ANNEX III
Liquidity assessment, LIS and SSTI thresholds for non-equity financial instruments
1. Instructions for the purpose of this annex
A reference to an ‘asset class’ means a reference to the following classes of financial instruments: bonds, structured finance products, securitised derivatives, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives, C10 derivatives, CFDs, emission allowances and emission allowance derivatives.
A reference to a ‘sub-asset class’ means a reference to an asset class segmented to a more granular level on the basis of the contract type and/or the type of underlying.
A reference to a ‘sub-class’ means a reference to a sub-asset class segmented to a more granular level on basis of further qualitative segmentation criteria as set out in Tables 2.1 to 13.3 of this Annex.
‘Average daily turnover (ADT)’ means the total turnover for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(7), divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
‘Average daily notional amount (ADNA)’ means the total notional amount for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for all the other financial instruments, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
‘Percentage of days traded over the period considered’ means the number of days in the period set out in Article 13(18) for all bonds except ETCs and ETNs and in Article 13(7) for structured finance products, on which at least one transaction has been executed for that financial instrument, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
‘Average daily number of trades’ means the total number of transactions executed for a particular financial instrument in the period set out in Article 13(18) for all bonds except ETCs and ETN and in Article 13(7) all the other financial instruments, divided by the number of trading days in that period or, where applicable, that part of the year during which the financial instrument was admitted to trading or traded on a trading venue and was not suspended from trading.
‘Future’ means a contract to buy or sell a commodity or financial instrument in a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller. Every futures contract has standard terms that dictate the minimum quantity and quality that can be bought or sold, the smallest amount by which the price may change, delivery procedures, maturity date and other characteristics related to the contract.
‘Option’ means a contract that gives the owner the right, but not the obligation, to buy (call) or sell (put) a specific financial instrument or commodity at a predetermined price, strike or exercise price, at or up to a certain future date or exercise date.
‘Swap’ means a contract in which two parties agree to exchange cash flows in one financial instrument for those of another financial instrument at a certain future date.
‘Portfolio Swap’ means a contract by which end-users can trade multiple swaps.
‘Forward’ or ‘Forward agreement’ means a private agreement between two parties to buy or sell a commodity or financial instrument at a designated future date at a price agreed upon at the initiation of the contract by the buyer and seller.
‘Swaption’ or ‘Option on a swap’ means a contract that gives the owner the right, but not the obligation, to enter a swap at or up to a certain future date or exercise date.
‘Future on a swap’ means a future contract that gives the owner the obligation, to enter a swap at or up to a certain future date.
‘Forward on a swap’ means a forward contract that gives the owner the obligation, to enter a swap at or up to a certain future date.
2. Bonds
Table 2.1
Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market
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Asset class — Bonds (all bond types except ETCs and ETNs) |
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Each individual financial instrument 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 on a cumulative basis |
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Average daily notional amount [quantitative liquidity criteria 1] |
Average daily number of trades [quantitative liquidity criteria 2] |
Percentage of days traded over the period considered [quantitative liquidity criteria 3] |
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EUR 100 000 |
S1 |
S2 |
S3 |
S4 |
80 % |
|
15 |
10 |
7 |
2 |
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Table 2.2
Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market
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Asset class — Bonds (all bond types except ETCs and ETNs) |
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Each individual bond shall be determined not to have a liquid market as per Article 13(18) if it is characterised by a specific combination of bond type and issuance size as specified in each row of the table. |
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Bond Type |
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Issuance size - RTS23#14 |
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Sovereign Bond RTS2#3 = BOND and RTS2#9 = EUSB |
means a bond which is neither a convertible nor a covered bond and is issued by a sovereign issuer: (a) the Union; (b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) a sovereign entity which is not listed under points (a) and (b). |
smaller than (in EUR) |
1 000 000 000 |
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Other Public Bond RTS2#3 = BOND and RTS2#9 = OEPB |
means a bond which is neither a convertible nor a covered bond and is issued by any of the following public issuers: (a) in the case of a federal Member State, a member of that federation; (b) a special purpose vehicle for several Member States; (c) 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; (d) the European Investment Bank; (e) a public entity which is not an issuer of a sovereign bond as specified in the previous row. |
smaller than (in EUR) |
500 000 000 |
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Convertible Bond RTS2#3 = BOND and RTS2#9 = CVTB |
means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity |
smaller than (in EUR) |
500 000 000 |
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Covered Bond RTS2#3 = BOND and RTS2#9 = CVDB |
means bonds as referred to in Article 52(4) of Directive 2009/65/EC |
during stages S1 and S2 |
during stages S3 and S4 |
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smaller than (in EUR) |
1 000 000 000 |
smaller than (in EUR) |
500 000 000 |
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Corporate Bond RTS2#3 = BOND and RTS2#9 = CRPB |
means a bond which is neither a convertible nor a covered bond and that is issued by a Societas Europaea established in accordance with Council Regulation (EC) No 2157/2001 (1) or a type of company listed in Annex I or Annex II of Directive 2013/34/EU of the European Parliament and of the Council (2) or equivalent in third countries |
during stages S1 and S2 |
during stages S3 and S4 |
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smaller than (in EUR) |
1 000 000 000 |
smaller than (in EUR) |
500 000 000 |
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Bond Type |
For the purpose of the determination of the financial instruments considered not to have a liquid market as per Article 13(18), the following methodology shall be applied |
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Other Bond RTS2#3 = BOND and RTS2#9 = OTHR |
A bond that does not belong to any of the above bond types is considered not to have a liquid market |
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(1)
Council Regulation (EC) No 2157/2001 of 8 October 2001 on the Statute for a European company (SE) (OJ L 294, 10.11.2001, p. 1).
(2)
Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19). |
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Table 2.3
Bonds (all bond types except ETCs and ETNs) — pre-trade and post-trade SSTI and LIS thresholds
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Asset class — Bonds (all bond types except ETCs and ETNs) |
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Bond Type |
Transactions to be considered for the calculation of the thresholds per bond type |
Percentiles to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each bond type |
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SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
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Trade — percentile |
threshold floor |
Trade — percentile |
threshold floor |
Trade — percentile |
Trade — percentile |
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Sovereign Bond |
transactions executed on Sovereign Bonds following the exclusion of transactions as specified in Article 13(10) |
S1 |
S2 |
S3 |
S4 |
EUR 300 000 |
70 |
EUR 300 000 |
80 |
90 |
|
30 |
40 |
50 |
60 |
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Other Public Bond |
transactions executed on Other Public Bonds following the exclusion of transactions as specified in Article 13(10) |
S1 |
S2 |
S3 |
S4 |
EUR 300 000 |
70 |
EUR 300 000 |
80 |
90 |
|
30 |
40 |
50 |
60 |
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Convertible Bond |
transactions executed on Convertible Bonds following the exclusion of transactions as specified in Article 13(10) |
S1 |
S2 |
S3 |
S4 |
EUR 200 000 |
70 |
EUR 200 000 |
80 |
90 |
|
30 |
40 |
50 |
60 |
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Covered Bond |
transactions executed on Covered Bonds following the exclusion of transactions as specified in Article 13(10) |
S1 |
S2 |
S3 |
S4 |
EUR 300 000 |
70 |
EUR 300 000 |
80 |
90 |
|
30 |
40 |
40 |
40 |
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Corporate Bond |
transactions executed on Corporate Bonds following the exclusion of transactions as specified in Article 13(10) |
S1 |
S2 |
S3 |
S4 |
EUR 200 000 |
70 |
EUR 200 000 |
80 |
90 |
|
30 |
40 |
50 |
60 |
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Other Bonds |
transactions executed on Other Bonds following the exclusion of transactions as specified in Article 13(10) |
S1 |
S2 |
S3 |
S4 |
EUR 200 000 |
70 |
EUR 200 000 |
80 |
90 |
|
30 |
40 |
50 |
60 |
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Table 2.4
Bonds (ETC and ETN bond types) — classes not having a liquid market
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Bond type |
Each individual financial instrument 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 |
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Average daily turnover (ADT) [quantitative liquidity criterion 1] |
Average daily number of trades [quantitative liquidity criterion 2] |
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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. |
EUR 500 000 |
10 |
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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. |
EUR 500 000 |
10 |
Table 2.5
Bonds (ETC and ETN bond types) — pre-trade and post-trade SSTI and LIS thresholds
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Asset class — Bonds (ETC and ETN bond types) |
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Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined to have a liquid market |
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Bond type |
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
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Threshold value |
Threshold value |
Threshold value |
Threshold value |
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ETCs |
EUR 1 000 000 |
EUR 1 000 000 |
EUR 50 000 000 |
EUR 50 000 000 |
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ETNs |
EUR 1 000 000 |
EUR 1 000 000 |
EUR 50 000 000 |
EUR 50 000 000 |
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Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined not to have a liquid market |
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Bond type |
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
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ETCs |
EUR 900 000 |
EUR 900 000 |
EUR 45 000 000 |
EUR 45 000 000 |
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ETNs |
EUR 900 000 |
EUR 900 000 |
EUR 45 000 000 |
EUR 45 000 000 |
3. Structured Finance Products (SFPs)
Table 3.1
SFPs — classes not having a liquid market
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Asset class – Structured Finance Products (SFPs) |
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Test 1 – SFPs asset-class assessment |
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SFPs asset-class assessment for the purpose of the determination of the financial instruments considered not to have a liquid market as per Articles 6 and 8(1), point (b) – RTS2#3 = SFPS |
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Transactions to be considered for the calculations of the values related to the quantitative liquidity criteria for the purpose of the SFPs asset-class assessment |
The SFPs asset-class shall be assessed by application of the following thresholds of the quantitative liquidity criteria |
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Average daily notional amount (ADNA) [quantitative liquidity criterion 1] |
Average daily number of trades [quantitative liquidity criterion 2] |
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Transactions executed in all SFPs |
EUR 300 000 000 |
500 |
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Test 2 — SFPs not having a liquid market |
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If the values related to the quantitative liquidity criteria are both above the quantitative liquidity thresholds set for the purpose of the SFPs asset-class assessment, then Test 1 is passed and Test-2 shall be performed. Each individual financial instrument 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 |
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Average daily notional amount (ADNA) [quantitative liquidity criterion 1] |
Average daily number of trades [quantitative liquidity criterion 2] |
Percentage of days traded over the period considered [quantitative liquidity criteria 3] |
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EUR 100 000 |
2 |
80 % |
Table 3.2
SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is not passed
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Asset class — Structured Finance Products (SFPs) |
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Pre-trade and post-trade SSTI and LIS thresholds for all SFPs if Test 1 is not passed |
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SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
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EUR 100 000 |
EUR 250 000 |
EUR 500 000 |
EUR 1 000 000 |
Table 3.3
SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is passed
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Asset class — Structured Finance Products (SFPs) |
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Transactions to be considered for the calculation of the thresholds |
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for SFPs determined to have a liquid market if Test 1 is passed |
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SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
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Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
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Transactions executed in all SFPs determined to have a liquid market |
S1 |
S2 |
S3 |
S4 |
EUR 100 000 |
70 |
EUR 250 000 |
80 |
EUR 500 000 |
90 |
EUR 1 000 000 |
|
30 |
40 |
50 |
60 |
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Pre-trade and post-trade SSTI and LIS thresholds for SFPs determined not to have a liquid market if Test 1 is passed |
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SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
|
EUR 100 000 |
EUR 250 000 |
EUR 500 000 |
EUR 1 000 000 |
4. Securitised derivatives
Table 4.1
Securitised derivatives — classes not having a liquid market
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Asset class – Securitised Derivatives |
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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: |
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(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. |
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RTS2#3 = SDRV |
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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 |
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all securitised derivatives are considered to have a liquid market |
Table 4.2
Securitised derivatives — pre-trade and post-trade SSTI and LIS thresholds
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Asset class — Securitised Derivatives |
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Pre-trade and post-trade SSTI and LIS thresholds |
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SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
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EUR 50 000 |
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
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Asset class – Interest Rate Derivatives |
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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. |
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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 |
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Average daily notional amount (ADNA) [quantitative liquidity criterion 1] |
Average daily number of trades [quantitative liquidity criterion 2] |
Additional qualitative liquidity criterion |
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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 |
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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 |
|
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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 |
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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 |
||||
|
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 |
|||
|
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 |
|||
Table 5.2
Interest rate derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
|
Asset class — Interest Rate Derivatives |
||||||||||||||
|
Sub-asset class |
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market |
|||||||||||||
|
Transactions to be considered for the calculations of the thresholds |
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
||||||||||
|
Trade — percentile |
Threshold floor |
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 20 000 000 |
90 |
70 |
EUR 25 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 20 000 000 |
90 |
70 |
EUR 25 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 5 000 000 |
70 |
EUR 10 000 000 |
80 |
60 |
EUR 20 000 000 |
90 |
70 |
EUR 25 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 5 000 000 |
70 |
EUR 10 000 000 |
80 |
60 |
EUR 20 000 000 |
90 |
70 |
EUR 25 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 9 000 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 9 000 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 9 000 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 9 000 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 9 000 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 9 000 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 9 000 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 9 000 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 9 000 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 9 000 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 4 000 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 9 000 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
Table 5.3
Interest rate derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
|
Asset class — Interest Rate Derivatives |
||||
|
Sub-asset class |
Pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined not to have a liquid market |
|||
|
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
|
|
Bond futures/forwards |
EUR 4 000 000 |
EUR 5 000 000 |
EUR 20 000 000 |
EUR 25 000 000 |
|
Bond options |
EUR 4 000 000 |
EUR 5 000 000 |
EUR 20 000 000 |
EUR 25 000 000 |
|
IR futures and FRA |
EUR 5 000 000 |
EUR 10 000 000 |
EUR 20 000 000 |
EUR 25 000 000 |
|
IR options |
EUR 5 000 000 |
EUR 10 000 000 |
EUR 20 000 000 |
EUR 25 000 000 |
|
Swaptions |
EUR 4 000 000 |
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 4 000 000 |
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 4 000 000 |
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 4 000 000 |
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 4 000 000 |
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 4 000 000 |
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 4 000 000 |
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 4 000 000 |
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 4 000 000 |
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 4 000 000 |
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 4 000 000 |
EUR 5 000 000 |
EUR 9 000 000 |
EUR 10 000 000 |
|
Other Interest Rate Derivatives |
EUR 4 000 000 |
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
|
Asset class – Equity Derivatives |
|||||
|
any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to: (a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments; (b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments |
|||||
|
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 |
||||
|
Stock index options an option whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = STIX RTS23#26 or if null RTS23#28 |
all index options are considered to have a liquid market |
||||
|
Stock index futures/forwards a future/forward whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = STIX RTS23#26 or if null RTS23#28 |
all index futures/forwards are considered to have a liquid market |
||||
|
Stock options an option whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = SHRS RTS23#26 or if null RTS23#28 |
all stock options are considered to have a liquid market |
||||
|
Stock futures/forwards a future/forward whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = SHRS RTS23#26 or if null RTS23#28 |
all stock futures/forwards are considered to have a liquid market |
||||
|
Stock dividend options an option on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DVSE RTS23#26 or if null RTS23#28 |
all stock dividend options are considered to have a liquid market |
||||
|
Stock dividend futures/forwards a future/forward on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DVSE RTS23#26 or if null RTS23#28 |
all stock dividend futures/forwards are considered to have a liquid market |
||||
|
Dividend index options an option on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DIVI RTS23#26 or if null RTS23#28 |
all dividend index options are considered to have a liquid market |
||||
|
Dividend index futures/forwards a future/forward on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DIVI RTS23#26 or if null RTS23#28 |
all dividend index futures/forwards are considered to have a liquid market |
||||
|
Volatility index options an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = VOLI RTS23#26 or if null RTS23#28 |
all volatility index options are considered to have a liquid market |
||||
|
Volatility index futures/forwards a future/forward whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = VOLI RTS23#26 or if null RTS23#28 |
all volatility index futures/forwards are considered to have a liquid market |
||||
|
ETF options an option whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = ETFS RTS23#26 or if null RTS23#28 |
all ETF options are considered to have a liquid market |
||||
|
ETF futures/forwards a future/forward whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = ETFS RTS23#26 or if null RTS23#28 |
all ETF futures/forwards are considered to have a liquid market |
||||
|
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 |
|||
|
Average daily notional amount (ADNA) [quantitative liquidity criterion 1] |
Average daily number of trades [quantitative liquidity criterion 2] |
||||
|
Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP |
a swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket Segmentation criterion 2 RTS23#26 or if null RTS23#28) — underlying single name, index, basket Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap defined as follows: |
EUR 50 000 000 |
|
||
|
Price return basic performance parameter |
Parameter return variance/volatility |
Parameter return dividend |
|||
|
Maturity bucket 1: 0 < time to maturity ≤ 1 month |
Maturity bucket 1: 0 < time to maturity ≤ 3 months |
Maturity bucket 1: 0 < time to maturity ≤ 1 year |
|||
|
Maturity bucket 2: 1 month < time to maturity ≤ 3 months |
Maturity bucket 2: 3 months < time to maturity ≤ 6 months |
Maturity bucket 2: 1 year < time to maturity ≤ 2 years |
|||
|
Maturity bucket 3: 3 months < time to maturity ≤ 6 months |
Maturity bucket 3: 6 months < time to maturity ≤ 1 year |
Maturity bucket 3: 2 years < time to maturity ≤ 3 years |
|||
|
Maturity bucket 4: 6 months < time to maturity ≤ 1 year |
Maturity bucket 4: 1 year < time to maturity ≤ 2 years |
… |
|||
|
Maturity bucket 5: 1 year < time to maturity ≤ 2 years |
Maturity bucket 5: 2 years < time to maturity ≤ 3 years |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|||
|
Maturity bucket 6: 2 years < time to maturity ≤ 3 years |
… |
|
|||
|
… |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|
|||
|
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|
|
|||
|
Portfolio Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = PSWP |
a portfolio swap sub-class is defined by a specific combination of: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket Segmentation criterion 2 (RTS23#26 or if null RTS23#28) — underlying single name, index, basket Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the portfolio swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years |
EUR 50 000 000 |
15 |
||
|
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 |
||||
|
Other equity derivatives an equity derivative that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#4 = EQUI RTS2#5 = OTHR’ |
any other equity derivative is considered not to have a liquid market |
||||
Table 6.2
Equity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
|
Asset class — Equity Derivatives |
|||||||||
|
Sub-asset class |
For the purpose of the determination of the pre-trade and post-trade SSTI and LIS thresholds each sub-asset class shall be further segmented into sub-classes as defined below |
Transactions to be considered for the calculations of the thresholds |
Pre-trade and post-trade SSTI and LIS threshold values determined for the sub-classes determined to have a liquid market on the basis of the average daily notional amount (ADNA) band to which the sub-class belongs |
||||||
|
Average daily notional amount (ADNA) |
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|||||
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
||||||
|
Stock index options |
a stock index option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying stock index |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 100 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 1 000 000 |
EUR 1 500 000 |
||
|
EUR 100 million ≤ ADNA < EUR 200 million |
EUR 2 500 000 |
EUR 3 000 000 |
EUR 25 000 000 |
EUR 30 000 000 |
|||||
|
EUR 200 million ≤ ADNA < EUR 600 million |
EUR 5 000 000 |
EUR 5 500 000 |
EUR 50 000 000 |
EUR 55 000 000 |
|||||
|
ADNA ≥ EUR 600 million |
EUR 15 000 000 |
EUR 20 000 000 |
EUR 150 000 000 |
EUR 160 000 000 |
|||||
|
Stock index futures/forwards |
a stock index future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying stock index |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 100 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 1 000 000 |
EUR 1 500 000 |
||
|
EUR 100 million ≤ ADNA < EUR 1 billion |
EUR 500 000 |
EUR 550 000 |
EUR 5 000 000 |
EUR 5 500 000 |
|||||
|
EUR 1 billion ≤ ADNA < EUR 3 billion |
EUR 5 000 000 |
EUR 5 500 000 |
EUR 50 000 000 |
EUR 55 000 000 |
|||||
|
EUR 3 billion ≤ ADNA < EUR 5 billion |
EUR 15 000 000 |
EUR 20 000 000 |
EUR 150 000 000 |
EUR 160 000 000 |
|||||
|
ADNA ≥ EUR 5 billion |
EUR 25 000 000 |
EUR 30 000 000 |
EUR 250 000 000 |
EUR 260 000 000 |
|||||
|
Stock options |
a stock option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying share |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 5 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 1 000 000 |
EUR 1 250 000 |
||
|
EUR 5 million ≤ ADNA < EUR 10 million |
EUR 250 000 |
EUR 300 000 |
EUR 1 250 000 |
EUR 1 500 000 |
|||||
|
EUR 10 million ≤ ADNA < EUR 20 million |
EUR 500 000 |
EUR 550 000 |
EUR 2 500 000 |
EUR 3 000 000 |
|||||
|
ADNA ≥ EUR 20 million |
EUR 1 000 000 |
EUR 1 500 000 |
EUR 5 000 000 |
EUR 5 500 000 |
|||||
|
Stock futures/forwards |
an stock future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying share |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 5 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 1 000 000 |
EUR 1 250 000 |
||
|
EUR 5 million ≤ ADNA < EUR 10 million |
EUR 250 000 |
EUR 300 000 |
EUR 1 250 000 |
EUR 1 500 000 |
|||||
|
EUR 10 million ≤ ADNA < EUR 20 million |
EUR 500 000 |
EUR 550 000 |
EUR 2 500 000 |
EUR 3 000 000 |
|||||
|
ADNA ≥ EUR 20 m |
EUR 1 000 000 |
EUR 1 500 000 |
EUR 5 000 000 |
EUR 5 500 000 |
|||||
|
Stock dividend options |
a stock dividend option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying share entitling to dividends |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 5 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 400 000 |
EUR 450 000 |
||
|
EUR 5 million ≤ ADNA < EUR 10 million |
EUR 25 000 |
EUR 30 000 |
EUR 500 000 |
EUR 550 000 |
|||||
|
EUR 10 million ≤ ADNA < EUR 20 million |
EUR 50 000 |
EUR 100 000 |
EUR 1 000 000 |
EUR 1 500 000 |
|||||
|
ADNA ≥ EUR 20 million |
EUR 100 000 |
EUR 150 000 |
EUR 2 000 000 |
EUR 2 500 000 |
|||||
|
Stock dividend futures/forwards |
a stock dividend future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying share entitling to dividends |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 5 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 400 000 |
EUR 450 000 |
||
|
EUR 5 million ≤ ADNA < EUR 10 million |
EUR 25 000 |
EUR 30 000 |
EUR 500 000 |
EUR 550 000 |
|||||
|
EUR 10 million ≤ ADNA < EUR 20 million |
EUR 50 000 |
EUR 100 000 |
EUR 1 000 000 |
EUR 1 500 000 |
|||||
|
ADNA ≥ EUR 20 million |
EUR 100 000 |
EUR 150 000 |
EUR 2 000 000 |
EUR 2 500 000 |
|||||
|
Dividend index options |
a dividend index option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying dvidend index |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 100 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 1 000 000 |
EUR 1 500 000 |
||
|
EUR 100 million ≤ ADNA < EUR 200 million |
EUR 2 500 000 |
EUR 3 000 000 |
EUR 25 000 000 |
EUR 30 000 000 |
|||||
|
EUR 200 million ≤ ADNA < EUR 600 million |
EUR 5 000 000 |
EUR 5 500 000 |
EUR 50 000 000 |
EUR 55 000 000 |
|||||
|
ADNA ≥ EUR 600 million |
EUR 15 000 000 |
EUR 20 000 000 |
EUR 150 000 000 |
EUR 160 000 000 |
|||||
|
Dividend index futures/forwards |
a dividend index future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying dividend index |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 100 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 1 000 000 |
EUR 1 500 000 |
||
|
EUR 100 million ≤ ADNA < EUR 1 billion |
EUR 500 000 |
EUR 550 000 |
EUR 5 000 000 |
EUR 5 500 000 |
|||||
|
EUR 1 billion ≤ ADNA < EUR 3 billion |
EUR 5 000 000 |
EUR 5 500 000 |
EUR 50 000 000 |
EUR 55 000 000 |
|||||
|
EUR 3 billion ≤ ADNA < EUR 5 billion |
EUR 15 000 000 |
EUR 20 000 000 |
EUR 150 000 000 |
EUR 160 000 000 |
|||||
|
ADNA ≥ EUR 5 billion |
EUR 25 000 000 |
EUR 30 000 000 |
EUR 250 000 000 |
EUR 260 000 000 |
|||||
|
Volatility index options |
a volatility index option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying volatility index |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 100 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 1 000 000 |
EUR 1 500 000 |
||
|
EUR 100 million ≤ ADNA < EUR 200 million |
EUR 2 500 000 |
EUR 3 000 000 |
EUR 25 000 000 |
EUR 30 000 000 |
|||||
|
EUR 200 million ≤ ADNA < EUR 600 million |
EUR 5 000 000 |
EUR 5 500 000 |
EUR 50 000 000 |
EUR 55 000 000 |
|||||
|
ADNA ≥ EUR 600 million |
EUR 15 000 000 |
EUR 20 000 000 |
EUR 150 000 000 |
EUR 160 000 000 |
|||||
|
Volatility index futures/forwards |
a volatility index future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying volatility index |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 100 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 1 000 000 |
EUR 1 500 000 |
||
|
EUR 100 million ≤ ADNA < EUR 1 billion |
EUR 500 000 |
EUR 550 000 |
EUR 5 000 000 |
EUR 5 500 000 |
|||||
|
EUR 1 billion ≤ ADNA < EUR 3 billion |
EUR 5 000 000 |
EUR 5 500 000 |
EUR 50 000 000 |
EUR 55 000 000 |
|||||
|
EUR 3 billion ≤ ADNA < EUR 5 billion |
EUR 15 000 000 |
EUR 20 000 000 |
EUR 150 000 000 |
EUR 160 000 000 |
|||||
|
ADNA ≥ EUR 5 billion |
EUR 25 000 000 |
EUR 30 000 000 |
EUR 250 000 000 |
EUR 260 000 000 |
|||||
|
ETF options |
an ETF option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying ETF |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 5 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 1 000 000 |
EUR 1 250 000 |
||
|
EUR 5 million ≤ ADNA < EUR 10 million |
EUR 250 000 |
EUR 300 000 |
EUR 1 250 000 |
EUR 1 500 000 |
|||||
|
EUR 10 million ≤ ADNA < EUR 20 million |
EUR 500 000 |
EUR 550 000 |
EUR 2 500 000 |
EUR 3 000 000 |
|||||
|
ADNA ≥ EUR 20 million |
EUR 1 000 000 |
EUR 1 500 000 |
EUR 5 000 000 |
EUR 5 500 000 |
|||||
|
ETF futures/forwards |
an ETF future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying ETF |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
< EUR 5 million ADNA |
EUR 20 000 |
EUR 25 000 |
EUR 1 000 000 |
EUR 1 250 000 |
||
|
EUR 5 million ≤ ADNA < EUR 10 million |
EUR 250 000 |
EUR 300 000 |
EUR 1 250 000 |
EUR 1 500 000 |
|||||
|
EUR 10 million ≤ ADNA < EUR 20 million |
EUR 500 000 |
EUR 550 000 |
EUR 2 500 000 |
EUR 3 000 000 |
|||||
|
ADNA ≥ EUR 20 million |
EUR 1 000 000 |
EUR 1 500 000 |
EUR 5 000 000 |
EUR 5 500 000 |
|||||
|
Swaps |
a swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 — underlying type: single name, index, basket Segmentation criterion 2 — underlying single name, index, basket Segmentation criterion 3 — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 — time to maturity bucket of the swap defined as follows: |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
EUR 50 million ≤ ADNA < EUR 100 million |
EUR 250 000 |
EUR 300 000 |
EUR 1 250 000 |
EUR 1 500 000 |
||
|
EUR 100 million ≤ ADNA < EUR 200 million |
EUR 500 000 |
EUR 550 000 |
EUR 2 500 000 |
EUR 3 000 000 |
|||||
|
ADNA ≥ EUR 200 million |
EUR 1 000 000 |
EUR 1 500 000 |
EUR 5 000 000 |
EUR 5 500 000 |
|||||
|
Price return basic performance parameter |
Parameter return variance/volatility |
Parameter return dividend |
|
|
|
|
|
|
|
|
Maturity bucket 1: 0 < time to maturity ≤ 1 month |
Maturity bucket 1: 0 < time to maturity ≤ 3 months |
Maturity bucket 1: 0 < time to maturity ≤ 1 year |
|
|
|
|
|
|
|
|
Maturity bucket 2: 1 month < time to maturity ≤ 3 months |
Maturity bucket 2: 3 months < time to maturity ≤ 6 months |
Maturity bucket 2: 1 year < time to maturity ≤ 2 years |
|
|
|
|
|
|
|
|
Maturity bucket 3: 3 months < time to maturity ≤ 6 months |
Maturity bucket 3: 6 months < time to maturity ≤ 1 year |
Maturity bucket 3: 2 years < time to maturity ≤ 3 years |
|
|
|
|
|
|
|
|
Maturity bucket 4: 6 months < time to maturity ≤ 1 year |
Maturity bucket 4: 1 year < time to maturity ≤ 2 years |
… |
|
|
|
|
|
|
|
|
Maturity bucket 5: 1 year < time to maturity ≤ 2 years |
Maturity bucket 5: 2 years < time to maturity ≤ 3 years |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Maturity bucket 6: 2 years < time to maturity ≤ 3 years |
… |
|
|
|
|
|
|
|
|
|
… |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|
|
|
|
|
|
|
|
|
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|
|
|
|
|
|
|
|
|
|
Portfolio Swaps |
a portfolio swap sub-class is defined by a specific combination of: Segmentation criterion 1 — underlying type: single name, index, basket Segmentation criterion 2 — underlying single name, index, basket Segmentation criterion 3 — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 — time to maturity bucket of the portfolio swap defined as follows: |
calculation of thresholds should be performed for each sub-class considering the transactions executed on financial instruments belonging to the sub-class |
EUR 50 million ≤ ADNA < EUR 100 million |
EUR 250 000 |
EUR 300 000 |
EUR 1 250 000 |
EUR 1 500 000 |
||
|
EUR 100 million ≤ ADNA < EUR 200 million |
EUR 500 000 |
EUR 550 000 |
EUR 2 500 000 |
EUR 3 000 000 |
|||||
|
ADNA ≥ EUR 200 million |
EUR 1 000 000 |
EUR 1 500 000 |
EUR 5 000 000 |
EUR 5 500 000 |
|||||
|
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 |
|
|
|
|
|
|
|||
Table 6.3
Equity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
|
Asset class — Equity Derivatives |
||||
|
Sub-asset class |
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market |
|||
|
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
|
|
Swaps |
EUR 20 000 |
EUR 25 000 |
EUR 100 000 |
EUR 150 000 |
|
Portfolio Swaps |
EUR 20 000 |
EUR 25 000 |
EUR 100 000 |
EUR 150 000 |
|
Other equity derivatives |
EUR 20 000 |
EUR 25 000 |
EUR 100 000 |
EUR 150 000 |
7. Commodity derivatives
Table 7.1
Commodity derivatives – classes not having a liquid market
|
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 |
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 |
|||
|
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: |
EUR 10 000 000 |
10 |
||
|
Precious metals |
Non-precious metals |
||||
|
Maturity bucket 1: 0 < time to maturity ≤ 3 months |
Maturity bucket 1: 0 < time to maturity ≤ 1 year |
||||
|
Maturity bucket 2: 3 months < time to maturity ≤ 1 year |
Maturity bucket 2: 1 year < time to maturity ≤ 2 years |
||||
|
Maturity bucket 3: 1 year < time to maturity ≤ 2 years |
Maturity bucket 3: 2 years < time to maturity ≤ 3 years |
||||
|
Maturity bucket 4: 2 years < time to maturity ≤ 3 years |
… |
||||
|
… |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
||||
|
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|
||||
|
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: |
EUR 10 000 000 |
10 |
||
|
Precious metals |
Non-precious metals |
||||
|
Maturity bucket 1: 0 < time to maturity ≤ 3 months |
Maturity bucket 1: 0 < time to maturity ≤ 1 year |
||||
|
Maturity bucket 2: 3 months < time to maturity ≤ 1 year |
Maturity bucket 2: 1 year < time to maturity ≤ 2 years |
||||
|
Maturity bucket 3: 1 year < time to maturity ≤ 2 years |
Maturity bucket 3: 2 years < time to maturity ≤ 3 years |
||||
|
Maturity bucket 4: 2 years < time to maturity ≤ 3 years |
… |
||||
|
… |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
||||
|
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|
||||
|
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: |
EUR 10 000 000 |
10 |
||
|
Precious metals |
Non-precious metals |
||||
|
Maturity bucket 1: 0 < time to maturity ≤ 3 months |
Maturity bucket 1: 0 < time to maturity ≤ 1 year |
||||
|
Maturity bucket 2: 3 months < time to maturity ≤ 1 year |
Maturity bucket 2: 1 year < time to maturity ≤ 2 years |
||||
|
Maturity bucket 3: 1 year < time to maturity ≤ 2 years |
Maturity bucket 3: 2 years < time to maturity ≤ 3 years |
||||
|
Maturity bucket 4: 2 years < time to maturity ≤ 3 years |
… |
||||
|
… |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
||||
|
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|
||||
|
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: |
EUR 10 000 000 |
10 |
||
|
Oil/ Distillates/ Light ends |
Coal |
Natural Gas/Electricity/Inter-energy |
|||
|
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 |
|||
|
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 |
|||
|
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 |
|||
|
Maturity bucket 4: 1 year < time to maturity ≤ 2 years |
… |
… |
|||
|
… |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|||
|
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|
|
|||
|
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: |
EUR 10 000 000 |
10 |
||
|
Oil/Distillates/Light ends |
Coal |
Natural Gas/Electricity/Inter-energy |
|||
|
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 |
|||
|
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 |
|||
|
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 |
|||
|
Maturity bucket 4: 1 year < time to maturity ≤ 2 years |
… |
… |
|||
|
… |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|||
|
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|
|
|||
|
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: |
EUR 10 000 000 |
10 |
||
|
Oil/Distillates/Light ends |
Coal |
Natural Gas/'Electricity/Inter-energy |
|||
|
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 |
|||
|
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 |
|||
|
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 |
|||
|
Maturity bucket 4: 1 year < time to maturity ≤ 2 years |
… |
… |
|||
|
… |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|||
|
Maturity bucket m: (n-1) years < time to maturity ≤ n years |
|
|
|||
|
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 |
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 |
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 |
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 |
||||
|
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 |
||||
Table 7.2
Commodity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
|
Asset class — Commodity Derivatives |
||||||||||||||
|
Sub-asset class |
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market |
|||||||||||||
|
Transactions to be considered for the calculations of the thresholds |
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
||||||||||
|
Trade — percentile |
Threshold floor |
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 |
S1 |
S2 |
S3 |
S4 |
EUR 250 000 |
70 |
EUR 500 000 |
80 |
60 |
EUR 750 000 |
90 |
70 |
EUR 1 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 250 000 |
70 |
EUR 500 000 |
80 |
60 |
EUR 750 000 |
90 |
70 |
EUR 1 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 250 000 |
70 |
EUR 500 000 |
80 |
60 |
EUR 750 000 |
90 |
70 |
EUR 1 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 250 000 |
70 |
EUR 500 000 |
80 |
60 |
EUR 750 000 |
90 |
70 |
EUR 1 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 250 000 |
70 |
EUR 500 000 |
80 |
60 |
EUR 750 000 |
90 |
70 |
EUR 1 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 250 000 |
70 |
EUR 500 000 |
80 |
60 |
EUR 750 000 |
90 |
70 |
EUR 1 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 250 000 |
70 |
EUR 500 000 |
80 |
60 |
EUR 750 000 |
90 |
70 |
EUR 1 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 250 000 |
70 |
EUR 500 000 |
80 |
60 |
EUR 750 000 |
90 |
70 |
EUR 1 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
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 |
S1 |
S2 |
S3 |
S4 |
EUR 250 000 |
70 |
EUR 500 000 |
80 |
60 |
EUR 750 000 |
90 |
70 |
EUR 1 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
Table 7.3
Commodity derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
|
Asset class — Commodity Derivatives |
||||
|
Sub-asset class |
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market |
|||
|
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
|
|
Metal commodity futures/forwards |
EUR 250 000 |
EUR 500 000 |
EUR 750 000 |
EUR 1 000 000 |
|
Metal commodity options |
EUR 250 000 |
EUR 500 000 |
EUR 750 000 |
EUR 1 000 000 |
|
Metal commodity swaps |
EUR 250 000 |
EUR 500 000 |
EUR 750 000 |
EUR 1 000 000 |
|
Energy commodity futures/forwards |
EUR 250 000 |
EUR 500 000 |
EUR 750 000 |
EUR 1 000 000 |
|
Energy commodity options |
EUR 250 000 |
EUR 500 000 |
EUR 750 000 |
EUR 1 000 000 |
|
Energy commodity swaps |
EUR 250 000 |
EUR 500 000 |
EUR 750 000 |
EUR 1 000 000 |
|
Agricultural commodity futures/forwards |
EUR 250 000 |
EUR 500 000 |
EUR 750 000 |
EUR 1 000 000 |
|
Agricultural commodity options |
EUR 250 000 |
EUR 500 000 |
EUR 750 000 |
EUR 1 000 000 |
|
Agricultural commodity swaps |
EUR 250 000 |
EUR 500 000 |
EUR 750 000 |
EUR 1 000 000 |
|
Other commodity derivatives |
EUR 250 000 |
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 |
|||
|
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 |
|
|
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 |
|
|
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 |
|
|
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 |
|
|
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 |
|
|
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 |
|
|
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 |
|
|
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 |
|
|
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 |
||
|
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 |
||
Table 8.2
Foreign exchange derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
|
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 |
|||
|
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
|
|
Non-deliverable forward (NDF) |
EUR 4 000 000 |
EUR 5 000 000 |
EUR 20 000 000 |
EUR 25 000 000 |
|
Deliverable forward (DF) |
EUR 4 000 000 |
EUR 5 000 000 |
EUR 20 000 000 |
EUR 25 000 000 |
|
Non-Deliverable FX options (NDO) |
EUR 4 000 000 |
EUR 5 000 000 |
EUR 20 000 000 |
EUR 25 000 000 |
|
Deliverable FX options (DO) |
EUR 4 000 000 |
EUR 5 000 000 |
EUR 20 000 000 |
EUR 25 000 000 |
|
Non-Deliverable FX swaps (NDS) |
EUR 4 000 000 |
EUR 5 000 000 |
EUR 20 000 000 |
EUR 25 000 000 |
|
Deliverable FX swaps (DS) |
EUR 4 000 000 |
EUR 5 000 000 |
EUR 20 000 000 |
EUR 25 000 000 |
|
FX futures |
EUR 4 000 000 |
EUR 5 000 000 |
EUR 20 000 000 |
EUR 25 000 000 |
|
Other Foreign Exchange Derivatives |
EUR 4 000 000 |
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 |
||||
|
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 |
||
|
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 |
||
|
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 |
||
|
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 |
||
|
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 |
|||
|
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 |
|||
Table 9.2
Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
|
Asset class — Credit Derivatives |
||||||||||||||
|
Sub-asset class |
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market |
|||||||||||||
|
Transactions to be considered for the calculations of the thresholds |
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
||||||||||
|
Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
Trade — percentile |
Volume — percentile |
Threshold floor |
Trade — percentile |
Volume — percentile |
Threshold floor |
|||||
|
Index credit default swap (CDS) |
Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class |
S1 |
S2 |
S3 |
S4 |
EUR 2 500 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 7 500 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
Single name credit default swap (CDS) |
Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class |
S1 |
S2 |
S3 |
S4 |
EUR 2 500 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 7 500 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
CDS index options |
Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class |
S1 |
S2 |
S3 |
S4 |
EUR 2 500 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 7 500 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
Single name CDS options |
Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class |
S1 |
S2 |
S3 |
S4 |
EUR 2 500 000 |
70 |
EUR 5 000 000 |
80 |
60 |
EUR 7 500 000 |
90 |
70 |
EUR 10 000 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
Table 9.3
Credit derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
|
Asset class — Credit Derivatives |
||||
|
Sub-asset class |
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market |
|||
|
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
|
|
Index credit default swap (CDS) |
EUR 2 500 000 |
EUR 5 000 000 |
EUR 7 500 000 |
EUR 10 000 000 |
|
Single name credit default swap (CDS) |
EUR 2 500 000 |
EUR 5 000 000 |
EUR 7 500 000 |
EUR 10 000 000 |
|
CDS index options |
EUR 2 500 000 |
EUR 5 000 000 |
EUR 7 500 000 |
EUR 10 000 000 |
|
Single name CDS options |
EUR 2 500 000 |
EUR 5 000 000 |
EUR 7 500 000 |
EUR 10 000 000 |
|
Other credit derivatives |
EUR 2 500 000 |
EUR 5 000 000 |
EUR 7 500 000 |
EUR 10 000 000 |
10. C10 derivatives
Table 10.1
C10 derivatives – classes not having a liquid market
|
Asset class — C10 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 |
|
|
Average daily notional amount (ADNA) [quantitative liquidity criterion 1] |
Average daily number of trades [quantitative liquidity criterion 2] |
||
|
Freight derivatives a financial instrument relating to freight rates as defined in Section C(10) of Annex I of Directive 2014/65/EU RTS2#3 = ‘DERV’ and RTS2#4 = ‘COMM’ and RTS23#35 = ‘FRGT’ |
a freight derivative sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#5) — contract type: futures or options Segmentation criterion 2 (RTS23#36) — freight type Segmentation criterion 3 (RTS2#37) — freight sub-type Segmentation criterion 4 (RTS2#12) —specification of the size related to the freight sub-type Segmentation criterion 5 (RTS2#13) — specific route or time charter average Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the derivative 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 ≤ 9 months Maturity bucket 5: 9 months < time to maturity ≤ 1 year Maturity bucket 6: 1 year < time to maturity ≤ 2 years Maturity bucket 7: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years |
EUR 10 000 000 |
10 |
|
Asset class — C10 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 |
||
|
Other C10 derivatives a financial instrument as defined in Section C(10) of Annex I of Directive 2014/65/EU which is not a ‘Freight derivative’, any of the following interest rate derivatives sub-asset classes: ‘Inflation multi-currency swap or cross-currency swap’, a ‘Future/forward on inflation multi-currency swaps or cross-currency swaps’, an ‘Inflation single currency swap’, a ‘Future/forward on inflation single currency swap’ and any of the following equity derivatives sub-asset classes: a ‘Volatility index option’, a ‘Volatility index future/forward’, a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility |
any other C10 derivatives is considered not to have a liquid market |
||
Table 10.2
C10 derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
|
Asset class — C10 Derivatives |
||||||||||||||
|
Sub-asset class |
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market |
|||||||||||||
|
Transactions to be considered for the calculations of the thresholds |
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
||||||||||
|
Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
Trade — percentile |
Volume — percentile |
Threshold floor |
Trade — percentile |
Volume — percentile |
Threshold floor |
|||||
|
Freight derivatives |
calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class |
S1 |
S2 |
S3 |
S4 |
EUR 25 000 |
70 |
EUR 50 000 |
80 |
60 |
EUR 75 000 |
90 |
70 |
EUR 100 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
Table 10.3
C10 derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
|
Asset class — C10 Derivatives |
||||
|
Sub-asset class |
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market |
|||
|
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
|
|
Freight derivatives |
EUR 25 000 |
EUR 50 000 |
EUR 75 000 |
EUR 100 000 |
|
Other C10 derivatives |
EUR 25 000 |
EUR 50 000 |
EUR 75 000 |
EUR 100 000 |
11. Financial contracts for differences (CFDs)
Table 11.1
CFDs – classes not having a liquid market
|
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 |
Qualitative liquidity criterion |
Average daily notional amount (ADNA) [quantitative liquidity criterion 1] |
Average daily number of trades [quantitative liquidity criterion 2] |
|
Currency CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = CURR |
a currency CFD sub-class is defined by the underlying currency pair defined as combination of the two currencies underlying the CFD/spread betting contract. RTS2#30 and RTS2#31 |
|
EUR 50 000 000 |
100 |
|
Commodity CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = COMM |
a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract RTS23#35 and RTS23#36 and RTS23#37 |
|
EUR 50 000 000 |
100 |
|
Equity CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = EQUI |
an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract RTS23#26 |
an equity CFD sub-class is considered to have a liquid market if the underlying is an equity security for which there is a liquid market as determined in accordance with Article 2(1)(17)(b) of Regulation (EU) No 600/2014 |
|
|
|
Bond CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = BOND |
a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract RTS23#26 |
a bond CFD sub-class is considered to have a liquid market if the underlying is a bond or bond future for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). |
|
|
|
CFDs on an equity future/forward RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = FTEQ |
a CFD on an equity future/forward sub-class is defined by the underlying future/forward on an equity of the CFD/spread betting contract RTS23#26 |
a CFD on an equity future/forward sub-class is considered to have a liquid market if the underlying is an equity future/forward for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). |
|
|
|
CFDs on an equity option RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = OPEQ |
a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract RTS23#26 |
a CFD on an equity option sub-class is considered to have a liquid market if the underlying is an equity option for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). |
|
|
|
Asset class – Financial contracts for differences (CFDs) |
||||
|
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 |
|||
|
Other CFDs |
|
|||
|
a CFD/spread betting that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = OTHR |
any other CFD/spread betting is considered not to have a liquid market |
|||
Table 11.2
CFDs– pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market
|
Asset class — Financial contracts for differences (CFDs) |
||||||||||||||
|
Sub-asset class |
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined to have a liquid market |
|||||||||||||
|
Transactions to be considered for the calculations of the thresholds |
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
||||||||||
|
Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
Trade — percentile |
Volume — percentile |
Threshold floor |
Trade — percentile |
Volume — percentile |
Threshold floor |
|||||
|
Currency CFDs |
transactions executed on currency CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) |
S1 |
S2 |
S3 |
S4 |
EUR 50 000 |
70 |
EUR 60 000 |
80 |
60 |
EUR 90 000 |
90 |
70 |
EUR 100 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
Commodity CFDs |
transactions executed on commodity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) |
S1 |
S2 |
S3 |
S4 |
EUR 50 000 |
70 |
EUR 60 000 |
80 |
60 |
EUR 90 000 |
90 |
70 |
EUR 100 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
Equity CFDs |
transactions executed on equity CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) |
S1 |
S2 |
S3 |
S4 |
EUR 50 000 |
70 |
EUR 60 000 |
80 |
60 |
EUR 90 000 |
90 |
70 |
EUR 100 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
Bond CFDs |
transactions executed on bond CFDs considered to have a liquid market as per Articles 6 and 8(1)(b) |
S1 |
S2 |
S3 |
S4 |
EUR 50 000 |
70 |
EUR 60 000 |
80 |
60 |
EUR 90 000 |
90 |
70 |
EUR 100 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
CFDs on an equity future/forward |
transactions executed on CFDs on future on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) |
S1 |
S2 |
S3 |
S4 |
EUR 50 000 |
70 |
EUR 60 000 |
80 |
60 |
EUR 90 000 |
90 |
70 |
EUR 100 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
|
CFDs on an equity option |
transactions executed on CFDs on option on an equity considered to have a liquid market as per Articles 6 and 8(1)(b) |
S1 |
S2 |
S3 |
S4 |
EUR 50 000 |
70 |
EUR 60 000 |
80 |
60 |
EUR 90 000 |
90 |
70 |
EUR 100 000 |
|
30 |
40 |
50 |
60 |
|||||||||||
Table 11.3
CFDs — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined not to have a liquid market
|
Asset class — Financial contracts for differences (CFDs) |
||||
|
Sub-asset class |
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market |
|||
|
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
|
|
Currency CFDs |
EUR 50 000 |
EUR 60 000 |
EUR 90 000 |
EUR 100 000 |
|
Commodity CFDs |
EUR 50 000 |
EUR 60 000 |
EUR 90 000 |
EUR 100 000 |
|
Equity CFDs |
EUR 50 000 |
EUR 60 000 |
EUR 90 000 |
EUR 100 000 |
|
Bond CFDs |
EUR 50 000 |
EUR 60 000 |
EUR 90 000 |
EUR 100 000 |
|
CFDs on an equity future/forward |
EUR 50 000 |
EUR 60 000 |
EUR 90 000 |
EUR 100 000 |
|
CFDs on an equity option |
EUR 50 000 |
EUR 60 000 |
EUR 90 000 |
EUR 100 000 |
|
Other CFDs/spread betting |
EUR 50 000 |
EUR 60 000 |
EUR 90 000 |
EUR 100 000 |
12. Emission allowances
Table 12.1
Emission allowances — classes not having a liquid market
|
Asset class — Emission Allowances |
||
|
Sub-asset class |
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 |
|
|
Average Daily Amount (ADA) [quantitative liquidity criterion 1] |
Average daily number of trades [quantitative liquidity criterion 2] |
|
|
European Union Allowances (EUA) any unit recognised for compliance with the requirements of Directive 2003/87/EC of the European Parliament and of the Council (1) (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = EUAE |
150 000 tonnes of Carbon Dioxide Equivalent |
5 |
|
European Union Aviation Allowances (EUAA) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) from aviation RTS2#3 = EMAL and RTS2#11 = EUAA |
150 000 tonnes of Carbon Dioxide Equivalent |
5 |
|
Certified Emission Reductions (CER) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = CERE |
150 000 tonnes of Carbon Dioxide Equivalent |
5 |
|
Emission Reduction Units (ERU) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = ERUE |
150 000 tonnes of Carbon Dioxide Equivalent |
5 |
|
Other Emission Allowances an emission allowance which is an emission allowance recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) or an Emission Reduction Units (ERU) RTS2#3 = EMAL and RTS2#11 = OTHR |
any other emission allowances is considered not to have a liquid market |
|
|
(1)
Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 establishing a scheme for greenhouse gas emission allowance trading within the Community and amending Council Directive 96/61/EC (JO L 275, 25.10.2003, p. 32). |
||
Table 12.2
Emission allowances — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market
|
Asset class — Emission Allowances |
||||||||||||
|
Sub-asset class |
Transactions to be considered for the calculation of the thresholds |
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined to have a liquid market |
||||||||||
|
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|||||||||
|
Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
|||||
|
European Union Allowances (EUA) |
transactions executed on all European Union Allowances (EUA) |
S1 |
S2 |
S3 |
S4 |
40 000 tons of Carbon Dioxide Equivalent |
70 |
50 000 tons of Carbon Dioxide Equivalent |
80 |
90 000 tons of Carbon Dioxide Equivalent |
90 |
100 000 tons of Carbon Dioxide Equivalent |
|
30 |
40 |
50 |
60 |
|||||||||
|
European Union Aviation Allowances (EUAA) |
transactions executed on all European Union Aviation Allowance (EUAA) |
S1 |
S2 |
S3 |
S4 |
20 000 tons of Carbon Dioxide Equivalent |
70 |
25 000 tons of Carbon Dioxide Equivalent |
80 |
40 000 tons of Carbon Dioxide Equivalent |
90 |
50 000 tons of Carbon Dioxide Equivalent |
|
30 |
40 |
50 |
60 |
|||||||||
|
Certified Emission Reductions (CER) |
transactions executed on all Certified Emission Reductions (CER) |
S1 |
S2 |
S3 |
S4 |
20 000 tons of Carbon Dioxide Equivalent |
70 |
25 000 tons of Carbon Dioxide Equivalent |
80 |
40 000 tons of Carbon Dioxide Equivalent |
90 |
50 000 tons of Carbon Dioxide Equivalent |
|
30 |
40 |
50 |
60 |
|||||||||
|
Emission Reduction Units (ERU) |
transactions executed on all Emission Reduction Units (ERU) |
S1 |
S2 |
S3 |
S4 |
20 000 tons of Carbon Dioxide Equivalent |
70 |
25 000 tons of Carbon Dioxide Equivalent |
80 |
40 000 tons of Carbon Dioxide Equivalent |
90 |
50 000 tons of Carbon Dioxide Equivalent |
|
30 |
40 |
50 |
60 |
|||||||||
Table 12.3
Emission allowances — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market
|
Asset class — Emission Allowances |
||||
|
Sub-asset class |
Pre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid market |
|||
|
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
|
|
European Union Allowances (EUA) |
40 000 tons of Carbon Dioxide Equivalent |
50 000 tons of Carbon Dioxide Equivalent |
90 000 tons of Carbon Dioxide Equivalent |
100 000 tons of Carbon Dioxide Equivalent |
|
European Union Aviation Allowances (EUAA) |
20 000 tons of Carbon Dioxide Equivalent |
25 000 tons of Carbon Dioxide Equivalent |
40 000 tons of Carbon Dioxide Equivalent |
50 000 tons of Carbon Dioxide Equivalent |
|
Certified Emission Reductions (CER) |
20 000 tons of Carbon Dioxide Equivalent |
25 000 tons of Carbon Dioxide Equivalent |
40 000 tons of Carbon Dioxide Equivalent |
50 000 tons of Carbon Dioxide Equivalent |
|
Emission Reduction Units (ERU) |
20 000 tons of Carbon Dioxide Equivalent |
25 000 tons of Carbon Dioxide Equivalent |
40 000 tons of Carbon Dioxide Equivalent |
50 000 tons of Carbon Dioxide Equivalent |
13. Emission allowance derivatives
Table 13.1
Emission allowance derivatives — classes not having a liquid market
|
|
Asset class — Emission Allowance Derivatives |
|
|
Sub-asset class |
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 |
|
|
Average Daily Amount (ADA) [quantitative liquidity criterion 1] |
Average daily number of trades [quantitative liquidity criterion 2] |
|
|
Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAE |
150 000 tonnes of Carbon Dioxide Equivalent |
5 |
|
Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) a financial instrument relating to emission allowances of the type European Union Aviation Allowances (EUAA) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAA |
150 000 tonnes of Carbon Dioxide Equivalent |
5 |
|
Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) a financial instrument relating to emission allowances of the type Certified Emission Reductions (CER) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = CERE |
150 000 tonnes of Carbon Dioxide Equivalent |
5 |
|
Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) a financial instrument relating to emission allowances of the type Emission Reduction Units (ERU) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = ERUE |
150 000 tonnes of Carbon Dioxide Equivalent |
5 |
|
Other Emission allowance derivatives an emission allowance derivative whose underlying is an emission allowances recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU) RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = OTHR |
any other emission allowance derivative is considered not to have a liquid market |
|
Table 13.2
Emission allowance derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined to have a liquid market
|
Asset class — Emission Allowance Derivatives |
||||||||||||
|
Sub-asset class |
Transactions to be considered for the calculation of the thresholds |
Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined to have a liquid market |
||||||||||
|
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|||||||||
|
Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
Trade — percentile |
Threshold floor |
|||||
|
Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) |
transactions executed on all emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) |
S1 |
S2 |
S3 |
S4 |
40 000 tons of Carbon Dioxide Equivalent |
70 |
50 000 tons of Carbon Dioxide Equivalent |
80 |
90 000 tons of Carbon Dioxide Equivalent |
90 |
100 000 tons of Carbon Dioxide Equivalent |
|
30 |
40 |
50 |
60 |
|||||||||
|
Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) |
transactions executed on all emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) |
S1 |
S2 |
S3 |
S4 |
20 000 tons of Carbon Dioxide Equivalent |
70 |
25 000 tons of Carbon Dioxide Equivalent |
80 |
40 000 tons of Carbon Dioxide Equivalent |
90 |
50 000 tons of Carbon Dioxide Equivalent |
|
30 |
40 |
50 |
60 |
|||||||||
|
Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) |
transactions executed on all emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) |
S1 |
S2 |
S3 |
S4 |
20 000 tons of Carbon Dioxide Equivalent |
70 |
25 000 tons of Carbon Dioxide Equivalent |
80 |
40 000 tons of Carbon Dioxide Equivalent |
90 |
50 000 tons of Carbon Dioxide Equivalent |
|
30 |
40 |
50 |
60 |
|||||||||
|
Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) |
transactions executed on all emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) |
S1 |
S2 |
S3 |
S4 |
20 000 tons of Carbon Dioxide Equivalent |
70 |
25 000 tons of Carbon Dioxide Equivalent |
80 |
40 000 tons of Carbon Dioxide Equivalent |
90 |
50 000 tons of Carbon Dioxide Equivalent |
|
30 |
40 |
50 |
60 |
|||||||||
Table 13.3
Emission allowance derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-asset classes determined not to have a liquid market
|
Asset class — Emission Allowance Derivatives |
||||
|
Sub-asset class |
Pre-trade and post-trade SSTI and LIS thresholds for the sub-asset classes determined not to have a liquid market |
|||
|
SSTI pre-trade |
LIS pre-trade |
SSTI post-trade |
LIS post-trade |
|
|
Threshold value |
Threshold value |
Threshold value |
Threshold value |
|
|
Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA) |
40 000 tons of Carbon Dioxide Equivalent |
50 000 tons of Carbon Dioxide Equivalent |
90 000 tons of Carbon Dioxide Equivalent |
100 000 tons of Carbon Dioxide Equivalent |
|
Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) |
20 000 tons of Carbon Dioxide Equivalent |
25 000 tons of Carbon Dioxide Equivalent |
40 000 tons of Carbon Dioxide Equivalent |
50 000 tons of Carbon Dioxide Equivalent |
|
Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) |
20 000 tons of Carbon Dioxide Equivalent |
25 000 tons of Carbon Dioxide Equivalent |
40 000 tons of Carbon Dioxide Equivalent |
50 000 tons of Carbon Dioxide Equivalent |
|
Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) |
20 000 tons of Carbon Dioxide Equivalent |
25 000 tons of Carbon Dioxide Equivalent |
40 000 tons of Carbon Dioxide Equivalent |
50 000 tons of Carbon Dioxide Equivalent |
|
Other Emission allowance derivatives |
20 000 tons of Carbon Dioxide Equivalent |
25 000 tons of Carbon Dioxide Equivalent |
40 000 tons of Carbon Dioxide Equivalent |
50 000 tons of Carbon Dioxide Equivalent |