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 |
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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 |
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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 |
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Reference index |
EURIBOR 6M |
EURIBOR 3M |
Reset frequency |
Semi-annual or quarterly |
Quarterly |
Day count convention |
Actual/360 |
Actual/360 |
Table 2 [deleted]2
Table 3 [deleted]1
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 |
Table 5 Overnight indexed swaps denominated in GBP
1Overnight indexed swaps – GPB SONIA |
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Floating leg |
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Settlement currency |
GBP |
GBP |
Trade start type |
Spot (T+0) |
IMM (next 2 IMM dates) |
Optionality |
No |
No |
Tenor |
1,2,3,4,5,6,7,8,9, 10,12,15,20,25,30Y |
1,2,3,4,5,6,7,8,9,10,12,15,20,25,30Y |
Notional type |
Constant Notional |
Constant Notional |
Fixed leg |
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Payment frequency |
Annual or semi-annual |
Annual or semi-annual |
Day count convention |
Actual/365F |
Actual/365F |
Floating leg |
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Reset frequency |
Annual, semi-annual or quarterly |
Annual, semi-annual or quarterly |
Day count convention |
Actual/365F |
Actual/365F |