Date: 30 November Effective Date: 7 December 2016

Transcription

1 Number: Segment: C-IRS-05/2016 IRS Circular Subject: Summary Date: 30 November 2016 Effective Date: 7 December 2016 Replaces: C-IRS-02/2016 Terms, additional definitions and eligibility criteria for the OTC Interest Rate Swap Segment. This document lists the generic terms applicable to the IRS Segment, specific terms for each type of contract and applicable definitions. BME CLEARING's eligibility criteria are also detailed. This Circular implements sections A.3 and B.3 of the General Conditions Circular and defines the terms of IRS contracts as well as the criteria trades must meet to be accepted by BME CLEARING. Should the definitions in this document conflict with those in the contract originally signed by the counterparties, the criteria defined by BME CLEARING in this circular shall prevail. This circular contains the following sections: I. Generic terms II. Specific terms III. Eligibility criteria I. Generic terms Counterparty Trade Date Effective Date / Value Date This identifies the parties entering into a swap or a FRA. This is the date the order is executed and the key terms are agreed. This is the date the contract comes into effect and the obligations are effective. The Value Date shall not be adjusted in accordance with any Business Day Convention unless the counterparties specify in the registry that the Value Date shall be adjusted according to a Business Day Convention. Different Dates on legs Effective This attribute indicates whether BME CLEARING supports swaps that utilise different effective dates on the two legs of the swap. 1/17

2 Termination Date / Maturity Date Registration Date Minimum Term (in days) Minimum Residual Term (in days) Maximum Residual Term (in days) Maximum Residual Term (in years) Minimum FRA Term (in days) Maximum FRA Term (in days) Forward Starting Notional Amount / Principal Amount / Minimum Notional Amount Maximum Notional Amount Amortisation Side Leg_Type This is the date the Trade matures. The Termination/Maturity Date shall not be adjusted in accordance with any Business Day Convention unless the counterparties specify in the registry that the Termination/Maturity Date shall be adjusted according to a Business Day Convention. This is the date the Trade is registered at the CCP. The Registration Date shall not be adjusted in accordance with any Business Day Convention. This indicates the minimum swap term in days that is eligible for clearing in BME CLEARING. The Minimum Term of a swap is equal to the Termination/Maturity Date of the swap minus the Effective Date, or the Value Date. This indicates the minimum residual swap term in days that is eligible for clearing in BME CLEARING. This indicates the maximum swap term in days that is eligible for clearing in BME CLEARING. The Maximum Residual Term equals the Termination Date minus Today's Date or the Trade Date. This indicates the maximum swap term in years that is eligible for clearing in BME CLEARING. The Maximum Residual Term equals the Termination Date minus Start Date, Start Date = Trade Date + 2. This indicates the minimum FRA term in days that is eligible for clearing in BME CLEARING. The Minimum Term equals the Effective Date minus the Trade Date. This indicates the maximum FRA term in days that is eligible for clearing in BME CLEARING. The Maximum Term equals the Effective Date minus the Trade Date (T1-T0). It is understood as the beginning of future trade (ie, when the effective date occurs in the future), applying the same maximum residual term. Given the nature of the FRA, this attribute is not applicable. "Principal" attribute defines if the notional amount may change along the swap's life. An amortizing swaps has a notional amount that decreases or increase with time. BME CLEARING will only accept swaps where i) the calendar of the notional is known before the entry to registry in the CCP ii) the nominal may increase, decrease or both at the same time iii) the Notional at the beginning of the period is the same for both legs (i.e.: A swap 3M vs 12M may vary only annually) This indicates the minimum accepted amount to be registered in BME CLEARING. This indicates the maximum accepted amount to be registered in BME CLEARING. This is a fraction of the trade which increases or decreases on a certain date. This identifies the direction of the swap's legs (buy/sell, Pay/Receive). This identifies a FLOATING/FIXED leg. Circular C-IRS-05/2016 2/17

3 Currency Multi-currency Holiday Calendars Business Day Business Center This is the currency in which a swap is traded and cash flows exchanged. The Multi-currency element indicates if the swaps with different currencies in the fixed and floating leg, are accepted for registry in BME CLEARING. This is a calendar of holidays used to calculate the lengths of the periods. This is a business day or a working day used to calculate the periods of a Trade or the exchange of cash flows. BME CLEARING shall follow the TARGET (EUTA) payment calendar. The Business Day Convention adjusts any relevant date which may fall on a Non-business Day. Any day which may fall on a Non-business Day is adjusted as follows: Business Day Convention Following: If this convention is used, the date shall be the first following day that is a Business Day. Modified Following or Modified: If this convention is used, the date shall be the first following day that is a Business Day unless the first following business day is in the next calendar month, in which case that date shall be the first preceding day that is a Business Day. Preceding. If this convention is used, the date shall be the first preceding day that is a Business Day. Different Business Day conventions on each leg of the contract This indicates if different Business Day conventions are applied to each leg of the swap. Adjusted/Unadjusted Combinations Designated Maturity Roll Day Negative Interest Rate Spread A date for each leg of the Trade may be adjusted or unadjusted. Adjustments may occur on the Value Date, the Period End Date or the Termination/Maturity Date. A date can only be left unadjusted when calculating the days. The date must be adjusted according to the Business Day Convention for settlement. The possibilities are: Fixed leg: (Adjusted/Unadjusted Effective date, Unadjusted / Adjusted regular period End date, Unadjusted / Adjusted final period End date) Floating leg: (Adjusted/Unadjusted Effective date, Unadjusted / Adjusted regular period End date, Unadjusted / Adjusted final period End date). This indicates the different maturities of the floating rates / reference index This indicates the start and end days of the calculation periods for OTC derivative trades. This is the negative interest rate referenced to your floating or fixed rate/index. The spread applied to the interest rate. Basis Point (bp) A unit of measurement. 1bp is equivalent to 0.01%. Period Start Date The date on which the Flow Period starts in order to calculate interest. Circular C-IRS-05/2016 3/17

4 Period End Date The date on which the Flow Period ends in order to calculate interest. Calculation period Day Count Fraction The period between the Period Start and End dates. The convention for calculating the days in the calculation period which will determine the year fraction used to calculate the fixed and floating amounts. The Day Count Fraction is applied to each leg separately. The conventions admitted by BME CLEARING are: - Actual/Actual, Actual/Actual (ISDA), Act/Act or Act/Act (ISDA) pursuant to ISDA 2006 definitions. - Actual/Actual (ISMA), Act/Act (ISMA), pursuant to the ISDA 2000 definition. - Actual/Actual (ICMA), Act/Act (ICMA), pursuant to the ISDA 2006 definition. - Actual/365 (Fixed). Act/365 (Fixed), A/365 (Fixed) or A/365F pursuant to the ISDA 2006 definition. - Actual/360, Act/360 or A/360 pursuant to the ISDA 2006 definition. - 30/360, 360/360 or Bond Basis pursuant to the ISDA 2006 definition. - 30E/360 or Eurobond Basis pursuant to the ISDA 2006 definition. - 30E/360 ISDA pursuant to the ISDA 2000 definition. - Actual/365 ISDA or Act/365 ISDA pursuant to the ISDA 2000 definition. Settlement / Payment Date Regular Period Stub Period Break Clause Section 3 of this Circular defines the Day Count Fractions allowed for each type of Trade. This indicates the dates on which settlement or payment of each leg of the Trade occurs. This period comprises a number of days according to the Designated Maturity. This is defined as the period at the beginning or end of a trade, which differs from the regular period defined by the frequency of the benchmark index or rate. This refers to the possibility that a counterparty may request the Early Termination of a trade at market price, of the bilateral operation, in order to mitigate the counterparty risk. BME CLEARING accepts for registry and novation OTC IR Swaps with Break Clause. Since the moment the operation is novated at BME CLEARING, the counterparty risk disappears, as the CCP will be counterparty to each of the original sides of the trade. For this reason any break Clause will be useless and will not be subject of execution by any of the original counterparties of the trade. Stub on Front & Back Stub Period (in days) Short Term Trade entered as Back Stub only BME CLEARING will accept simultaneous Stub Periods at the beginning and end of a Swap. The length of the Stub for a swap can be treated in BME CLEARING must be greater or equal to 1 day and not more than 1 year. This is a Short Term Stub at the end of a trade. Circular C-IRS-05/2016 4/17

5 Roll Convention Additional Payment date. Minimum Value Date Minimum Value Additional Payment date/ Maximum Value Date Additional Payment Currency Number of Additional Payments Valuation Date Netting Identifier (NID) Default Fund These are the standard roll dates for regular periods. IMM: International Money Market, EOM: End of Month. This is the minimum date additional payments on a novated trade may be admitted. This is the maximum date additional payments on a novated trade may be admitted. This is the currency admitted to carry out an additional payment on a registered trade. This is the maximum number of additional payments which can be carried out on a registered trade. This is the date the current value of a flow is valued. This is the compression identifier code generated by BME CLEARING. This is the guarantee requested by the clearing house to cover stress test exposure of a clearing member. Circular C-IRS-05/2016 5/17

6 II. Specific terms Floating leg Floating Rate Payer or Floating Amount Payer ISDA Index Denomination / Index Rate Reset Date Fixing Fixing in Arrears Floating Amount Compounding This is the counterparty making the payments at agreed times during the term of a Trade. The amounts are calculated based on a floating rate per year or when one or more payments of a floating amount are made. This indicates the floating interest rate used to establish the periodical payments of the floating leg. This is the date the new floating interest rate is fixed. The new floating rate is normally determined two days prior to the Period Start Date. This is the value of the floating interest rate or index. The floating interest rate is set at the end of the calculation period. When referring to a Trade and a Floating Amount Payer, this is the amount which, subject to any conditions set at the time of Registry and accepted by BME CLEARING, the counterparty must pay on the Payment Date. This amount is determined based on a floating rate and calculated using the method specified in the Registry and defined by BME CLEARING in its Circular Coupons, considerations and additional payments. This is when various interest calculation periods are paid on a single date periodically. Floating Leg Index Tenor (Regular Period) This is the specific floating index tenor used to fix the periodic floating leg payment Floating Rate Index ISDA Definition Floating Leg Spread Floating Rate Negative Value Reset Floating Leg Fixing Lag (Standard) Floating Leg Fixing Lag (Non-standard) Refers to ISDA definitions (2000 and / or 2006) used to define the floating interest rate reference. This indicates the spread contracted for the floating leg. BME CLEARING accepts operations with a positive, negative or null value spread. The spread may vary alongside the duration of the trade life, increasing, decreasing or both simultaneously. "3DPS", significa que el Spread no podrá tener más de 3 decimales y se expresa en puntos básicos (bp) This indicates whether the value of the Floating Leg Index Tenor (Regular Period) can be negative (whether or not it is the result of a spread) for the floating leg. This is the lag used to fix the new rate to calculate interest for the new period as defined by market practices. This is the lag used to fix the new rate to calculate interest for the new period as defined by the counterparties. Circular C-IRS-05/2016 6/17

7 Floating Leg Reset Frequency Floating Leg Payment Frequency Floating Leg Day Count Fraction Floating Leg Compounding Floating Leg First Fixing Date Floating Leg Last Fixing Date Floating Leg Settlement Date Floating Leg Rounding Floating Leg Zero Coupon Floating Leg Stub Interpolation Floating Leg Stub Index Tenor (Front Period) Floating Leg Stub Index Tenor (Back Period) This indicates how often the interest rate is reset to the variable leg. For example, a value of "1 M" means that the interest rate on the floating leg is fix each month. This indicates the payment frequency of the floating leg. The payment frequency may not be the same as the reset frequency. However, it may not be less than the floating rate reset frequency. Floating Leg Day Count Fraction defines the method for day count used to calculate the floating leg payments. BME CLEARING will use the day count fractions defined by ISDA. This indicates the capitalisation method used to calculate the interest. This is the date the first floating interest rate is fixed. This is the date the last floating interest rate is fixed. This is the date the final payment is made. Defines the methodology for the floating interest rate rounding. "5DPS" means that the rate is rounded to 5 decimals. This indicates the IRS with a single final payment in the floating leg. Interest on the floating leg is cumulative and compounded and is paid at maturity. Occur in a period at the beginning or end of life of the trade, known as broken period or Stub, which differs from regular period defined by the frequency of the index or reference rate. The duration of the stub period or from the start to the end may not exceed one year. Flow at the start of the trade agreed. The rate applied to choice of counterparties may be: i. A reference Fixing (1W, 2W, 1M, 2M, 3M, 6M, 9M and 12M). In the case of an Overnight Index Swap the reference fixing is EONIA. ii. The result of interpolating linearly between 2 Fixing reference (1W, 2W, 1M, 2M, 3M, 6M, 9M and 12M) between nearest to the stub. In the case of an Overnight Index Swap interpolation not apply. Flow at the end of the trade agreed. The rate applied to choice of counterparties may be: i. Implicit type of the reference curve (1M, 3M, 6M and 12M). ii. The result of interpolating linearly on zero rates between the two references curves (1M, 3M, 6M and 12M) between nearest to the stub. Flow Forward Start, the implicit rate is obtained in the same way as in Flow at the end of the trade agreed. In the case of an Overnight Index Swap is referenced to EONIA. This attribute indicates the tenor for the fixing rate set on floating leg to the front stub period. Eligible values are presented according to the Floating Le Stub Interpolation (Y/N) criteria. This attribute indicates the tenor for the implicit rate calculated for the back stub periods, applicable to Forward Starting trades too. Eligible values are presented according to the Floating Leg Stub Interpolation (Y/N) criteria. Circular C-IRS-05/2016 7/17

8 Floating First Fixing Rate Floating Leg Initial Period Fixing BME CLEARING supports trades where the floating rate is already set for the initial period, whether that initial period is a regular one. BME CLEARING supports trades where the floating rate is already set for the initial period, whether that initial period is a stub period. Different Business Day conventions used for float period end dates & termination date This indicates the different business day conventions used for the payment period end date and the termination date, for the floating leg of the trade. Inconsistent Business Day Conventions (Float Leg) This indicates the use of different business day conventions for the period end date and the Termination date. Fixed leg Fixed Rate Payer or Fixed Amount Payer Fixed Amount Fixed Leg Day Count Fraction Fixed Leg Payment Frequency Fixed Leg Rate This is the counterparty making the payments at agreed times during the term of a Trade. The amounts are calculated based on a fixed rate per year or when one or more payments of a fixed amount are made. Regarding a Trade and a Fixed Amount Payer, this is the amount which, subject to any conditions established at Registry and accepted by BME CLEARING, the counterparty must pay on a Payment Date. This amount shall be determined using the methodology specified in the Registry and defined by BME CLEARING in its Circular Coupons, considerations and additional payments. Fixed Leg Day Count Fraction defines the method for day count used to calculate the fixed leg payments. BME CLEARING will use the day count fractions defined by ISDA. It is displayed with 15 decimal places. This indicates the payment frequency of the fixed leg. The fixed leg payment frequency may not coincide with the floating leg payment frequency. BME CLEARING will accept trades with a positive, negative or null value for the fixed rate. 3DPS means that the fixed rate may not be more than 3 decimals and expressed in percentage. The Fixed Rate Leg may vary alongside the duration of the trade life, increasing, decreasing or both simultaneously. Different Business Day conventions used for fixed period end dates & termination date This indicates the different business day conventions used for the payment period end date and the termination date, for the fixed leg of the trade. Inconsistent Business Day Conventions (Fixed Leg) This indicates the use of different business day conventions for the period end date and the termination date. Circular C-IRS-05/2016 8/17

9 III. Eligibility criteria BME CLEARING shall accept the registry and settlement of those trades which meet the eligibility criteria and whose terms meet the definitions and provisions contained in the document 2006 ISDA Definitions and this Circular. Swaps Currency Tenor Nocional # COUPON SWAP ZERO COUPON BASIS SWAP OIS 1 Currency EUR EUR EUR EUR 2 Multi-currency N N N N 3 Holiday Calendars The holiday calendar will The holiday calendar will be The holiday calendar will be the The holiday calendar will be be the one for the the one for the currency. one for the currency. BME the one for the currency. currency. BME BME CLEARING will follow CLEARING will follow the BME CLEARING will follow CLEARING will follow the TARGET Calendar TARGET Calendar the TARGET Calendar the TARGET Calendar 4 Minimum Term (in days) 28 Days 28 Days 28 Days 7 Days 5 Minimum Residual Term (in days) 2 Days 2 Days 2 Days 2 Days 6 Maximun Residual Term (in days) Days Days Days Days 7 Maximun Residual Term (in years) 50 Years 50 Years 50 Years 30 Years 8 Forward Starting Y Y Y Y 9 Principal Y Y Y N 10 Minimum Notional Amount Maximum Notional Amount 99,999,999, ,999,999, ,999,999, ,999,999, Circular C-IRS-05/2016 9/17

10 Floating Leg 1 # COUPON SWAP ZERO COUPON BASIS SWAP OIS 12 ISDA Index EUR-EONIA-OIS- EUR-EURIBOR-Reuters EUR-EURIBOR-Reuters EUR-EURIBOR-Reuters Denomination COMPOUND 13 Floating Leg Index Tenor (Regular 1m, 3m, 6m, 12m (same reset frequency of Floating 1m, 3m, 6m, 12m (same reset frequency of 1m, 3m, 6m, 12m (same reset frequency of Floating Daily Period) Leg 1) Floating Leg 1) Leg 1) 14 Floating Rate Index ISDA Definition ISDA 2000 /2006 ISDA 2000 /2006 ISDA 2000 /2006 ISDA 2000 / Floating Leg Spread Y: 3 DPS Y: 3 DPS Y: 3 DPS N 16 Floating Rate Negative Value Reset Y Y Y Y 17 Floating Leg Fixing Lag (Standard) -2 (2 business days prior) -2 (2 business days prior) -2 (2 business days prior) D Floating Leg Fixing Lag (Non-standard) Floating Leg Reset Frequency Floating Leg Payment Frequency Floating Leg Day Count Fraction Floating Leg Compounding Floating Leg First Fixing Date Floating Leg Last Fixing Date Floating Leg Settlement Date Floating Leg First Fixing Rate -2 (2 business days prior) -2 (2 business days prior) -2 (2 business days prior) N 1m, 3m, 6m, 12m (same reset frequency of Floating Leg 1) 1m, 3m, 6m, 12m (same reset frequency of Floating Leg 1) 1m, 3m, 6m, 12m (same reset frequency of Floating Leg 1) 1m,3m,6m,12m 1T 1m,3m,6m,12m 1D Annual multiplier: annual or at maturity Not Annual multiplier: 1 st short period, 2 nd annual period ACT/360 ACT/360 ACT/360 ACT/360 Y: Straight, Flat Y: Straight, Flat Y: Straight, Flat Y: Daily N N N N N N N N N N N N Y Y Y N Circular C-IRS-05/ /17

11 # COUPON SWAP ZERO COUPON BASIS SWAP OIS Floating Leg 1 Floating Leg 2 27 Floating Leg Rounding Y Y Y Y 28 Fixing in Arrears N Y N Y 29 Floating Leg Zero Coupon Y 30 ISDA Index EUR-EURIBOR- Denomination Reuters 31 1m, 3m, 6m, 12m Floating Leg Index (same reset Tenor (Regular frequency of Floating Period) Leg 2) 32 Floating Rate Index ISDA Definition ISDA 2000 / Floating Leg Spread Y: 3 DPS Floating Rate 34 Negative Value Y Reset Floating Leg Fixing Lag (Standard) Floating Leg Fixing Lag (Non-standard) Floating Leg Reset Frequency Floating Leg Payment Frequency Floating Leg Day Count Fraction -2 (2 business days prior) -2 (2 business days prior) 1m,3m,6m,12m (same reset frequency of Floating Leg 1) 1m,3m,6m,12m ACT/360 Circular C-IRS-05/ /17

12 Floating Leg 2 Fixed Leg # COUPON SWAP ZERO COUPON BASIS SWAP 40 Floating Leg Y: Straight, Compounding Flat 41 Floating Leg First Fixing Date N 42 Floating Leg Last Fixing Date N 43 Floating Leg Settlement Date N 44 Fixing in Arrears N 45 Floating Leg First Fixing Rate Y Y Y N 46 Floating Leg Rounding Y 47 Floating Leg Zero Coupon 48 Definitions ISDA2000: 30/360; Definiciones ISDA2000: 30E/360; ACT/360; 30/360; 30E/360; ACT/360; ACT/365.Fixed; ACT/365.Fixed; ACT/365.ISDA; ACT/365.ISDA; ACT/ACT ACT/ACT ISMA; Definiciones Fixed Leg Day Count ISMA; Definitions ISDA2006: ISDA2006: 30/360, 30E/360, Fraction 30/360, 30E/360, 30E/360 30E/360 ISDA, ACT/360, ISDA, ACT/360, ACT/365.Fixed, ACT/365.Fixed, ACT/ACT.ISDA, ACT/ACT ACT/ACT.ISDA, ACT/ACT ICMA ICMA ACT/ Fixed Leg Payment Frequency 1m,3m,6m,12m 1T OIS Annual multiplier: annual or at maturity Not Annual multiplier: 1 st short period, 2 nd annual period 50 Fixed Leg Rate Y Y Y 51 Floating Leg Zero Coupon Y Circular C-IRS-05/ /17

13 Stubs Additional Payments # COUPON SWAP ZERO COUPON BASIS SWAP OIS 52 Floating Leg Stub Interpolation (Y/N) Y Y Y N 53 Stub on Front & Back (Y/N) Y Y Y N Floating Leg Stub Index Tenor (Front Period) Floating Leg Stub Index Tenor (Back Period) Y (1W,2W, 1M, 2M, 3M, 6M, 9M,12M) Y (1M, 3M, 6M,12M) Stub period must be between 1M and 1Y Y (1W,2W, 1M, 2M, 3M, 6M, 9M,12M) Y (1M, 3M, 6M,12M) Stub period must be between 1M and 1Y Y (1W,2W, 1M, 2M, 3M, 6M, 9M,12M) Y (1M, 3M, 6M,12M) Stub period must be between 1M and 1Y 56 Stub Minimum Period (in days) D+1 Stub 1Y D+1 Stub 1Y D+1 Stub 1Y N 57 Short Term Trade entered as Back Stub only Y Y Y Y 58 Floating Leg Initial Period Fixing Y Y Y N Y (APD d+1) d = Y (APD d+1) d = Y (APD d+1) d = Y (APD d+1) d = Additional Payment date. Minimum 59 Effective Date Effective Date Effective Date Effective Date Value Date transaction agreed transaction agreed transaction agreed transaction agreed 60 Additional Payment date. Maximum Value Date Y (APD Termination Date) Y (APD Termination Date) Y (APD Termination Date) N N Y (APD Termination Date) 61 Additional Payment Currency EUR EUR EUR EUR 62 Number of Additional Payments Up to 6 additional payments. Restriction: always after the value date and before termination date. Up to 6 additional payments. Restriction: always after the value date and before termination date. Up to 6 additional payments. Restriction: always after the value date and before termination date. Up to 6 additional payments. Restriction: always after the value date and before termination date. Circular C-IRS-05/ /17

14 Roll Dates & Adjustments # COUPON SWAP ZERO COUPON BASIS SWAP OIS Different Effective Dates on legs (Y/N) Business Day Convention Different Business Day conventions used for fixed period end dates & termination date Different Business Day conventions used for float period end dates & termination date Different Business Day conventions on each leg of the contract Adjusted/Unadjusted Combinations Inconsistent Business Day Conventions (Fixed leg) Inconsistent Business Day Conventions (Float Leg) 71 Roll Convention 72 Break Clause N N N N Following, Modified Following Preceding Following, Modified Following Preceding Following, Modified Following Preceding Following, Modified Following Preceding N N N N N N N N N N N Y They may have adjusted/undajusted the: i) Effective date ii) End period iii) maturity date. Payment date will be always adjusted Y (They may have adjusted/undajusted the: i) Effective date ii) End period iii) maturity date. Payment date will be always adjusted Y (They may have adjusted/undajusted the: i) Effective date ii) End period iii) maturity date. Payment date will be always adjusted Y They may have adjusted/undajusted the: i) Effective date ii) End period iii) maturity date. Payment date will be always adjusted N N N N N N N Y Day of Month (1-30) / IMM / EOM Y (operations with BC will be admitted, but once novated at BME CLEARING, these clauses will be no longer effective as they will not be executed by the counterparties) Y Day of Month (1-30) / IMM / EOM Y (operations with BC will be admitted, but once novated at BME CLEARING, these clauses will be no longer effective as they will not be executed by the counterparties) Y Day of Month (1-30) / IMM / EOM Y (operations with BC will be admitted, but once novated at BME CLEARING, these clauses will be no longer effective as they will not be executed by the counterparties) Y Day of Month (1-30) / EOM Y (operations with BC will be admitted, but once novated at BME CLEARING, these clauses will be no longer effective as they will no tbe executed by the counterparties) Circular C-IRS-05/ /17

15 Schedules # COUPON SWAP ZERO COUPON BASIS SWAP OIS 73 Payment Lag 0 days 0 days 0 days 0 days 74 Fixed Rate Schedule Y Y Y Y 75 Floating Leg Spread Schedule Y Y Y N Circular C-IRS-05/ /17

16 Currency Tenor Nocional Miscellaneous # ELIGIBILITY CRITERIA FRA 1 Currency EUR 2 Multi-currency N 3 Holiday Calendars Minimum FRA Term (in days) Maximum FRA Term (in days) Minimum Residual Term (in days) Maximun Residual Term (in days) Maximun Residual Term (in years) The holiday calendar will be the one for the currency. BME CLEARING will follow the TARGET Calendar 3 days Euribor (1M) = 35M; Euribor (3M) = 33M; Euribor (6M) = 30M; Euribor (12M) = 24M. 2 days 1102 days 3 years 9 Forward Starting N 10 Principal N 11 Minimum Notional Amount Maximum Notional Amount 99,999, ISDA Index Denomination EUR-EURIBOR-Reuters 1m (between 27 and 37 days),3m 14 Index Tenor (between 86 and 96 days),6m (between 178 and 188 days),12m (between 363 and 373 days) 15 Index tenor different than FRA term N 16 Spread N 17 Floating Rate Negative Value Reset Y 18 Fixed Leg Rate Y 19 ISDA Definition Rules ISDA 2000 /2006: 3DPS 20 Day Count Fraction ACT/ Stub Non-Standard maturities N 22 Floating rate fixing rate tenor accepted for N interpolation 23 Stub Non-Interpolated (Y/N) N 24 Numbers of coupons per leg Additional Payment date. Minimum Value Date Additional Payment date. Maximum Value Date Additional Payment - Currency Y (APD d+1) d=trade Date (T0) Y (APD Effective Date) EUR Circular C-IRS-05/ /17

17 Miscellaneous # 28 Number of Additional Payments FRA Up to 6 additional payments. Restriction: always after the value date and before termination date. 29 Business Day Convention Following, Modified Following Preceding 30 Minimum Time to Settlement (in Business 1 day Days) 31 Fixing in Arrears N Circular C-IRS-05/ /17