Commission Delegated Regulation (EU) 2023/945 Annex III

ANNEX III

Annex III is amended as follows:

(1)	in part 1, point 13 is replaced by the following: “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.’;

(2)

Table 2.2 is replaced by the following: ‘Table 2.2 Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market

Asset class — Bonds (all bond types except ETCs and ETNs)
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.
Bond Type		Issuance size - RTS23#14
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: the Union; a Member State including a government department, an agency or a special purpose vehicle of a Member State; a sovereign entity which is not listed under points (a) and (b).	smaller than (in EUR)		1 000 000 000
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: in the case of a federal Member State, a member of that federation; a special purpose vehicle for several Member States; 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; the European Investment Bank; 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
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
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
		smaller than (in EUR)	1 000 000 000	smaller than (in EUR)	500 000 000
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
		smaller than (in EUR)	1 000 000 000	smaller than (in EUR)	500 000 000
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
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

(3)

Table 2.4 is replaced by the following: ‘Table 2.4 Bonds (ETC and ETN bond types) — classes not having a liquid market

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
Bond type	Average daily turnover (ADT) [quantitative liquidity criterion 1]	Average daily number of trades [quantitative liquidity criterion 2]
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
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’

(4)

Table 3.1 is replaced by the following: ‘Table 3.1 SFPs — classes not having a liquid market

Asset class – Structured Finance Products (SFPs)
Test 1 – SFPs asset-class assessment
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
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 quan- titative liquidity criteria
	Average daily notional amount (ADNA) [quantitative liquidity criterion 1]	Average daily number of trades [quantitative liquidity criterion 2]
Transactions executed in all SFPs	EUR 300 000 000	500
Test 2 — SFPs not having a liquid market
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
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]
EUR 100 000	2	80 %’

(5)

Table 4.1 is replaced by the following: ‘Table 4.1 Securitised derivatives — classes not having a liquid market

Asset class – Securitised Derivatives

means a transferable security as defined in Article 4(1)(44)(c) of Directive 2014/65/EU different from structured finance products and shall include at least:

(a.1) plain vanilla covered warrants which mean securities issued by a financial institution giving the holder the right, but not the obligation, to (a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or (b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer; (a.2) warrants which mean securities issued by the same issuer of the underlying asset giving the holder the right, but not the obligation, to (a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or (b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer;

leverage certificates means certificates that track the performance of the underlying asset with leverage effect;

exotic covered warrants means covered warrants whose main component is a combination of options;

negotiable rights whose underlying is a non-equity instrument;

investment certificates means certificates that track the performance of the underlying asset without leverage effect.

RTS2#3 = SDRV

For the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied

all securitised derivatives are considered to have a liquid market’;

(6)

Table 5.1 is replaced by the following: ‘Table 5.1 Interest rate derivatives — classes not having a liquid market

Asset class – Interest Rate Derivatives
any contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan.
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
Sub-asset class		Average daily notional amount (ADNA) [quantitative liquidity criterion 1]	Average daily number of trades [quantitative liquidity criterion 2]	Additional qualitative liquidity criterion
Bond futures/forwards / Future on a bond future / Forward on a bond future Future on a bond RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = BOND or Forward on a bond RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FORW RTS2#16 = BOND or Future on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = BNFD or Forward on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FORW RTS2#16 = BNFD	a bond future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#17) — issuer of the underlying Segmentation criterion 2 (RTS2#18) — term of the underlying deliverable bond defined as follows: Short-term: the underlying deliverable bond with a term up to 4 years shall be considered to have a short-term Medium-term: the underlying deliverable bond with a term between 4 and 8 years shall be considered to have a medium-term Long-term: the underlying deliverable bond with a term between 8 and 15 years shall be considered to have a long- term Ultra-long-term: the underlying deliverable bond with a term longer than 15 years shall be considered to have an ultra-long-term Segmentation criterion 3 — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years ... Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 5 000 000	10	whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month
Bond Option / Option on a bond option / Option on a bond future Bond Option Option on a bond option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BOND or Option on a bond option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BOND or Option on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BNFD	a bond option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#22) — ultimate underlying bond Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years ... Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 5 000 000	10
IR futures and FRA/ Future on an interest rate future/ Forward rate agreement on an interest rate future Future on an interest rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = INTR or Forward rate agreement RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FRAS RTS2#16 = INTR or Future on an interest rate future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = IFUT or Forward rate agreement on an interest rate future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FRAS RTS2#16 = IFUT	an interest rate future sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#24) — underlying interest rate Segmentation criterion 2 (RTS2#25) — term of the underlying interest rate Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years ... Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 500 000 000	10	whenever a sub-class is de- termined to have a liquid market with respect to a specific time to maturity bucket and the sub-class de- fined by the next time to maturity bucket is deter- mined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month
IR options /Option on an interest rate future/FRA /Option on an interest rate option /Option on an option on an interest rate future/FRA Option on an interest rate future/FRA//'Option on an interest rate option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = IFUT or IR Option //'Option on an option on an interest rate future/FRA RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = INTR	an interest rate option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#24) —underlying interest rate Segmentation criterion 2 (RTS2#25) — term of the underlying interest rate Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years ... Maturity bucket m: (n-1) years < time to maturity ≤ n years	EUR 500 000 000	10
Swaptions RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWPT	a swaption sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#16) — underlying swap type defined as follows: fixed-to-fixed single currency swap, futures/forwards on fixed-to-fixed single currency swap [RTS2#16 = XXSC] fixed-to-float single currency swap, futures/forwards on fixed-to-float single currency swap [RTS2#16 = XFSC] float-to-float single currency swap, futures/forwards on float-to-float single currency swap [RTS2#16 = FFSC] inflation single currency swap, futures/forwards on inflation single currency swap [RTS2#16 = IFSC] OIS single currency swap, futures/for- wards 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 ex- change 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 ex- change 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 Over- night Index Swap (OIS) “multi-currency swaps” or “cross-currency swaps” a swap or a future/forward/option on a swap where two parties ex- change 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 de- fined 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 ex- change 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 ex- change cash flows denominated in the same currency and the cash flows of one leg are deter- mined 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 ex- change 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 ex- change 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 Over- night Index Swap (OIS) “single currency swaps” a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an Over- night 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 ex- change 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’

(7)

Table 6.1 is replaced by the following: ‘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: 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; 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 mar- ket 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 li- quid 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 para- meter	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’

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Table 7.1 is replaced by the following: ‘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’

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Table 8.1 is replaced by the following: ‘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 Arti- cles 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 be- tween 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 con- tract. 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 ex- change 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 be- tween 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 con- tract. 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 ex- change 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 seg- mentation 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’

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Tables 9.1, 9.2 and 9.3 are replaced by the following: ‘Table 9.1 Credit derivatives — classes not having 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 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	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: “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 cur- rent “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. during the whole period of its “on-the-run status” for the first 30 working days of its “1x off-the-run status”
Single name credit de- fault 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

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

EUR 2 500 000

EUR 5 000 000

EUR 7 500 000

EUR 10 000 000

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

EUR 2 500 000

EUR 5 000 000

EUR 7 500 000

EUR 10 000 000

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

EUR 2 500 000

EUR 5 000 000

EUR 7 500 000

EUR 10 000 000

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

EUR 2 500 000

EUR 5 000 000

EUR 7 500 000

EUR 10 000 000

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’

(11)

Table 10.1 is replaced by the following: ‘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’

(12)

Table 11.1 is replaced by the following: ‘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/for- ward 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’

(13)

Table 12.1 is replaced by the following: ‘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
Sub-asset class	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 (³) (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 (Emis- sions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of car- bon 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 (Emis- sions 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 (Emis- sions 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

(14)

Table 13.1 is replaced by the following: ‘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
Sub-asset class	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’

(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).’

(3) 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).’