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