What We Clear

We give our Clearing Members and their clients access to the most liquid range of OTC interest rate swap clearing options in the marketplace today.

Your Clearing Options

At SwapClear we work with our clearing members and their clients to constantly add new products and services to our offering.

These new additions are based primarily on direct consultation and collaboration with you - our partners in the market. We have developed our broad product offering thanks to the invaluable feedback you provide us.

We are always looking for ways to provide our members and clients with ever more clearing options.

Below is a reference guide to the swap products we currently clear.

  IRS / ZC (Zero Coupon) / Basis
  Index Maturity Under Clearing Requirement Mandate?
AUD BBSW Up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 30 years.
CAD CDOR Up to 41Y Mandated for clearing by the CFTC and the CSA (Canada) if swap residual maturity is between 28 days and 30 years, for IRS/ZC only.
CZK PRIBOR Up to 16Y Not mandated for clearing by the CFTC.
DKK CIBOR
CIBOR2
Up to 31Y Not mandated for clearing by the CFTC.
EUR EURIBOR Up to 51Y Mandated for clearing by the CFTC and the CSA (Canada) if swap residual term to maturity is between 28 days and 50 years.
HKD HIBOR Up to 15.5Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 10 years, for IRS/ZC only.
HUF BUBOR Up to 21Y Not mandated for clearing by the CFTC.
ILS TELBOR Up to 11Y Not mandated for clearing by the CFTC.
MXN TIIE Up to 21Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 21 years, for IRS/ZC only.
NOK
 

NIBOR

Up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 10 years, for IRS/ZC only.
NZD BKBM-FRA Up to 31Y Not mandated for clearing by the CFTC.
PLN WIBOR Up to 16Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 10 years, for IRS/ZC only.
SEK STIBOR Up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 15 years, for IRS/ZC only.
*SGD SOR Up to 21Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 10 years.
USD LIBOR Up to 51Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 50 years.
BSBY** Up to 11Y Not mandated for clearing by the CFTC.
ZAR JIBAR Up to 31Y Not mandated for clearing by the CFTC.

*Only vanilla SGD SOR IRS eligible

As set out more fully in our Rulebook, we accept a limited sub-set of Legacy LIBOR IRS contracts denominated in CHF, GBP and JPY.

    ND IRS (Non Deliverable Interest Rate Swaps)  
  Index Maturity Under Clearing Requirement Mandate?
BRL CDI Up to 11Y Not mandated for clearing by the CFTC.
CLP ICP Up to 15.5Y Not mandated for clearing by the CFTC.
CNY CNY-Fixing Repo Rate Up to 5.5Y Not mandated for clearing by the CFTC.
COP IBR Up to 15.5Y Not mandated for clearing by the CFTC.
INR MIBOR Up to 11Y Not mandated for clearing by the CFTC.
KRW CD 91D Up to 21Y Not mandated for clearing by the CFTC.
THB THBFIX Up to 11Y Not mandated for clearing by the CFTC.
THB THOR Up to 11Y Not mandated for clearing by the CFTC.
TWD TAIBOR Up to 11Y Not mandated for clearing by the CFTC.

 

 

Inflation ZCIIS and Standard Coupon Inflation Swaps

  Index  Maturity Under Clearing Requirement Mandate?
EUR HICPxT Up to 50Y 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?
AUD BBSW vs. AONIA Up to 31Y Not mandated for clearing by the CFTC.
CAD CDOR vs. CORRA Up to 41Y Not mandated for clearing by the CFTC.
EUR EURIBOR vs. EuroSTR Up to 51Y Not mandated for clearing by the CFTC.
HKD HIBOR vs. HONIA Up to 11Y Not mandated for clearing by the CFTC.
NZD BKBM FRA vs. NZIONA Up to 11Y Not mandated for clearing by the CFTC.
USD LIBOR vs. USD-FedFunds Up to 51Y Not mandated for clearing by the CFTC.
USD LIBOR vs. SOFR Up to 51Y Not mandated for clearing by the CFTC.
USD BSBY vs. SOFR Up to 11Y Not mandated for clearing by the CFTC.
USD USD-Federal Funds-OIS-COMPOUND vs. SOFR Up to 51Y Not mandated for clearing by the CFTC.
  FRA (Forward Rate Agreement)
   Index Maturity Term  Under Clearing Requirement Mandate?
CZK PRIBOR Up to 3Y, 3M Up to 375d Not mandated for clearing by the CFTC.
DKK CIBOR2 Up to 3Y, 3M Up to 375d Not mandated for clearing by the CFTC.
EUR EURIBOR Up to 3Y, 3M Up to 375d Mandated for clearing by the CFTC and the CSA (Canada) 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.
ILS TELBOR Up to 3Y, 3M Up to 115d Not mandated for clearing by the CFTC.
NOK NIBOR Up to 3Y, 3M Up to 375d Mandated for clearing by the CFTC if residual term to maturity is between 3 days and 2 years.
PLN WIBOR Up to 3Y, 3M Up to 375d 3 days to 2 years Mandated for clearing by the CFTC if residual term to maturity is between 3 days and 2 years.
SEK STIBOR 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.
USD LIBOR Up to 3Y, 3M Up to 375d Not mandated for clearing by the CFTC.

 

  OIS (Overnight Index Swaps)
  Index Maturity Under Clearing Requirement Mandate?
AUD AONIA Up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 2 years.
CAD CORRA Up to 41Y Mandated for clearing by the CFTC and the CSA (Canada) if swap residual maturity is between 7 days and 2 years.
CHF SARON Up to 31Y Mandated for clearing by the CFTC if swap residual maturity is between 7 days and 30 years.
EUR EuroSTR Up to 51Y Mandated for clearing by the CFTC if swap residual maturity is between 7 days and 3 years.
GBP SONIA Up to 51Y Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 50 years.
HKD HONIA Up to 11Y Not mandated for clearing by the CFTC.
JPY TONA Up to 41y Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 30 years.
NOK NOWA Up to 16Y Not mandated for clearing by the CFTC.
NZD NZIONA Up to 11Y Not mandated for clearing by the CFTC.
SGD SORA Up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 10 years.
USD FEDFUNDS Up to 51Y Mandated for clearing by the CFTC and the CSA (Canada) if swap residual term to maturity is between 7 days and 3 years.
USD SOFR Up to 51Y Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 50 years.

 

  VNS (Variable Notional Swaps)
  Index Maturity Under Clearing Requirement Mandate?
AUD BBSW Up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 30 years.
AONIA Up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 2 years.
CAD CDOR Up to 41Y Mandated for clearing by the CFTC and the CSA (Canada) if swap residual maturity is between 28 days and 30 years.
CORRA Up to 41Y Mandated for clearing by the CFTC and the CSA (Canada) if swap residual maturity is between 7 days and 2 years.
CHF SARON Up to 31Y Mandated for clearing by the CFTC if swap residual maturity is between 7 days and 30 years.
CZK PRIBOR Up to 16Y Not mandated for clearing by the CFTC.
DKK CIBOR2 Up to 31Y Not mandated for clearing by the CFTC.
EUR EURIBOR Up to 51Y Mandated for clearing by the CFTC and the CSA (Canada) if swap residual term to maturity is between 28 days and 50 years.
EuroSTR Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 3 years.
GBP SONIA Up to 51Y Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 50 years.
HKD HIBOR Up to 15.5Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 10 years.
HONIA Up to 11Y Not mandated for clearing by the CFTC.
HUF BUBOR Up to 21Y Not mandated for clearing by the CFTC.
ILS TELBOR Up to 11Y Not mandated for clearing by the CFTC.
JPY TONA Up to 41y Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 30 years.
NOK NIBOR Up to 31Y

Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 10 years.

NOWA Up to 16Y Not mandated for clearing by the CFTC.
NZD BKBM FRA Up to 31Y Not mandated for clearing by the CFTC.
NZIONA Up to 11Y Not mandated for clearing by the CFTC.
PLN WIBOR Up to 16Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 10 years.
SEK STIBOR Up to 31Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 15 years.
SGD SOR Up to 21Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 10 years.
SORA Up to 31Y Mandated for clearing by the CFTC is swap residual term to maturity is between 7 days and 10 years.
USD LIBOR Up to 51Y Mandated for clearing by the CFTC if swap residual term to maturity is between 28 days and 50 years.
FEDFUNDS Mandated for clearing by the CFTC and the CSA (Canada) if swap residual term to maturity is between 7 days and 3 years.
SOFR Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 50 years.
BSBY Up to 11Y Not mandated for clearing by the CFTC.
ZAR JIBAR Up to 31Y Not mandated for clearing by the CFTC.

In addition to the swap 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
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 options
All relevant day count fractions
Backloading

Effective date with adjusted business convention

 

 

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 options
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 options
All relevant day count fractions
Backloading
OIS FRA VNS

Fixed-Float
Single Currency
Daily Compounding
Forward Starting
Non-standard Maturities
Front and/or Back Stubs
Up to 6 additional payments
Negative float & fixed rates

Spread on Floating Leg

All relevant day count fractions

Backloading

ZC with either fixed rate or known amount

Single Currency
Negative float & fixed rates
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 options
All relevant day count fractions
Backloading
ZCIIS
(Zero Coupon Inflation Indexed Swap)
  Standard Coupon Inflation Swaps

 

Additional Payment
Backloading
Compounding on Fixed Leg (Annual)
Constant Notional
Negative Fixed rate
Non-standard fixing index interpolation method
Non-Standard Inflation Index Lags

Single Currency
Spot Starting

Known Amount on the Fixed Leg (no Fixed Rate)

 

Backloading
Constant Notional
Negative Fixed rate
ParPar and Proceeds
Single Currency
Spot Starting

Up to 6 additional payments

** BLOOMBERG, BLOOMBERG INDICES and BLOOMBERG SHORT-TERM BANK YIELD INDEX are trademarks or service marks of Bloomberg Finance L.P and its affiliates (collectively, "Bloomberg") and have been licensed for use for certain purposes by LCH Group. Bloomberg is not affiliated with LCH Group and does not approve, endorse, review, or recommend any financial instrument. Bloomberg or its licensors own all proprietary rights in the Bloomberg Short-Term Bank Yield Index. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to Bloomberg Short-Term Bank Yield Index**. Bloomberg makes no warranty, express or implied, as to the Bloomberg Short-Term Bank Yield Index or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers, and vendors shall have no liability or responsibility whatsoever for any injury or damages-whether direct, indirect, consequential, incidental, punitive, or otherwise-arising in connection with the Bloomberg Short Term Bank Yield Index or any data or values relating thereto-whether arising from their negligence or otherwise.** www.bloomberg.com/professional/product/indices/bsby/

A copy of the BISL licence for use of the BSBY index is located at BSBY-Web-Terms.pdf (bbhub.io).

The BSBY index is not available for use under Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016, as it has become retained EU law and effective in the United Kingdom under the European Union (Withdrawal) Act 2018 and as it is amended (the “UK BMR”).The index will only be available for use as a benchmark in the United Kingdom following an announcement by BISL that the index is ready for launch in the United Kingdom market in compliance with the UK BMR.