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+] |