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  1. Questions and Answers on MiFID II and MiFIR investor protection and intermediaries topics (ESMA35-43-349) (updated 15 December 2023)
  2. 1 Best execution [Last update: 3 October 2019]
  3. Question 25 Classification of financial instruments under RTS 27 if ESMA has not published any calibrated market sizes [Last update: 11 July 2019]
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Version date: 11 July 2019 - onwards

Question 25 Classification of financial instruments under RTS 27 if ESMA has not published any calibrated market sizes [Last update: 11 July 2019]

RTS 27

In accordance with the Annex (Table 3) and Articles 4 and 9 of RTS 27, how should execution venues classify financial instruments, which do not have calibrated market sizes (i.e. Standard Market Size (SMS), Large in Scale (LIS), Size Specific to the Instrument (SSTI)) and are traded on an EU trading venue?

Answer 25

In the case of financial instruments that (i) are traded on an EU trading venue and (ii) for which ESMA has not published on its website any respective Standard Market Size (SMS), Large in Scale (LIS) and Size Specific to the Instrument (SSTI) values, those instruments should be classified, according to the following criteria:

(i) For SMS values related to equity instruments: Recital 10 of RTS 27 sets out that "for shares, exchange-traded funds and certificates deemed to be illiquid under Regulation (EU) No 600/2014, the standard market size threshold to be used is the minimum available standard market size for that type of financial instrument", (see the smallest

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