Annex Derivatives subject to the trading obligation
United Kingdom
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 |