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 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 |