ANNEX - Interest rate OTC derivatives classes subject to the clearing obligation
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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# Table 1 in anx_1
| 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 in anx_1
| 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 |