Currency U.S. Dollar (USD) U.S. Dollar (USD) Euro (EUR) Floating Rate USD LIBOR USD LIBOR EURIBOR Indexes Trade Start Type Spot Starting (T+2) IMM Start Date Spot Starting (T+2) (next two quarterly IMM start dates) Optionality No No No Dual Currencies No No No Notional Fixed Notional Fixed Notional Fixed Notional Tenors 2, 3, 5, 7, 10, 12, 2, 3, 5, 7, 10, 12, 2, 3, 5, 7, 10, 15, 20, 30 15, 20, 30 years 15, 20, 30 years
Currency U.S. Dollar (USD) U.S. Dollar (USD) U.S. Dollar (USD) Floating Rate Indexes USD LIBOR USD LIBOR USD LIBOR IMM Start Date IMM Start Date (next Trade Start Type Spot Starting (T+2) (next two IMM two IMM dates) dates) Optionality No No No Fixed Leg Semi-Annual, Semi-Annual, Payment Frequency Semi-Annual Annual Annual Day Count Convention 30/360, Actual/360 30/360, Actual/360 30/360 Floating Leg Quarterly, Quarterly, Reset Frequency Quarterly Semi-Annual Semi-Annual Day Count Convention Actual/360 Actual/360 Actual/360 Dual Currencies No No No Notional Fixed Notional Fixed Notional Fixed Notional Fixed Rate Par Par Standard Coupon1 2, 3, 4, 5, 6, 7, 10, 2, 3, 4, 5, 6, 7, 10, 1, 2, 3, 4, 5, 7, 10, 15, Tenors2 12, 15, 20, 30 years 12, 15, 20, 30 years 20, 30 years