ANNEX
Interest rate OTC derivatives classes subject to the clearing obligation
Table 1
Basis swaps classes
id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
A.1.1 | Basis | Euribor | EUR | 28D-50Y | Single currency | No | Constant or variable |
A.1.2 | Basis | LIBOR | GBP | 28D-50Y | Single currency | No | Constant or variable |
A.1.3 | Basis | LIBOR | JPY | 28D-30Y | Single currency | No | Constant or variable |
A.1.4 | Basis | LIBOR | USD | 28D-50Y | Single currency | No | Constant or variable |
Table 2
Fixed-to-float interest rate swaps classes
id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
A.2.1 | Fixed-to-float | Euribor | EUR | 28D-50Y | Single currency | No | Constant or variable |
A.2.2 | Fixed-to-float | LIBOR | GBP | 28D-50Y | Single currency | No | Constant or variable |
A.2.3 | Fixed-to-float | LIBOR | JPY | 28D-30Y | Single currency | No | Constant or variable |
A.2.4 | Fixed-to-float | LIBOR | USD | 28D-50Y | Single currency | No | Constant or variable |
Table 3
Forward rate agreement classes
id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
A.3.1 | FRA | Euribor | EUR | 3D-3Y | Single currency | No | Constant or variable |
A.3.2 | FRA | LIBOR | GBP | 3D-3Y | Single currency | No | Constant or variable |
A.3.3 | FRA | LIBOR | USD | 3D-3Y | Single currency | No | Constant or variable |
Table 4
Overnight index swaps classes
id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
A.4.1 | OIS | EONIA | EUR | 7D-3Y | Single currency | No | Constant or variable |
A.4.2 | OIS | FedFunds | USD | 7D-3Y | Single currency | No | Constant or variable |
A.4.3 | OIS | SONIA | GBP | 7D-3Y | Single currency | No | Constant or variable |