EURGBP Euro Sterling volatility surface Smile BFRR Cubic 10, 25 EUR-GBP-FXOPTION * FX/EUR/GBP Yield/EUR/EUR-IN-USD Yield/GBP/GBP-IN-USD JoinHolidays(TARGET, UK) Actual/365 (Fixed) V 0.01 EURUSD Euro United States Dollar volatility surface Smile BFRR Cubic 10, 25 EUR-USD-FXOPTION * FX/EUR/USD Yield/EUR/EUR-IN-USD Yield/USD/USD-SOFR JoinHolidays(TARGET, US settlement) Actual/365 (Fixed) V 0.01 GBPUSD United Kingdom Pound United States Dollar volatility surface Smile BFRR Cubic 10, 25 GBP-USD-FXOPTION * FX/GBP/USD Yield/GBP/GBP-IN-USD Yield/USD/USD-SOFR JoinHolidays(UK settlement, US settlement) Actual/365 (Fixed) V 0.01 EUR EUR normal swaption volatilities ATM Normal Normal Flat Actual/365 (Fixed) TARGET Following 6M,1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,15Y,20Y 1Y,2Y,3Y,4Y,5Y,10Y EUR-CMS-1Y EUR-CMS-30Y 6M,1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,15Y,20Y 1Y,2Y,3Y,4Y,5Y,10Y -0.1, -0.05, -0.04, -0.03, -0.02, -0.015, -0.01, -0.0075, -0.005, -0.0025, -0.00125, 0.00125, 0.0025, 0.005, 0.0075, 0.01, 0.015, 0.02, 0.03, 0.04, 0.05, 0.1 GBP GBP normal swaption volatilities ATM Normal Normal Flat Actual/365 (Fixed) UK settlement Following 6M,1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,15Y,20Y 1Y,2Y,3Y,4Y,5Y,10Y GBP-CMS-1Y GBP-CMS-30Y 6M,1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,15Y,20Y 1Y,2Y,3Y,4Y,5Y,10Y -0.1, -0.05, -0.04, -0.03, -0.02, -0.015, -0.01, -0.0075, -0.005, -0.0025, -0.00125, 0.00125, 0.0025, 0.005, 0.0075, 0.01, 0.015, 0.02, 0.03, 0.04, 0.05, 0.1 USD-LIBOR-3M USD Libor 3M swaption vols proxied by SOFR vols SwaptionVolatility/USD-SOFR/USD-SOFR USD-CMS-SOFR-1Y USD-CMS-SOFR-30Y USD-CMS-LIBOR3M-1Y USD-CMS-LIBOR3M-30Y USD-SOFR USD-SOFR normal swaption volatilities ATM Normal Normal Flat Actual/365 (Fixed) JoinHolidays(US settlement, UK settlement) Following 6M,1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,15Y,20Y 1Y,2Y,3Y,4Y,5Y,10Y USD-CMS-SOFR-1Y USD-CMS-SOFR-30Y 6M,1Y,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,15Y,20Y 1Y,2Y,3Y,4Y,5Y,10Y -0.1, -0.05, -0.04, -0.03, -0.02, -0.015, -0.01, -0.0075, -0.005, -0.0025, -0.00125, 0.00125, 0.0025, 0.005, 0.0075, 0.01, 0.015, 0.02, 0.03, 0.04, 0.05, 0.1 SOFR EUR EUR normal cap floor volatilities Normal Flat Bilinear false Actual/365 (Fixed) TARGET Following 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y, 25Y, 30Y -0.015, -0.01, 0, 0.005, 0.01, 0.015, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.1 false EUR-EURIBOR-6M Yield/EUR/EUR-EONIA 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y, 25Y, 30Y 0 OptionletVolatilities LinearFlat LinearFlat false 0.0000000000010000 0.0000000000010000 true 5 2 2 10 TermVolatilities GBP GBP normal cap floor volatilities Normal Flat Bilinear false Actual/365 (Fixed) UK settlement Following 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y -0.01, -0.0075, -0.005, -0.0025, 0, 0.0025, 0.005, 0.0075, 0.01, 0.015, 0.02, 0.025, 0.03, 0.035, 0.04, 0.045, 0.05, 0.055, 0.065, 0.07, 0.1 false GBP-LIBOR-3M Yield/GBP/GBP-LIBOR-3M 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y 0 OptionletVolatilities LinearFlat LinearFlat false 0.0000000000010000 0.0000000000010000 true 5 2 2 10 TermVolatilities USD USD-SOFR Normal Cap Floor Volatilities Normal Flat Bilinear true Actual/365 (Fixed) US settlement Following 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y -0.0075, -0.005, -0.0025, -0.0015, 0, 0.0025, 0.005, 0.0075, 0.01, 0.015, 0.02, 0.025, 0.03, 0.035, 0.04, 0.045, 0.05, 0.06, 0.07, 0.1 false USD-SOFR 3M Yield/USD/USD-SOFR 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y 0 OptionletVolatilities BackwardFlat LinearFlat false 0.0000000000010000 0.0000000000010000 true 5 2 2 10 TermVolatilities USD-SOFR USD-SOFR Normal Cap Floor Volatilities Normal Flat Bilinear true Actual/365 (Fixed) US settlement Following 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y -0.0075, -0.005, -0.0025, -0.0015, 0, 0.0025, 0.005, 0.0075, 0.01, 0.015, 0.02, 0.025, 0.03, 0.035, 0.04, 0.045, 0.05, 0.06, 0.07, 0.1 false USD-SOFR 3M Yield/USD/USD-SOFR 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y 0 OptionletVolatilities BackwardFlat LinearFlat false 0.0000000000010000 0.0000000000010000 true 5 2 2 10 TermVolatilities USD-SOFR-3M SOFR3M vols proxied by SOFR vols CapFloorVolatility/USD-SOFR/USD-SOFR USD-SOFR 3M USD-SOFR-3M CPTY_A Generic EUR Default Curve EUR HazardRate Yield/EUR/EUR-EONIA A365 RECOVERY_RATE/RATE/CPTY_A/SR/EUR HAZARD_RATE/RATE/CPTY_A/SR/EUR/0Y CDS-STANDARD-CONVENTIONS BANK BANK EUR Default curve EUR HazardRate Yield/EUR/EUR-ESTER A365 RECOVERY_RATE/RATE/BANK/SR/EUR HAZARD_RATE/RATE/BANK/SR/EUR/0Y CDS-STANDARD-CONVENTIONS EUR-EONIA EONIA curve as spread over ESTER EUR Ibor Fallback LastRelevantPillarDate 0 1 EUR-EONIA Yield/EUR/EUR-ESTER EUR-ESTER Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 EUR-ESTER EUR ESTER discount curve bootstrapped from OIS swap rates EUR EUR-ESTER Deposit MM/RATE/EUR/ESTER/0D/1D EUR-ON-DEPOSIT-ESTER LastRelevantPillarDate 0 1 OIS IR_SWAP/RATE/EUR/ESTER/2D/1D/1W IR_SWAP/RATE/EUR/ESTER/2D/1D/2W IR_SWAP/RATE/EUR/ESTER/2D/1D/3W IR_SWAP/RATE/EUR/ESTER/2D/1D/1M IR_SWAP/RATE/EUR/ESTER/2D/1D/2M IR_SWAP/RATE/EUR/ESTER/2D/1D/3M IR_SWAP/RATE/EUR/ESTER/2D/1D/4M IR_SWAP/RATE/EUR/ESTER/2D/1D/5M IR_SWAP/RATE/EUR/ESTER/2D/1D/6M IR_SWAP/RATE/EUR/ESTER/2D/1D/7M IR_SWAP/RATE/EUR/ESTER/2D/1D/8M IR_SWAP/RATE/EUR/ESTER/2D/1D/9M IR_SWAP/RATE/EUR/ESTER/2D/1D/10M IR_SWAP/RATE/EUR/ESTER/2D/1D/11M IR_SWAP/RATE/EUR/ESTER/2D/1D/1Y IR_SWAP/RATE/EUR/ESTER/2D/1D/15M IR_SWAP/RATE/EUR/ESTER/2D/1D/18M IR_SWAP/RATE/EUR/ESTER/2D/1D/21M IR_SWAP/RATE/EUR/ESTER/2D/1D/2Y IR_SWAP/RATE/EUR/ESTER/2D/1D/3Y IR_SWAP/RATE/EUR/ESTER/2D/1D/4Y IR_SWAP/RATE/EUR/ESTER/2D/1D/5Y IR_SWAP/RATE/EUR/ESTER/2D/1D/6Y IR_SWAP/RATE/EUR/ESTER/2D/1D/7Y IR_SWAP/RATE/EUR/ESTER/2D/1D/8Y IR_SWAP/RATE/EUR/ESTER/2D/1D/9Y IR_SWAP/RATE/EUR/ESTER/2D/1D/10Y IR_SWAP/RATE/EUR/ESTER/2D/1D/11Y IR_SWAP/RATE/EUR/ESTER/2D/1D/12Y IR_SWAP/RATE/EUR/ESTER/2D/1D/15Y IR_SWAP/RATE/EUR/ESTER/2D/1D/20Y IR_SWAP/RATE/EUR/ESTER/2D/1D/25Y IR_SWAP/RATE/EUR/ESTER/2D/1D/30Y IR_SWAP/RATE/EUR/ESTER/2D/1D/40Y IR_SWAP/RATE/EUR/ESTER/2D/1D/50Y IR_SWAP/RATE/EUR/ESTER/2D/1D/60Y EUR-ESTER-OIS LastRelevantPillarDate 0 1 Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 EUR-EURIBOR-1M EUR EURIBOR 1M Index Curve EUR EUR-EONIA Deposit MM/RATE/EUR/2D/1M EUR-DEPOSIT LastRelevantPillarDate 0 1 FRA FRA/RATE/EUR/1M/1M FRA/RATE/EUR/2M/1M FRA/RATE/EUR/3M/1M FRA/RATE/EUR/4M/1M FRA/RATE/EUR/5M/1M FRA/RATE/EUR/6M/1M EUR-1M-FRA LastRelevantPillarDate 0 1 EUR-EURIBOR-1M Swap IR_SWAP/RATE/EUR/2D/1M/1Y IR_SWAP/RATE/EUR/2D/1M/2Y IR_SWAP/RATE/EUR/2D/1M/3Y IR_SWAP/RATE/EUR/2D/1M/4Y IR_SWAP/RATE/EUR/2D/1M/5Y IR_SWAP/RATE/EUR/2D/1M/6Y IR_SWAP/RATE/EUR/2D/1M/7Y IR_SWAP/RATE/EUR/2D/1M/8Y IR_SWAP/RATE/EUR/2D/1M/9Y IR_SWAP/RATE/EUR/2D/1M/10Y IR_SWAP/RATE/EUR/2D/1M/11Y IR_SWAP/RATE/EUR/2D/1M/12Y IR_SWAP/RATE/EUR/2D/1M/15Y IR_SWAP/RATE/EUR/2D/1M/20Y IR_SWAP/RATE/EUR/2D/1M/25Y IR_SWAP/RATE/EUR/2D/1M/30Y IR_SWAP/RATE/EUR/2D/1M/40Y IR_SWAP/RATE/EUR/2D/1M/50Y IR_SWAP/RATE/EUR/2D/1M/60Y EUR-EURIBOR-1M-SWAP LastRelevantPillarDate 0 1 EUR-EURIBOR-1M Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 EUR-EURIBOR-3M EUR EURIBOR 3M Index Curve EUR EUR-EONIA Deposit MM/RATE/EUR/2D/3M EUR-DEPOSIT LastRelevantPillarDate 0 1 Future MM_FUTURE/PRICE/EUR/2025-03/XICE:FEI/3M MM_FUTURE/PRICE/EUR/2025-04/XICE:FEI/3M MM_FUTURE/PRICE/EUR/2025-05/XICE:FEI/3M MM_FUTURE/PRICE/EUR/2025-06/XICE:FEI/3M MM_FUTURE/PRICE/EUR/2025-07/XICE:FEI/3M MM_FUTURE/PRICE/EUR/2025-09/XICE:FEI/3M MM_FUTURE/PRICE/EUR/2025-12/XICE:FEI/3M MM_FUTURE/PRICE/EUR/2026-03/XICE:FEI/3M MM_FUTURE/PRICE/EUR/2026-06/XICE:FEI/3M EURIBOR-3M-FUTURES LastRelevantPillarDate 0 1 Swap IR_SWAP/RATE/EUR/2D/3M/2Y IR_SWAP/RATE/EUR/2D/3M/3Y IR_SWAP/RATE/EUR/2D/3M/4Y IR_SWAP/RATE/EUR/2D/3M/5Y IR_SWAP/RATE/EUR/2D/3M/6Y IR_SWAP/RATE/EUR/2D/3M/7Y IR_SWAP/RATE/EUR/2D/3M/8Y IR_SWAP/RATE/EUR/2D/3M/9Y IR_SWAP/RATE/EUR/2D/3M/10Y IR_SWAP/RATE/EUR/2D/3M/12Y IR_SWAP/RATE/EUR/2D/3M/15Y IR_SWAP/RATE/EUR/2D/3M/20Y IR_SWAP/RATE/EUR/2D/3M/25Y IR_SWAP/RATE/EUR/2D/3M/30Y IR_SWAP/RATE/EUR/2D/3M/40Y IR_SWAP/RATE/EUR/2D/3M/50Y IR_SWAP/RATE/EUR/2D/3M/60Y EUR-EURIBOR-3M-SWAP LastRelevantPillarDate 0 1 EUR-EURIBOR-3M Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 EUR-EURIBOR-6M EUR EURIBOR 6M Index Curve EUR EUR-EONIA Deposit MM/RATE/EUR/2D/6M EUR-DEPOSIT LastRelevantPillarDate 0 1 FRA FRA/RATE/EUR/1M/6M FRA/RATE/EUR/2M/6M FRA/RATE/EUR/3M/6M FRA/RATE/EUR/4M/6M FRA/RATE/EUR/5M/6M FRA/RATE/EUR/6M/6M FRA/RATE/EUR/9M/6M FRA/RATE/EUR/12M/6M EUR-6M-FRA LastRelevantPillarDate 0 1 EUR-EURIBOR-6M Tenor Basis Two Swaps BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/2Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/3Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/4Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/5Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/6Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/7Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/8Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/9Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/10Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/12Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/15Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/20Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/25Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/30Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/40Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/50Y BASIS_SWAP/BASIS_SPREAD/3M/6M/EUR/60Y EURIBOR-3M-6M-BASIS LastRelevantPillarDate 0 1 EUR-EURIBOR-6M EUR-EURIBOR-3M Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 EUR-IN-USD EUR collateralised in USD discount curve EUR FX Forward FXFWD/RATE/EUR/USD/ON FXFWD/RATE/EUR/USD/TN FXFWD/RATE/EUR/USD/SN FXFWD/RATE/EUR/USD/1W FXFWD/RATE/EUR/USD/2W FXFWD/RATE/EUR/USD/3W FXFWD/RATE/EUR/USD/1M FXFWD/RATE/EUR/USD/2M FXFWD/RATE/EUR/USD/3M FXFWD/RATE/EUR/USD/4M FXFWD/RATE/EUR/USD/5M FXFWD/RATE/EUR/USD/6M FXFWD/RATE/EUR/USD/7M FXFWD/RATE/EUR/USD/8M FXFWD/RATE/EUR/USD/9M FXFWD/RATE/EUR/USD/10M FXFWD/RATE/EUR/USD/11M FXFWD/RATE/EUR/USD/1Y FXFWD/RATE/EUR/USD/15M FXFWD/RATE/EUR/USD/18M FXFWD/RATE/EUR/USD/21M EUR-USD-FX LastRelevantPillarDate 0 1 FX/RATE/EUR/USD Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/2Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/3Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/4Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/5Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/6Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/7Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/8Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/9Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/10Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/12Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/15Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/20Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/25Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/30Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/40Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/50Y EUR-USD-ON-XCCY-BASIS LastRelevantPillarDate 0 1 FX/RATE/EUR/USD EUR-ESTER USD-SOFR Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 GBP-IN-EUR GBP collateralised in EUR GBP Discount Ratio LastRelevantPillarDate 0 1 EUR-EONIA GBP-IN-USD EUR-IN-USD Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 GBP-IN-USD GBP collateralised in USD discount curve GBP FX Forward FXFWD/RATE/GBP/USD/ON FXFWD/RATE/GBP/USD/TN FXFWD/RATE/GBP/USD/SN FXFWD/RATE/GBP/USD/1W FXFWD/RATE/GBP/USD/2W FXFWD/RATE/GBP/USD/3W FXFWD/RATE/GBP/USD/1M FXFWD/RATE/GBP/USD/2M FXFWD/RATE/GBP/USD/3M FXFWD/RATE/GBP/USD/4M FXFWD/RATE/GBP/USD/5M FXFWD/RATE/GBP/USD/6M FXFWD/RATE/GBP/USD/7M FXFWD/RATE/GBP/USD/8M FXFWD/RATE/GBP/USD/9M FXFWD/RATE/GBP/USD/10M FXFWD/RATE/GBP/USD/11M FXFWD/RATE/GBP/USD/1Y FXFWD/RATE/GBP/USD/15M FXFWD/RATE/GBP/USD/18M FXFWD/RATE/GBP/USD/21M GBP-USD-FX LastRelevantPillarDate 0 1 FX/RATE/GBP/USD Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/2Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/3Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/4Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/5Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/6Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/7Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/8Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/9Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/10Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/12Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/15Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/20Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/25Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/30Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/40Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/GBP/1D/50Y USD-GBP-ON-XCCY-BASIS LastRelevantPillarDate 0 1 FX/RATE/GBP/USD GBP-SONIA USD-SOFR Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 GBP-LIBOR-3M GBP LIBOR 3M Index Curve GBP GBP-SONIA Ibor Fallback LastRelevantPillarDate 0 1 GBP-LIBOR-3M Yield/GBP/GBP-SONIA GBP-SONIA Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 GBP-LIBOR-6M GBP LIBOR 6M Index Curve GBP GBP-SONIA Ibor Fallback LastRelevantPillarDate 0 1 GBP-LIBOR-6M Yield/GBP/GBP-SONIA GBP-SONIA Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 GBP-SONIA GBP discount curve bootstrapped from OIS swap rates GBP GBP-SONIA Deposit MM/RATE/GBP/0D/1D GBP-ON-DEPOSIT LastRelevantPillarDate 0 1 OIS IR_SWAP/RATE/GBP/2D/1D/1W IR_SWAP/RATE/GBP/2D/1D/2W IR_SWAP/RATE/GBP/2D/1D/1M IR_SWAP/RATE/GBP/2D/1D/2M IR_SWAP/RATE/GBP/2D/1D/3M IR_SWAP/RATE/GBP/2D/1D/4M IR_SWAP/RATE/GBP/2D/1D/5M IR_SWAP/RATE/GBP/2D/1D/6M IR_SWAP/RATE/GBP/2D/1D/7M IR_SWAP/RATE/GBP/2D/1D/8M IR_SWAP/RATE/GBP/2D/1D/9M IR_SWAP/RATE/GBP/2D/1D/10M IR_SWAP/RATE/GBP/2D/1D/11M IR_SWAP/RATE/GBP/2D/1D/1Y IR_SWAP/RATE/GBP/2D/1D/15M IR_SWAP/RATE/GBP/2D/1D/18M IR_SWAP/RATE/GBP/2D/1D/21M IR_SWAP/RATE/GBP/2D/1D/2Y IR_SWAP/RATE/GBP/2D/1D/3Y IR_SWAP/RATE/GBP/2D/1D/4Y IR_SWAP/RATE/GBP/2D/1D/5Y IR_SWAP/RATE/GBP/2D/1D/6Y IR_SWAP/RATE/GBP/2D/1D/7Y IR_SWAP/RATE/GBP/2D/1D/8Y IR_SWAP/RATE/GBP/2D/1D/9Y IR_SWAP/RATE/GBP/2D/1D/10Y IR_SWAP/RATE/GBP/2D/1D/12Y IR_SWAP/RATE/GBP/2D/1D/15Y IR_SWAP/RATE/GBP/2D/1D/20Y IR_SWAP/RATE/GBP/2D/1D/25Y IR_SWAP/RATE/GBP/2D/1D/30Y IR_SWAP/RATE/GBP/2D/1D/40Y IR_SWAP/RATE/GBP/2D/1D/50Y IR_SWAP/RATE/GBP/2D/1D/60Y GBP-OIS LastRelevantPillarDate 0 1 Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 GBP-SONIA-3M Term SONIA 3M curve proxied by GBP-SONIA GBP GBP-SONIA Deposit MM/RATE/GBP/0D/1D GBP-ON-DEPOSIT OIS IR_SWAP/RATE/GBP/2D/1D/1W IR_SWAP/RATE/GBP/2D/1D/2W IR_SWAP/RATE/GBP/2D/1D/1M IR_SWAP/RATE/GBP/2D/1D/2M IR_SWAP/RATE/GBP/2D/1D/3M IR_SWAP/RATE/GBP/2D/1D/4M IR_SWAP/RATE/GBP/2D/1D/5M IR_SWAP/RATE/GBP/2D/1D/6M IR_SWAP/RATE/GBP/2D/1D/7M IR_SWAP/RATE/GBP/2D/1D/8M IR_SWAP/RATE/GBP/2D/1D/9M IR_SWAP/RATE/GBP/2D/1D/10M IR_SWAP/RATE/GBP/2D/1D/11M IR_SWAP/RATE/GBP/2D/1D/1Y IR_SWAP/RATE/GBP/2D/1D/15M IR_SWAP/RATE/GBP/2D/1D/18M IR_SWAP/RATE/GBP/2D/1D/21M IR_SWAP/RATE/GBP/2D/1D/2Y IR_SWAP/RATE/GBP/2D/1D/3Y IR_SWAP/RATE/GBP/2D/1D/4Y IR_SWAP/RATE/GBP/2D/1D/5Y IR_SWAP/RATE/GBP/2D/1D/6Y IR_SWAP/RATE/GBP/2D/1D/7Y IR_SWAP/RATE/GBP/2D/1D/8Y IR_SWAP/RATE/GBP/2D/1D/9Y IR_SWAP/RATE/GBP/2D/1D/10Y IR_SWAP/RATE/GBP/2D/1D/12Y IR_SWAP/RATE/GBP/2D/1D/15Y IR_SWAP/RATE/GBP/2D/1D/20Y IR_SWAP/RATE/GBP/2D/1D/25Y IR_SWAP/RATE/GBP/2D/1D/30Y IR_SWAP/RATE/GBP/2D/1D/40Y IR_SWAP/RATE/GBP/2D/1D/50Y IR_SWAP/RATE/GBP/2D/1D/60Y GBP-OIS Discount LogLinear A365 0.000000000001 USD-FedFunds USD discount curve bootstrapped from FED FUNDS swap rates and FedFunds-SOFR basis spreads USD Deposit MM/RATE/USD/0D/1D USD-ON-DEPOSIT LastRelevantPillarDate 0 1 OIS IR_SWAP/RATE/USD/2D/1D/2W IR_SWAP/RATE/USD/2D/1D/1M IR_SWAP/RATE/USD/2D/1D/2M IR_SWAP/RATE/USD/2D/1D/3M IR_SWAP/RATE/USD/2D/1D/4M IR_SWAP/RATE/USD/2D/1D/5M USD-FedFunds-OIS LastRelevantPillarDate 0 1 Tenor Basis Swap BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/6M BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/9M BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/1Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/15M BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/18M BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/21M BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/2Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/3Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/4Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/5Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/6Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/7Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/8Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/9Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/10Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/11Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/12Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/15Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/20Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/25Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/30Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/40Y BASIS_SWAP/BASIS_SPREAD/1D/1D/USD/SOFR_FedFunds/50Y USD-SOFR-FedFunds-3M-BASIS LastRelevantPillarDate 0 1 USD-FedFunds USD-SOFR Discount LogLinear 1 A365F 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 USD-IN-EUR USD collateralised in EUR discount curve USD FX Forward FXFWD/RATE/EUR/USD/ON FXFWD/RATE/EUR/USD/TN FXFWD/RATE/EUR/USD/SN FXFWD/RATE/EUR/USD/1W FXFWD/RATE/EUR/USD/2W FXFWD/RATE/EUR/USD/3W FXFWD/RATE/EUR/USD/1M FXFWD/RATE/EUR/USD/2M FXFWD/RATE/EUR/USD/3M FXFWD/RATE/EUR/USD/4M FXFWD/RATE/EUR/USD/5M FXFWD/RATE/EUR/USD/6M FXFWD/RATE/EUR/USD/7M FXFWD/RATE/EUR/USD/8M FXFWD/RATE/EUR/USD/9M FXFWD/RATE/EUR/USD/10M FXFWD/RATE/EUR/USD/11M FXFWD/RATE/EUR/USD/1Y FXFWD/RATE/EUR/USD/15M FXFWD/RATE/EUR/USD/18M FXFWD/RATE/EUR/USD/21M EUR-USD-FX LastRelevantPillarDate 0 1 FX/RATE/EUR/USD Cross Currency Basis Swap CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/2Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/3Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/4Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/5Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/6Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/7Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/8Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/9Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/10Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/12Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/15Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/20Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/25Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/30Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/40Y CC_BASIS_SWAP/BASIS_SPREAD/USD/1D/EUR/1D/50Y EUR-USD-ON-XCCY-BASIS LastRelevantPillarDate 0 1 FX/RATE/EUR/USD USD-SOFR EUR-ESTER Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 USD-LIBOR-1M USD LIBOR 1M Index Curve Proxy by SOFR USD Ibor Fallback LastRelevantPillarDate 0 1 USD-LIBOR-1M Yield/USD/USD-SOFR USD-SOFR Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 USD-LIBOR-3M USD LIBOR 3M Index Curve Proxied by USD-SOFR USD Ibor Fallback LastRelevantPillarDate 0 1 USD-LIBOR-3M Yield/USD/USD-SOFR USD-SOFR Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 USD-LIBOR-6M USD LIBOR 6M Index Curve Proxy by SOFR USD Ibor Fallback LastRelevantPillarDate 0 1 USD-LIBOR-6M Yield/USD/USD-SOFR USD-SOFR Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 USD-SIFMA USD SIFMA Index Curve USD USD-SOFR-3M BMA Basis Swap BMA_SWAP/RATIO/USD/3M/1Y BMA_SWAP/RATIO/USD/3M/2Y BMA_SWAP/RATIO/USD/3M/3Y BMA_SWAP/RATIO/USD/3M/4Y BMA_SWAP/RATIO/USD/3M/5Y BMA_SWAP/RATIO/USD/3M/7Y BMA_SWAP/RATIO/USD/3M/10Y BMA_SWAP/RATIO/USD/3M/12Y BMA_SWAP/RATIO/USD/3M/15Y BMA_SWAP/RATIO/USD/3M/20Y BMA_SWAP/RATIO/USD/3M/25Y BMA_SWAP/RATIO/USD/3M/30Y USD-SOFR-SIFMA-3M-BASIS-CONVENTIONS LastRelevantPillarDate 0 1 USD-SOFR-3M Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 USD-SOFR USD USD-SOFR Deposit MM/RATE/USD/SOFR/0D/1D USD-ON-SOFR-DEPOSIT LastRelevantPillarDate 0 1 USD-SOFR Future OI_FUTURE/PRICE/USD/2025-03/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-04/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-05/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-06/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-07/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-08/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-09/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-10/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-12/XCME:SRA/3M OI_FUTURE/PRICE/USD/2026-03/XCME:SRA/3M OI_FUTURE/PRICE/USD/2026-06/XCME:SRA/3M USD-SOFR-3M-FUTURES LastRelevantPillarDate 0 1 OIS IR_SWAP/RATE/USD/SOFR/0D/1D/2Y IR_SWAP/RATE/USD/SOFR/0D/1D/3Y IR_SWAP/RATE/USD/SOFR/0D/1D/4Y IR_SWAP/RATE/USD/SOFR/0D/1D/5Y IR_SWAP/RATE/USD/SOFR/0D/1D/6Y IR_SWAP/RATE/USD/SOFR/0D/1D/7Y IR_SWAP/RATE/USD/SOFR/0D/1D/8Y IR_SWAP/RATE/USD/SOFR/0D/1D/9Y IR_SWAP/RATE/USD/SOFR/0D/1D/10Y IR_SWAP/RATE/USD/SOFR/0D/1D/12Y IR_SWAP/RATE/USD/SOFR/0D/1D/15Y IR_SWAP/RATE/USD/SOFR/0D/1D/20Y IR_SWAP/RATE/USD/SOFR/0D/1D/25Y IR_SWAP/RATE/USD/SOFR/0D/1D/30Y IR_SWAP/RATE/USD/SOFR/0D/1D/40Y IR_SWAP/RATE/USD/SOFR/0D/1D/50Y USD-SOFR-OIS LastRelevantPillarDate 0 1 Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 USD-SOFR-3M SOFR 3M curve proxying SOFR USD USD-SOFR Deposit MM/RATE/USD/SOFR/0D/1D USD-ON-SOFR-DEPOSIT LastRelevantPillarDate 0 1 USD-SOFR Future OI_FUTURE/PRICE/USD/2025-03/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-04/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-05/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-06/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-07/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-08/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-09/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-10/XCME:SRA/3M OI_FUTURE/PRICE/USD/2025-12/XCME:SRA/3M OI_FUTURE/PRICE/USD/2026-03/XCME:SRA/3M OI_FUTURE/PRICE/USD/2026-06/XCME:SRA/3M USD-SOFR-3M-FUTURES LastRelevantPillarDate 0 1 OIS IR_SWAP/RATE/USD/SOFR/0D/1D/2Y IR_SWAP/RATE/USD/SOFR/0D/1D/3Y IR_SWAP/RATE/USD/SOFR/0D/1D/4Y IR_SWAP/RATE/USD/SOFR/0D/1D/5Y IR_SWAP/RATE/USD/SOFR/0D/1D/6Y IR_SWAP/RATE/USD/SOFR/0D/1D/7Y IR_SWAP/RATE/USD/SOFR/0D/1D/8Y IR_SWAP/RATE/USD/SOFR/0D/1D/9Y IR_SWAP/RATE/USD/SOFR/0D/1D/10Y IR_SWAP/RATE/USD/SOFR/0D/1D/12Y IR_SWAP/RATE/USD/SOFR/0D/1D/15Y IR_SWAP/RATE/USD/SOFR/0D/1D/20Y IR_SWAP/RATE/USD/SOFR/0D/1D/25Y IR_SWAP/RATE/USD/SOFR/0D/1D/30Y IR_SWAP/RATE/USD/SOFR/0D/1D/40Y IR_SWAP/RATE/USD/SOFR/0D/1D/50Y USD-SOFR-OIS LastRelevantPillarDate 0 1 Discount LogLinear 1 A365 0.0000000000010000 true 0.0000000000010000 0.0000000000010000 false 5 2 2 10 BANK_EUR_BORROW BANK's average borrowing spread in EUR EUR Zero Spread ZERO/YIELD_SPREAD/EUR/BANK_EUR_BORROW/A365/2Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_BORROW/A365/5Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_BORROW/A365/10Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_BORROW/A365/20Y EUR-ZERO-CONVENTIONS-TENOR-BASED EUR-EONIA BANK_EUR_LEND BANK's average lending spread in EUR EUR Zero Spread ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/2Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/5Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/10Y ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/20Y EUR-ZERO-CONVENTIONS-TENOR-BASED EUR-EONIA true true 1P, 5P, 10P, 15P, 20P, 25P, 30P, 35P, 40P, 45P, ATM, 45C, 40C, 35C, 30C, 25C, 20C, 15C, 10C, 5C, 1C 0.5, 0.6, 0.7, 0.8, 0.85, 0.9, 0.95, 0.96, 0.97, 0.98, 0.99, 1, 1.01, 1.02, 1.03, 1.04, 1.05, 1.1, 1.15, 1.2, 1.3, 1.4, 1.5 1D, 1W, 2W, 1M, 2M, 3M, 6M, 9M, 1Y, 2Y, 3Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y true true 1P, 5P, 10P, 15P, 20P, 25P, 30P, 35P, 40P, 45P, ATM, 45C, 40C, 35C, 30C, 25C, 20C, 15C, 10C, 5C, 1C 0.5, 0.6, 0.7, 0.8, 0.85, 0.9, 0.95, 0.96, 0.97, 0.98, 0.99, 1, 1.01, 1.02, 1.03, 1.04, 1.05, 1.1, 1.15, 1.2, 1.3, 1.4, 1.5 1D, 1W, 2W, 1M, 2M, 3M, 6M, 9M, 1Y, 2Y, 3Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y true false -0.02, -0.01, 0.00, 0.01, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09, 0.1 1M, 3M, 6M, 9M, 12M, 15M, 18M, 21M, 24M, 27M, 30M, 33M, 36M, 39M, 42M, 45M, 48M, 51M, 54M, 57M, 60M, 63M, 66M, 69M, 72M, 75M, 78M, 81M, 84M, 87M, 90M, 93M, 96M, 99M, 102M, 105M, 108M, 111M, 114M, 117M, 120M, 123M, 126M, 129M, 132M, 135M, 138M, 141M, 144M, 147M, 150M, 153M, 156M, 159M, 162M, 165M, 168M, 171M, 174M, 177M, 180M, 183M, 186M, 189M, 192M, 195M, 198M, 201M, 204M, 207M, 210M, 213M, 216M, 219M, 222M, 225M, 228M, 231M, 234M, 237M, 240M, 243M, 246M, 249M, 252M, 255M, 258M, 261M, 264M, 267M, 270M, 273M, 276M, 279M, 282M, 285M, 288M, 291M, 294M, 297M, 300M, 303M, 306M, 309M, 312M, 315M, 318M, 321M, 324M, 327M, 330M, 333M, 336M, 339M, 342M, 345M, 348M, 351M, 354M, 357M, 360M false true -0.02, -0.01, 0.00, 0.01, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09, 0.10 -0.02, -0.015, -0.01, -0.005, 0.00, 0.005, 0.01, 0.015, 0.02, 0.03 1M, 3M, 6M, 9M, 1Y, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 15Y, 20Y, 25Y, 30Y 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 15Y, 20Y, 25Y, 30Y