The European Securities and Markets Authority (ESMA) has issued a press release stating that firms will have to centrally clear certain classes of interest rate swaps starting from 21 June 2016. The incoming clearing obligation will cover the following classes of over-the-counter interest rate derivatives denominated in the G4 currencies (EUR, GBP, JPY and USD):

  • fixed-to-float interest rate swaps (also known as plain vanilla);
  • float-to-float swaps (also known as basis swaps);
  • forward rate agreements; and
  • overnight index swaps.

The next clearing obligations will cover index credit default swaps as well as interest rate swaps denominated in NOK, PLN and SEK, regarding which ESMA has submitted draft regulatory technical standards to the European Commission in October and November 2015 respectively.

View European swap clearing to start in June 2016, 2 December 2015