MAR 11 Annex 1 Category 1 instruments

Bond Type

Issuer

Issue Size

Maturity

Sovereign bonds (other than inflation linked or STRIPS)

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

All

≥ £2bn

All

£1m

£5m

£25m

< £2bn

All

£1m

£2.5m

£2.5m

Bond Type

Currency

Issuer Rating

Issue Size

Corporate, Covered, Convertible & Other bonds

GBP, EUR & USD

IG

≥ £500m

£1m

1 day

£5m

2 weeks

£25m

2 weeks

HY

≥ £500m

£1m

£2.5m

£25m

All other instrument

£500k

£5m

£25m

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–5Y

€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

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

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).

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.