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 [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

Floating leg

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

Payment frequency

Annual or semi-annual

Annual or semi-annual

Day count convention

Actual/365F

Actual/365F

Floating leg

Reset frequency

Annual, semi-annual or quarterly

Annual, semi-annual or quarterly

Day count convention

Actual/365F

Actual/365F