Asset class - Interest Rate Derivatives Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market Sub-asset class Transactions to be SSTI pre-trade LIS pre-trade SSD post-trade LIS considered for the calculations of the Trade - Trade - Trade - Volume - Trade - Volume - thresholds 'Threshold floor 'Threshold floor 'Threshold floor 'Threshold percentile percentile percentile percentile percentile percentile calculation of thresholds should be performed for each sub-class of the IR options 60 EUR 5,000,000 70 EUR 10,000,000 80 60 EUR 20,000,000 90 70 EUR 25,000,000 class considering the transactions executed on financial instruments belonging to the sub-class calculation of thresholds should be performed for each sub-class of the Swaptions 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 class considering the transactions executed on financial instruments belonging to the sub-class Fixed-to-Float 'multi calculation of currency swaps' or thresholds should be `cross-currency swaps' performed for each and futures/forwards sub-class of the 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 on Fixed-to-Float class 'multi currency swaps' considering the or 'cross-currency transactions executed swaps' on financial instruments belonging to the sub-class
Asset class - Interest Rate Derivatives Sub-asset class Percentiles and threshold floors to be applied for the calculation of the pre-trade and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market Transactions to be considered for the calculations of the thresholds SSTI pre-trade LIS pre-trade SSD post-trade LIS Trade - percentile 'Threshold floor Trade - percentile 'Threshold floor Trade - percentile Volume - percentile 'Threshold floor Trade - percentile Volume - percentile 'Threshold IR options calculation of thresholds should be performed for each sub-class of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 5,000,000 70 EUR 10,000,000 80 60 EUR 20,000,000 90 70 EUR 25,000,000 Swaptions calculation of thresholds should be performed for each sub-class of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Fixed-to-Float 'multi currency swaps' or `cross-currency swaps' and futures/forwards on Fixed-to-Float 'multi currency swaps' or 'cross-currency swaps' calculation of thresholds should be performed for each sub-class of the class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000