<Conventions>
  <CDS>
    <Id>CDS-STANDARD-CONVENTIONS</Id>
    <SettlementDays>1</SettlementDays>
    <Calendar>WeekendsOnly</Calendar>
    <Frequency>Quarterly</Frequency>
    <PaymentConvention>Following</PaymentConvention>
    <Rule>CDS2015</Rule>
    <DayCounter>A360</DayCounter>
    <SettlesAccrual>true</SettlesAccrual>
    <PaysAtDefaultTime>true</PaysAtDefaultTime>
  </CDS>
  <Deposit>
    <Id>EUR-ON-DEPOSIT</Id>
    <IndexBased>true</IndexBased>
    <Index>EUR-EONIA</Index>
  </Deposit>
  <Deposit>
    <Id>EUR-DEPOSIT</Id>
    <IndexBased>true</IndexBased>
    <Index>EUR-EURIBOR</Index>
  </Deposit>
  <Deposit>
    <Id>GBP-ON-DEPOSIT</Id>
    <IndexBased>true</IndexBased>
    <Index>GBP-SONIA</Index>
  </Deposit>
  <Deposit>
    <Id>GBP-DEPOSIT</Id>
    <IndexBased>true</IndexBased>
    <Index>GBP-LIBOR</Index>
  </Deposit>
  <FRA>
    <Id>EUR-6M-FRA</Id>
    <Index>EUR-EURIBOR-6M</Index>
  </FRA>
  <FRA>
    <Id>EUR-3M-FRA</Id>
    <Index>EUR-EURIBOR-3M</Index>
  </FRA>
  <FRA>
    <Id>GBP-3M-FRA</Id>
    <Index>GBP-LIBOR-3M</Index>
  </FRA>
  <FRA>
    <Id>GBP-6M-FRA</Id>
    <Index>GBP-LIBOR-6M</Index>
  </FRA>
  <SwapIndex>
    <Id>EUR-CMS-1Y</Id>
    <Conventions>EUR-EURIBOR-3M-SWAP</Conventions>
  </SwapIndex>
  <SwapIndex>
    <Id>EUR-CMS-30Y</Id>
    <Conventions>EUR-EURIBOR-6M-SWAP</Conventions>
  </SwapIndex>
  <SwapIndex>
    <Id>GBP-CMS-1Y</Id>
    <Conventions>GBP-LIBOR-3M-SWAP</Conventions>
  </SwapIndex>
  <SwapIndex>
    <Id>GBP-CMS-30Y</Id>
    <Conventions>GBP-LIBOR-6M-SWAP</Conventions>
  </SwapIndex>
  <Swap>
    <Id>EUR-EURIBOR-6M-SWAP</Id>
    <FixedCalendar>TARGET</FixedCalendar>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>30/360</FixedDayCounter>
    <Index>EUR-EURIBOR-6M</Index>
  </Swap>
  <Swap>
    <Id>EUR-EURIBOR-3M-SWAP</Id>
    <FixedCalendar>TARGET</FixedCalendar>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>30/360</FixedDayCounter>
    <Index>EUR-EURIBOR-3M</Index>
  </Swap>
  <Swap>
    <Id>GBP-LIBOR-6M-SWAP</Id>
    <FixedCalendar>UK</FixedCalendar>
    <FixedFrequency>Semiannual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>A365</FixedDayCounter>
    <Index>GBP-LIBOR-6M</Index>
  </Swap>
  <Swap>
    <Id>GBP-LIBOR-3M-SWAP</Id>
    <FixedCalendar>UK</FixedCalendar>
    <FixedFrequency>Semiannual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>A365</FixedDayCounter>
    <Index>GBP-LIBOR-3M</Index>
  </Swap>
  <OIS>
    <Id>EUR-OIS</Id>
    <SpotLag>2</SpotLag>
    <Index>EUR-EONIA</Index>
    <FixedDayCounter>A360</FixedDayCounter>
    <PaymentLag>1</PaymentLag>
    <EOM>false</EOM>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>Following</FixedConvention>
    <FixedPaymentConvention>Following</FixedPaymentConvention>
    <Rule>Backward</Rule>
  </OIS>
  <OIS>
    <Id>GBP-OIS</Id>
    <SpotLag>0</SpotLag>
    <Index>GBP-SONIA</Index>
    <FixedDayCounter>A365</FixedDayCounter>
    <PaymentLag>0</PaymentLag>
    <EOM>false</EOM>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>Following</FixedConvention>
    <FixedPaymentConvention>Following</FixedPaymentConvention>
    <Rule>Backward</Rule>
  </OIS>
  <TenorBasisTwoSwap>
    <Id>EURIBOR-3M-6M-BASIS</Id>
    <Calendar>TARGET</Calendar>
    <LongFixedFrequency>Annual</LongFixedFrequency>
    <LongFixedConvention>MF</LongFixedConvention>
    <LongFixedDayCounter>30/360</LongFixedDayCounter>
    <LongIndex>EUR-EURIBOR-6M</LongIndex>
    <ShortFixedFrequency>Annual</ShortFixedFrequency>
    <ShortFixedConvention>MF</ShortFixedConvention>
    <ShortFixedDayCounter>30/360</ShortFixedDayCounter>
    <ShortIndex>EUR-EURIBOR-3M</ShortIndex>
    <LongMinusShort>true</LongMinusShort>
  </TenorBasisTwoSwap>
  <TenorBasisSwap>
    <Id>GBP-LIBOR-3M-6M-BASIS</Id>
    <PayIndex>GBP-LIBOR-6M</PayIndex>
    <ReceiveIndex>GBP-LIBOR-3M</ReceiveIndex>
  </TenorBasisSwap>
  <FX>
    <Id>GBP-EUR-FX</Id>
    <SpotDays>2</SpotDays>
    <SourceCurrency>GBP</SourceCurrency>
    <TargetCurrency>EUR</TargetCurrency>
    <PointsFactor>10000</PointsFactor>
    <AdvanceCalendar>UK,TARGET</AdvanceCalendar>
    <SpotRelative>true</SpotRelative>
  </FX>
  <CrossCurrencyBasis>
    <Id>EUR-GBP-XCCY-BASIS</Id>
    <SettlementDays>2</SettlementDays>
    <SettlementCalendar>UK,TARGET</SettlementCalendar>
    <RollConvention>MF</RollConvention>
    <FlatIndex>EUR-EURIBOR-3M</FlatIndex>
    <SpreadIndex>GBP-LIBOR-3M</SpreadIndex>
  </CrossCurrencyBasis>
  <InflationSwap>
    <Id>EUHICPXT_INFLATIONSWAP</Id>
    <FixCalendar>TARGET</FixCalendar>
    <FixConvention>MF</FixConvention>
    <DayCounter>30/360</DayCounter>
    <Index>EUHICPXT</Index>
    <Interpolated>false</Interpolated>
    <ObservationLag>3M</ObservationLag>
    <AdjustInflationObservationDates>false</AdjustInflationObservationDates>
    <InflationCalendar>TARGET</InflationCalendar>
    <InflationConvention>MF</InflationConvention>
  </InflationSwap>
  <InflationSwap>
    <Id>UKRPI_INFLATIONSWAP</Id>
    <FixCalendar>UK</FixCalendar>
    <FixConvention>MF</FixConvention>
    <DayCounter>30/360</DayCounter>
    <Index>UKRPI</Index>
    <Interpolated>false</Interpolated>
    <ObservationLag>2M</ObservationLag>
    <AdjustInflationObservationDates>false</AdjustInflationObservationDates>
    <InflationCalendar>UK</InflationCalendar>
    <InflationConvention>MF</InflationConvention>
  </InflationSwap>
</Conventions>
