<?xml version="1.0" encoding="utf-8"?>
<Conventions>
  <!-- Deposits -->
  <Deposit>
    <Id>USD-LIBOR-CONVENTIONS</Id>
    <IndexBased>true</IndexBased>
    <Index>USD-LIBOR</Index>
  </Deposit>
  <Deposit>
    <Id>USD-DEPOSIT</Id>
    <IndexBased>true</IndexBased>
    <Index>USD-FedFunds</Index>
  </Deposit>
  <Deposit>
    <Id>USD-ON-DEPOSIT</Id>
    <IndexBased>true</IndexBased>
    <Index>USD-FedFunds</Index>
  </Deposit>
  <Deposit>
    <Id>USD-FED-FUNDS-CONVENTIONS</Id>
    <IndexBased>true</IndexBased>
    <Index>USD-FedFunds</Index>
  </Deposit>
  <!-- Forward Rate Agreements -->
  <FRA>
    <Id>USD-3M-FRA-CONVENTIONS</Id>
    <Index>USD-LIBOR-3M</Index>
  </FRA>
  <!-- Interest Rate Swaps -->
  <Swap>
    <Id>USD-3M-SWAP-CONVENTIONS</Id>
    <FixedCalendar>US,UK</FixedCalendar>
    <FixedFrequency>Semiannual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>30/360</FixedDayCounter>
    <Index>USD-LIBOR-3M</Index>
  </Swap>
  <Swap>
    <Id>USD-LIBOR-3M-SWAP</Id>
    <FixedCalendar>TARGET</FixedCalendar>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>30/360</FixedDayCounter>
    <Index>USD-LIBOR-3M</Index>
  </Swap>
  <Swap>
    <Id>USD-SWAP</Id>
    <FixedCalendar>TARGET</FixedCalendar>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>30/360</FixedDayCounter>
    <Index>USD-LIBOR-3M</Index>
  </Swap>
  <!-- Overnight Index linked Swap Legs -->
  <OIS>
    <Id>USD-OIS</Id>
    <SpotLag>2</SpotLag>
    <Index>USD-FedFunds</Index>
    <FixedDayCounter>A360</FixedDayCounter>
    <PaymentLag>2</PaymentLag>
    <EOM>false</EOM>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>Following</FixedConvention>
    <FixedPaymentConvention>Following</FixedPaymentConvention>
    <Rule>Backward</Rule>
  </OIS>
  <AverageOIS>
    <Id>USD-AVERAGE-OIS-CONVENTIONS</Id>
    <SpotLag>2</SpotLag>
    <FixedTenor>6M</FixedTenor>
    <FixedDayCounter>30/360</FixedDayCounter>
    <FixedCalendar>US</FixedCalendar>
    <FixedConvention>MF</FixedConvention>
    <FixedPaymentConvention>MF</FixedPaymentConvention>
    <Index>USD-FedFunds</Index>
    <OnTenor>3M</OnTenor>
    <RateCutoff>2</RateCutoff>
  </AverageOIS>
  <AverageOIS>
    <Id>USD-AVERAGE-Prime-CONVENTIONS</Id>
    <SpotLag>2</SpotLag>
    <FixedTenor>6M</FixedTenor>
    <FixedDayCounter>30/360</FixedDayCounter>
    <FixedCalendar>US</FixedCalendar>
    <FixedConvention>MF</FixedConvention>
    <FixedPaymentConvention>MF</FixedPaymentConvention>
    <Index>USD-Prime</Index>
    <OnTenor>3M</OnTenor>
    <RateCutoff>2</RateCutoff>
  </AverageOIS>
</Conventions>
