ANNEX
Interest rate OTC derivatives classes subject to the clearing obligation
Table 1
Fixed-to-float interest rate swaps classes
id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
C.1.1 | Fixed-to-float | NIBOR | NOK | 28D-10Y | Single currency | No | Constant or variable |
C.1.2 | Fixed-to-float | WIBOR | PLN | 28D-10Y | Single currency | No | Constant or variable |
C.1.3 | Fixed-to-float | STIBOR | SEK | 28D-15Y | Single currency | No | Constant or variable |
Table 2
Forward rate agreement classes
id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
C.2.1 | FRA | NIBOR | NOK | 3D-2Y | Single currency | No | Constant or variable |
C.2.2 | FRA | WIBOR | PLN | 3D-2Y | Single currency | No | Constant or variable |
C.2.3 | FRA | STIBOR | SEK | 3D-3Y | Single currency | No | Constant or variable |