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 |
|
E.4.1 |
OIS |
SOFR |
USD |
7D-50Y |
Single currency |
No |
Constant or variable |
|
E.4.2 |
OIS |
TONA |
JPY |
7D-30Y |
Single currency |
No |
Constant or variable |