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 |