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 Fixed-to-float interest rate swaps denominated in USD
Fixed-to-Float single currency interest rate swaps – USD LIBOR 3M |
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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 |
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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 |
||
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 |
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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 |
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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 |
||
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 |