ANNEX - Basis swaps classes
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Table 1
Basis swaps classes
id
Type
Reference Index
Settlement Currency
Maturity
Settlement Currency Type
Optionality
Notional Type
A.1.1
Basis
Euribor
EUR 28D-50Y
Single currency
No
Constant or variable
Table 2
Fixed-to-float interest rate swaps classes
id
Type
Reference Index
Settlement Currency
Maturity
Settlement Currency Type
Optionality
Notional Type
A.2.1
Fixed-to-float
Euribor
EUR 28D-50Y
Single currency
No
Constant or variable
Table 3
Forward rate agreement classes
id
Type
Reference Index
Settlement Currency
Maturity
Settlement Currency Type
Optionality
Notional Type
A.3.1
FRA
Euribor
EUR 3D-3Y
Single currency
No
Constant or variable
Table 4
Overnight index swaps classes
id
Type
Reference Index
Settlement Currency
Maturity
Settlement Currency Type
Optionality
Notional Type
A.4.2
OIS
FedFunds
USD 7D-3Y
Single currency
No
Constant or variable
D.4.1
OIS
€STR
EUR 7D-3Y
Single currency
No
Constant or variable
D.4.2
OIS
SONIA
GBP 7D-50Y
Single currency
No
Constant or variable
—————
E.4.1
OIS
SOFR
USD 7D-50Y
Single currency
No
Constant or variable
E.4.2
OIS
TONA
JPY 7D-30Y
Single currency
No
Constant or variable# Table 1 in anx_1
| id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.1.1 | Basis | Euribor | EUR | 28D-50Y | Single currency | No | Constant or variable |
Table 2 in anx_1
| id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.2.1 | Fixed-to-float | Euribor | EUR | 28D-50Y | Single currency | No | Constant or variable |
Table 3 in anx_1
| id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.3.1 | FRA | Euribor | EUR | 3D-3Y | Single currency | No | Constant or variable |
Table 4 in anx_1
| id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.4.2 | OIS | FedFunds | USD | 7D-3Y | Single currency | No | Constant or variable |
| D.4.1 | OIS | €STR | EUR | 7D-3Y | Single currency | No | Constant or variable |
| D.4.2 | OIS | SONIA | GBP | 7D-50Y | Single currency | No | Constant or variable |
| ▼M7————— | |||||||
| ▼M7 | |||||||
| E.4.1 | OIS | SOFR | USD | 7D-50Y | Single currency | No | Constant or variable |
| E.4.2 | OIS | TONA | JPY | 7D-30Y | Single currency | No | Constant or variable |