Commission Delegated Regulation (EU) 2023/945 of 17 January 2023 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2017/583 as regards certain transparency requirements applicable to transactions in non-equity instruments Text with EEA relevance

Commission Delegated Regulation (EU) 2023/945 of 17 January 2023 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2017/583 as regards certain transparency requirements applicable to transactions in non-equity instruments (Text with EEA relevance) THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012 OJ L 173, 12.6.2014, p. 84. , and in particular Article 9(5), third subparagraph, Article 11(4), third subparagraph, Article 14(7), third subparagraph, Article 21(5), third subparagraph, and Article 22(3), second subparagraph, thereof, Whereas: (1) Taking into consideration the experience acquired with the application of Commission Delegated Regulation (EU) 2017/583 Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (OJ L 87, 31.3.2017, p. 229). , the identification of inconsistent application of provisions that rely on whether or not a transaction is non-price forming and taking into account the changes in trading practices due to technological developments and adaptations of behaviour of market participants which allow information to be published with a shorter delay, it is necessary to amend certain provisions of that Delegated Regulation. (2) The concept of non-price forming transactions, which is relevant for the application of the exemption of post-trade transparency requirements for bilateral transactions, has been interpreted differently by entities under supervision, which has led to inconsistent publication of post-trade transparency information in accordance with Article 21 of Regulation (EU) No 600/2014 of the European Parliament and of the Council Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012 (OJ L 173, 12.6.2014, p. 84). . To improve the transparency, data quality and ultimately to facilitate data aggregation, it is necessary to simplify and clarify the reporting regime applicable to non-equity transactions. To avoid diverging interpretation, the various provisions that rely on the concept of non-price forming transactions in both Commission Delegated Regulation (EU) 2017/587 Commission Delegated Regulation (EU) 2017/587 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of shares, depositary receipts, exchange-traded funds, certificates and other similar financial instruments and on transaction execution obligations in respect of certain shares on a trading venue or by a systematic internaliser (OJ L 87, 31.3.2017, p. 387).

and Commission Delegated Regulation (EU) 2017/590 Commission Delegated Regulation (EU) 2017/590 of 28 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the reporting of transactions to competent authorities (OJ L 87, 31.3.2017, p. 449). , which deals with the reporting of transactions to competent authorities, should be aligned. Since the list of non-price forming transactions in Delegated Regulation (EU) 2017/590 contains all the transactions to be excluded from the reporting requirements, the separate transactions in Delegated Regulation (EU) 2017/587 should therefore be removed. (3) Market participants have been interpreting the pre-trade transparency requirements for hybrid trading systems differently, which has resulted in inconsistent pre-trade transparency disclosed by operators of such systems. Hybrid systems are systems which combine two or more trading systems. To ensure that those operators disclose appropriate pre-trade transparency information in a consistent manner across the Union, pre-trade transparency requirements should be introduced for hybrid trading systems which ensure that pre-trade transparency requirements are aligned with those of the individual systems of which the hybrid system consists. (4) In public reports on transactions in financial instruments certain key elements, such as price, quantity and notional amount have been expressed inconsistently. The expression of those elements should be in line with the market conventions in relation to the individual instruments. With regard to bonds, the price should be expressed in percentage, unless the market convention dictates that the price of a specific type of bond is expressed differently. For Credit Default Swaps the price should be expressed in basis points received by the seller of the credit protection. (5) Trades where several different bonds, or other financial instruments, are simultaneously sold to a single client, including counterparties, as a portfolio trade against a single price for the entire lot, are not recognisable as such in the public reports. Without accurate identification of such portfolio trades the public reports display several individual transactions against a price that does not reflect the market price. Therefore, it is necessary to add in Table 3 of Annex II to Delegated Regulation (EU) 2017/587 a flag for portfolio trades identifying such transactions. (6) Trading venues, approved publication arrangements (APAs) and investment firms have not interpreted the requirements related to the disclosure of post-trade transparency information to the public and the information to be provided to the European Securities and Markets Authority (ESMA) and competent authorities for the purpose of the transparency calculations consistently. As a result, such information is incomplete, inaccurate or inconsistent. This undermines the usability of such information and the quality and accuracy of the transparency calculations based on the submitted data. In order to promote the consistent application of the post-trade transparency requirements across the Union, it is necessary to further specify how details, such as price and notional amount, should be disclosed with regard to different financial instruments by trading venues, APAs and investment firms and for the reporting of reference data and quantitative data to ESMA and competent authorities.

(7) The liquidity of commodity derivatives varies significantly depending on the characteristics of the instruments. The format under which certain characteristics of commodity and freight derivatives are reported is currently not sufficiently specified in Delegated Regulation (EU) 2017/583. To achieve a consistent reporting of those characteristics and enhance data quality, those formats should rely on existing market standards and should be specified. (8) Delegated Regulation (EU) 2017/583 should therefore be amended accordingly. (9) To allow trading venues, APAs and investment firms to implement the required changes into their systems, certain amendments introduced by this Regulation should apply from 1 January 2024. In order to ensure legal certainty and continuity for transactions executed before 1 January 2024 but which are published or amended after that date, Article 12 of and Annex I, II and IV to Delegated Regulation (EU) 2017/583 as applicable on 31 December 2023 should continue to apply to transactions executed before 1 January 2024. (10) This Regulation is based on the draft regulatory technical standards submitted to the Commission by ESMA. (11) ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84). , HAS ADOPTED THIS REGULATION:

Article 1

Amendments to Delegated Regulation (EU) 2017/583 Delegated Regulation (EU) 2017/583 is amended as follows: (1) in Article 4, the following paragraph 4 is added: 4. For the purposes of paragraph 2, point (a), the size of orders held in an order management facility shall be measured by the notional amount of the traded contracts as referred to in Annex II, table 2, field 10.; (2) Article 12 is replaced by the following:

Article 12

Application of post-trade transparency to certain transactions executed outside a trading venue (Article 21(1) of Regulation (EU) No 600/2014) The obligations set out in Article 21(1) of Regulation (EU) No 600/2014 shall not apply to transactions listed in Article 2(5) of Commission Delegated Regulation (EU) 2017/590 Commission Delegated Regulation (EU) 2017/590 of 28 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the reporting of transactions to competent authorities (OJ L 87, 31.3.2017, p. 449).; . (3) Article 13 is amended as follows: (a) in paragraph 5, the following subparagraph is added:

The data referred to in the first subparagraph shall be collected in accordance with Annex V.; (b) paragraphs 17 and 18 are replaced by the following: 17. Competent authorities shall ensure the publication of the results of the calculations referred to under paragraph 5 for each financial instrument and class of financial instrument by 30 April of the year following the date of application of Regulation (EU) No 600/2014 and by 30 April of each year thereafter. The results of the calculations shall apply from the first Monday of June each year following publication until the day before the first Monday of June of the subsequent year. 18. For the purposes of the calculations referred to in paragraph 1, point (b)(i) and by way of derogation from paragraphs 7, 15 and 17, competent authorities shall, in respect of bonds except ETCs and ETNs, ensure the publication of the calculations referred to under paragraph 5, point (a) on a quarterly basis, on the first Monday of February, May, August and November following the date of application of Regulation (EU) No 600/2014 and on the first Monday of February, May, August and November each year thereafter. The calculations shall include transactions executed in the Union during the preceding calendar quarter and shall apply from the third Monday of February, May, August and November each year until the calculations of the subsequent quarterly period apply.; (4) Annex I is replaced by the text in Annex I to this Regulation; (5) Annex II is amended in accordance with Annex II to this Regulation; (6) Annex III is amended in accordance with Annex III to this Regulation; (7) Annex IV is amended in accordance with Annex IV to this Regulation; (8) The text set out in Annex V to this Regulation is added as Annex V.

Article 2

Transitional provision

Article 1, points (2), (4), (5), and (7) shall apply from 1 January 2024. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 17 January 2023. For the Commission The President Ursula VON DER LEYEN

Annex

ANNEX I

Annex

ANNEX I Description of the type of system and the related information to be made public in accordance with Article 2 Type of systemDescription of systemInformation to be made publicContinuous auction order book trading systemA system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis.For each financial instrument, the aggregate number of orders and the volume they represent at each price level, for at least the five best bid and offer price levels.Quote-driven trading systemA system where transactions are concluded on the basis of firm quotes that are continuously made available to participants, which requires the market makers to maintain quotes in a size that balances the needs of members and participants to deal in a commercial size and the risk to which the market maker exposes itself. For each financial instrument, the best bid and offer by price of each market maker in that instrument, together with the volumes attaching to those prices. The quotes made public shall be those that represent binding commitments to buy and sell the financial instruments and which indicate the price and volume of financial instruments in which the registered market makers are prepared to buy or sell. In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time. Periodic auction trading systemA system that matches orders on the basis of a periodic auction and a trading algorithm operated without human intervention.For each financial instrument, the price at which the auction trading system would best satisfy its trading algorithm and the volume that would potentially be executable at that price by participants in that system.Request-for-quote trading systemA trading system where a quote or quotes are provided in response to a request for a quote submitted by one or more other members or participants. The quote is executable exclusively by the requesting member or market participant. The requesting member or participant may conclude a transaction by accepting the quote or quotes provided to it on request.The quotes and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules. All submitted quotes in response to a request for quote may be published at the same time but not later than when they become executable.Voice trading systemA trading system where transactions between members are arranged through voice negotiation.The bids and offers and the attaching volumes from any member or participant which, if accepted, would lead to a transaction under the system's rules.

Hybrid trading systemA system falling into two or more of the types of trading systems referred to in rows 1 to 5 of this Table. For hybrid trading systems that combine different trading systems at the same time, the requirements correspond to the pre-trade trade transparency requirements applicable to each type of trading system that forms the hybrid system. For hybrid trading systems that combine two or more trading systems subsequently, the requirements correspond to the pre-trade transparency requirements applicable to the respective trading system operated at a particular point in time. Any other trading systemAny other type of trading system not covered by rows 1 to 6.Adequate information as to the level of orders or quotes and of trading interest; in particular, the five best bid and offer price levels and/or two-way quotes of each market maker in the instrument, if the characteristics of the price discovery mechanism so permit.

Annex

ANNEX II Annex II is amended as follows: (1) Table 2 is replaced by the following: Table 2 List of details for the purpose of post-trade transparency Commission Delegated Regulation (EU) 2017/574 of 7 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the level of accuracy of business clocks (OJ L 87, 31.3.2017, p. 148). Commission Delegated Regulation (EU) 2017/580 of 24 June 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the maintenance of relevant data relating to orders in financial instruments (OJ L 87, 31.3.2017, p. 193). Delegated Regulation (EU) No 148/2013 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories. Date and time when the transaction was executed. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Commission Delegated Regulation (EU) 2017/574. For transactions not executed on a trading venue, the date and time shall be when the parties agree the content of the following fields: quantity, price, currencies, as specified in fields 31, 34 and 44 of Table 2 of Annex I of Delegated Regulation (EU) 2017/590, instrument identification code, instrument classification and underlying instrument code, where applicable. For transactions not executed on a trading venue the time reported shall be granular to at least the nearest second. Where the transaction results from an order transmitted by the executing firm on behalf of a client to a third party where the conditions for transmission set out in Article 4 of Delegated Regulation (EU) 2017/590 were not satisfied, this shall be the date and time of the transaction rather than the time of the order transmission.

Regulated Market (RM) Multilateral Trading Facility (MTF), Organised Trading Facility (OTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP) {DATE_TIME_FORMAT}2Instrument identification codeFor all financial instrumentsCode used to identify the financial instrumentRM, MTF, OTF, APA, CTP{ISIN}.3PriceFor all financial instruments Traded price of the transaction excluding, where applicable, commission and accrued interest. The traded price shall be reported in accordance with standard market convention. The value provided in this field shall be consistent with the value provided in the field Price Notation. Where price is currently not available but pending (PNDG) or not applicable (NOAP), this field shall not be populated. RM, MTF, OTF, APA, CTP {DECIMAL-18/13} in case the price is expressed as monetary value {DECIMAL-11/10} in case the price is expressed as percentage or yield {DECIMAL-18/17} in case the price is expressed as basis points 4Missing PriceFor all financial instruments Where price is currently not available but pending, the value shall be PNDG. Where price is not applicable the value shall be NOAP. RM, MTF, OTF, APA, CTP PNDG in case the price is not available NOAP in case the price is not applicable 5Price currencyFor all financial instrumentsMajor currency in which the price is expressed (applicable if the price is expressed as monetary value).RM, MTF, OTF, APA, CTP{CURRENCYCODE_3}6Price notationFor all financial instruments Indication as to whether the price is expressed in monetary value, in percentage, in basis points or in yield The price notation shall be reported in accordance with standard market convention. For credit default swaps, this field shall be populated with BAPO. For bonds (other than ETNs and ETCs) this field shall be populated with percentage (PERC) of the notional amount. Where a price in percentage is not the standard market convention, it shall be populated with YIEL, BAPO or MONE, in accordance with the standard market convention. The value provided in this field shall be consistent with the value provided in the field Price. Where the price is reported in monetary terms, it shall be provided in the major currency unit. Where the price is currently not available but pending (PNDG) or not applicable (NOAP), this field shall not be populated. RM, MTF, OTF, APA, CTP MONE — Monetary value PERC — Percentage YIEL — Yield BAPO — Basis points 7QuantityFor all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation.For financial instruments traded in units, the number of units of the financial instrument. Empty otherwise.RM, MTF, OTF, APA, CTP{DECIMAL-18/17}8Quantity in measurement unitFor contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b) of this Regulation.The equivalent amount of commodity or emission allowance traded expressed in measurement unit.RM, MTF, OTF, APA, CTP{DECIMAL-18/17}9Notation of the quantity in measurement unitFor contracts designated in units in commodity derivatives, C10 derivatives, emission allowance derivatives and emission allowances except in the cases described under Article 11(1), points (a) and (b) of this RegulationIndication of the notation in which the quantity in measurement unit is expressed.RM, MTF, OTF, APA, CTP

TOCD — tonnes of carbon dioxide equivalent, for any contract related to emission allowances TONE — metric tonnes MWHO — megawatt hours MBTU — one million British thermal units THMS — Therms DAYS— days or {ALPHANUM-4} otherwise 10Notional amountFor all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation. This field shall be populated: (i) for bonds (excluding ETCs and ETNs), with the face value, which is the amount repaid at redemption to the investor; (ii) for ETCs and ETNs and securitised derivatives, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field; (iii) for structured finance products (SFPs), with the nominal value per unit multiplied by the number of instruments at the time of the transaction; (iv) for credit default swaps, with the notional amount for which the protection is acquired or disposed of; (v) for options, swaptions, swaps other than those in (iv), futures and forwards, with the notional amount of the contract; (vi) for emission allowances, with the resulting amount of the quantity at the relevant price set in the contract at the time of the transaction. Equivalently, with the price field multiplied by the quantity in measurement unit field; (vii) for spread bets, with the monetary value wagered per point movement in the underlying financial instrument at the time of the transaction; (viii) for contracts for difference, with the number of instruments exchanged between the buyers and sellers multiplied by the price of the instrument exchanged for that specific transaction. Equivalently, with the price field multiplied by the quantity field. RM, MTF, OTF, APA, CTP{DECIMAL-18/5} 11Notional currencyFor all financial instruments except in the cases described under Article 11(1), points (a) and (b) of this Regulation. Major currency in which the notional amount is denominated. In the case of an FX derivative contract or a multi-currency swap or a swaption where the underlying swap is multi-currency or a currency CFD or spread-betting contract, this will be the notional currency of leg 1. RM, MTF, OTF, APA, CTP{CURRENCYCODE_3}12TypeFor emission allowances and emission allowance derivatives onlyThis field is only applicable for emission allowances and emission allowance derivatives.RM, MTF, OTF, APA, CTP EUAE — EUA CERE — CER ERUE — ERU EUAA — EUAA OTHR — Other 13Venue of executionFor all financial instruments Identification of the venue where the transaction was executed. Use the ISO 10383 segment MIC for transactions executed on an EU trading venue. Where the segment MIC does not exist, use the operating MIC. Use SINT for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is executed on a Systematic Internaliser. Use MIC code XOFF for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is neither executed on an EU trading venue nor executed by a systematic internaliser. If the transaction is executed on an organised trading platform outside of the EU then in addition to XOFF also the population of the field Third-country trading venue of execution is required.

RM, MTF, OTF, APA, CTP {MIC} – EU trading venues or SINT — systematic internaliser XOFF — otherwise 14Third-country trading venue of executionFor all financial instruments Identification of the third-country trading venue where the transaction was executed. Use the ISO 10383 segment MIC. Where the segment MIC does not exist, use the operating MIC. Where the transaction is not executed on a third-country trading venue, the field shall not be populated. APA, CTP{MIC}15Publication Date and TimeFor all financial instruments Date and time when the transaction was published by a trading venue or APA. For transactions executed on a trading venue, the level of granularity shall be in accordance with the requirements set out in Article 2 of Delegated Regulation (EU) 2017/574. For transactions not executed on a trading venue, the time reported shall be granular to at least the nearest second. RM, MTF, OTF, APA, CTP{DATE_TIME_FORMAT}16Venue of publicationFor all financial instrumentsCode used to identify the trading venue and APA publishing the transaction.CTP Trading venue: {MIC} APA: {MIC} where available. Otherwise, 4 character code as published in the list of data reporting services providers on ESMA's website. 17Transaction Identification CodeFor all financial instruments Alphanumerical code assigned by trading venues (pursuant to Article 12 of Commission Delegated Regulation (EU) 2017/580) and APAs and used in any subsequent reference to the specific trade. The transaction identification code shall be unique, consistent and persistent per ISO 10383 segment MIC and per trading day. Where the trading venue does not use segment MICs, the transaction identification code shall be unique, consistent and persistent per operating MIC per trading day. Where the APA does not use MICs, it shall be unique, consistent and persistent per 4-character code used to identify the APA per trading day. The components of the transaction identification code shall not disclose the identity of the counterparties to the transaction for which the code is maintained RM, MTF, OTF, APA, CTP{ALPHANUMERICAL-52} 18Transaction to be clearedFor derivativesCode to identify whether the transaction will be cleared.RM,MTF, OTF, APA, CTP TRUE — transaction to be cleared FALSE — transaction not to be cleared (2) Table 3 is replaced by the following: Table 3 List of flags for the purpose of post-trade transparency FlagNameType of execution or publication venueDescriptionBENCBenchmark transaction flagRM, MTF, OTF, APA, CTPTransactions executed in reference to a price that is calculated over multiple time instances according to a given benchmark, such as volume-weighted average price or time-weighted average price.ACTXAgency cross transaction flagAPA, CTPTransactions where an investment firm has brought together two clients’ orders with the purchase and the sale conducted as one transaction and involving the same volume and price.NPFTNon-price forming transaction flagRM, MTF, OTF, CTPNon-price forming transactions as set out in Article 2(5) of Delegated Regulation (EU) 2017/590.

LRGSPost-trade LIS transaction flag RM, MTF, OTF APA CTP Transactions executed under the post-trade large in scale deferral.ILQDIlliquid instrument transaction flagRM, MTF, OTF, APA, CTPTransactions executed under the deferral for instruments for which there is not a liquid market.SIZEPost-trade SSTI transaction flag RM, MTF, OTF APA, CTP Transactions executed under the post-trade size specific to the instrument deferral.TPACPackage transaction flagRM, MTF, OTF, APA, CTPPackage transactions which are not exchange for physicals as defined in Article 1.XFPHExchange for physicals transaction flagRM, MTF, OTF, APA, CTPExchange for physicals as defined in Article 1.CANCCancellation flagRM, MTF, APA, CTPWhen a previously published transaction is cancelled.AMNDAmendment flagRM, MTF, APA, CTPWhen a previously published transaction is amended.PORTPortfolio trade flagRM, MTF, APA, CTPTransaction in five or more different financial instruments where those transactions are traded at the same time by the same client and against a single lot price and that is not a package transaction as referred to in Article 1(1).SUPPLEMENTARY DEFERRAL FLAGSArticle 11(1)(a)(i).LMTFLimited details flagRM, MTF, OTF, APA, CTPFirst report with publication of limited details in accordance with Article 11(1), point (a)(i).FULFFull details flagTransaction for which limited details have been previously published in accordance with Article 11(1), point (a)(i).Article 11(1)(a)(ii).DATFDaily aggregated transaction flagRM, MTF, OTF, APA, CTPPublication of daily aggregated transaction in accordance with Article 11(1), point (a)(ii).FULAFull details flagRM, MTF, OTF, APA, CTPIndividual transactions for which aggregated details have been previously published in accordance with Article 11(1), point (a)(ii).

Article 11(1)(b)VOLOVolume omission flagRM, MTF, OTF, APA, CTPTransaction for which limited details are published in accordance with Article 11(1), point (b).FULVFull details flagRM, MTF, OTF, APA, CTPTransaction for which limited details have been previously published in accordance with Article 11(1), point (b)Article 11(1)(c)FWAFFour weeks aggregation flagRM, MTF, OTF, APA, CTPPublication of aggregated transactions in accordance with Article 11(1), point (c).FULJFull details flagRM, MTF, OTF, APA, CTPIndividual transactions which have previously benefited from aggregated publication in accordance with Article 11(1), point (c).Article 11(1)(d)IDAFIndefinite aggregation flagRM, MTF, OTF, APA, CTPTransactions for which the publication of several transactions in aggregated form for an in definite period of time has been allowed in accordance with Article 11(1), point (d).Consecutive use of Article 11(1)(b) and Article 11(2)(c) for sovereign debt instrumentsVOLWVolume omission flagRM, MTF, OTF, APA, CTPTransaction for which limited are published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time will be consecutively allowed in accordance with Article 11(2), point (c).COAFConsecutive aggregation flag (post volume omission for sovereign debt instruments)RM, MTF, OTF, APA, CTPTransactions for which limited details have been previously published in accordance with Article 11(1)(b) and for which the publication of several transactions in aggregated form for an indefinite period of time has consecutively been allowed in accordance with Article 11(2), point (c). (3) Table 4 is replaced by the following: Table 4 Measure of volume Type of instrumentVolumeAll bonds except ETCs and ETNs and structured finance productsNotional amount of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.ETCs and ETNs bond typesNotional amount of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.Securitised derivativesNotional amount of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.Interest rate derivativesNotional amount of the traded contract as per field 10 of Table 2 of Annex II of this Regulation. Foreign Exchange DerivativesNotional amount of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.Equity derivativesNotional amount of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.Commodity derivativesNotional amount of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.Credit derivativesNotional amount of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.Contract for differencesNotional amount of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.C10 derivativesNotional amount of the traded contract as per field 10 of Table 2 of Annex II of this Regulation.Emission allowance derivativesQuantity in measurement unit as per field 8 of Table 2 of Annex II of this Regulation.Emission allowancesQuantity in measurement unit as per field 8 of Table 2 of Annex II of this Regulation.

Annex

ANNEX III Annex III is amended as follows: (1) in part 1, point 13 is replaced by the following: 13. Swaption or Option on a swap means a contract that gives the owner the right, but not the obligation, to enter a swap at or up to a certain future date or exercise date.; (2) Table 2.2 is replaced by the following: Table 2.2 Bonds (all bond types except ETCs and ETNs) — classes not having a liquid market Council Regulation (EC) No 2157/2001 of 8 October 2001 on the Statute for a European company (SE) (OJ L 294, 10.11.2001, p. 1). Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19). Asset class — Bonds (all bond types except ETCs and ETNs)Each individual bond shall be determined not to have a liquid market as per Article 13(18) if it is characterised by a specific combination of bond type and issuance size as specified in each row of the table.Bond TypeIssuance size - RTS23#14 Sovereign Bond RTS2#3 = BOND and RTS2#9 = EUSB means a bond which is neither a convertible nor a covered bond and is issued by a sovereign issuer: (a) the Union; (b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) a sovereign entity which is not listed under points (a) and (b). smaller than (in EUR)1000000000 Other Public Bond RTS2#3 = BOND and RTS2#9 = OEPB means a bond which is neither a convertible nor a covered bond and is issued by any of the following public issuers: (a) in the case of a federal Member State, a member of that federation; (b) a special purpose vehicle for several Member States; (c) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems; (d) the European Investment Bank; (e) a public entity which is not an issuer of a sovereign bond as specified in the previous row. smaller than (in EUR)500000000 Convertible Bond RTS2#3 = BOND and RTS2#9 = CVTB means an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equitysmaller than (in EUR)500000000 Covered Bond RTS2#3 = BOND and RTS2#9 = CVDB means bonds as referred to in Article 52(4) of Directive 2009/65/ECduring stages S1 and S2during stages S3 and S4smaller than (in EUR)1000000000smaller than (in EUR)500000000 Corporate Bond RTS2#3 = BOND and RTS2#9 = CRPB means a bond which is neither a convertible nor a covered bond and that is issued by a Societas Europaea established in accordance with Council Regulation (EC) No 2157/2001 or a type of company listed in Annex I or Annex II of Directive 2013/34/EU of the European Parliament and of the Council or equivalent in third countriesduring stages S1 and S2during stages S3 and S4smaller than (in EUR)1000000000smaller than (in EUR)500000000Bond TypeFor the purpose of the determination of the financial instruments considered not to have a liquid market as per Article 13(18), the following methodology shall be applied

Other Bond RTS2#3 = BOND and RTS2#9 = OTHR A bond that does not belong to any of the above bond types is considered not to have a liquid market (3) Table 2.4 is replaced by the following: Table 2.4 Bonds (ETC and ETN bond types) — classes not having a liquid market Bond typeEach 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) - RTS2#3 = ETCS a debt instrument issued against a direct investment by the issuer in commodities or commodities derivative contracts. The price of an ETC is directly or indirectly linked to the performance of the underlying. An ETC passively tracks the performance of the commodity or commodity indices to which it refers. EUR 50000010 Exchange Traded Notes (ETNs) - RTS2#3 = ETNS a debt instrument issued against a direct investment by the issuer in the underlying or underlying derivative contracts. The price of an ETN is directly or indirectly linked to the performance of the underlying. An ETN passively tracks the performance of the underlying to which it refers. EUR 50000010 (4) Table 3.1 is replaced by the following: Table 3.1 SFPs — classes not having a liquid market Asset class – Structured Finance Products (SFPs)Test 1 – SFPs asset-class assessmentSFPs asset-class assessment for the purpose of the determination of the financial instruments considered not to have a liquid market as per Articles 6 and 8(1), point (b) – RTS2#3 = SFPSTransactions to be considered for the calculations of the values related to the quantitative liquidity criteria for the purpose of the SFPs asset-class assessmentThe SFPs asset-class shall be assessed by application of the following thresholds of the quan- titative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Transactions executed in all SFPsEUR 300000000500Test 2 — SFPs not having a liquid marketIf the values related to the quantitative liquidity criteria are both above the quantitative liquidity thresholds set for the purpose of the SFPs asset-class assessment, then Test 1 is passed and Test-2 shall be performed. Each individual financial instrument shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Percentage of days traded over the period considered [quantitative liquidity criteria 3] EUR 100000280 % (5) Table 4.1 is replaced by the following: Table 4.1 Securitised derivatives — classes not having a liquid market

Asset class – Securitised Derivativesmeans a transferable security as defined in Article 4(1)(44)(c) of Directive 2014/65/EU different from structured finance products and shall include at least: (a.1) plain vanilla covered warrants which mean securities issued by a financial institution giving the holder the right, but not the obligation, to (a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or (b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer; (a.2) warrants which mean securities issued by the same issuer of the underlying asset giving the holder the right, but not the obligation, to (a) purchase, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price or, in case cash settlement has been fixed, receive the payment of the positive difference between the current market price and the strike price from the seller; or (b) sell, at or by the expiry date, a specific amount of the underlying asset at a predetermined strike price, or in case cash settlement has been fixed, receive the payment of the positive difference between the strike price and the current market price from the buyer; (b) leverage certificates means certificates that track the performance of the underlying asset with leverage effect; (c) exotic covered warrants means covered warrants whose main component is a combination of options; (d) negotiable rights whose underlying is a non-equity instrument; (e) investment certificates means certificates that track the performance of the underlying asset without leverage effect. RTS2#3 = SDRVFor 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 appliedall securitised derivatives are considered to have a liquid market; (6) Table 5.1 is replaced by the following: Table 5.1 Interest rate derivatives — classes not having a liquid market Asset class – Interest Rate Derivativesany contract as defined in Annex I, Section C(4) of Directive 2014/65/EU whose ultimate underlying is an interest rate, a bond, a loan, any basket, portfolio or index including an interest rate, a bond, a loan or any other product representing the performance of an interest rate, a bond, a loan.Sub-asset classFor 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 belowEach sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1), point (b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied

Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Additional qualitative liquidity criterion Bond futures/forwards / Future on a bond future / Forward on a bond future Future on a bond RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = BOND or Forward on a bond RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FORW RTS2#16 = BOND or Future on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = BNFD or Forward on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FORW RTS2#16 = BNFD a bond future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#17) — issuer of the underlying Segmentation criterion 2 (RTS2#18) — term of the underlying deliverable bond defined as follows: Short-term: the underlying deliverable bond with a term up to 4 years shall be considered to have a short-term Medium-term: the underlying deliverable bond with a term between 4 and 8 years shall be considered to have a medium-term Long-term: the underlying deliverable bond with a term between 8 and 15 years shall be considered to have a long- term Ultra-long-term: the underlying deliverable bond with a term longer than 15 years shall be considered to have an ultra-long-term Segmentation criterion 3 — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 500000010whenever a sub-class is determined to have a liquid market with respect to a specific time to maturity bucket and the sub-class defined by the next time to maturity bucket is determined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month Bond Option / Option on a bond option / Option on a bond future Bond Option Option on a bond option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BOND or Option on a bond option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BOND or Option on a bond future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = BNFD a bond option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#22) — ultimate underlying bond Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 500000010 IR futures and FRA/ Future on an interest rate future/ Forward rate agreement on an interest rate future

Future on an interest rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = INTR or Forward rate agreement RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FRAS RTS2#16 = INTR or Future on an interest rate future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FUTR RTS2#16 = IFUT or Forward rate agreement on an interest rate future RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = FRAS RTS2#16 = IFUT an interest rate future sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#24) — underlying interest rate Segmentation criterion 2 (RTS2#25) — term of the underlying interest rate Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 50000000010whenever a sub-class is de- termined to have a liquid market with respect to a specific time to maturity bucket and the sub-class de- fined by the next time to maturity bucket is deter- mined not to have a liquid market, the first back month contract is determined to have a liquid market 2 weeks before expiration of the front month IR options /Option on an interest rate future/FRA /Option on an interest rate option /Option on an option on an interest rate future/FRA Option on an interest rate future/FRA//'Option on an interest rate option RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = IFUT or IR Option //'Option on an option on an interest rate future/FRA RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OPTN RTS2#16 = INTR an interest rate option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#24) —underlying interest rate Segmentation criterion 2 (RTS2#25) — term of the underlying interest rate Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 50000000010 Swaptions RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWPT a swaption sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#16) — underlying swap type defined as follows: fixed-to-fixed single currency swap, futures/forwards on fixed-to-fixed single currency swap [RTS2#16 = XXSC] fixed-to-float single currency swap, futures/forwards on fixed-to-float single currency swap [RTS2#16 = XFSC] float-to-float single currency swap, futures/forwards on float-to-float single currency swap [RTS2#16 = FFSC] inflation single currency swap, futures/forwards on inflation single currency swap [RTS2#16 = IFSC]

OIS single currency swap, futures/for- wards on OIS single currency swap [RTS2#16 = OSSC] fixed-to-fixed multi-currency swap, futures/forwards on fixed-to-fixed multi-currency swap [RTS2#16 = XXMC] fixed-to-float multi-currency swap, futures/forwards on fixed-to-float multi-currency swap [RTS2#16 = XFMC] float-to-float multi-currency swap, futures/forwards on float-to-float multi-currency swap [RTS2#16 = FFMC] inflation multi-currency swap, futures/forwards on inflation multi-currency swap [RTS2#16 = IFMC] OIS multi-currency swap, futures/forwards on OIS multi-currency swap [RTS2#16 = OSMC] Segmentation criterion 2 (RTS2#20) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 3 (RTS2#22 or RTS2#23) — inflation index if the underlying swap type is either an inflation single currency swap or an inflation multi-currency swap Segmentation criterion 4 (RTS2#21) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Segmentation criterion 5 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 6 months Maturity bucket 2: 6 months < time to maturity ≤ 1 year Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 4: 2 years < time to maturity ≤ 5 years Maturity bucket 5: 5 years < time to maturity ≤ 10 years Maturity bucket 6: over 10 years EUR 50000000010 Fixed-to-Float multi-currency swaps or cross-currency swaps and futures/forwards/ options on Fixed-to-Float multi-currency swaps or cross-currency swaps a swap or a future/forward/option on a swap where two parties exchange cash flows denominated in different currencies and the cash flows of one leg are determined by a fixed interest rate and the cash flows of the other leg are determined by a floating interest rate. RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XFMC a fixed-to-float multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < maturity ≤ 1 month Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years

EUR 5000000010 Float-to-Float multi-currency swaps or cross-currency swaps and futures/forwards/ options on Float-to-Float multi-currency swaps or cross-currency swaps a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of both legs are determined by floating interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = FFMC a float-to-float multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < maturity ≤ 1 month Maturity bucket 2: 1 month < maturity ≤ 3 months Maturity bucket 3: 3 months < maturity ≤ 6 months Maturity bucket 4: 6 months < maturity ≤ 1 year Maturity bucket 5: 1 year < maturity ≤ 2 years Maturity bucket 6: 2 years < maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5000000010 Fixed-to-Fixed multi-currency swaps or cross-currency swaps and futures/forwards/ options on Fixed-to-Fixed multi-currency swaps or cross-currency swaps a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of both legs are determined by fixed interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XXMC a fixed-to-fixed multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5000000010 Overnight Index Swap (OIS) multi-currency swaps or cross-currency swaps and futures/forwards/options on Over- night Index Swap (OIS) multi-currency swaps or cross-currency swaps a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an Overnight Index Swap (OIS) rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = OSMC an overnight index swap (OIS) multi-currency sub-class is de- fined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated

Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5000000010 Inflation multi-currency swaps or cross-currency swaps and futures/forwards/ options on Inflation multi-currency swaps or cross-currency swaps a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in different currencies and where the cash flows of at least one leg are determined by an inflation rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = IFMC an inflation multi-currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#42) — notional currency pair defined as combination of the two currencies in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5000000010 Fixed-to-Float single currency swaps and futures/forwards/ options on Fixed-to-Float single currency swaps a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and the cash flows of one leg are deter- mined by a fixed interest rate while those of the other leg are determined by a floating interest rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XFSC a fixed-to-float single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8)— time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5000000010 Float-to-Float single currency swaps and futures/forwards/ options on Float-to-Float single currency swaps a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of both legs are determined by floating interest rates

RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = FFSC a float-to-float single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5000000010 Fixed-to-Fixed single currency swaps and futures/forwards/ options on Fixed-to-Fixed single currency swaps a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of both legs are determined by fixed interest rates RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = XXSC a fixed-to-fixed single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5000000010 Overnight Index Swap (OIS) single currency swaps and futures/forwards/ options on Over- night Index Swap (OIS) single currency swaps a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an Over- night Index Swap (OIS) rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = OSSC an overnight index swap (OIS) single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5000000010

Inflation single currency swaps and futures/forwards/ options on Inflation single currency swaps a swap or a future/forward/option on a swap where two parties ex- change cash flows denominated in the same currency and where the cash flows of at least one leg are determined by an inflation rate RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = SWAP or FONS or FWOS or OPTS RTS2#16 = IFSC an inflation single currency sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13) — notional currency in which the two legs of the swap are denominated Segmentation criterion 2 (RTS2#8)— time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5000000010 Asset class — Interest Rate DerivativesSub-asset classFor the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b), the following methodology shall be applied Other Interest Rate Derivatives an interest rate derivative that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#4 = INTR RTS2#5 = OTHR any other interest rate derivative is considered not to have a liquid market (7) Table 6.1 is replaced by the following: Table 6.1 Equity derivatives — classes not having a liquid market Asset class – Equity Derivatives any contract as defined Annex I, Section C(4) of Directive 2014/65/EU related to: (a) one or more shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments; (b) an index of shares, depositary receipts, ETFs, certificates, other similar financial instruments, cash-flows or other products related to the performance of one or more shares, depositary receipts, ETFs, certificates, or other similar financial instruments Sub-asset classFor the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Stock index options an option whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = STIX RTS23#26 or if null RTS23#28 all index options are considered to have a liquid market Stock index futures/forwards a future/forward whose underlying is an index composed of shares RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = STIX RTS23#26 or if null RTS23#28 all index futures/forwards are considered to have a liquid market Stock options an option whose underlying is a share or a basket of shares resulting from a corporate action

RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = SHRS RTS23#26 or if null RTS23#28 all stock options are considered to have a liquid market Stock futures/forwards a future/forward whose underlying is a share or a basket of shares resulting from a corporate action RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = SHRS RTS23#26 or if null RTS23#28 all stock futures/forwards are considered to have a liquid market Stock dividend options an option on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DVSE RTS23#26 or if null RTS23#28 all stock dividend options are considered to have a liquid market Stock dividend futures/forwards a future/forward on the dividend of a specific share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DVSE RTS23#26 or if null RTS23#28 all stock dividend futures/forwards are considered to have a liquid market Dividend index options an option on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = DIVI RTS23#26 or if null RTS23#28 all dividend index options are considered to have a liquid market Dividend index futures/forwards a future/forward on an index composed of dividends of more than one share RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = DIVI RTS23#26 or if null RTS23#28 all dividend index futures/forwards are considered to have a liquid market Volatility index options an option whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = VOLI RTS23#26 or if null RTS23#28 all volatility index options are considered to have a liquid market Volatility index futures/forwards a future/forward whose underlying is a volatility index defined as an index relating to the volatility of a specific underlying index of equity instruments RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = VOLI RTS23#26 or if null RTS23#28 all volatility index futures/forwards are considered to have a liquid market ETF options an option whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = OPTN RTS2#27 = ETFS RTS23#26 or if null RTS23#28 all ETF options are considered to have a liquid market ETF futures/forwards a future/forward whose underlying is an ETF RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = FUTR or FORW RTS2#27 = ETFS RTS23#26 or if null RTS23#28 all ETF futures/forwards are considered to have a liquid market Sub-asset classFor the purpose of the determination of the classes of financial instruments considered not to have a liquid mar- ket as per Articles 6 and 8(1)(b), each sub-asset class shall be further segmented into sub-classes as defined belowEach sub-class shall be determined not to have a li- quid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily notional amount (ADNA)

[quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = SWAP a swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket Segmentation criterion 2 RTS23#26 or if null RTS23#28) — underlying single name, index, basket Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap defined as follows: EUR 50000000Price return basic performance para- meterParameter return variance/volatilityParameter return dividendMaturity bucket 1: 0 < time to maturity ≤ 1 monthMaturity bucket 1: 0 < time to maturity ≤ 3 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 3 monthsMaturity bucket 2: 3 months < time to maturity ≤ 6 monthsMaturity bucket 2: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 3 months < time to maturity ≤ 6 monthsMaturity bucket 3: 6 months < time to maturity ≤ 1 yearMaturity bucket 3: 2 years < time to maturity ≤ 3 yearsMaturity bucket 4: 6 months < time to maturity ≤ 1 yearMaturity bucket 4: 1 year < time to maturity ≤ 2 years… Maturity bucket 5: 1 year < time to maturity ≤ 2 yearsMaturity bucket 5: 2 years < time to maturity ≤ 3 yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket 6: 2 years < time to maturity ≤ 3 years……Maturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n years Portfolio Swaps RTS2#3 = DERV RTS2#4 = EQUI’ RTS2#5 = PSWP a portfolio swap sub-class is defined by a specific combination of: Segmentation criterion 1 (RTS2#27) — underlying type: single name, index, basket Segmentation criterion 2 (RTS23#26 or if null RTS23#28) — underlying single name, index, basket Segmentation criterion 3 (RTS2#28) — parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the portfolio swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 1 year Maturity bucket 5: 1 year < time to maturity ≤ 2 years Maturity bucket 6: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 5000000015 Sub-asset classFor the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Other equity derivatives an equity derivative that does not belong to any of the above sub-asset classes

RTS2#3 = DERV RTS2#4 = EQUI RTS2#5 = OTHR’ any other equity derivative is considered not to have a liquid market (8) Table 7.1 is replaced by the following: Table 7.1 Commodity derivatives – classes not having a liquid market Asset class — Commodity DerivativesSub-asset classFor 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 belowEach sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Metal commodity futures/forwards RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = METL and [RTS2#5 = FUTR or FORW] a metal commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the future/forward defined as follows: EUR 1000000010Precious metalsNon-precious metalsMaturity bucket 1: 0 < time to maturity ≤ 3 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 yearMaturity bucket 2: 3 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity 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 yearsMaturity bucket m: (n-1) years < time to maturity ≤ n years Metal commodity options RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = METL and RTS2#5 = OPTN a metal commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the option defined as follows: EUR 1000000010Precious metalsNon-precious metalsMaturity bucket 1: 0 < time to maturity ≤ 3 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 yearMaturity bucket 2: 3 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 2 years < time to maturity ≤ 3 yearsMaturity bucket 4: 2 years < time to maturity ≤ 3 years……Maturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n years

Metal commodity swaps RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = METL and RTS2#5 = SWAP a metal commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — metal type: precious metal, non-precious metal Segmentation criterion 2 (RTS23#37) — underlying metal Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 5 (RTS2#8) — time to maturity bucket of the swap defined as follows: EUR 1000000010Precious metalsNon-precious metalsMaturity bucket 1: 0 < time to maturity ≤ 3 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 3 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 2 years < time to maturity ≤ 3 yearsMaturity bucket 4: 2 years < time to maturity ≤ 3 years……Maturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n years Energy commodity futures/forwards RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = NRGY and [RTS2#5 = FUTR or FORW] an energy commodity future/forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter energy Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 4 — [deleted] Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the future/forward defined as follows: EUR 1000000010 Oil/ Distillates/ Light endsCoalNatural Gas/Electricity/Inter-energyMaturity bucket 1: 0 < time to maturity ≤ 4 monthsMaturity bucket 1: 0 < time to maturity ≤ 6 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 monthMaturity bucket 2: 4 months < time to maturity ≤ 8 monthsMaturity bucket 2: 6 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 1 yearMaturity bucket 3: 8 months < time to maturity ≤ 1 yearMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 4: 1 year < time to maturity ≤ 2 years………Maturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n years Energy commodity options RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = NRGY and RTS2#5 = OPTN an energy commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy

Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 4 — [deleted] Segmentation criterion 5 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the option defined as follows: EUR 1000000010Oil/Distillates/Light endsCoalNatural Gas/Electricity/Inter-energyMaturity bucket 1: 0 < time to maturity ≤ 4 monthsMaturity bucket 1: 0 < time to maturity ≤ 6 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 monthMaturity bucket 2: 4 months < time to maturity ≤ 8 monthsMaturity bucket 2: 6 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 1 yearMaturity bucket 3: 8 months < time to maturity ≤ 1 yearMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity 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 yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n years Energy commodity swaps RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = NRGY and RTS2#5 = SWAP an energy commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36) — energy type: oil, distillates, coal, light ends, natural gas, electricity, inter-energy Segmentation criterion 2 (RTS23#37) — underlying energy Segmentation criterion 3 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 4 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 5 — [deleted] Segmentation criterion 6 (RTS2#14) — delivery/cash settlement location applicable to all energy types Segmentation criterion 7 (RTS2#8) — time to maturity bucket of the swap defined as follows: EUR 1000000010 Oil/Distillates/Light endsCoalNatural Gas/'Electricity/Inter-energyMaturity bucket 1: 0 < time to maturity ≤ 4 monthsMaturity bucket 1: 0 < time to maturity ≤ 6 monthsMaturity bucket 1: 0 < time to maturity ≤ 1 monthMaturity bucket 2: 4 months < time to maturity ≤ 8 monthsMaturity bucket 2: 6 months < time to maturity ≤ 1 yearMaturity bucket 2: 1 month < time to maturity ≤ 1 yearMaturity bucket 3: 8 months < time to maturity ≤ 1 yearMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 3: 1 year < time to maturity ≤ 2 yearsMaturity bucket 4: 1 year < time to maturity ≤ 2 years………Maturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n yearsMaturity bucket m: (n-1) years < time to maturity ≤ n years Agricultural commodity futures/forwards RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = AGRI and [RTS2#5 = FUTR or FORW] an agricultural commodity future/forward sub-class is defined by the following segmentation criteria:

Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the future/forward is denominated Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the future/forward defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 1000000010 Agricultural commodity options RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = AGRI and RTS2#5 = OPTN an agricultural commodity option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the option is denominated Segmentation criterion 3 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 1000000010 Agricultural commodity swaps RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = AGRI and RTS2#5 = SWAP an agricultural commodity swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#36 and RTS23#37) — underlying agricultural commodity (sub-product and further sub product) Segmentation criterion 2 (RTS2#15) — notional currency defined as the currency in which the notional amount of the swap is denominated Segmentation criterion 3 (RTS23#34) —delivery type defined as cash, physical or optional Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 3 months Maturity bucket 2: 3 months < time to maturity ≤ 6 months Maturity bucket 3: 6 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 1000000010 Sub-asset classFor 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 appliedOther commodity derivativesa commodity derivative that does not belong to any of the above sub-asset classesany other commodity derivative is considered not to have a liquid market (9) Table 8.1 is replaced by the following: Table 8.1 Foreign exchange derivatives – classes not having a liquid market Asset class — Foreign Exchange Derivativesa financial instrument relating to currencies as defined in Section C(4) of Annex I of Directive 2014/65/EUSub-asset classFor 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 belowEach sub-class shall be determined not to have a liquid market as per Arti- cles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria

Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Non-deliverable forward (NDF) means a forward that, by its terms, is cash- settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as be- tween the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the con- tract. RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = FORW RTS2#26 = NDLV a non-deliverable FX forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the forward defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Non-deliverable forward (NDF) are considered not to have a liquid market Deliverable forward (DF) means a forward that solely involves the ex- change of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = FORW RTS2#26 = DLVB a deliverable FX forward sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8)— time to maturity bucket of the forward defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Deliverable forward (DF) are considered not to have a liquid market Non-Deliverable FX options (NDO) means an option that, by its terms, is cash- settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as be- tween the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the con- tract.

RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = OPTN RTS2#26 = NDLV a non-deliverable FX option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Non-Deliverable FX options (NDO) are considered not to have a liquid market Deliverable FX options (DO) means an option that solely involves the ex- change of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = OPTN RTS2#26 = DLVB a deliverable FX option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47)— underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Deliverable FX options (DO) are considered not to have a liquid market Non-Deliverable FX swaps (NDS) means a swap that, by its terms, is cash-settled between its counterparties, where the settlement amount is determined by the difference in the exchange rate of two currencies as between the trade date and the valuation date. On the settlement date, one party will owe the other party the net difference between (i) the exchange rate set at the trade date; and (ii) the exchange rate on the valuation date, based upon the notional amount, with such net amount payable in the settlement currency stipulated in the contract. RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = SWAP RTS2#26 = NDLV a non-deliverable FX swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years

Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Non-Deliverable FX swaps (NDS) are considered not to have a liquid market Deliverable FX swaps (DS) means a swap that solely involves the exchange of two different currencies on a specific future contracted settlement date at a fixed rate agreed upon on the inception of the contract covering the exchange. RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = SWAP RTS2#26 = DLVB a deliverable FX swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the swap defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years Deliverable FX swaps (DS) are considered not to have a liquid market FX futures RTS2#3 = DERV RTS2#4 = CURR’ RTS2#5 = FUTR an FX future sub-class is defined by the following seg- mentation criteria: Segmentation criterion 1 (RTS23#13 and RTS23#47) — underlying currency pair defined as combination of the two currencies underlying the derivative contract Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the future defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 week Maturity bucket 2: 1 week < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 1 year Maturity bucket 4: 1 year < time to maturity ≤ 2 years Maturity bucket 5: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years FX futures are considered not to have a liquid marketAsset class — Foreign Exchange DerivativesSub-asset classFor the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Other Foreign Exchange Derivatives an FX derivative that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#4 = CURR RTS2#5 = OTHR any other FX derivative is considered not to have a liquid market (10) Tables 9.1, 9.2 and 9.3 are replaced by the following: Table 9.1 Credit derivatives — classes not having a liquid market Asset class — Credit DerivativesSub-asset classFor 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 belowEach sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria. For sub-classes determined to have a liquid market the additional qualitative liquidity criterion, where applicable, shall be applied

Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] On-the-run status of the index [Additional qualitative liquidity criterion] Index credit default swap (CDS) a swap whose exchange of cash flows is linked to the creditworthiness of several issuers of financial instruments composing an index and the occurrence of credit events RTS2#3 = DERV RTS2#4 = CRDT an index credit default swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#34) — underlying index Segmentation criterion 2 (RTS2#42) — notional currency defined as the currency in which the notional amount of the derivative is denominated Segmentation criterion 3 ( RTS2#8)— time to maturity bucket of the CDS defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 20000000010 The underlying index is considered to have a liquid market: (1) during the whole period of its on-the-run status (2) for the first 30 working days of its 1x off-the-run status on-the-run index means the rolling most recent version (series) of the index created on the date on which the composition of the index is effective and ending one day prior to the date on which the composition of the next version (series) of the index is effective. 1x off-the-run status means the version (series) of the index which is immediately prior to the cur- rent on-the-run version (series) at a certain point in time. A version (series) ceases being on-the-run and acquires its 1x off-the-run status when the latest version (series) of the index is created. Single name credit de- fault swap (CDS) a swap whose exchange of cash flows is linked to the creditworthiness of one issuer of financial instruments and the occurrence of credit events RTS2#3 = DERV RTS2#4 = CRDT a single name credit default swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#41) — underlying reference entity Segmentation criterion 2 (RTS2#39) — underlying reference entity type defined as follows: Issuer of sovereign and public type means an issuer entity which is either: (a) the Union; (b) a Member State including a government department, an agency or a special purpose vehicle of a Member State; (c) a sovereign entity which is not listed under points (a) and (b); (d) in the case of a federal Member State, a member of that federation; (e) a special purpose vehicle for several Member States; (f) an international financial institution established by two or more Member States which have the purpose of mobilising funding and providing financial assistance to the benefit of its members that are experiencing or are threatened by severe financial problems; (g) the European Investment Bank; (h) a public entity which is not a sovereign issuer as specified in the points (a) to (c).

Issuer of corporate type means an issuer entity which is not an issuer of sovereign and public type. Segmentation criterion 3 (RTS2#42) — notional currency defined as the currency in which the notional amount of the derivative is denominated Segmentation criterion 4 (RTS2#8) — time to maturity bucket of the CDS defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 year Maturity bucket 2: 1 year < time to maturity ≤ 2 years Maturity bucket 3: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 1000000010 Sub-asset classFor 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 belowEach sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet the following qualitative liquidity criterion CDS index options an option whose underlying is a CDS index RTS2#3 = DERV RTS2#4 = CRDT a CDS index option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#26) — CDS index sub-class as specified for the sub-asset class of index credit default swap (CDS) Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 6 months Maturity bucket 2: 6 months < time to maturity ≤ 1 year Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 4: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a CDS index option whose underlying CDS index is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket Single name CDS options an option whose underly-ing is a single name CDS RTS2#3 = DERV RTS2#4 = CRDT a single name CDS option sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS23#26) — single name CDS sub-class as specified for the sub-asset class of single name CDS Segmentation criterion 2 (RTS2#8) — time to maturity bucket of the option defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 6 months Maturity bucket 2: 6 months < time to maturity ≤ 1 year Maturity bucket 3: 1 year < time to maturity ≤ 2 years Maturity bucket 4: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is 0-6 months is considered to have a liquid market

a single name CDS option whose underlying single name CDS is a sub-class determined to have a liquid market and whose time to maturity bucket is not 0-6 months is not considered to have a liquid market a single name CDS option whose underlying single name CDS is a sub-class determined not to have a liquid market is not considered to have a liquid market for any given time to maturity bucket Asset class — Credit DerivativesSub-asset classFor the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall apply Other credit derivatives a credit derivative that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#4 = CRDT RTS2#5 = OTHR any other credit derivatives is considered not to have a liquid market Table 9.2 Credit derivatives – pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market Asset class — Credit DerivativesSub-asset classPercentiles 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 marketTransactions to be considered for the calculations of the thresholdsSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeTrade — percentileThreshold floorTrade — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorTrade — percentileVolume — percentileThreshold floorIndex credit default swap (CDS)Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-classS1S2S3S4EUR 250000070EUR 50000008060EUR 75000009070EUR 1000000030405060Single name credit default swap (CDS)Calculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-classS1S2S3S4EUR 250000070EUR 50000008060EUR 75000009070EUR 1000000030405060 CDS index optionsCalculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-classS1S2S3S4EUR 250000070EUR 50000008060EUR 75000009070EUR 1000000030405060Single name CDS optionsCalculation of thresholds shall be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-classS1S2S3S4EUR 250000070EUR 50000008060EUR 75000009070EUR 1000000030405060 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 DerivativesSub-asset classPre-trade and post-trade SSTI and LIS thresholds for the sub-classes determined not to have a liquid marketSSTI pre-tradeLIS pre-tradeSSTI post-tradeLIS post-tradeThreshold valueThreshold valueThreshold valueThreshold valueIndex credit default swap (CDS)EUR 2500000EUR 5000000EUR 7500000EUR 10000000Single name credit default swap (CDS)EUR 2500000EUR 5000000EUR 7500000EUR 10000000CDS index optionsEUR 2500000EUR 5000000EUR 7500000EUR 10000000Single name CDS optionsEUR 2500000EUR 5000000EUR 7500000EUR 10000000Other credit derivativesEUR 2500000EUR 5000000EUR 7500000EUR 10000000

(11) Table 10.1 is replaced by the following: Table 10.1 C10 derivatives – classes not having a liquid market Asset class — C10 DerivativesSub-asset classFor 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 belowEach sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Freight derivatives a financial instrument relating to freight rates as defined in Section C(10) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = COMM and RTS23#35 = FRGT a freight derivative sub-class is defined by the following segmentation criteria: Segmentation criterion 1 (RTS2#5) — contract type: futures or options Segmentation criterion 2 (RTS23#36) — freight type Segmentation criterion 3 (RTS2#37) — freight sub-type Segmentation criterion 4 (RTS2#12) —specification of the size related to the freight sub-type Segmentation criterion 5 (RTS2#13) — specific route or time charter average Segmentation criterion 6 (RTS2#8) — time to maturity bucket of the derivative defined as follows: Maturity bucket 1: 0 < time to maturity ≤ 1 month Maturity bucket 2: 1 month < time to maturity ≤ 3 months Maturity bucket 3: 3 months < time to maturity ≤ 6 months Maturity bucket 4: 6 months < time to maturity ≤ 9 months Maturity bucket 5: 9 months < time to maturity ≤ 1 year Maturity bucket 6: 1 year < time to maturity ≤ 2 years Maturity bucket 7: 2 years < time to maturity ≤ 3 years … Maturity bucket m: (n-1) years < time to maturity ≤ n years EUR 1000000010 Asset class — C10 DerivativesSub-asset classFor the purpose of the determination of the classes of financial instruments considered not to have a liquid market as per Articles 6 and 8(1)(b) the following methodology shall be applied Other C10 derivatives a financial instrument as defined in Section C(10) of Annex I of Directive 2014/65/EU which is not a Freight derivative, any of the following interest rate derivatives sub- asset classes: Inflation multi-currency swap or cross-currency swap, a Future/forward on inflation multi-currency swaps or cross-currency swaps, an Inflation single currency swap, a Future/forward on inflation single currency swap and any of the following equity derivatives sub- asset classes: a Volatility index option, a Volatility index future/forward, a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility any other C10 derivatives is considered not to have a liquid market (12) Table 11.1 is replaced by the following: Table 11.1 CFDs – classes not having a liquid market

Sub-asset classFor 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 belowQualitative liquidity criterion Average daily notional amount (ADNA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Currency CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = CURR a currency CFD sub-class is defined by the underlying currency pair defined as combination of the two currencies underlying the CFD/spread betting contract. RTS2#30 and RTS2#31 EUR 50000000100 Commodity CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = COMM a commodity CFD sub-class is defined by the underlying commodity of the CFD/spread betting contract RTS23#35 and RTS23#36 and RTS23#37 EUR 50000000100 Equity CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = EQUI an equity CFD sub-class is defined by the underlying equity security of the CFD/spread betting contract RTS23#26 an equity CFD sub-class is considered to have a liquid market if the underlying is an equity security for which there is a liquid market as determined in accordance with Article 2(1)(17)(b) of Regulation (EU) No 600/2014 Bond CFDs RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = BOND a bond CFD sub-class is defined by the underlying bond or bond future of the CFD/spread betting contract RTS23#26 a bond CFD sub-class is considered to have a liquid market if the underlying is a bond or bond future for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). CFDs on an equity future/for- ward RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = FTEQ a CFD on an equity future/forward sub-class is defined by the underlying future/forward on an equity of the CFD/spread betting contract RTS23#26 a CFD on an equity future/forward sub-class is considered to have a liquid market if the underlying is an equity future/forward for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b). CFDs on an equity option RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = OPEQ a CFD on an equity option sub-class is defined by the underlying option on an equity of the CFD/spread betting contract RTS23#26 a CFD on an equity option sub-class is considered to have a liquid market if the underlying is an equity option for which there is a liquid market as determined in accordance with Articles 6 and 8(1)(b).Asset class – Financial contracts for differences (CFDs)Sub-asset classFor 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 appliedOther CFDs a CFD/spread betting that does not belong to any of the above sub-asset classes RTS2#3 = DERV RTS2#5 = CFDS RTS2#29 = OTHR any other CFD/spread betting is considered not to have a liquid market (13) Table 12.1 is replaced by the following: Table 12.1 Emission allowances — classes not having a liquid market

Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 establishing a scheme for greenhouse gas emission allowance trading within the Community and amending Council Directive 96/61/EC (JO L 275, 25.10.2003, p. 32). Asset class — Emission AllowancesSub-asset classEach sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average Daily Amount (ADA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] European Union Allowances (EUA) any unit recognised for compliance with the requirements of Directive 2003/87/EC of the European Parliament and of the Council (Emissions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = EUAE 150000 tonnes of Carbon Dioxide Equivalent5 European Union Aviation Allowances (EUAA) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the right to emit the equivalent to 1 tonne of car- bon dioxide equivalent (tCO2e) from aviation RTS2#3 = EMAL and RTS2#11 = EUAA 150000 tonnes of Carbon Dioxide Equivalent5 Certified Emission Reductions (CER) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = CERE 150000 tonnes of Carbon Dioxide Equivalent5 Emission Reduction Units (ERU) any unit recognised for compliance with the requirements of Directive 2003/87/EC (Emis- sions Trading Scheme) which represents the emissions reduction equivalent to 1 tonne of carbon dioxide equivalent (tCO2e) RTS2#3 = EMAL and RTS2#11 = ERUE 150000 tonnes of Carbon Dioxide Equivalent5 Other Emission Allowances an emission allowance which is an emission allowance recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) or an Emission Reduction Units (ERU) RTS2#3 = EMAL and RTS2#11 = OTHR any other emission allowances is considered not to have a liquid market (14) Table 13.1 is replaced by the following: Table 13.1 Emission allowance derivatives — classes not having a liquid market Asset class — Emission Allowance DerivativesSub-asset classEach sub-class shall be determined not to have a liquid market as per Articles 6 and 8(1)(b) if it does not meet one or all of the following thresholds of the quantitative liquidity criteria Average Daily Amount (ADA) [quantitative liquidity criterion 1] Average daily number of trades [quantitative liquidity criterion 2] Emission allowance derivatives whose underlying is of the type European Union Allowances (EUA)

a financial instrument relating to emission allowances of the type European Union Allowances (EUA) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAE 150000 tonnes of Carbon Dioxide Equivalent5 Emission allowance derivatives whose underlying is of the type European Union Aviation Allowances (EUAA) a financial instrument relating to emission allowances of the type European Union Aviation Allowances (EUAA) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = EUAA 150000 tonnes of Carbon Dioxide Equivalent5 Emission allowance derivatives whose underlying is of the type Certified Emission Reductions (CER) a financial instrument relating to emission allowances of the type Certified Emission Reductions (CER) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = CERE 150000 tonnes of Carbon Dioxide Equivalent5 Emission allowance derivatives whose underlying is of the type Emission Reduction Units (ERU) a financial instrument relating to emission allowances of the type Emission Reduction Units (ERU) as defined in Section C(4) of Annex I of Directive 2014/65/EU RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = ERUE 150000 tonnes of Carbon Dioxide Equivalent5 Other Emission allowance derivatives an emission allowance derivative whose underlying is an emission allowances recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme) and is not a European Union Allowances (EUA), a European Union Aviation Allowances (EUAA), a Certified Emission Reductions (CER) and an Emission Reduction Units (ERU) RTS2#3 = DERV and RTS2#4 = EMAL and RTS2#43 = OTHR any other emission allowance derivative is considered not to have a liquid market

Annex

ANNEX IV In Annex IV, Tables 1 and 2 are replaced by the following: Table 1 Symbol table for Table 2 SYMBOLDATA TYPEDEFINITION{ALPHANUM-n}Up to n alphanumerical char- actersFree text field.{DECIMAL-n/m}Decimal number of up to n digits in total of which up to m digits can be fraction digits Numerical field for both positive and negative values: decimal separator is . (full stop); the number may be prefixed with - (minus) to indicate negative numbers. Where applicable, values shall be rounded and not truncated. {COUNTRYCODE_2}2 alphanumerical characters2 letter country code, as defined by ISO 3166-1 alpha-2 country code{CURRENCYCODE_3}3 alphanumerical characters3 letter currency code, as defined by ISO 4217 currency codes{DATEFORMAT}ISO 8601 date formatDates shall be formatted by the following format: YYYY-MM-DD.{ISIN}12 alphanumerical charactersISIN code, as defined in ISO 6166{LEI}20 alphanumerical charactersLegal entity identifier as defined in ISO 17442{MIC}4 alphanumerical charactersMarket identifier as defined in ISO 10383{EIC}16 alphanumerical charactersan EIC code pertaining to a delivery point within or outside the European Union{INDEX}4 alphabetic characters

EONA — EONIA EONS — EONIA SWAP EURI — EURIBOR EUUS — EURODOLLAR EUCH — EuroSwiss GCFR — GCF REPO ISDA — ISDAFIX LIBI — LIBID LIBO — LIBOR MAAA — Muni AAA PFAN — Pfandbriefe TIBO — TIBOR STBO — STIBOR BBSW — BBSW JIBA — JIBAR BUBO — BUBOR CDOR — CDOR CIBO — CIBOR Table 2 Details of the reference data to be provided for the purpose of transparency calculations Identification of non-equity financial instruments: Securitised derivatives as defined in Table 4.1 in Section 4 of Annex III Structured Finance Products (SFPs) as defined in Article 2(1)(28) of Regulation (EU) No 600/2014 Bonds (for all bonds except ETCs and ETNs) as defined in Article 4(1)(44)(b) of Directive 2014/65/EU ETCs as defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex III ETNs as defined in Article 4(1)(44)(b) of Directive 2014/65/EU and further specified in Table 2.4 of Section 2 of Annex III Emission allowances as defined in Table 12.1 of Section 12 of Annex III Derivative as defined in Annex I, Section C (4) to (10) of Directive 2014/65/EU Non-equity financial instruments: SDRV — Securitised derivatives SFPS — Structured Finance Products (SFPs) BOND — Bonds ETCS — ETCs ETNS — ETNs EMAL — Emission Allowances DERV — Derivative 4Asset class of the underlyingTo be populated when the MiFIR identifier is a securitised derivative or a derivative. INTR — Interest rate EQUI — Equity COMM — Commodity CRDT — Credit CURR — Currency EMAL — Emission Allowances OCTN — Other C10 5Contract typeTo be populated when the MiFIR identifier is a derivative. OPTN — Options FUTR — Futures (including — Forward Freight Agreements (FFAs)) FRAS — Forward Rate Agreement (FRA) FORW — Forwards SWAP — Swaps PSWP — Portfolio Swaps SWPT — Swaptions OPTS — Option on a swap FONS — Futures on a swap FWOS — Forwards on a swap SPDB — Spread betting CFDS — CFD OTHR — Other 6Reporting dayDay for which the reference data is provided{DATEFORMAT} 7Trading venueSegment MIC for the trading venue, where available, otherwise operating MIC.{MIC}8MaturityDefined maturity of the financial instrument. Field applicable for the asset classes of bonds, Interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives C10 derivatives and derivatives on emission allowances.{DATEFORMAT} Bonds (all bond types except ETCs and ETNs) related fields The fields in this section shall only be populated for Bonds as defined in Table 2.1 of Section 2 of Annex III 9Bond typeBond type as specified in Table 2.2 of Section 2 of Annex III. To be populated only when the MiFIR identifier is equal to bonds. EUSB — Sovereign Bond OEPB — Other Public Bond CVTB — Convertible Bond CVDB — Covered Bond CRPB — Corporate Bond OTHR — Other 10Issuance dateDate on which a bond is issued and begins to accrue interest.{DATEFORMAT} Emission Allowances related fields The fields in this section shall only be populated for emission allowances as defined in Table 12.1 of Section 12 of Annex III

11Emissions Allowances sub typeEmissions Allowances CERE — CER ERUE — ERU EUAE — EUA EUAA — EUAA OTHR — Other Derivatives related fields Commodity derivatives and C10 derivatives The fields in this section shall only be populated for commodity derivatives as defined in Table 7.1 of Section 7 of Annex III and for C10 derivatives as defined in Table 10.1 of Section 10 of Annex III 12Specification of the size related to the freight sub-typeTo be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight. For dry freight: CAPE — Capesize PNMX — Panamax SPMX — Supramax HAND — Handysize For wet freight: CLAN — Clean DRTY — Dirty {ALPHANUM-4} otherwise 13Specific route or time charter averageTo be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight. For wet freight: TD7 — TD7 TD8 — TD8 TD17 — TD17 TD19 — TD19 TD20 — TD20 BLPG1 — BLPG1 TD3C — TD3C TC2 — TC2 TC2_37 — TC2_37 TD3 — TD3 TC5 — TC5 TC6 — TC6 TC7 — TC7 TC9 — TC9 TC12 — TC12 TC14 — TC14 TC15 — TC15 For dry freight: 4TC — 4TC 5TC — 5TC 6TC — 6TC 10TC — 10TC C3 — C3 C5 — C5 C7 — C7 P1A — P1A P2A — P2A P3A — P3A P1E — P1E P2E — P2E P3E— P3E {ALPHANUM-6} otherwise 14Delivery/cash settlement locationTo be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to energy. {EIC} for electricity or natural gas OTHR — Other 15Notional currencyCurrency in which the notional is denominated.{CURRENCYCODE_3} Interest rate derivatives The fields in this section shall only be populated for interest rate derivatives as defined in Table 5.1 of Section 5 of Annex III 16Underlying type To be populated for contract type different from swaps, swaptions, futures on a swap and forwards on a swap with one of the following alternatives

To be populated for the contract types of swaps, swaptions, options on a swap, futures on a swap and forwards on a swap with regard to the underlying swap with one of the following alternatives BOND — Bond BNDF — Bond Futures INTR — Interest rate IFUT — Interest rate Futures

FFMC — FLOAT TO FLOAT MULTI-CURRENCY SWAPS XFMC — FIXED TO FLOAT MULTI-CURRENCY SWAPS XXMC — FIXED TO FIXED MULTI-CURRENCY SWAPS OSMC — OIS MULTI-CURRENCY SWAPS IFMC — INFLATION MULTI- CURRENCY SWAPS FFSC — FLOAT TO FLOAT SINGLE-CURRENCY SWAPS XFSC — FIXED TO FLOAT SINGLE-CURRENCY SWAPS XXSC — FIXED TO FIXED SINGLE-CURRENCY SWAPS OSSC — OIS SINGLE-CUR- RENCY SWAPS IFSC — INFLATION SINGLE- CURRENCY SWAPS 17Issuer of the underlying bondTo be populated when the underlying type is a bond or a bond future with the legal entity identifier code (LEI) of the issuer of the direct or ultimate underlying bond.{LEI}18Maturity date of the underlying bondTo be populated with the date of the defined maturity of the underlying bond.{DATEFORMAT}19Issuance date of the under- lying bondTo be populated with the issuance date of the underlying bond.{DATEFORMAT}20Notional currency of the swaptionTo be populated for swaptions only.{CURRENCYCODE_3}21Maturity of the underlying swapTo be populated for swaptions, options on swaps, futures on swaps and for- wards on a swap only.{DATEFORMAT}

22Inflation index ISIN code/ISIN code of the underlying bond In case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap; whenever the inflation index has an ISIN, the field has to be populated with the ISIN code for that index.

In case of Bond Options/ Options on a bond option/ Options on a bond future, the field has to be populated with the ISIN code of the ultimate underlying bond. {ISIN}

{ISIN} 23Inflation index nameTo be populated with standardised name of the index in case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/ forwards on inflation multi-currency swap.{ALPHANUM-25}24Reference rateName of the reference rate. {INDEX} or {ALPHANUM-25}- if the reference rate is not included in the {INDEX} list 25Term of the underlying interest rate This field states the term of the interest rate underlying the contract. The term shall be expressed in days, weeks, months or years. Starting with the largest term unit (years) and working downwards, if the term of the interest rate is an integer number, such standard term shall be populated in this field. {INTEGER-3}+DAYS — days {INTEGER-3}+WEEK — weeks {INTEGER-3}+MNTH — months {INTEGER-3}+YEAR — years Foreign exchange derivatives The fields in this section shall only be populated for foreign exchange derivatives as defined in Table 8.1 of Section 8 of Annex III 26Contract sub-typeTo be populated so as to differentiate deliverable and non-deliverable forwards, options and swaps as defined in Table 8.1 of Section 8 of Annex III. DLVB — Deliverable NDLV — Non-deliverable Equity derivatives The fields shall only be populated for equity derivatives as defined in Table 6.1 of Section 6 of Annex III 27Underlying typeTo be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is neither swaps nor portfolio swaps. STIX — Stock Index SHRS — Share/Stock DIVI — Dividend Index DVSE — Stock dividend BSKT — Basket of shares resulting from a corporate action ETFS — ETFs VOLI — Volatility Index OTHR — Other (including depositary receipts, certificates and other equity like financial instrument)

To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a single name.

SHRS — Share/Stock DVSE — Stock dividend ETFS — ETFs OTHR — Other (including depositary receipts, certificates and other equity like financial instrument)

To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is an index.

STIX — Stock Index DIVI — Dividend Index VOLI — Volatility Index OTHR — Other

To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a basket.

BSKT — Basket 28ParameterTo be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is one of the following: swaps, portfolio swaps. PRBP — Price return basic performance parameter PRDV — Parameter return dividend PRVA — Parameter return variance PRVO — Parameter return volatility Contracts for difference (CFDs) The fields shall only be populated when the contract type is equal to contract for difference or spread betting 29Underlying typeTo be populated when the MiFIR identifier is a derivative and ‘the contract type is equal to contract for difference or spread betting CURR — Currency EQUI — Equity BOND — Bonds FTEQ — Futures/Forward on an equity OPEQ — Options on an equity COMM — Commodity EMAL — Emission Allowances OTHR — Other 30Notional currency 1Currency 1 of the underlying currency pair. This field is applicable when the underlying type is currency.{CURRENCYCODE_3}31Notional currency 2Currency 2 of the underlying currency pair. This field is applicable when the underlying type is currency.{CURRENCYCODE_3} Credit derivatives The fields in this section shall only be populated for credit derivatives as defined in Table 9.1 of Section 9 of Annex III 32ISIN code of the underlying credit default swapTo be populated for derivatives on a credit default swaps with the ISIN code of the underlying swap.{ISIN}33Underlying Index codeTo be populated for derivatives on a CDS index with the ISIN code of the index.{ISIN}34Underlying Index nameTo be populated for derivatives on a CDS index with the standardised name of the index.{ALPHANUM-25}35Series The series number of the composition of the index if applicable. To be populated for a CDS Index or a derivative on a CDS Index with the series of the CDS Index. {DECIMAL-18/17}36Version A new version of a series is issued if one of the constituents defaults and the index has to be re-weighted to account for the new number of total constituents within the index. To be populated for a CDS Index or a derivative on a CDS Index with the version of the CDS Index. {DECIMAL-18/17}37Roll months All months when the roll is expected as established by the index provider for a given year. Field shall be repeated for each month in the roll. To be populated for a CDS Index or a derivative on a CDS Index. 01, 02, 03, 04, 05, 06, 07, 08, 09, 10, 11, 12 38Next roll dateTo be populated in the case of a CDS Index or a derivative on a CDS Index with the next roll date of the index as established by the index provider.{DATEFORMAT} 39Issuer of sovereign and public typeTo be populated when the reference entity of a single name CDS or a derivative on single name CDS is a sovereign issuer as defined in Table 9.1 Section 9 of Annex III.

TRUE — the reference entity is an issuer of sovereign and public type FALSE — the reference entity is not an issuer of sovereign and public type 40Reference obligationTo be populated for a derivative on a single name credit de- fault swap with the ISIN of the reference obligation.{ISIN}41Reference entityTo be populated with the reference entity of a single name CDS or a derivative on single name CDS. {COUNTRYCODE_2} or ISO 3166-2 — 2 character country code followed by dash - and up to 3 alphanumeric character country subdivision code or {LEI} 42Notional currencyCurrency in which the notional is denominated.{CURRENCYCODE_3} Emission allowance derivatives The fields in this section shall only be populated for emission allowance derivatives as defined in Table 13.1 of Section 13 of Annex III 43Emission Allowances derivative sub typeTo be populated when variable #3 MiFIR identifier is DERV-derivative and variable #4 asset class of the underlying is EMAL-emission allowance CERE — CER ERUE —ERU EUAE — EUA EUAA —EUAA OTHR — Other

Annex

ANNEX V

Annex

ANNEX V Quantitative data to be provided for the purpose of transparency calculations Table 1 Symbol table for Table 2 SymbolData TypeDefinition{ALPHANUM-n}Up to n alphanumerical charactersFree text field.{ISIN}12 alphanumerical charactersISIN code, as defined in ISO 6166{MIC}4 alphanumerical charactersMarket identifier as defined in ISO 10383{DATEFORMAT}ISO 8601 date formatDates shall be formatted by the following format: YYYY-MM-DD.{DECIMAL-n/m}Decimal number of up to n digits in total of which up to m digits can be fraction digits Numerical field for both positive and negative values. Decimal separator is . (full stop); negative numbers are prefixed with – (minus); values are rounded and not truncated. {INTEGER-n}Integer number of up to n digitsNumerical field for both positive and negative integer values. Table 2 Details of the data to be provided for the purpose of determining a liquid market, the LIS and SSTI thresholds for non-equity financial instruments Regulated Market (RM) Multilateral Trading Facility (MTF) Organised Traded Facility (OTF) Approved Publication Arrangement (APA) Consolidated tape provider (CTP) {ISIN} 2Execution dateDate on which the trades are executed.RM, MTF, OTF, APA, CTP{DATEFORMAT}3Execution venue Segment MIC of the EU trading venue or systematic internaliser, where available, otherwise operating MIC. Segment MIC of the systematic internaliser where available, otherwise the operating MIC. The MIC code XOFF for OTC transactions. For a given ISIN and execution date, APAs shall sum all OTC trading activity for that instrument in a single record (ISIN, XOFF, execution date). RM, MTF, OTF, APA, CTP{MIC} of the trading venue or systematic internaliser or XOFF4Suspended instrument flag Indicator of whether the instrument was suspended during the whole day for trading on the respective TV on the execution date. As a consequence, Fields 5 shall be reported with a value of zero. RM, MTF, OTF

TRUE – if the instrument was suspended for the whole trading day or FALSE – if the instrument was not suspended for the whole trading day 5Total number of transactions The total number of transactions executed on the execution date. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. In all cases, the field has to be populated with a value greater than or equal to zero. For instruments that are suspended for the whole day, the field shall have zero value. RM, MTF, OTF, APA, CTP{INTEGER-18}6Total volume The total volume executed on the execution date. The volume shall be measured in accordance with Table 4 of Annex II of this Regulation. Monetary amounts shall be reported in Euros. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. RM, MTF, OTF, APA, CTP{DECIMAL-18/5} 7Size of transaction bin range This field shall be populated with the values as provided in Tables 3 and 4 of this Annex. The size of transaction bin range as defined: in Table 4 of this Annex for emission allowances and derivatives thereof; In Table 3 of this Annex for the other instruments. For instruments that are suspended for the whole day, data related to this field and to fields 8 and 9 shall not be reported. RM, MTF, OTF, APA, CTP{ALPHANUM - -140}8Total number of transactions executed for that bin Total number of transactions executed on the execution date which size lies in the bin’s range. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. RM, MTF, OTF, APA, CTP{INTEGER-18}9Total volume traded for that bin Total volume traded represented by all transactions executed on the reporting day which size lies in the bin’s range. The volume shall be measured in accordance with Table 4 of Annex II of this Regulation. Monetary amounts shall be reported in Euros. Transactions that have been cancelled shall be excluded from the reported figures. Transactions that benefit from deferred publication shall be counted in the aggregates provided by the submitting entities on the basis of the execution date. RM, MTF, OTF, APA, CTP{DECIMAL-18/5} Table 3 Trade-size bins for bonds, SFPs, securitised derivatives, interest rate derivatives, equity derivatives, foreign exchange derivatives, credit derivatives, commodity derivatives, C10 derivatives and CFDs ScopeSize of transaction binDefinitionTransactions with a size between 0 and 1,000,000 (excluded)]0 – 100,000[Transactions with a trade size smaller than EUR 100,000[100,000 – 100,000]Transactions with a trade size equal to EUR 100,000]100,000 – 200,000[Transactions with a trade size greater than EUR 100,000 and smaller than EUR 200,000[200,000 – 300,000[Transactions with a trade size greater than or equal to EUR 200,000 and smaller than EUR 300,000[300,000 – 400,000[Transactions with a trade size greater than or equal to EUR 300,000 and smaller than EUR 400,000[Y– Y+100,000[Transactions with a trade size greater than or equal to EUR Y and smaller than EUR Y + 100,000 (EUR 100,000 step)[900,000 – 1,000,000[Transactions with a trade size greater than or equal to EUR 900,000 and smaller than EUR 1,000,000Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded)[1,000,000 – 1,500,000[Transactions with a trade size greater than or equal to EUR 1,000,000 and smaller than EUR 1,500,000[1,500,000 – 2,000,000[Transactions with a trade size greater than or equal to EUR 1,500,000 and smaller than EUR 2,000,000[Z– Z+500,000[Transactions with a trade size greater than or equal to EUR Z and smaller than EUR Z + 500,000 (EUR 500,000 step)[9,500,000 – 10,000,000[Transactions with a trade size greater than or equal to EUR 9,500,000 and smaller than EUR 10,000,000

Transactions with a size between 10,000,000 (included) and 100,000,000 (excluded)[10,000,000 – 15,000,000[Transactions with a trade size greater than or equal to EUR 10,000,000 and smaller than EUR 15,000,000[15,000,000 – 20,000,000[Transactions with a trade size greater than or equal to EUR 15,000,000 and smaller than EUR 20,000,000[W– W+5,000,000[Transactions with a trade size greater than or equal to EUR W and smaller than EUR W + 5,000,000 (EUR 5,000,000 step)[95,000,000 – 100,000,000[Transactions with a trade size greater than or equal to EUR 95,000,000 and smaller than EUR 100,000,000Transactions with a size greater than or equal to 100,000,000[100,000,000 – 125,000,000[Transactions with a trade size greater than or equal to EUR 100,000,000 and smaller than EUR 125,000,000[125,000,000 – 150,000,000[Transactions with a trade size greater than or equal to EUR 125,000,000 and smaller than EUR 150,000,000[X– X+25,000,000[Transactions with a trade size greater than or equal to EUR X and smaller than EUR X + 25,000,000 (EUR 25,000,000 step)……… Table 4 Size of transaction bin ranges for emission allowances and derivatives on emission allowances ScopeSize of transaction binDefinitionTransactions with a size between 0 and 1,000,000 (excluded)]0 – 100,000[Transactions with a trade size smaller than 100,000 tonnes of carbon dioxide equivalent (tCO2e)[100,000 – 100,000]Transactions with a trade size equal to 100,000 tCO2e]100,000 – 200,000[Transactions with a trade size greater than 100,000 tCO2e and smaller than 200,000 tCO2e[200,000 – 300,000[Transactions with a trade size greater than or equal to 200,000 tCO2e and smaller than 300,000 tCO2e[300,000 – 400,000[Transactions with a trade size greater than or equal to 300,000 tCO2e and smaller than 400,000 tCO2e[Y– Y+100,000[Transactions with a trade size greater than or equal to Y tCO2e and smaller than Y tCO2e + 100,000 (100,000 tCO2e step)[900,000 – 1,000,000[Transactions with a trade size greater than or equal to 900,000 tCO2e and smaller than 1,000,000 tCO2e Transactions with a size between 1,000,000 (included) and 10,000,000 (excluded)[1,000,000 – 1,500,000[Transactions with a trade size greater than or equal to 1,000,000 tCO2e and smaller than 1,500,000 tCO2e[1,500,000 – 2,000,000[Transactions with a trade size greater than or equal to 1,500,000 tCO2e and smaller than 2,000,000 tCO2e[Z– Z+500,000[Transactions with a trade size greater than or equal to Z tCO2e and smaller than Z tCO2e + 500,000 (500,000 tCO2e step)[9,500,000 – 10,000,000[Transactions with a trade size greater than or equal to 9,500,000 tCO2e and smaller than 10,000,000 tCO2eTransactions with a size between 10,000,000 (included) and 100,000,000 (excluded)[10,000,000 – 15,000,000[Transactions with a trade size greater than or equal to 10,000,000 tCO2e and smaller than 15,000,000 tCO2e[15,000,000 – 20,000,000[Transactions with a trade size greater than or equal to 15,000,000 tCO2e and smaller than 20,000,000 tCO2e[W– W+5,000,000[Transactions with a trade size greater than or equal to W tCO2e and smaller than W tCO2e + 5,000,000 (5,000,000 tCO2e step)[95,000,000 – 100,000,000[Transactions with a trade size greater than or equal to 95,000,000 tCO2e and smaller than 100,000,000 tCO2eTransactions with a size greater than or equal to 100,000,000[100,000,000 – 125,000,000[Transactions with a trade size greater than or equal to 100,000,000 tCO2e and smaller than 125,000,000 tCO2e[125,000,000 – 150,000,000[Transactions with a trade size greater than or equal to 125,000,000 tCO2e and smaller than 150,000,000 tCO2e[X– X+25,000,000[Transactions with a trade size greater than or equal to X tCO2e and smaller than X tCO2e + 25,000,000 (25,000,000 tCO2e step)………