Products

  IRS / ZC (Zero Coupon) / Basis
  Index Maturity Under Clearing Requirement Mandate?
AUD BBR-BBSW up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 30 years.
CAD BA-CDOR up to 31Y Not mandated for clearing by the CFTC.
CHF LIBOR up to 31Y Not mandated for clearing by the CFTC.
CZK PRIBOR up to 10Y, 6M Not mandated for clearing by the CFTC.
DKK CIBOR-DKNA13
CIBOR2-DKNA13
up to 31Y Not mandated for clearing by the CFTC.
EUR LIBOR up to 51Y Not mandated for clearing by the CFTC.
EURIBOR-Telerate
EURIBOR-Reuters
up to 51Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 50 years.
GBP LIBOR up to 51Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 50 years.
HKD HIBOR-HIBOR
HIBOR-HKAB
HIBOR-ISDC
up to 10Y, 6M Not mandated for clearing by the CFTC.
HUF BUBOR-Reuters up to 10Y, 6M Not mandated for clearing by the CFTC.
JPY LIBOR up to 41Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 30 years.
MXN TIIE-Banxico up to 10Y, 6M Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 21 years.
NOK
 
NIBOR-OIBOR  
NIBOR-NIBR
 
up to 15Y, 6M Not mandated for clearing by the CFTC.
NZD BBR-FRA
BBR-Telerate
up to 15Y, 6M Not mandated for clearing by the CFTC.
PLN PLN-WIBOR
PLZ-WIBOR
up to 15Y, 6M Not mandated for clearing by the CFTC.
SEK STIBOR up to 31Y Not mandated for clearing by the CFTC.
SGD SOR-VWAP up to 10Y, 6M Not mandated for clearing by the CFTC.
USD LIBOR up to 51Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 50 years.
ZAR JIBAR up to 10Y, 6M Not mandated for clearing by the CFTC.
 
Inflation ZCIIS
  Index  Maturity Under Clearing Requirement Mandate?
EUR HICPxT up to 30Y Not mandated for clearing by the CFTC.
FRF CPIxT up to 30Y Not mandated for clearing by the CFTC.
GBP RPI up to 50Y Not mandated for clearing by the CFTC.
USD CPI up to 30Y Not mandated for clearing by the CFTC.
 
Basis Overnight / IBOR
  Index  Maturity Under Clearing Requirement Mandate?
GBP LIBOR vs. SONIA up to 31Y Not mandated for clearing by the CFTC.
USD LIBOR vs. USD-FedFunds-H15-LIBOR-BBA up to 31Y Not mandated for clearing by the CFTC.
  FRA (Forward Rate Agreement)
   Index Maturity Term  Under Clearing Requirement Mandate?
CHF LIBOR up to 3Y, 3M up to 375d Not mandated for clearing by the CFTC.
CZK PRIBOR up to 3Y, 3M up to 375d Not mandated for clearing by the CFTC.
DKK CIBOR2-DKNA13 up to 3Y, 3M up to 375d Not mandated for clearing by the CFTC.
EUR LIBOR up to 3Y up to 375d Not mandated for clearing by the CFTC.
EURIBOR-Reuters up to 3Y, 3M up to 375d Mandated for clearing by the CFTC if residual term to maturity is between 3 days and 3 years.
GBP LIBOR up to 3Y, 3M up to 375d Mandated for clearing by the CFTC if residual term to maturity is between 3 days and 3 years.
HUF BUBOR up to 3Y, 3M up to 375d Not mandated for clearing by the CFTC.
JPY LIBOR up to 3Y, 3M up to 375d Mandated for clearing by the CFTC if residual term to maturity is between 3 days and 3 years.
NOK NIBOR up to 3Y, 3M up to 375d Not mandated for clearing by the CFTC.
PLN PLN-WIBOR up to 3Y, 3M up to 375d Not mandated for clearing by the CFTC.
SEK STIBOR up to 3Y, 3M up to 375d Not mandated for clearing by the CFTC.
USD LIBOR up to 3Y, 3M up to 375d Mandated for clearing by the CFTC if residual term to maturity is between 3 days and 3 years.

  OIS (Overnight Index Swaps)
  Index Maturity Under Clearing Requirement Mandate?
AUD AONIA up to 5Y, 6M Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 2 years.
CAD CORRA up to 2Y, 3M Not mandated for clearing by the CFTC.
CHF TOIS up to 1Y Trade eligibility for contracts referencing TOIS will be reduced to 29 December 2017 as this is the last publication date for the TOIS index as indicated by its administrator,  ACI Suisse, in an announcement on 15 November 2016.  Members with trades beyond this date will be eligible to clear offsetting trades to remove risk.
EUR EONIA up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 3 years.
GBP SONIA up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 3 years.
JPY TONA up to 31y Not mandated for clearing by the CFTC.
USD FEDFUNDS up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 3 years.

  VNS (Variable Notional Swaps)
  Index Maturity Under Clearing Requirement Mandate?
AUD BBR-BBSW Up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 30 years.
CAD BA-CDOR Up to 31Y Not mandated for clearing by the CFTC.
JPY LIBOR-BBA Up to 31Y Not mandated for clearing by the CFTC.
EUR LIBOR up to 51Y Not mandated for clearing by the CFTC.
EURIBOR-Telerate
EURIBOR-Reuters
up to 51Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 50 years.
GBP LIBOR up to 51Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 50 years.
NOK NIBOR-NIBR
NIBOR-OIBOR
Up to 15Y, 6M Not mandated for clearing by the CFTC.
PLN WIBOR-WIBO Up to 15Y, 6M Not mandated for clearing by the CFTC.
SEK STIBOR-SIDE Up to 31Y Not mandated for clearing by the CFTC.
USD LIBOR up to 51Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 50 years.


In addition to the swaps classes, indexes and maturities listed above, we describe below the trade characteristics eligible for clearing by SwapClear for each class of swap.

IRS ZC BASIS
Fixed-Float
Single Currency
Front and/or Back Stubs
Constant Notional
Forward Starting
Spread on floating leg
Non-standard Maturities 
Initial Fixing Rate
Up to 6 additional payments
Negative float & fixed rates
Compounding (Flat or Straight)
Many reset & payment frequency option
All relevant day count fractions
Backloading

 

Fixed-Float
ZC on fixed led, floating leg or both legs
Single Currency
Constant Notional
Forward Starting
Spread on floating leg
Non-standard Maturities
Front or Back Stubs
Initial Fixing Rate
Up to 6 additional payments
Negative float & fixed rates
Compounding (Flat or Straight)
Many reset & payment frequency option
All relevant day count fractions
Backloading
Float-Float
Single Currency
Basis across indices and/or tenors
Front and/or Back Stubs
Forward Starting
Spread on floating leg(s)
Non-standard Maturities
Initial Fixing Rate
Up to 6 additional payments
Negative float & fixed rates
Compounding (Flat or Straight)
Many reset & payment frequency option
All relevant day count fractions
Backloading
OIS FRA VNS
Fixed-Float
Single Currency
Constant Notional
Daily Compounding
Forward Starting
Non-standard Maturities
Front or Back Stubs
Up to 6 additional payments
Negative float & fixed rates
Yearly or ZC payment frequency
All relevant day count fractions
Backloading
Single Currency
Negative float & fixed rates
ISDA 2006
Non-standard Maturities
Fixed-Float
Single Currency
Variable Notional and/or Spread and/or Fixed Rate
Forward Starting
Spread on floating leg
Non-standard Maturities
Front or Back Stubs
Initial Fixing Rate
Up to 6 additional payments
Negative float & fixed rates
Compounding (Flat or Straight)
Many reset & payment frequency option
All relevant day count fractions
Backloading
ZCIIS
(Zero Coupon Inflation Indexed Swap)
Additional Payment            
Backloading            
Compounding on Fixed Leg (Annual)            
Constant Notional            
Modified Following Business Day Convention
Negative Fixed rate            
Non-standard fixing index interpolation method        
Non-Standard Inflation Index Lags            
Single Currency            
Spot Starting