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. |
| CZK | PRIBOR | Up to 16Y | Not mandated for clearing by the CFTC. |
| DKK | CIBOR | Up to 31Y | Not mandated for clearing by the CFTC. |
| CIBOR2 | |||
| 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. |
| ZAR | JIBAR | Up to 31Y | Not mandated for clearing by the CFTC. |
As set out more fully in our Rulebook, we accept a limited sub-set of Legacy LIBOR IRS contracts denominated in USD, 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 | 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. |
| 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 | USD-Federal Funds-OIS-COMPOUND vs. SOFR | Up to 51Y | Not mandated for clearing by the CFTC. |
| USD | USD-Federal Funds vs. SOFR | Up to 51Y | Not mandated for clearing by the CFTC. |
| USD | SOFR 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. |
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. |
| DKK | DESTR | Up to 11Y | Not mandated for clearing by the CFTC. |
| 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. |
| ILS | SHIR | 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. |
| MXN | TIIE ON | Up to 21Y | Not mandated for clearing by the CFTC. |
| NOK | NOWA | Up to 16Y | Not mandated for clearing by the CFTC. |
| NZD | NZIONA | Up to 11Y | Not mandated for clearing by the CFTC. |
| SEK | SWESTR | 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. |
| ZAR | ZARONIA | Up to 31Y | Not mandated for clearing by the CFTC. |
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 | 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. |
| DESTR | Up to 11Y | 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. |
| SHIR | 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. |
| SWESTR | Up to 11Y | Not mandated for clearing by the CFTC. | |
| SGD | SORA | Up to 31Y | Mandated for clearing by the CFTC is 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. |
| SOFR | Mandated for clearing by the CFTC if swap residual term to maturity is between 7 days and 50 years. | ||
| ZAR | JIBAR | Up to 31Y | Not mandated for clearing by the CFTC. |
| ZARONIA |
As set out more fully in our Rulebook, we accept a limited sub-set of Legacy LIBOR VNS contracts denominated in USD.
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 |
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