Annex Interest rate OTC derivatives classes subject to the clearing obligation
United Kingdom
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 |