ANNEX I
Classes of derivatives and relevant subcategories for the representativeness obligation
Table 1
Subcategories for EUR Fixed-to-float
Trade size (in EUR million) | |||
Maturity | [0-25M] | (25M-50M] | (50M+] |
[0-5Y] | |||
(5Y-10Y] | |||
(10Y-15Y] | |||
(15Y+] | |||
Table 2
Subcategories for EUR OIS
Trade size (in EUR million) | |||
Maturity | [0-25M] | (25M-100M] | (100M+] |
[0-1Y] | |||
(1Y-2Y] | |||
(2Y-5Y] | |||
(5Y+] | |||
Table 3
Subcategories for EUR FRA
Trade size (in EUR million) | |||
Maturity | [0-75M] | (75M-200M] | (200M+] |
[0-6M] | |||
(6M-12M] | |||
(12M-18M] | |||
(18M+] | |||
Table 4
Subcategories for PLN Fixed-to-float
Trade size (in PLN million) | |
Maturity | Any trade size |
Any maturity |
Table 5
Subcategories for PLN FRA
Trade size (in PLN million) | |
Maturity | Any trade size |
Any maturity |
Table 6
Classes of derivatives for EUR STIR
Execution | Underlying | Reference index | Settlement currency | Settlement currency type | Optionality |
EU or third-country exchange | 3-month interest rate | Euribor | EUR | Single currency | Excluded |
EU or third-country exchange | 3-month interest rate | €STR | EUR | Single currency | Excluded |
Table 7
Subcategories for EUR STIR referencing Euribor
Trade size (in EUR million) | |
Maturity | Any trade size |
[0-6M] | |
(6M-12M] | |
(12M-24M] | |
(24M+] |
Table 8
Subcategories for EUR STIR referencing €STR
Trade size (in EUR million) | |
Maturity | Any trade size |
[0-6M] | |
(6M-12M] | |
(12M-24M] | |
(24M+] |