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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

You are viewing the version of the document as on 2021-01-01.

Status: In this content, we have included all amendments made by EU exit-related instruments up to end September 2020. There will be more amendments to be made later this year, further to the September QCP.

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

1.

Instructions for the purpose of this annex

  1. (1)

    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.

  2. (2)

    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.

  3. (3)

    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.

  4. (4)

    "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.

  5. (5)

    "Average daily notional amount (ADNA)" means the total notional amount for a particular financial instrument determined according to the volume measure set out in Table 4 of Annex II and executed in the period set out in Article 13(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.

  6. (6)

    "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.

  7. (7)

    "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.

  8. (8)

    "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.

  9. (9)

    "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.

  10. (10)

    "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.

  11. (11)

    "Portfolio Swap" means a contract by which end-users can trade multiple swaps.

  12. (12)

    "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.

  13. (13)

    "Swaption" 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.

  14. (14)

    "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.

  15. (15)

    "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

Asset class — Bonds (all bond types except ETCs and ETNs)

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

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]

EUR 100000

S1

S2

S3

S4

80 %

15

10

7

2

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)

Bond Type

Issuance size

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

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.

Sovereign Bond

means a bond issued by a sovereign issuer which is either:

the European Union;

the United Kingdom including a government department, an agency or a special purpose vehicle of the United Kingdom;

a State other than the United Kingdom, including a government department, an agency or a special purpose vehicle of the State;

a sovereign entity which is not listed under points (a) to (ba).

smaller than (in EUR)

1000000000

Other Public Bond

means a bond issued by any of the following public issuers:

in the case of a federal State, a member of that federation;

a special purpose vehicle for several States;

an international financial institution established by two or more 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;

the International Finance Corporation;

the International Monetary Fund;

a public entity which is not an issuer of a sovereign bond as specified in the previous row.

smaller than (in EUR)

500000000

Convertible Bond

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)

500000000

Covered Bond

means bonds as referred to in Article 4(1)(128A) of Regulation (EU) No 575/2013 of the European Parliament and of the Council

during stages S1 and S2

during stages S3 and S4

smaller than (in EUR)

1000000000

smaller than (in EUR)

500000000

Corporate Bond

means a bond that is issued by a (i) Societas Europaea established before IP completion day in accordance with Council Regulation (EC) No 2157/2001; or a company incorporated in the UK with limited liability or equivalent in third countries

during stages S1 and S2

during stages S3 and S4

smaller than (in EUR)

1000000000

smaller than (in EUR)

500000000

Other Bond

A bond that does not belong to any of the above bond types is considered not to have a liquid market

Table 2.3 Bonds (all bond types except ETCs and ETNs) — pre-trade and post-trade SSTI and LIS thresholds

Asset class — Bonds (all bond types except ETCs and ETNs)

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

SSTI pre-trade

LIS pre-trade

SSTI post-trade

LIS post-trade

Trade — percentile

threshold floor

Trade — percentile

threshold floor

Trade — percentile

Trade — percentile

Sovereign Bond

transactions executed on Sovereign Bonds following the exclusion of transactions as specified in Article 13(10)

S1

S2

S3

S4

EUR 300000

70

EUR 300000

80

90

30

40

50

60

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 300000

70

EUR 300000

80

90

30

40

50

60

Convertible Bond

transactions executed on Convertible Bonds following the exclusion of transactions as specified in Article 13(10)

S1

S2

S3

S4

EUR 200000

70

EUR 200000

80

90

30

40

50

60

Covered Bond

transactions executed on Covered Bonds following the exclusion of transactions as specified in Article 13(10)

S1

S2

S3

S4

EUR 300000

70

EUR 300000

80

90

30

40

40

40

Corporate Bond

transactions executed on Corporate Bonds following the exclusion of transactions as specified in Article 13(10)

S1

S2

S3

S4

EUR 200000

70

EUR 200000

80

90

30

40

50

60

Other Bonds

transactions executed on Other Bonds following the exclusion of transactions as specified in Article 13(10)

S1

S2

S3

S4

EUR 200000

70

EUR 200000

80

90

30

40

50

60

Table 2.4 Bonds (ETC and ETN bond types) — classes not having a liquid market

Asset class — Bonds (ETC and ETN bond types)

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

Average daily turnover (ADT)

[quantitative liquidity criterion 1]

Average daily number of trades

[quantitative liquidity criterion 2]

Exchange Traded Commodities (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 500000

10

Exchange Traded Notes (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 500000

10

Table 2.5 Bonds (ETC and ETN bond types) — pre-trade and post-trade SSTI and LIS thresholds

Asset class — Bonds (ETC and ETN bond types)

Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined to have a liquid market

Bond type

SSTI pre-trade

LIS pre-trade

SSTI post-trade

LIS post-trade

Threshold value

Threshold value

Threshold value

Threshold value

Pre-trade and post-trade SSTI and LIS thresholds for each individual instrument determined not to have a liquid market

Bond type

SSTI pre-trade

LIS pre-trade

SSTI post-trade

LIS post-trade

Threshold value

Threshold value

Threshold value

Threshold value

ETCs

EUR 1000000

EUR 1000000

EUR 50000000

EUR 50000000

ETNs

EUR 1000000

EUR 1000000

EUR 50000000

EUR 50000000

ETCs

EUR 900000

EUR 900000

EUR 45000000

EUR 45000000

ETNs

EUR 900000

EUR 900000

EUR 45000000

EUR 45000000

3.

Structured Finance Products (SFPs)

Table 3.1 SFPs — classes not having a liquid market

Asset class — Structured Finance Products (SFPs)

Test 1 — SFPs asset-class assessment

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

Average daily notional amount (ADNA)

[quantitative liquidity criterion 1]

Average daily number of trades

[quantitative liquidity criterion 2]

Test 2 — SFPs not having a liquid market

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]

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)(b)

Transactions executed in all SFPs

EUR 300000000

500

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

EUR 100000

2

80 %

Table 3.2 SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is not passed

Asset class — Structured Finance Products (SFPs)

Pre-trade and post-trade SSTI and LIS thresholds for all SFPs if Test 1 is not passed

SSTI pre-trade

LIS pre-trade

SSTI post-trade

LIS post-trade

Threshold value

Threshold value

Threshold value

Threshold value

EUR 100000

EUR 250000

EUR 500000

EUR 1000000

Table 3.3 SFPs — pre-trade and post-trade SSTI and LIS thresholds if Test 1 is passed

Asset class — Structured Finance Products (SFPs)

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

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

Transactions executed in all SFPs determined to have a liquid market

S1

S2

S3

S4

EUR 100000

70

EUR 250000

80

EUR 500000

90

EUR 1000000

30

40

50

60

Pre-trade and post-trade SSTI and LIS thresholds for SFPs determined not to have a liquid market if Test 1 is passed

SSTI pre-trade

LIS pre-trade

SSTI post-trade

LIS post-trade

Threshold value

Threshold value

Threshold value

Threshold value

EUR 100000

EUR 250000

EUR 500000

EUR 1000000

4.

Securitised derivatives

Table 4.1

Securitised derivatives — classes not having a liquid market

Asset class — Securitised Derivatives

means a transferable security as defined in Article (2)(1)(24)(c) of Regulation 600/2014/EU different from structured finance products and should include at least:

  1. (a)

    plain vanilla covered warrants means securities giving the holder the right, but not the obligation, to purchase (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, the payment of the positive difference between the current market price (the strike price) and the strike price (the current market price);

  2. (b)

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

  3. (c)

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

  4. (d)

    negotiable rights;

  5. (e)

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

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

all securitised derivatives are considered to have a liquid market

Table 4.2 Securitised derivatives — pre-trade and post-trade SSTI and LIS thresholds

Asset class — Securitised Derivatives

Pre-trade and post-trade SSTI and LIS thresholds

SSTI pre-trade

LIS pre-trade

SSTI post-trade

LIS post-trade

Threshold value

Threshold value

Threshold value

Threshold value

EUR 50000

EUR 60000

EUR 90000

EUR 100000

5.

Interest rate derivatives

Table 5.1 Interest rate derivatives — classes not having a liquid market

Asset class — Interest Rate Derivatives

any contract as defined in paragraph 4 of Part 1 of Schedule 2 to the Regulated Activities Order 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)(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]

Additional qualitative liquidity criterion

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

Bond futures/forwards

a bond future/forward sub-class is defined by the following segmentation criteria:

EUR 5000000

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 options

a bond option sub-class is defined by the following segmentation criteria:

EUR 5000000

10

IR futures and FRA

an interest rate future sub-class is defined by the following segmentation criteria:

EUR 500000000

10

whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month

IR options

an interest rate option sub-class is defined by the following segmentation criteria:

EUR 500000000

10

Swaptions

a swaption sub-class is defined by the following segmentation criteria:

EUR 500000000

10

Segmentation criterion 5 — time to maturity bucket of the option defined as follows:

Fixed-to-Float "multi-currency swaps" or "cross-currency swaps" and futures/forwards on Fixed-to-Float "multi-currency swaps" or "cross-currency swaps"

a swap or a future/forward 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 while those of the other leg are determined by a floating interest rate

a fixed-to-float multi-currency sub-class is defined by the following segmentation criteria:

EUR 50000000

10

Float-to-Float "multi-currency swaps" or "cross-currency swaps" and futures/forwards on Float-to-Float "multi-currency swaps" or "cross-currency swaps"

a swap or a future/forward 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

a float-to-float multi-currency sub-class is defined by the following segmentation criteria:

EUR 50000000

10

Fixed-to-Fixed "multi-currency swaps" or "cross-currency swaps" and futures/forwards on Fixed-to-Fixed "multi-currency swaps" or "cross-currency swaps"

a swap or a future/forward 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

a fixed-to-fixed multi-currency sub-class is defined by the following segmentation criteria:

EUR 50000000

10

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"

a swap or a future/forward 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

an overnight index swap (OIS) multi-currency sub-class is defined by the following segmentation criteria:

EUR 50000000

10

Inflation "multi-currency swaps" or "cross-currency swaps" and futures/forwards on Inflation "multi-currency swaps" or "cross-currency swaps"

a swap or a future/forward 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

an inflation multi-currency sub-class is defined by the following segmentation criteria:

EUR 50000000

10

Fixed-to-Float "single currency swaps" and futures/forwards on Fixed-to-Float "single currency swaps"

a swap or a future/forward 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

a fixed-to-float single currency sub-class is defined by the following segmentation criteria:

EUR 50000000

10

Float-to-Float "single currency swaps" and futures/forwards on Float-to-Float "single currency swaps"

a swap or a future/forward 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

a float-to-float single currency sub-class is defined by the following segmentation criteria:

EUR 50000000

10

Fixed-to-Fixed "single currency swaps" and futures/forwards on Fixed-to-Fixed "single currency swaps"

a swap or a future/forward 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

a fixed-to-fixed single currency sub-class is defined by the following segmentation criteria:

EUR 50000000

10

Overnight Index Swap (OIS) "single currency swaps" and futures/forwards on Overnight Index Swap (OIS) "single currency swaps"

a swap or a future/forward 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

an overnight index swap (OIS) single currency sub-class is defined by the following segmentation criteria:

EUR 50000000

10

Inflation "single currency swaps" and futures/forwards on Inflation "single currency swaps"

a swap or a future/forward 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

an inflation single currency sub-class is defined by the following segmentation criteria:

EUR 50000000

10

Other Interest Rate Derivatives

an interest rate derivative that does not belong to any of the above sub-asset classes

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 4000000

70

EUR 5000000

80

60

EUR 20000000

90

70

EUR 25000000

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 4000000

70

EUR 5000000

80

60

EUR 20000000

90

70

EUR 25000000

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 5000000

70

EUR 10000000

80

60

EUR 20000000

90

70

EUR 25000000

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 5000000

70

EUR 10000000

80

60

EUR 20000000

90

70

EUR 25000000

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 4000000

70

EUR 5000000

80

60

EUR 9000000

90

70

EUR 10000000

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 4000000

70

EUR 5000000

80

60

EUR 9000000

90

70

EUR 10000000

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 4000000

70

EUR 5000000

80

60

EUR 9000000

90

70

EUR 10000000

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 4000000

70

EUR 5000000

80

60

EUR 9000000

90

70

EUR 10000000

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 4000000

70

EUR 5000000

80

60

EUR 9000000

90

70

EUR 10000000

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 4000000

70

EUR 5000000

80

60

EUR 9000000

90

70

EUR 10000000

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 4000000

70

EUR 5000000

80

60

EUR 9000000

90

70

EUR 10000000

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 4000000

70

EUR 5000000

80

60

EUR 9000000

90

70

EUR 10000000

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 4000000

70

EUR 5000000

80

60

EUR 9000000

90

70

EUR 10000000

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 4000000

70

EUR 5000000

80

60

EUR 9000000

90

70

EUR 10000000

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 4000000

70

EUR 5000000

80

60

EUR 9000000

90

70

EUR 10000000

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 4000000

EUR 5000000

EUR 20000000

EUR 25000000

Bond options

EUR 4000000

EUR 5000000

EUR 20000000

EUR 25000000

IR futures and FRA

EUR 5000000

EUR 10000000

EUR 20000000

EUR 25000000

IR options

EUR 5000000

EUR 10000000

EUR 20000000

EUR 25000000

Swaptions

EUR 4000000

EUR 5000000

EUR 9000000

EUR 10000000

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 4000000

EUR 5000000

EUR 9000000

EUR 10000000

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 4000000

EUR 5000000

EUR 9000000

EUR 10000000

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 4000000

EUR 5000000

EUR 9000000

EUR 10000000

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 4000000

EUR 5000000

EUR 9000000

EUR 10000000

Inflation "multi-currency swaps" or "cross-currency swaps" and futures/forwards on Inflation "multi-currency swaps" or "cross-currency swaps"

EUR 4000000

EUR 5000000

EUR 9000000

EUR 10000000

Fixed-to-Float "single currency swaps" and futures/forwards on Fixed-to-Float "single currency swaps"

EUR 4000000

EUR 5000000

EUR 9000000

EUR 10000000

Float-to-Float "single currency swaps" and futures/forwards on Float-to-Float "single currency swaps"

EUR 4000000

EUR 5000000

EUR 9000000

EUR 10000000

Fixed-to-Fixed "single currency swaps" and futures/forwards on Fixed-to-Fixed "single currency swaps"

EUR 4000000

EUR 5000000

EUR 9000000

EUR 10000000

Overnight Index Swap (OIS) "single currency swaps" and futures/forwards on Overnight Index Swap (OIS) "single currency swaps"

EUR 4000000

EUR 5000000

EUR 9000000

EUR 10000000

Inflation "single currency swaps" and futures/forwards on Inflation "single currency swaps"

EUR 4000000

EUR 5000000

EUR 9000000

EUR 10000000

Other Interest Rate Derivatives

EUR 4000000

EUR 5000000

EUR 9000000

EUR 10000000

6.

Equity derivatives

Table 6.1 Equity derivatives — classes not having a liquid market

Asset class — Equity 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

Asset class — Equity 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]

Price return basic performance parameter

Parameter return variance/volatility

Parameter return dividend

Asset class — Equity 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

any contract as defined paragraph 4 of Part 1 of Schedule 2 to the Regulated Activities Order 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

Stock index options

an option whose underlying is an index composed of shares

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

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

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

all stock futures/forwards are considered to have a liquid market

Stock dividend options

an option on the dividend of a specific share

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

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

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

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

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

all volatility index futures/forwards are considered to have a liquid market

ETF options

an option whose underlying is an ETF

all ETF options are considered to have a liquid market

ETF futures/forwards

a future/forward whose underlying is an ETF

all ETF futures/forwards are considered to have a liquid market

Swaps

a swap sub-class is defined by the following segmentation criteria:

EUR 50000000

15

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:

EUR 50000000

15

Other equity derivatives

an equity derivative that does not belong to any of the above sub-asset classes

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 20000

EUR 25000

EUR 1000000

EUR 1500000

EUR 100 million ≤ ADNA < EUR 200 million

EUR 2500000

EUR 3000000

EUR 25000000

EUR 30000000

EUR 200 million ≤ ADNA < EUR 600 million

EUR 5000000

EUR 5500000

EUR 50000000

EUR 55000000

ADNA ≥ EUR 600 million

EUR 15000000

EUR 20000000

EUR 150000000

EUR 160000000

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 20000

EUR 25000

EUR 1000000

EUR 1500000

EUR 100 million ≤ ADNA < EUR 1 billion

EUR 500000

EUR 550000

EUR 5000000

EUR 5500000

EUR 1 billion ≤ ADNA < EUR 3 billion

EUR 5000000

EUR 5500000

EUR 50000000

EUR 55000000

EUR 3 billion ≤ ADNA < EUR 5 billion

EUR 15000000

EUR 20000000

EUR 150000000

EUR 160000000

ADNA ≥ EUR 5 billion

EUR 25000000

EUR 30000000

EUR 250000000

EUR 260000000

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 20000

EUR 25000

EUR 1000000

EUR 1250000

EUR 5 million ≤ ADNA < EUR 10 million

EUR 250000

EUR 300000

EUR 1250000

EUR 1500000

EUR 10 million ≤ ADNA < EUR 20 million

EUR 500000

EUR 550000

EUR 2500000

EUR 3000000

ADNA ≥ EUR 20 million

EUR 1000000

EUR 1500000

EUR 5000000

EUR 5500000

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 20000

EUR 25000

EUR 1000000

EUR 1250000

EUR 5 million ≤ ADNA < EUR 10 million

EUR 250000

EUR 300000

EUR 1250000

EUR 1500000

EUR 10 million ≤ ADNA < EUR 20 million

EUR 500000

EUR 550000

EUR 2500000

EUR 3000000

ADNA ≥ EUR 20 m

EUR 1000000

EUR 1500000

EUR 5000000

EUR 5500000

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 20000

EUR 25000

EUR 400000

EUR 450000

EUR 5 million ≤ ADNA < EUR 10 million

EUR 25000

EUR 30000

EUR 500000

EUR 550000

EUR 10 million ≤ ADNA < EUR 20 million

EUR 50000

EUR 100000

EUR 1000000

EUR 1500000

ADNA ≥ EUR 20 million

EUR 100000

EUR 150000

EUR 2000000

EUR 2500000

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 20000

EUR 25000

EUR 400000

EUR 450000

EUR 5 million ≤ ADNA < EUR 10 million

EUR 25000

EUR 30000

EUR 500000

EUR 550000

EUR 10 million ≤ ADNA < EUR 20 million

EUR 50000

EUR 100000

EUR 1000000

EUR 1500000

ADNA ≥ EUR 20 million

EUR 100000

EUR 150000

EUR 2000000

EUR 2500000

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 20000

EUR 25000

EUR 1000000

EUR 1500000

EUR 100 million ≤ ADNA < EUR 200 million

EUR 2500000

EUR 3000000

EUR 25000000

EUR 30000000

EUR 200 million ≤ ADNA < EUR 600 million

EUR 5000000

EUR 5500000

EUR 50000000

EUR 55000000

ADNA ≥ EUR 600 million

EUR 15000000

EUR 20000000

EUR 150000000

EUR 160000000

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 20000

EUR 25000

EUR 1000000

EUR 1500000

EUR 100 million ≤ ADNA < EUR 1 billion

EUR 500000

EUR 550000

EUR 5000000

EUR 5500000

EUR 1 billion ≤ ADNA < EUR 3 billion

EUR 5000000

EUR 5500000

EUR 50000000

EUR 55000000

EUR 3 billion ≤ ADNA < EUR 5 billion

EUR 15000000

EUR 20000000

EUR 150000000

EUR 160000000

ADNA ≥ EUR 5 billion

EUR 25000000

EUR 30000000

EUR 250000000

EUR 260000000

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 20000

EUR 25000

EUR 1000000

EUR 1500000

EUR 100 million ≤ ADNA < EUR 200 million

EUR 2500000

EUR 3000000

EUR 25000000

EUR 30000000

EUR 200 million ≤ ADNA < EUR 600 million

EUR 5000000

EUR 5500000

EUR 50000000

EUR 55000000

ADNA ≥ EUR 600 million

EUR 15000000

EUR 20000000

EUR 150000000

EUR 160000000

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 20000

EUR 25000

EUR 1000000

EUR 1500000

EUR 100 million ≤ ADNA < EUR 1 billion

EUR 500000

EUR 550000

EUR 5000000

EUR 5500000

EUR 1 billion ≤ ADNA < EUR 3 billion

EUR 5000000

EUR 5500000

EUR 50000000

EUR 55000000

EUR 3 billion ≤ ADNA < EUR 5 billion

EUR 15000000

EUR 20000000

EUR 150000000

EUR 160000000

ADNA ≥ EUR 5 billion

EUR 25000000

EUR 30000000

EUR 250000000

EUR 260000000

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 20000

EUR 25000

EUR 1000000

EUR 1250000

EUR 5 million ≤ ADNA < EUR 10 million

EUR 250000

EUR 300000

EUR 1250000

EUR 1500000

EUR 10 million ≤ ADNA < EUR 20 million

EUR 500000

EUR 550000

EUR 2500000

EUR 3000000

ADNA ≥ EUR 20 million

EUR 1000000

EUR 1500000

EUR 5000000

EUR 5500000

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 20000

EUR 25000

EUR 1000000

EUR 1250000

EUR 5 million ≤ ADNA < EUR 10 million

EUR 250000

EUR 300000

EUR 1250000

EUR 1500000

EUR 10 million ≤ ADNA < EUR 20 million

EUR 500000

EUR 550000

EUR 2500000

EUR 3000000

ADNA ≥ EUR 20 million

EUR 1000000

EUR 1500000

EUR 5000000

EUR 5500000

Swaps

a swap sub-class is defined by the following segmentation criteria:

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 250000

EUR 300000

EUR 1250000

EUR 1500000

EUR 100 million ≤ ADNA < EUR 200 million

EUR 500000

EUR 550000

EUR 2500000

EUR 3000000

ADNA ≥ EUR 200 million

EUR 1000000

EUR 1500000

EUR 5000000

EUR 5500000

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:

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 250000

EUR 300000

EUR 1250000

EUR 1500000

EUR 100 million ≤ ADNA < EUR 200 million

EUR 500000

EUR 550000

EUR 2500000

EUR 3000000

ADNA ≥ EUR 200 million

EUR 1000000

EUR 1500000

EUR 5000000

EUR 5500000

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 20000

EUR 25000

EUR 100000

EUR 150000

Portfolio Swaps

EUR 20000

EUR 25000

EUR 100000

EUR 150000

Other equity derivatives

EUR 20000

EUR 25000

EUR 100000

EUR 150000

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 of the quantitative liquidity criteria

Average daily notional amount (ADNA)

[quantitative liquidity criterion 1]

Average daily number of trades

[quantitative liquidity criterion 2]

Oil/Oil Distillates/Oil Light ends

Coal

Natural Gas/'Electricity/Inter-energy

Oil/Oil Distillates/Oil Light ends

Coal

Natural Gas/'Electricity/Inter-energy

Oil/Oil Distillates/Oil Light ends

Coal

Natural Gas/'Electricity/Inter-energy

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

Metal commodity futures/forwards

a metal commodity future/forward sub-class is defined by the following segmentation criteria:

EUR 10000000

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

a metal commodity option sub-class is defined by the following segmentation criteria:

EUR 10000000

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

a metal commodity swap sub-class is defined by the following segmentation criteria:

EUR 10000000

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

an energy commodity future/forward sub-class is defined by the following segmentation criteria:

EUR 10000000

10

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

an energy commodity option sub-class is defined by the following segmentation criteria:

EUR 10000000

10

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

an energy commodity swap sub-class is defined by the following segmentation criteria:

EUR 10000000

10

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

an agricultural commodity future/forward sub-class is defined by the following segmentation criteria:

EUR 10000000

10

Agricultural commodity options

an agricultural commodity option sub-class is defined by the following segmentation criteria:

EUR 10000000

10

Agricultural commodity swaps

an agricultural commodity swap sub-class is defined by the following segmentation criteria:

EUR 10000000

10

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 250000

70

EUR 500000

80

60

EUR 750000

90

70

EUR 1000000

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 250000

70

EUR 500000

80

60

EUR 750000

90

70

EUR 1000000

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 250000

70

EUR 500000

80

60

EUR 750000

90

70

EUR 1000000

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 250000

70

EUR 500000

80

60

EUR 750000

90

70

EUR 1000000

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 250000

70

EUR 500000

80

60

EUR 750000

90

70

EUR 1000000

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 250000

70

EUR 500000

80

60

EUR 750000

90

70

EUR 1000000

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 250000

70

EUR 500000

80

60

EUR 750000

90

70

EUR 1000000

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 250000

70

EUR 500000

80

60

EUR 750000

90

70

EUR 1000000

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 250000

70

EUR 500000

80

60

EUR 750000

90

70

EUR 1000000

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 250000

EUR 500000

EUR 750000

EUR 1000000

Metal commodity options

EUR 250000

EUR 500000

EUR 750000

EUR 1000000

Metal commodity swaps

EUR 250000

EUR 500000

EUR 750000

EUR 1000000

Energy commodity futures/forwards

EUR 250000

EUR 500000

EUR 750000

EUR 1000000

Energy commodity options

EUR 250000

EUR 500000

EUR 750000

EUR 1000000

Energy commodity swaps

EUR 250000

EUR 500000

EUR 750000

EUR 1000000

Agricultural commodity futures/forwards

EUR 250000

EUR 500000

EUR 750000

EUR 1000000

Agricultural commodity options

EUR 250000

EUR 500000

EUR 750000

EUR 1000000

Agricultural commodity swaps

EUR 250000

EUR 500000

EUR 750000

EUR 1000000

Other commodity derivatives

EUR 250000

EUR 500000

EUR 750000

EUR 1000000

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 paragraph 4 of Part 1 of Schedule 2 to the Regulated Activities Order

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]

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

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.

a non-deliverable FX forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying currency pair defined as combination of the two currencies underlying the derivative contract

Segmentation criterion 2 — 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.

a deliverable FX forward sub-class is defined by the following segmentation criteria:

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.

a non-deliverable FX option sub-class is defined by the following segmentation criteria:

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.

a deliverable FX option sub-class is defined by the following segmentation criteria:

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.

a non-deliverable FX swap sub-class is defined by the following segmentation criteria:

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.

a deliverable FX swap sub-class is defined by the following segmentation criteria:

Deliverable FX swaps (DS) are considered not to have a liquid market

FX futures

an FX future sub-class is defined by the following segmentation criteria:

FX futures are considered not to have a liquid market

Other Foreign Exchange Derivatives

an FX derivative that does not belong to any of the above sub-asset classes

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 4000000

EUR 5000000

EUR 20000000

EUR 25000000

Deliverable forward (DF)

EUR 4000000

EUR 5000000

EUR 20000000

EUR 25000000

Non-Deliverable FX options (NDO)

EUR 4000000

EUR 5000000

EUR 20000000

EUR 25000000

Deliverable FX options (DO)

EUR 4000000

EUR 5000000

EUR 20000000

EUR 25000000

Non-Deliverable FX swaps (NDS)

EUR 4000000

EUR 5000000

EUR 20000000

EUR 25000000

Deliverable FX swaps (DS)

EUR 4000000

EUR 5000000

EUR 20000000

EUR 25000000

FX futures

EUR 4000000

EUR 5000000

EUR 20000000

EUR 25000000

Other Foreign Exchange Derivatives

EUR 4000000

EUR 5000000

EUR 20000000

EUR 25000000

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]

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 the following qualitative liquidity criterion

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

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

an index credit default swap sub-class is defined by the following segmentation criteria:

EUR 200000000

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 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

a single name credit default swap sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 — underlying reference entity

Segmentation criterion 2 — underlying reference entity type defined as follows:

"Issuer of sovereign and public type" means an issuer entity which is either:

(a) the European Union;

(b) the United Kingdom including a government department, an agency or a special purpose vehicle of a the United Kingdom;

(ba) a State other than the United Kingdom, including a government department, an agency or a special purpose vehicle of the State;

(c) a sovereign entity which is not listed under points (a) to (ba);

(d) in the case of a federal State, a member of that federation;

(e) a special purpose vehicle for several States;

(f) an international financial institution established by two or more 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;

(ga) the International Finance Corporation;

(gb) the International Monetary Fund;

(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 — notional currency defined as the currency in which the notional amount of the derivative is denominated

Segmentation criterion 4 — time 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 10000000

10

CDS index options

an option whose underlying is a CDS index

a CDS index option sub-class is defined by the following segmentation criteria:

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 underlying is a single name CDS

a single name CDS option sub-class is defined by the following segmentation criteria:

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

Other credit derivatives

a credit derivative that does not belong to any of the above sub-asset classes

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 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 2500000

70

EUR 5000000

80

60

EUR 7500000

90

70

EUR 10000000

30

40

50

60

Single name credit default swap (CDS)

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 2500000

70

EUR 5000000

80

60

EUR 7500000

90

70

EUR 10000000

30

40

50

60

Bespoke basket credit default swap (CDS)

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 2500000

70

EUR 5000000

80

60

EUR 7500000

90

70

EUR 10000000

30

40

50

60

CDS index 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 2500000

70

EUR 5000000

80

60

EUR 7500000

90

70

EUR 10000000

30

40

50

60

Single name CDS 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 2500000

70

EUR 5000000

80

60

EUR 7500000

90

70

EUR 10000000

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 2500000

EUR 5000000

EUR 7500000

EUR 10000000

Single name credit default swap (CDS)

EUR 2500000

EUR 5000000

EUR 7500000

EUR 10000000

Bespoke basket credit default swap (CDS)

EUR 2500000

EUR 5000000

EUR 7500000

EUR 10000000

CDS index options

EUR 2500000

EUR 5000000

EUR 7500000

EUR 10000000

Single name CDS options

EUR 2500000

EUR 5000000

EUR 7500000

EUR 10000000

Other credit derivatives

EUR 2500000

EUR 5000000

EUR 7500000

EUR 10000000

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]

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

Freight derivatives

a financial instrument relating to freight rates as defined in paragraph 10 of Part 1 of Schedule 2 to the Regulated Activities Order

a freight derivative sub-class is defined by the following segmentation criteria:

EUR 10000000

10

Other C10 derivatives

a financial instrument as defined in paragraph 10 of Part 1 of Schedule 2 to the Regulated Activities Order 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 25000

70

EUR 50000

80

60

EUR 75000

90

70

EUR 100000

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 25000

EUR 50000

EUR 75000

EUR 100000

Other C10 derivatives

EUR 25000

EUR 50000

EUR 75000

EUR 100000

11.

Financial contracts for differences (CFDs)

Table 11.1 CFDs — classes not having a liquid market

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), 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 or, where applicable, if it does not meet the qualitative liquidity criterion as defined below

Qualitative liquidity criterion

Average daily notional amount (ADNA)

[quantitative liquidity criterion 1]

Average daily number of trades

[quantitative liquidity criterion 2]

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

a derivative contract that gives the holder an exposure, which can be long or short, to the difference between the price of an underlying asset at the start of the contract and the price when the contract is closed

Currency CFDs

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

EUR 50000000

100

Commodity CFDs

a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract

EUR 50000000

100

Equity CFDs

an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract

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

a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract

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

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

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

a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract

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).

Other CFDs

a CFD/spread betting that does not belong to any of the above sub-asset classes

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 50000

70

EUR 60000

80

60

EUR 90000

90

70

EUR 100000

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 50000

70

EUR 60000

80

60

EUR 90000

90

70

EUR 100000

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 50000

70

EUR 60000

80

60

EUR 90000

90

70

EUR 100000

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 50000

70

EUR 60000

80

60

EUR 90000

90

70

EUR 100000

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 50000

70

EUR 60000

80

60

EUR 90000

90

70

EUR 100000

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 50000

70

EUR 60000

80

60

EUR 90000

90

70

EUR 100000

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 50000

EUR 60000

EUR 90000

EUR 100000

Commodity CFDs

EUR 50000

EUR 60000

EUR 90000

EUR 100000

Equity CFDs

EUR 50000

EUR 60000

EUR 90000

EUR 100000

Bond CFDs

EUR 50000

EUR 60000

EUR 90000

EUR 100000

CFDs on an equity future/forward

EUR 50000

EUR 60000

EUR 90000

EUR 100000

CFDs on an equity option

EUR 50000

EUR 60000

EUR 90000

EUR 100000

Other CFDs/spread betting

EUR 50000

EUR 60000

EUR 90000

EUR 100000

12.

Emission allowances

Table 12.1 Emission allowances — classes not having a liquid market

Asset class — Emission Allowances

Sub-asset class

Each sub-asset 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 (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e)

150000 tons 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

150000 tons 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)

150000 tons 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)

150000 tons of Carbon Dioxide Equivalent

5

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

40000 tons of Carbon Dioxide Equivalent

70

50000 tons of Carbon Dioxide Equivalent

80

90000 tons of Carbon Dioxide Equivalent

90

100000 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

20000 tons of Carbon Dioxide Equivalent

70

25000 tons of Carbon Dioxide Equivalent

80

40000 tons of Carbon Dioxide Equivalent

90

50000 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

20000 tons of Carbon Dioxide Equivalent

70

25000 tons of Carbon Dioxide Equivalent

80

40000 tons of Carbon Dioxide Equivalent

90

50000 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

20000 tons of Carbon Dioxide Equivalent

70

25000 tons of Carbon Dioxide Equivalent

80

40000 tons of Carbon Dioxide Equivalent

90

50000 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)

40000 tons of Carbon Dioxide Equivalent

50000 tons of Carbon Dioxide Equivalent

90000 tons of Carbon Dioxide Equivalent

100000 tons of Carbon Dioxide Equivalent

European Union Aviation Allowances (EUAA)

20000 tons of Carbon Dioxide Equivalent

25000 tons of Carbon Dioxide Equivalent

40000 tons of Carbon Dioxide Equivalent

50000 tons of Carbon Dioxide Equivalent

Certified Emission Reductions (CER)

20000 tons of Carbon Dioxide Equivalent

25000 tons of Carbon Dioxide Equivalent

40000 tons of Carbon Dioxide Equivalent

50000 tons of Carbon Dioxide Equivalent

Emission Reduction Units (ERU)

20000 tons of Carbon Dioxide Equivalent

25000 tons of Carbon Dioxide Equivalent

40000 tons of Carbon Dioxide Equivalent

50000 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-asset 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]

Asset class — Emission Allowance 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

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 paragraph 4 of Part 1 of Schedule 2 to the Regulated Activities Order

150000 tons 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 paragraph 4 of Part 1 of Schedule 2 to the Regulated Activities Order

150000 tons 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 paragraph 4 of Part 1 of Schedule 2 to the Regulated Activities Order

150000 tons 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 paragraph 4 of Part 1 of Schedule 2 to the Regulated Activities Order

150000 tons of Carbon Dioxide Equivalent

5

Other Emission allowance derivatives

an emission allowance derivative whose underlying is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU)

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

40000 tons of Carbon Dioxide Equivalent

70

50000 tons of Carbon Dioxide Equivalent

80

90000 tons of Carbon Dioxide Equivalent

90

100000 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

20000 tons of Carbon Dioxide Equivalent

70

25000 tons of Carbon Dioxide Equivalent

80

40000 tons of Carbon Dioxide Equivalent

90

50000 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

20000 tons of Carbon Dioxide Equivalent

70

25000 tons of Carbon Dioxide Equivalent

80

40000 tons of Carbon Dioxide Equivalent

90

50000 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

20000 tons of Carbon Dioxide Equivalent

70

25000 tons of Carbon Dioxide Equivalent

80

40000 tons of Carbon Dioxide Equivalent

90

50000 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)

40000 tons of Carbon Dioxide Equivalent

50000 tons of Carbon Dioxide Equivalent

90000 tons of Carbon Dioxide Equivalent

100000 tons of Carbon Dioxide Equivalent

Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA)

20000 tons of Carbon Dioxide Equivalent

25000 tons of Carbon Dioxide Equivalent

40000 tons of Carbon Dioxide Equivalent

50000 tons of Carbon Dioxide Equivalent

Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER)

20000 tons of Carbon Dioxide Equivalent

25000 tons of Carbon Dioxide Equivalent

40000 tons of Carbon Dioxide Equivalent

50000 tons of Carbon Dioxide Equivalent

Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU)

20000 tons of Carbon Dioxide Equivalent

25000 tons of Carbon Dioxide Equivalent

40000 tons of Carbon Dioxide Equivalent

50000 tons of Carbon Dioxide Equivalent

Other Emission allowance derivatives

20000 tons of Carbon Dioxide Equivalent

25000 tons of Carbon Dioxide Equivalent

40000 tons of Carbon Dioxide Equivalent

50000 tons of Carbon Dioxide Equivalent