The first Delegated Regulation to implement the clearing obligation under the European Market Infrastructure Regulation (EMIR) was published in the OJEU on 1 December, following its adoption in August (see FReD 7 August). It covers the following interest rate swaps denominated in euro, pounds sterling, Japanese yen or US dollars that have specific features, including the index used as a reference for the derivative, its maturity, and the notional type:

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

The Regulation takes effect 20 days after publication, with each obligation for various types of counterparty taking effect on the dates listed in the Regulation, starting from 21 June 2016. In addition, ESMA announced that firms will have to centrally clear certain classes of interest rate swaps as of this date. (Source: First EMIR Clearing Regulation Published in OJEU and ESMA announces swap clearing will start in June 2016)