Asset class - Interest Rate Derivatives Percentiles and threshold floors to be applied for the calculation of the and post-trade SSTI and LIS thresholds for each sub-class determined to have a liquid market Transactions to be Sub-asset class SSTI LIS pre-trade SSD post-trade LIS post-trade considered for the calculations of the - Trade - Trade - Volume - Trade - Volume - thresholds 'Threshold floor Threshold floor 'Threshold floor 'Threshold floor percentile percentile percentile percentile percentile percentile calculation of thresholds should be Fixed-to-Fixed 'single performed for each currency swaps' and sub-class of the futures/forwards on 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Fixed-to-Fixed 'single class currency swaps' considering the transactions executed on financial instruments belonging to the sub-class calculation of Overnight Index Swap thresholds should be (OIS) 'single currency performed for each swaps' and futures/forwards on 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 Overnight Index Swap class (OIS) 'single currency considering the swaps' transactions executed on financial instruments belonging to the sub-class calculation of thresholds should be Inflation 'single performed for each currency and sub-class of the futures/forwards on 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 Inflation 'single class currency swaps' considering the transactions executed 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 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 LIS pre-trade SSD post-trade LIS post-trade - percentile 'Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile 'Threshold floor Trade - percentile Volume - percentile 'Threshold floor Fixed-to-Fixed 'single currency swaps' and futures/forwards on Fixed-to-Fixed 'single currency swaps' calculation of thresholds should be performed for each sub-class of the 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 Overnight Index Swap (OIS) 'single currency swaps' and futures/forwards on Overnight Index Swap (OIS) 'single currency swaps' calculation of thresholds should be performed for each sub-class of the 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 Inflation 'single currency and futures/forwards on Inflation 'single 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
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