Asset class - Credit Derivatives Percentiles and threshold floors to be applied for the calculation of the pre-trade 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 pre-trade SS TI post-trade LIS post-trade considered for the calculations of the Trade - Trade - Volume - Trade - Volume - Trade - thresholds Threshold floor Threshold Threshold floor Threshold floor percentile percentile percentile percentile percentile percentile calculation of thresholds should be performed for each sub-class of the sub-asset class CDS index 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 options executed on financial instruments belonging to the sub-class calculation of thresholds should be performed for each sub-class of the sub-asset class Single name 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 options executed on financial instruments belonging to the sub-class
Asset class - Credit Derivatives class Percentiles and threshold floors to be applied for the calculation of the pre-trade 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 pre-trade SS TI post-trade LIS post-trade Trade - percentile Threshold floor Trade - percentile Threshold floor Trade - percentile Volume - percentile Threshold Trade - percentile Volume - percentile Threshold floor CDS index options 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 CDS options 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
rts%202%20sept%202015.docx