According to the European Securities and Markets Authority (ESMA), firms will have to centrally clear certain classes of interest rate swaps starting from 21 June 2016.

This is part of the requirements under the European Market Infrastructure Regulation (EMIR), which is the EU’s post-financial crisis derivatives regulation, which states that all standardised OTC derivative contracts be cleared through central counterparties (CCPs).

This will affect the following classes of OTC interest rate derivatives denominated in EUR, GBP, JPY and USD:

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

ESMA states that the next clearing obligations will cover index credit default swaps as well as interest rate swaps denominated in NOK, PLN and SEK.