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 |