17 C.F.R. § 50.4
(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.
Table 1aSpecificationFixed-to-floating swap class 1. CurrencyAustralian Dollar (AUD)Canadian Dollar (CAD)Euro (EUR)Hong Kong Dollar (HKD)Mexican Peso (MXN)Norwegian Krone (NOK). 2. Floating Rate IndexesBBSWCDOREURIBORHIBORTIIE-BANXICONIBOR. 3. Stated Termination Date Range28 days to 30 years28 days to 30 years28 days to 50 years28 days to 10 years28 days to 21 years28 days to 10 years. 4. OptionalityNoNoNoNoNoNo. 5. Dual CurrenciesNoNoNoNoNoNo. 6. Conditional Notional AmountsNoNoNoNoNoNo.
Table 1bSpecificationFixed-to-floating swap class 1. CurrencyPolish Zloty (PLN)Singapore Dollar (SGD)Swedish Krona (SEK)Swiss Franc (CHF)Sterling (GBP)U.S. Dollar (USD)Yen (JPY). 2. Floating Rate IndexesWIBORSOR-VWAPSTIBORLIBORLIBORLIBORLIBOR. 3. Stated Termination Date Range28 days to 10 years28 days to 10 years28 days to 15 years28 days to 30 years28 days to 50 years28 days to 50 years28 days to 30 years. 4. OptionalityNoNoNoNoNoNoNo. 5. Dual CurrenciesNoNoNoNoNoNoNo. 6. Conditional Notional AmountsNoNoNoNoNoNoNo.
Table 2SpecificationBasis swap class 1. CurrencyAustralian Dollar (AUD)Euro (EUR)Sterling (GBP)U.S. Dollar (USD)Yen (JPY). 2. Floating Rate IndexesBBSWEURIBORLIBORLIBORLIBOR. 3. Stated Termination Date Range28 days to 30 years28 days to 50 years28 days to 50 years28 days to 50 years28 days to 30 years. 4. OptionalityNoNoNoNoNo. 5. Dual CurrenciesNoNoNoNoNo. 6. Conditional Notional AmountsNoNoNoNoNo.
Table 3SpecificationForward rate agreement class 1. CurrencyEuro (EUR)Polish Zloty (PLN)Norwegian Krone (NOK)Swedish Krona (SEK)Sterling (GBP)U.S. Dollar (USD)Yen (JPY). 2. Floating Rate IndexesEURIBORWIBORNIBORSTIBORLIBORLIBORLIBOR. 3. Stated Termination Date Range3 days to 3 years3 days to 2 years3 days to 2 years3 days to 3 years3 days to 3 years3 days to 3 years3 days to 3 years. 4. OptionalityNoNoNoNoNoNoNo. 5. Dual CurrenciesNoNoNoNoNoNoNo. 6. Conditional Notional AmountsNoNoNoNoNoNoNo.
Table 4SpecificationOvernight index swap class 1. CurrencyAustralian Dollar (AUD)Canadian Dollar (CAD)Euro (EUR)Sterling (GBP)U.S. Dollar (USD). 2. Floating Rate IndexesAONIA-OISCORRA-OISEONIASONIAFedFunds. 3. Stated Termination Date Range7 days to 2 years7 days to 2 years7 days to 3 years7 days to 3 years7 days to 3 years. 4. OptionalityNoNoNoNoNo. 5. Dual CurrenciesNoNoNoNoNo. 6. Conditional Notional AmountsNoNoNoNoNo.
(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.
| 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. |
| 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]