ANNEX
‘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 |
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 |
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 |
Table 4
Overnight index swaps classes
id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
A.4.2 | OIS | FedFunds | USD | 7D-3Y | Single currency | No | Constant or variable |
D.4.1 | OIS | €STR | EUR | 7D-3Y | Single currency | No | Constant or variable |
D.4.2 | OIS | SONIA | GBP | 7D-50Y | Single currency | No | Constant or variable |
D.4.3 | OIS | SOFR | USD | 7D-3Y | Single currency | No | Constant or variable |