asset class — Commodity 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), each sub-asset class shall be further segmented into sub-classes as defined below | 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 | For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below | Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds | Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds |
| 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 | 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 | 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] |
| Metal commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | a metal commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the future/forward defined as follows: | a metal commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the future/forward defined as follows: | a metal commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the future/forward defined as follows: | EUR 10 000 000 | 10 |
| Metal commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Precious metals | Non-precious metals | Non-precious metals | EUR 10 000 000 | 10 |
| Metal commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Maturity bucket 1: 0 < time to maturity ≤ 3 months | Maturity bucket 1: 0 < time to maturity ≤ 1 year | Maturity bucket 1: 0 < time to maturity ≤ 1 year | EUR 10 000 000 | 10 |
| Metal commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Maturity bucket 2: 3 months < time to maturity ≤ 1 year | Maturity bucket 2: 1 year < time to maturity ≤ 2 years | Maturity bucket 2: 1 year < time to maturity ≤ 2 years | EUR 10 000 000 | 10 |
| Metal commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Maturity bucket 3: 1 year < time to maturity ≤ 2 years | Maturity bucket 3: 2 years < time to maturity ≤ 3 years | Maturity bucket 3: 2 years < time to maturity ≤ 3 years | EUR 10 000 000 | 10 |
| Metal commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Maturity bucket 4: 2 years < time to maturity ≤ 3 years | … | … | EUR 10 000 000 | 10 |
| Metal commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | … | Maturity bucket m: (n-1) years < time to maturity ≤ n years | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |
| Metal commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 | ||
| Metal commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘OPTN’ | a metal commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the option defined as follows: | a metal commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the option defined as follows: | a metal commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the option defined as follows: | EUR 10 000 000 | 10 |
| Metal commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘OPTN’ | Precious metals | Non-precious metals | Non-precious metals | EUR 10 000 000 | 10 |
| Metal commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘OPTN’ | Maturity bucket 1: 0 < time to maturity ≤ 3 months | Maturity bucket 1: 0 < time to maturity ≤ 1 year | Maturity bucket 1: 0 < time to maturity ≤ 1 year | EUR 10 000 000 | 10 |
| Metal commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘OPTN’ | Maturity bucket 2: 3 months < time to maturity ≤ 1 year | Maturity bucket 2: 1 year < time to maturity ≤ 2 years | Maturity bucket 2: 1 year < time to maturity ≤ 2 years | EUR 10 000 000 | 10 |
| Metal commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘OPTN’ | Maturity bucket 3: 1 year < time to maturity ≤ 2 years | Maturity bucket 3: 2 years < time to maturity ≤ 3 years | Maturity bucket 3: 2 years < time to maturity ≤ 3 years | EUR 10 000 000 | 10 |
| Metal commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘OPTN’ | Maturity bucket 4: 2 years < time to maturity ≤ 3 years | … | … | EUR 10 000 000 | 10 |
| Metal commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘OPTN’ | … | Maturity bucket m: (n-1) years < time to maturity ≤ n years | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |
| Metal commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘OPTN’ | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 | ||
| Metal commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘SWAP’ | a metal commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 5 (RTS2#8) — time to maturity bucket of the swap defined as follows: | a metal commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 5 (RTS2#8) — time to maturity bucket of the swap defined as follows: | a metal commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 5 (RTS2#8) — time to maturity bucket of the swap defined as follows: | EUR 10 000 000 | 10 |
| Metal commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘SWAP’ | Precious metals | Non-precious metals | Non-precious metals | EUR 10 000 000 | 10 |
| Metal commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘SWAP’ | Maturity bucket 1: 0 < time to maturity ≤ 3 months | Maturity bucket 1: 0 < time to maturity ≤ 1 year | Maturity bucket 1: 0 < time to maturity ≤ 1 year | EUR 10 000 000 | 10 |
| Metal commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘SWAP’ | Maturity bucket 2: 3 months < time to maturity ≤ 1 year | Maturity bucket 2: 1 year < time to maturity ≤ 2 years | Maturity bucket 2: 1 year < time to maturity ≤ 2 years | EUR 10 000 000 | 10 |
| Metal commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘SWAP’ | Maturity bucket 3: 1 year < time to maturity ≤ 2 years | Maturity bucket 3: 2 years < time to maturity ≤ 3 years | Maturity bucket 3: 2 years < time to maturity ≤ 3 years | EUR 10 000 000 | 10 |
| Metal commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘SWAP’ | Maturity bucket 4: 2 years < time to maturity ≤ 3 years | … | … | EUR 10 000 000 | 10 |
| Metal commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘SWAP’ | … | Maturity bucket m: (n-1) years < time to maturity ≤ n years | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |
| Metal commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘METL’ and RTS2#5 = ‘SWAP’ | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 | ||
| Energy commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | an energy commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter energy Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 4 — [deleted] Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the future/forward defined as follows: | an energy commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter energy Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 4 — [deleted] Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the future/forward defined as follows: | an energy commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter energy Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 4 — [deleted] Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the future/forward defined as follows: | EUR 10 000 000 | 10 |
| Energy commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Oil/ Distillates/ Light ends | Coal | Natural Gas/Electricity/Inter-energy | EUR 10 000 000 | 10 |
| Energy commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Maturity bucket 1: 0 < time to maturity ≤ 4 months | Maturity bucket 1: 0 < time to maturity ≤ 6 months | Maturity bucket 1: 0 < time to maturity ≤ 1 month | EUR 10 000 000 | 10 |
| Energy commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Maturity bucket 2: 4 months < time to maturity ≤ 8 months | Maturity bucket 2: 6 months < time to maturity ≤ 1 year | Maturity bucket 2: 1 month < time to maturity ≤ 1 year | EUR 10 000 000 | 10 |
| Energy commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Maturity bucket 3: 8 months < time to maturity ≤ 1 year | Maturity bucket 3: 1 year < time to maturity ≤ 2 years | Maturity bucket 3: 1 year < time to maturity ≤ 2 years | EUR 10 000 000 | 10 |
| Energy commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Maturity bucket 4: 1 year < time to maturity ≤ 2 years | … | … | EUR 10 000 000 | 10 |
| Energy commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | … | Maturity bucket m: (n-1) years < time to maturity ≤ n years | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |
| Energy commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 | ||
| Energy commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘OPTN’ | an energy commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 4 — [deleted] Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the option defined as follows: | an energy commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 4 — [deleted] Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the option defined as follows: | an energy commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 4 — [deleted] Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the option defined as follows: | EUR 10 000 000 | 10 |
| Energy commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘OPTN’ | Oil/Distillates/Light ends | Coal | Natural Gas/Electricity/Inter-energy | EUR 10 000 000 | 10 |
| Energy commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘OPTN’ | Maturity bucket 1: 0 < time to maturity ≤ 4 months | Maturity bucket 1: 0 < time to maturity ≤ 6 months | Maturity bucket 1: 0 < time to maturity ≤ 1 month | EUR 10 000 000 | 10 |
| Energy commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘OPTN’ | Maturity bucket 2: 4 months < time to maturity ≤ 8 months | Maturity bucket 2: 6 months < time to maturity ≤ 1 year | Maturity bucket 2: 1 month < time to maturity ≤ 1 year | EUR 10 000 000 | 10 |
| Energy commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘OPTN’ | Maturity bucket 3: 8 months < time to maturity ≤ 1 year | Maturity bucket 3: 1 year < time to maturity ≤ 2 years | Maturity bucket 3: 1 year < time to maturity ≤ 2 years | EUR 10 000 000 | 10 |
| Energy commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘OPTN’ | Maturity bucket 4: 1 year < time to maturity ≤ 2 years | … | … | EUR 10 000 000 | 10 |
| Energy commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘OPTN’ | … | Maturity bucket m: (n-1) years < time to maturity ≤ n years | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |
| Energy commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘OPTN’ | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 | ||
| Energy commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘SWAP’ | an energy commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 5 — [deleted] Segmentation criterion 6 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 7 (RTS2#8) — time to maturity bucket of the swap defined as follows: | an energy commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 5 — [deleted] Segmentation criterion 6 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 7 (RTS2#8) — time to maturity bucket of the swap defined as follows: | an energy commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 5 — [deleted] Segmentation criterion 6 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 7 (RTS2#8) — time to maturity bucket of the swap defined as follows: | EUR 10 000 000 | 10 |
| Energy commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘SWAP’ | Oil/Distillates/Light ends | Coal | Natural Gas/'Electricity/Inter-energy | EUR 10 000 000 | 10 |
| Energy commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘SWAP’ | Maturity bucket 1: 0 < time to maturity ≤ 4 months | Maturity bucket 1: 0 < time to maturity ≤ 6 months | Maturity bucket 1: 0 < time to maturity ≤ 1 month | EUR 10 000 000 | 10 |
| Energy commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘SWAP’ | Maturity bucket 2: 4 months < time to maturity ≤ 8 months | Maturity bucket 2: 6 months < time to maturity ≤ 1 year | Maturity bucket 2: 1 month < time to maturity ≤ 1 year | EUR 10 000 000 | 10 |
| Energy commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘SWAP’ | Maturity bucket 3: 8 months < time to maturity ≤ 1 year | Maturity bucket 3: 1 year < time to maturity ≤ 2 years | Maturity bucket 3: 1 year < time to maturity ≤ 2 years | EUR 10 000 000 | 10 |
| Energy commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘SWAP’ | Maturity bucket 4: 1 year < time to maturity ≤ 2 years | … | … | EUR 10 000 000 | 10 |
| Energy commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘SWAP’ | … | Maturity bucket m: (n-1) years < time to maturity ≤ n years | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |
| Energy commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘NRGY’ and RTS2#5 = ‘SWAP’ | Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 | ||
| Agricultural commodity futures/forwards RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and [RTS2#5 = ‘FUTR’ or ‘FORW’] | an agricultural commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the future/forward 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 m: (n-1) years < time to maturity ≤ n years | an agricultural commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the future/forward 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 m: (n-1) years < time to maturity ≤ n years | an agricultural commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the future/forward 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 m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |
| Agricultural commodity options RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and RTS2#5 = ‘OPTN’ | an agricultural commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated 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 m: (n-1) years < time to maturity ≤ n years | an agricultural commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated 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 m: (n-1) years < time to maturity ≤ n years | an agricultural commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated 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 m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |
| Agricultural commodity swaps RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘AGRI’ and RTS2#5 = ‘SWAP’ | an agricultural commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 3 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap 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 m: (n-1) years < time to maturity ≤ n years | an agricultural commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 3 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap 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 m: (n-1) years < time to maturity ≤ n years | an agricultural commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 3 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap 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 m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 |
| 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 | 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 commodity derivatives | |||||
| a commodity derivative that does not belong to any of the above sub-asset classes | any other commodity derivative is considered not to have a liquid market | any other commodity derivative is considered not to have a liquid market | any other commodity derivative is considered not to have a liquid market | any other commodity derivative is considered not to have a liquid market | any other commodity derivative is considered not to have a liquid market |
Table 7.2
Commodity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
| Asset class – Commodity Derivatives | Asset class – Commodity Derivatives | Asset class – Commodity Derivatives | Asset class – Commodity Derivatives | Asset class – Commodity Derivatives | Asset class – Commodity Derivatives | Asset class – Commodity Derivatives | Asset class – Commodity Derivatives | Asset class – Commodity Derivatives | Asset class – Commodity Derivatives |
| Sub-asset class | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market | Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market |
| 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 |
| Metal commodity futures/forwards | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Metal commodity options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Metal commodity swaps | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Energy commodity futures/forwards | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Energy commodity options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Energy commodity swaps | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Agricultural commodity futures/forwards | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Agricultural commodity options | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
| Agricultural commodity swaps | calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class | 70 | EUR 500 000 | 80 | 60 | EUR 750 000 | 90 | 70 | EUR 1 000 000 |
Table 7.3
Commodity derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
| Asset class – Commodity Derivatives | Asset class – Commodity Derivatives | Asset class – Commodity Derivatives | Asset class – Commodity Derivatives |
| Sub-asset class | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market |
| Sub-asset class | LIS pre-trade | SSTI post-trade | LIS post-trade |
| Sub-asset class | Threshold value | Threshold value | Threshold value |
| Metal commodity futures/forwards | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Metal commodity options | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Metal commodity swaps | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Energy commodity futures/forwards | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Energy commodity options | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Energy commodity swaps | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Agricultural commodity futures/forwards | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Agricultural commodity options | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Agricultural commodity swaps | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
| Other commodity derivatives | EUR 500 000 | EUR 750 000 | EUR 1 000 000 |
8. Foreign exchange derivatives
Table 8.1
Foreign exchange derivatives – classes not having a liquid market
| Asset class — Foreign Exchange Derivatives | Asset class — Foreign Exchange Derivatives | Asset class — Foreign Exchange Derivatives | Asset class — Foreign Exchange Derivatives |
| a financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EU | a financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EU | a financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EU | a financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EU |
| Sub-asset class | For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below | Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria | Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria |
| 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] |
| Non-deliverable forward (NDF) means a forward that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract. RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = FORW RTS2#26 = NDLV | a non-deliverable FX forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the forward defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 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 | Non-deliverable forward (NDF) are considered not to have a liquid market | Non-deliverable forward (NDF) are considered not to have a liquid market |
| Deliverable forward (DF) means a forward that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = FORW RTS2#26 = DLVB | a deliverable FX forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8)— time to maturity bucket of the forward defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 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 | Deliverable forward (DF) are considered not to have a liquid market | Deliverable forward (DF) are considered not to have a liquid market |
| Non-Deliverable FX options (NDO) means an option that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract. RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = OPTN RTS2#26 = NDLV | a non-deliverable FX option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 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 | Non-Deliverable FX options (NDO) are considered not to have a liquid market | Non-Deliverable FX options (NDO) are considered not to have a liquid market |
| Deliverable FX options (DO) means an option that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = OPTN RTS2#26 = DLVB | a deliverable FX option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47)— underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 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 | Deliverable FX options (DO) are considered not to have a liquid market | Deliverable FX options (DO) are considered not to have a liquid market |
| Non-Deliverable FX swaps (NDS) means a swap that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract. RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = SWAP RTS2#26 = NDLV | a non-deliverable FX swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 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 | Non-Deliverable FX swaps (NDS) are considered not to have a liquid market | Non-Deliverable FX swaps (NDS) are considered not to have a liquid market |
| Deliverable FX swaps (DS) means a swap that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = SWAP RTS2#26 = DLVB | a deliverable FX swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 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 | Deliverable FX swaps (DS) are considered not to have a liquid market | Deliverable FX swaps (DS) are considered not to have a liquid market |
| FX futures RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = FUTR | an FX future sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 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 | FX futures are considered not to have a liquid market | FX futures are considered not to have a liquid market |
| Asset class — Foreign Exchange Derivatives | Asset class — Foreign Exchange Derivatives | Asset class — Foreign Exchange Derivatives | Asset class — Foreign Exchange 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 |
| Other Foreign Exchange Derivatives an FX derivative that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = OTHR | any other FX derivative is considered not to have a liquid market | any other FX derivative is considered not to have a liquid market | any other FX derivative is considered not to have a liquid market |
Table 8.2
Foreign exchange derivatives – pre-trade and pot-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
| Asset class – Foreign Exchange Derivatives | Asset class – Foreign Exchange Derivatives | Asset class – Foreign Exchange Derivatives | Asset class – Foreign Exchange Derivatives |
| Sub-asset class | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market | Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market |
| Sub-asset class | LIS pre-trade | SSTI post-trade | LIS post-trade |
| Sub-asset class | Threshold value | Threshold value | Threshold value |
| Non-deliverable forward (NDF) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Deliverable forward (DF) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Non-Deliverable FX options (NDO) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Deliverable FX options (DO) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Non-Deliverable FX swaps (NDS) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Deliverable FX swaps (DS) | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| FX futures | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
| Other Foreign Exchange Derivatives | EUR 5 000 000 | EUR 20 000 000 | EUR 25 000 000 |
9. Credit derivatives
Table 9.1
Credit derivatives — classes not having a liquid market
| Asset class — Credit Derivatives | Asset class — Credit Derivatives | Asset class — Credit Derivatives | Asset class — Credit Derivatives | Asset class — Credit 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), each sub-asset class shall be further segmented into sub-classes as defined below | Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied | Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied | Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied |
| 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] | *On-the-run status of the index* [Additional qualitative liquidity criterion] |
| Index credit default swap (CDS) a swap whose exchange of cash flows is linked to the creditworthiness of several issuers of financial instruments composing an index and the occurrence of credit events RTS2#3 = DERV RTS2#4 = CRDT | an index credit default swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#34) — underlying index Segmentation criterion 2 (RTS2#42) — notional currency defined as the currency in which the notional amount of the derivative is denominated Segmentation criterion 3 ( RTS2#8)— time to maturity bucket of the CDS defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 200 000 000 | 10 | The underlying index is considered to have a liquid market: (1) during the whole period of its ‘on-the-run status’ (2) for the first 30 working days of its ‘1x off-the-run status’ ‘on-the-run’ index means the rolling most recent version (series) of the index created on the date on which the composition of the index is effective and ending one day prior to the date on which the composition of the next version (series) of the index is effective. ‘1x off-the-run status’ means the version (series) of the index which is immediately prior to the current ‘on-the-run’ version (series) at a certain point in time. A version (series) ceases being ‘on-the-run’ and acquires its ‘1x off-the-run’ status when the latest version (series) of the index is created. |
| Single name credit default swap (CDS) a swap whose exchange of cash flows is linked to the creditworthiness of one issuer of financial instruments and the occurrence of credit events RTS2#3 = DERV RTS2#4 = CRDT | a single name credit default swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#41) — underlying reference entity Segmentation criterion 2 (RTS2#39) — underlying reference entity type defined as follows: ‘Issuer of sovereign and public type’ means an issuer entity which is either: (a) the Union; (b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) a sovereign entity which is not listed under points (a) and (b); (d) in the case of a federal Member State, a member of that federation; (e) a special purpose vehicle for several Member States; (f) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems; (g) the European Investment Bank; (h) a public entity which is not a sovereign issuer as specified in the points (a) to (c). ‘Issuer of corporate type’ means an issuer entity which is not an issuer of sovereign and public type. Segmentation criterion 3 (RTS2#42) — notional currency defined as the currency in which the notional amount of the derivative is denominated Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the CDS defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | EUR 10 000 000 | 10 | |
| Sub-asset class | For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined below | Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet the following qualitative liquidity criterion | Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet the following qualitative liquidity criterion | Each sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet the following qualitative liquidity criterion |
| CDS index options an option whose underlying is a CDS index RTS2#3 = DERV RTS2#4 = CRDT | a CDS index option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#26) — CDS index sub-class as specified for the sub-asset class of index credit default swap (CDS) Segmentation criterion 2 (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 ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket | a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket | a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket |
| Single name CDS options an option whose underly-ing is a single name CDS RTS2#3 = DERV RTS2#4 = CRDT | a single name CDS option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#26) — single name CDS sub-class as specified for the sub-asset class of single name CDS Segmentation criterion 2 (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 ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years | a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket | a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket | a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket |
| Asset class — Credit Derivatives | Asset class — Credit Derivatives | Asset class — Credit Derivatives | Asset class — Credit Derivatives | Asset class — Credit 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 apply | For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall apply | For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall apply | For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall apply |
| Other credit derivatives a credit derivative that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#4 = CRDT RTS2#5 = OTHR | any other credit derivatives is considered not to have a liquid market | any other credit derivatives is considered not to have a liquid market | any other credit derivatives is considered not to have a liquid market | any other credit derivatives is considered not to have a liquid market |
Table 9.2
Credit Derivatives – pre- and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
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