Table 9.2 Credit derivatives pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market — Asset class - Credit Derivatives Percentiles and threshold floors to be applied for the calculation of the and post-trade SSD and LIS thresholds for the sub-classes determined to have a liquid market Transactions to be class SSD pre-trade LIS SSTI post-trade LIS post-trade considered for the calculations of the Trade - Trade - Trade - Volume - - Volume - thresholds Threshold Threshold floor Threshold floor Threshold percentile percentile percentile percentile percentile percentile calculation of thresholds should be performed for each sub-class of the sub-asset class credit default considering the transactions 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 EUR 10,000,000 swap (CDS) executed on financial instruments belonging to the sub-class calculation of thresholds should be performed for each sub-class Single name of the sub-asset class credit default considering the transactions 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 EUR 10,000,000 swap (CDS) executed on financial instruments belonging to the sub-class calculation of thresholds should be performed for each sub-class of the sub-asset class Bespoke basket credit default considering the transactions 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 EUR 10,000,000 (CDS) swap executed on financial instruments belonging to the sub-class
Table 9.2 Credit derivatives — pre-trade and post-trade SSTI and LIS thresholds for sub-classes determined to have a liquid market Asset class - Credit Derivatives class Percentiles and threshold floors to be applied for the calculation of the and post-trade SSD and LIS thresholds for the sub-classes determined to have a liquid market Transactions to be considered for the calculations of the thresholds SSD pre-trade LIS SSTI post-trade LIS post-trade Trade - percentile Threshold Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold floor - percentile Volume - percentile Threshold credit default swap (CDS) calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 EUR 10,000,000 Single name credit default swap (CDS) calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 EUR 10,000,000 Bespoke basket credit default swap (CDS) calculation of thresholds should be performed for each sub-class of the sub-asset class considering the transactions executed on financial instruments belonging to the sub-class 60 EUR 2,500,000 70 EUR 5,000,000 80 60 EUR 7,500,000 90 70 EUR 10,000,000