ANNEX
Derivatives subject to the trading obligation
Table 1
Fixed-to-float interest rate swaps denominated in EUR
Fixed-to-Float single currency interest rate swaps – EUR EURIBOR 3 and 6M
Settlement currency | EUR | EUR
Trade start type | Spot (T+2) | Spot (T+2)
Optionality | No | No
Tenor | 2,3,4,5,6,7,8,9,10,12,15,20,30Y | 2,3,4,5,6,7,10,15,20,30Y
Notional type | Constant Notional | Constant Notional
Fixed leg
Payment frequency | Annual or semi-annual | Annual or semi-annual
Day count convention | 30/360 or Actual/360 | 30/360 or Actual/360
Floating leg
Reference index | EURIBOR 6M | EURIBOR 3M
Reset frequency | Semi-annual or quarterly | Quarterly
Day count convention | Actual/360 | Actual/360
Table 2
Fixed-to-float interest rate swaps denominated in USD
Fixed-to-Float single currency interest rate swaps – USD LIBOR 3M
Settlement currency | USD | USD
Trade start type | Spot (T+2) | IMM (next two IMM dates)
Optionality | No | No
Tenor | 2,3,4,5, 6,7,10,12,15,20,30Y | 2,3,4,5,6,7,10,12,15,20,30Y
Notional type | Constant Notional | Constant Notional
Fixed leg
Payment frequency | Annual or semi-annual | Annual or semi-annual
Day count convention | 30/360 or Actual/360 | 30/360 or Actual/360
Floating leg
Reference index | USD LIBOR 3M | USD LIBOR 3M
Reset frequency | Quarterly | Quarterly
Day count convention | Actual/360 | Actual/360
Fixed-to-Float single currency interest rate swaps – USD LIBOR 6M
Settlement currency | USD | USD
Trade start type | Spot (T+2) | IMM (next two IMM dates)
Optionality | No | No
Tenor | 2,3,4,5, 6,7,10,12,15,20,30Y | 2,3,4,5,6,7,10,12,15,20,30Y
Notional type | Constant Notional | Constant Notional
Fixed leg
Payment frequency | Annual or semi-annual | Annual or semi-annual
Day count convention | 30/360 or Actual/360 | 30/360 or Actual/360
Floating leg
Reference index | USD LIBOR 6M | USD LIBOR 6M
Reset frequency | Quarterly or semi-annual | Quarterly or semi-annual
Day count convention | Actual/360 | Actual/360
Table 3
Fixed-to-float interest rate swaps denominated in GBP
Fixed-to-Float single currency interest rate swaps – GBP LIBOR 3 and 6M
Settlement currency | GBP | GBP
Trade start type | Spot (T+0) | Spot (T+0)
Optionality | No | No
Tenor | 2,3,4,5,6,7,10,15,20,30Y | 2,3,4,5,6,7,10,15,20,30Y
Notional type | Constant Notional | Constant Notional
Fixed leg
Payment frequency | Quarterly or semi-annual | Quarterly or semi-annual
Day count convention | Actual/365F | Actual/365F
Floating leg
Reference index | GBP LIBOR 6M | GBP LIBOR 3M
Reset frequency | Semi-annual or quarterly | Quarterly
Day count convention | Actual/365F | Actual/365F
Table 4
Index CDS
Type | Sub-type | Geographical zone | Reference index | Settlement Currency | Series | Tenor
Index CDS | Untranched index | Europe | iTraxx Europe Main | EUR | on-the-run series first off-the-run series | 5y
Index CDS | Untranched index | Europe | iTraxx Europe Crossover | EUR | on-the-run series first off-the-run series | 5y