Classes of swaps required to be cleared.

  1. Law
  2. CFR 17
  3. Commodity and Securities Exchanges
  4. Commodity Futures Trading Commission
  5. Clearing Requirement and Related Rules
  6. Definitions and Clearing Requirement
  7. Classes of swaps required to be cleared.

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§ 50.4 Classes of swaps required to be cleared.

(a) Interest rate swaps. Swaps that have the following specifications are required to be cleared under section 2(h)(1) of the Act, and shall be cleared pursuant to the rules of any derivatives clearing organization eligible to clear such swaps under § 39.5(a) of this chapter.

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Table 1a

Specification Fixed-to-floating swap class
1. Currency Australian Dollar (AUD) Canadian Dollar (CAD) Euro (EUR) Hong Kong Dollar (HKD) Mexican Peso (MXN) Norwegian Krone (NOK).
2. Floating Rate Indexes BBSW CDOR EURIBOR HIBOR TIIE-BANXICO NIBOR.
3. Stated Termination Date Range 28 days to 30 years 28 days to 30 years 28 days to 50 years 28 days to 10 years 28 days to 21 years 28 days to 10 years.
4. Optionality No No No No No No.
5. Dual Currencies No No No No No No.
6. Conditional Notional Amounts No No No No No No.
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Table 1b

Specification Fixed-to-floating swap class
1. Currency Polish Zloty (PLN) Singapore Dollar (SGD) Swedish Krona (SEK) Swiss Franc (CHF) Sterling (GBP) U.S. Dollar (USD) Yen (JPY).
2. Floating Rate Indexes WIBOR SOR-VWAP STIBOR LIBOR LIBOR LIBOR LIBOR.
3. Stated Termination Date Range 28 days to 10 years 28 days to 10 years 28 days to 15 years 28 days to 30 years 28 days to 50 years 28 days to 50 years 28 days to 30 years.
4. Optionality No No No No No No No.
5. Dual Currencies No No No No No No No.
6. Conditional Notional Amounts No No No No No No No.
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Table 2

Specification Basis swap class
1. Currency Australian Dollar (AUD) Euro (EUR) Sterling (GBP) U.S. Dollar (USD) Yen (JPY).
2. Floating Rate Indexes BBSW EURIBOR LIBOR LIBOR LIBOR.
3. Stated Termination Date Range 28 days to 30 years 28 days to 50 years 28 days to 50 years 28 days to 50 years 28 days to 30 years.
4. Optionality No No No No No.
5. Dual Currencies No No No No No.
6. Conditional Notional Amounts No No No No No.
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Table 3

Specification Forward rate agreement class
1. Currency Euro (EUR) Polish Zloty (PLN) Norwegian Krone (NOK) Swedish Krona (SEK) Sterling (GBP) U.S. Dollar (USD) Yen (JPY).
2. Floating Rate Indexes EURIBOR WIBOR NIBOR STIBOR LIBOR LIBOR LIBOR.
3. Stated Termination Date Range 3 days to 3 years 3 days to 2 years 3 days to 2 years 3 days to 3 years 3 days to 3 years 3 days to 3 years 3 days to 3 years.
4. Optionality No No No No No No No.
5. Dual Currencies No No No No No No No.
6. Conditional Notional Amounts No No No No No No No.
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Table 4

Specification Overnight index swap class
1. Currency Australian Dollar (AUD) Canadian Dollar (CAD) Euro (EUR) Sterling (GBP) U.S. Dollar (USD).
2. Floating Rate Indexes AONIA-OIS CORRA-OIS EONIA SONIA FedFunds.
3. Stated Termination Date Range 7 days to 2 years 7 days to 2 years 7 days to 3 years 7 days to 3 years 7 days to 3 years.
4. Optionality No No No No No.
5. Dual Currencies No No No No No.
6. Conditional Notional Amounts No No No No No.

(b) Credit default swaps. Swaps that have the following specifications are required to be cleared under section 2(h)(1) of the Act, and shall be cleared pursuant to the rules of any derivatives clearing organization eligible to clear such swaps under § 39.5(a) of this chapter.

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Specification North American untranched CDS indices class
Reference Entities Corporate.
Region North America.
Indices CDX.NA.IG; CDX.NA.HY.
Tenor CDX.NA.IG: 3Y, 5Y, 7Y, 10Y; CDX.NA.HY: 5Y.
Applicable Series CDX.NA.IG 3Y: Series 15 and all subsequent Series, up to and including the current Series.
CDX.NA.IG 5Y: Series 11 and all subsequent Series, up to and including the current Series.
CDX.NA.IG 7Y: Series 8 and all subsequent Series, up to and including the current Series.
CDX.NA.IG 10Y: Series 8 and all subsequent Series, up to and including the current Series.
CDX.NA.HY 5Y: Series 11 and all subsequent Series, up to and including the current Series.
Tranched No.
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Specification European untranched CDS indices class
Reference Entities Corporate.
Region Europe.
Indices iTraxx Europe.
iTraxx Europe Crossover.
iTraxx Europe HiVol.
Tenor iTraxx Europe: 5Y, 10Y.
iTraxx Europe Crossover: 5Y.
iTraxx Europe HiVol: 5Y.
Applicable Series iTraxx Europe 5Y: Series 10 and all subsequent Series, up to and including the current Series.
iTraxx Europe 10Y: Series 7 and all subsequent Series, up to and including the current Series.
iTraxx Europe Crossover 5Y: Series 10 and all subsequent Series, up to and including the current Series.
iTraxx Europe HiVol 5Y: Series 10 and all subsequent Series, up to and including the current Series.
Tranched No.

[77 FR 74335, Dec. 13, 2012, as amended at 81 FR 71239, Oct. 14, 2016]


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