Interest Rate SwapClearing Products

List of Clearing Products

IRS transactions cleared by JSCC

No

Types of Products

IRS Fix-Float

1

JPY-LIBOR-ICE ("JPY LIBOR") (1M,3M,6M)

2

JPY-TIBOR-ZTIBOR("Z TIBOR") (1M,3M,6M)

3

JPY-TIBOR-17097 ("D TIBOR") (1M,3M,6M)

4

USD-LIBOR-ICE(1M,3M,6M)

5

EUR-EURIBOR-Telerate (3M,6M)

6

EUR-EURIBOR-Reuters (3M,6M)

7

AUD-BBR-BBSW (3M,6M)

8

JPY-TONA-OIS-COMPOUND

Basis Swap-Tenor Swap(JPY)

9

JPY LIBOR (1M,3M,6M)

10

Z TIBOR (1M,3M,6M)

11

D TIBOR (1M,3M,6M)

Basis Swap-Tenor Swap(USD)

12

USD-LIBOR-ICE(1M,3M,6M)

Basis Swap-Tenor Swap(EUR)

13

EUR-EURIBOR-Telerate (3M,6M)

14

EUR-EURIBOR-Reuters (3M,6M)

Basis Swap-Tenor Swap(AUD)

14

AUD-BBR-BBSW (3M,6M)

Basis Swap-Curve Swap

16

JPY LIBOR vs Z TIBOR

17

JPY LIBOR vs D TIBOR

18

Z TIBOR vs D TIBOR

To be eligible for Clearing, Interest Rate Swap (IRS) transactions must meet all of the following requirements prescribed by JSCC:

  1. Master Agreement and Definitions
    An IRS transaction which is executed in accordance with ISDA Master Agreement and Definitions (2000 Definitions or 2006 Definitions; herein after referred to as “ISDA Definitions”)
  2. Requirements of Counter Party to the Transaction
    An IRS transaction which is conducted between IRS Clearing Participants of JSCC (including Clearing Brokerage) and they agree to use JSCC services.
  3. Types of Swaps
    • An IRS transaction with an exchange of a fixed rate and a floating rate
    • An IRS transaction with an exchange of a floating rate and another floating rate
  4. Types of Floating Rates
    • JPY-LIBOR (published by ICE Benchmark Administration Limited)
    • ZTIBOR (JPY-TIBOR published by Japanese Bankers Association)
    • DTIBOR (JPY-TIBOR published by Japanese Bankers Association)
    • OIS (the weighted average of the unsecured overnight call rate published by the Bank of Japan)
    • USD-LIBOR (USD-LIBOR published by ICE Benchmark Administration Limited)
    • EURIBOR (EUR-EURIBOR published by European Money Markets Institute)
    • BBSW (AUD-BBSW published by the Australian Financial Markets Association)
  5. Floating Period
    • For JPY-LIBOR, ZTIBOR, DTIBOR and USD-LIBOR Swaps, periods for floating rate shall be 1month, 3 months or 6 months.
    • For EURIBOR and BBSW Swaps, periods for floating rate shall be 3 months or 6 months.
    • For OISs, the period for floating rate shall be 1 day.
  6. Stub
    Either a front stub or a back stub is available only.
  7. Currencies
    • For JPY-LIBOR, ZTIBOR, DTIBOR and OIS, the currency of IRS transactions shall be Japanese yen
    • For USD-LIBOR, the currency of IRS transactions shall be United States dollars.
    • For URIBOR, the currency of IRS transactions shall be Euro.
    • For BBSW, the currency of IRS transactions shall be Australian dollars.
  8. Minimum Contract Residual Term
    Minimum Contract Residual Term (t the number of days from the start date of the contract through the end date) shall be 28 days or more; provided, however, that in the case of OIS swaps, it shall be 7 days or mor
  9. Remaining Period to Termination Date
    • For JPY-LIBOR Swaps, the remaining term of the contract (the number of days from the request date for clearing through the termination date; hereinafter the same applies) shall be not less than 3 days and not more than14,623 days.
    • For ZTIBOR Swaps, the remaining period shall be not less than 3 days and not more than 7,318 days.
    • For DTIBOR Swaps, the remaining period shall be not less than 3 days and not more than 3,666 days.
    • For OISs, the remaining period shall be not less than 3 days and not more than 14,623 days.
    • For USD-LIBOR Swap, the remaining period shall be not less than 3 days and not more than 10,971 days.
    • For EURIBOR Swaps, the remaining period shall be not less than 3 days and not more than 7,318 days.
    • For BBSW Swaps, the remaining period shall be not less than 3 days and not more than 3,666 days.
  10. Notional Amount
    The Notional Amount of the IRS transaction is constant throughout the Term, or has feature of periodic step-down or step-up, where in the method of such periodic step-down or step-up is agreed at the execution of the IRS Transaction and will not be changed during the term of such IRS transaction. In addition, the Notional Amount must satisfy the following criterion in accordance with each classification.

    • For JPY-LIBOR, ZTIBOR or DTIBOR Swaps, or OISs, the Notional Amount shall be more than JPY1 and less than JPY4 Trillion.
    • For USD-LIBOR, EURIBOR or BBSW Swaps, the currency unit of the Notional Amount shall be equal or more than on hundredth but less than 4 trillion.
  11. Day Count Fraction
    For JPY-LIBOR, ZTIBOR, USD-LIBOR and EURIBOR Swaps, Day Count shall be on ACT/360 stipulated by ISDA Definitions. For DTIBOR, OIS and BBSW Swaps, Day Count is on Actual/365 (Fixed) stipulated by ISDA Definitions, and for fixed rate, that is on a method stipulated by ISDA Definitions.
  12. Business Day Convention
    Business Day Convention shall be Following Day Convention, Modified Following, or Preceding Business Day Convention stipulated by ISDA Definitions.
  13. Financial Center for Interest Payment
    IRS transactions must have the principal payment financial centers according to the classification listed below. In addition to each principal center below, Tokyo, London, New York, Target or Sydney (including transactions with multiple Financial Centers) can be added as Financial Center.

    • For JPY-LIBOR, ZTIBOR, DTIBOR Swaps and OIS: Tokyo
    • For USD-LIBOR Swap: New York
    • For EURIBOR Swap: Target
    • For BBSW Swap: Sydney
  14. Financial Center for Rate Fixing
    IRS transactions must have the principal fixing financial centers according to the classification listed below. In addition to each principal center below, Tokyo, London, New York, Target or Sydney (including transactions with multiple Financial Centers) can be added as Financial Center.

    • For ZTIBOR and DTIBOR Swaps, and OIS: Tokyo
    • For JPY-LIBOR and USD-LIBOR Swaps: London
    • For EURIBOR Swap: Target
    • For BBSW Swap: Sydney
  15. Other Conditions

See “Matters Prescribed as Requirements