This is the table of category 1 instruments.
Note: The deferral periods shown in columns F, H and J end at 6pm on the day of publication.
| Column A | Column B | Column C | Column D | Column E | Column F | Column G | Column H | Column I | Column J |
|---|---|---|---|---|---|---|---|---|---|
| Grouping | LiS Threshold 1 | Deferral 1 | LiS Threshold 2 | Deferral 2 | LiS Threshold 3 | Deferral 3 | |||
| Asset classes | Factor 1 | Factor 2 | Factor 3 | ||||||
| Bond Type | Issuer | Issue Size | Maturity | ||||||
Sovereign bonds (other than inflation linked or STRIPS) (traded on a trading venue) | UK, France, Germany, Italy, Spain or USA | ≥ £2bn | ≤ 5yr | £15m | 1 day | £50m | 2 weeks | £500m | 3 months |
| 5 - ≤15yr | £10m | £25m | £250m | ||||||
| > 15yr | £5m | £10m | £100m | ||||||
Sovereign and Municipal bonds (traded on a trading venue) | All | ≥ £2bn | All | £1m | £5m | £25m | |||
| < £2bn | All | £1m | £2.5m | £10m | |||||
| Bond Type | Currency | Rating | Issue Size | ||||||
Corporate, Covered, Convertible & Other bonds (traded on a trading venue) | GBP, EUR & USD | IG | ≥ £500m | £1m | 1 day | £5m | 2 weeks | £25m | 3 months |
| HY | ≥ £500m | £1m | £2.5m | £10m | |||||
| All other instruments | £500k | £2.5m | £10m | ||||||
| Derivative Type (Having the common attributes set out in note 1) | Settlement currency | Reference index | Maturity (greater than - less than or equal to) | ||||||
| Fixed-to-Float | EUR | EURIBOR 3M, EURIBOR 6M | 27D–3M | €1,250m | End of day (1 day for non-benchmark tenors with maturity longer than 12 months - see note 3) | €1,750m | Price: end of day (1 day for non-benchmark tenors with maturity longer than 12 months - see note 3) Volume: end of the following quarter | ||
| 3M–6M | €750m | €1,500m | |||||||
| 6M–1Y | €500m | €1,000m | |||||||
| 1Y–2Y | €250m | €500m | |||||||
| 2Y–5Y | €150m | €350m | |||||||
| 5Y–10Y | €125m | €200m | |||||||
| 10Y–20Y | €75m | €150m | |||||||
| 20Y–30Y | €50m | €75m | |||||||
| OIS | USD | FEDFUNDS | 6D–3M | $2,500m | $3,000m | ||||
| SOFR | 6D–3M | $500m | $1,000m | ||||||
| 3M–6M | $250m | $500m | |||||||
| 6M–1Y | $200m | $350m | |||||||
| 1Y–2Y | $150m | $250m | |||||||
| 2Y–5Y | $100m | $200m | |||||||
| 5Y–10Y | $50m | $100m | |||||||
| 10Y–20Y | $30m | $75m | |||||||
| 20Y–30Y | $25m | $50m | |||||||
| GBP | SONIA | 6D–3M | £1,800m | £2,500m | |||||
| 3M–6M | £250m | £400m | |||||||
| 6M–1Y | £200m | £300m | |||||||
| 1Y–2Y | £120m | £150m | |||||||
| 2Y–5Y | £75m | £120m | |||||||
| 5Y–10Y | £50m | £80m | |||||||
| 10Y–20Y | £40m | £60m | |||||||
| 20Y–30Y | £20m | £30m | |||||||
| 30Y–50Y | £10m | £20m | |||||||
| EUR | ESTR | 6D–3M | €1,500m | €2,000m | |||||
| 3M–6M | €300m | €500m | |||||||
| 6M–1Y | €250m | €350m | |||||||
| 1Y–2Y | €175m | €250m | |||||||
| 2Y–3Y | €100m | €150m | |||||||
| Derivative Type / Underlying Type (Having the common attributes set out in note 2) | Settlement currency | Reference index | |||||||
| SWAP / Index CDS | EUR | iTraxx Europe Main | £50m | End of day | £70m | Price: end of day Volume: end of the following quarter | |||
| iTraxx Europe Crossover | £15m | £20m | |||||||
| Note 1: Common Attributes | |
|---|---|
| Settlement currency type | Single currency |
| Optionality | No |
| Notional type | Constant or variable |
| CFI code | SRC(C/D/I/Y)S(C/P) |
| Asset class of the underlying | Interest rate |
| Contract type | SWAP |
| Note 2: Common Attributes | |
|---|---|
| CFI code | SCIC(C/S/L)(C/P/A) |
| Sub-type | Untranched index |
| Geographical zone | Europe |
| Maturity | 5Y |
| Asset class of the underlying | Credit |
| Contract type | Swaps |
| Series | On -the-run and first off-the-run |
| Note 3: Benchmark tenors are those that have standard maturities including, 3, 6 and 9 months, as well as 1 year and annual increments thereafter. The calculation should follow the current market convention where the tenor is calculated as the difference between the effective date after execution and the expiry date (or termination date). The effective date should be adjusted so that it always falls on a business day at the time of execution, while the expiry date is not (ie it applies regardless of whether it is on a business day or not). |
Definition of terms
| Term | Definition | |
|---|---|---|
| CDE | carbon dioxide equivalent. | |
| convertible bond | an instrument consisting of a bond or a securitised debt instrument with an embedded derivative, such as an option to buy the underlying equity. | |
| corporate bond | a bond that is issued by: | |
| (a) | a Societas Europaea established before IP completion day in accordance with Council Regulation (EC) No 2157/2001; or | |
| (b) | a company incorporated in the UK with limited liability or equivalent in third countries. | |
| covered bond | a bond issued by a credit institution which is subject by law to special public supervision designed to protect bondholders and, in particular, protection under which: | |
| (a) | sums deriving from the issue of the bond must be invested in conformity with the law in assets; | |
| (b) | during the whole period of validity of the bond, those sums are capable of covering claims attaching to the bond; and | |
| (c) | in the event of failure of the issuer, those sums would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest. | |
| EOD | by the end of the daily trading hours of the relevant trading venue. | |
| fixed to float | a derivative of the type which is required to be cleared by a CCP in accordance with article 4(1) and (2) of EMIR (as listed in Table 2 of the Bank of England Public Register for the Clearing Obligation as at 24 April 2023). For these purposes, a reference to a ‘financial counterparty’ also includes a third country investment firm when it carries on MiFID or equivalent third country business from an establishment in the United Kingdom. | |
| HY | (a) | a bond rated below BBB/Baa or equivalent by any one credit rating agency chosen by a transparency firm for this purpose; or |
| (b) | a bond which is not rated by the credit rating agency, or agencies, chosen by a transparency firm for this purpose. | |
| IG | a corporate bond that is not HY. | |
| municipal bond | a bond issued by any of the following: | |
| (a) | in the case of a federal state, a member of that federation; | |
| (b) | a special purpose vehicle for several states; | |
| (c) | an international financial institution established by 2 or more states that has the purpose of mobilising funding and providing financial assistance to the benefits of its members where they are experiencing or are threatened by severe financial problems; | |
| (d) | the European Investment Bank; | |
| (e) | the International Finance Corporation; | |
| (f) | the International Monetary Fund; or | |
| (g) | a public entity which is not an issuer of a sovereign bond as described below. | |
| OIS | a derivative of the type which is required to be cleared by a CCP in accordance with article 4(1) and (2) of EMIR (as listed in Table 4 of the Bank of England Public Register for the Clearing Obligation as at 24 April 2023. For these purposes, a reference to a ‘financial counterparty’ also includes a third country investment firm when it carries on MiFID or equivalent third country business from an establishment in the United Kingdom. | |
| other bond | a bond that is not within the descriptions of any of the bond types described in this table. | |
| sovereign bond | a bond issued by: | |
| (a) | the EU; | |
| (b) | the UK, including a government department, agency or special purpose vehicle of the UK; | |
| (c) | a state other than the UK, including a government department, agency or special purpose vehicle of the state; or | |
| (d) | any other sovereign entity not listed in (a) to (c) above. | |
| swap/index CDS | a derivative of the type which is required to be cleared by a CCP in accordance with article 4(1) and (2) of EMIR (as listed in Table 5 of the Bank of England Public Register for the Clearing Obligation as at 24 April 2023). For these purposes, a reference to a ‘financial counterparty’ also includes a third country investment firm when it carries on MiFID or equivalent third country business from an establishment in the United Kingdom. | |