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 Transactions to be Sub-asset class SSTI pre-trade LIS pre-trade SSD LIS considered for the calculations of the - Trade - Trade - Volume - Trade - Volume - thresholds 'Threshold Threshold floor 'Threshold floor 'Threshold floor percentile percentile percentile percentile percentile percentile calculation of Inflation 'multi thresholds should be currency swaps' or performed for each `cross-currency swaps' of the and futures/forwards 60 EUR 4,000,000 70 EUR 5,000,000 80 60 EUR 9,000,000 90 70 EUR 10,000,000 on Inflation 'multi class currency swaps' or considering the `cross-currency swaps' transactions executed on financial instruments belonging to the sub-class calculation of 'single thresholds should be currency swaps' and performed for each 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 Fixed-to-Float 'single class currency swaps' considering the transactions executed on financial instruments belonging to the sub-class calculation of thresholds should be Float-to-Float '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 Float-to-Float '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 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 LIS - percentile 'Threshold Trade - percentile Threshold floor Trade - percentile Volume - percentile 'Threshold floor Trade - percentile Volume - percentile 'Threshold floor Inflation 'multi currency swaps' or `cross-currency swaps' and futures/forwards on Inflation 'multi currency swaps' or `cross-currency swaps' calculation of thresholds should be performed for each 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 'single currency swaps' and futures/forwards on Fixed-to-Float '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 Float-to-Float 'single currency swaps' and futures/forwards on Float-to-Float '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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