As of Monday, March 11, 2013, swap dealers and private funds active in the swaps market began 

clearing certain CDS and interest rate swaps that they entered into on or after March 11. The 

clearing requirement applies to newly executed swaps, as well as changes in the ownership of a 

swap. The five swap classes that are required to be cleared include the swaps meeting the 

following specifications:

Specification Fixed-to-Floating Swap Class

1. Currency U.S. Dollar 

(USD)

Euro (EUR) Sterling (GBP) Yen (JPY)

2. Floating Rate 

Indexes 

LIBOR EURIBOR LIBOR LIBOR

3. Stated 

Termination Date 

Range

28 days to 50 

years

28 days to 50 

years

28 days to 50 

years

28 days to 30 

years

4. Optionality No No No No

5. Dual Currencies No No No No

6. Conditional 

Notional Amounts

No No No No

Specification Basis Swap Class

1. Currency U.S. Dollar 

(USD)

Euro (EUR) Sterling (GBP) Yen (JPY)

2. Floating Rate 

Indexes 

LIBOR EURIBOR LIBOR LIBOR

3. Stated 

Termination Date 

Range

28 days to 50 

years

28 days to 50 

years

28 days to 50 

years

28 days to 30 

years

4. Optionality No No No No

5. Dual Currencies No No No No

6. Conditional 

Notional Amounts

No No No No

Specification Forward Rate Agreement Class

1. Currency U.S. Dollar 

(USD)

Euro (EUR) Sterling (GBP) Yen (JPY)

2. Floating Rate 

Indexes 

LIBOR EURIBOR LIBOR LIBOR

3. Stated 

Termination Date 

Range

3 days to 3 

years

3 days to 3 

years

3 days to 3 

years

3 days to 3 

years

4. Optionality No No No No

5. Dual Currencies No No No No

6. Conditional No No No No
Notional Amounts

Specification Overnight Index Swap Class

1. Currency U.S. Dollar 

(USD)

Euro (EUR) Sterling (GBP)

2. Floating Rate 

Indexes 

FedFunds EONIA SONIA

3. Stated 

Termination Date 

Range

7 days to 2 

years

7 days to 2 

years

7 days to 2 

years

4. Optionality No No No

5. Dual Currencies No No No

6. Conditional 

Notional Amounts

No No No

Specification North American Untranched CDS Indices Class

1. Reference 

Entities

Corporate 

2. Region North America

3. Indices CDX.NA.IG

CDX.NA.HY

4. Tenor CDX.NA.IG: 3Y, 5Y, 7Y, 10Y

CDX.NA.HY: 5Y

5. 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

6. Tranched No

Accounts managed by third party investment managers, as well as ERISA pension plans, have 

until September 9, 2013, to begin clearing swaps entered into on or after that date. All other 

financial entities are required to clear swaps beginning on June 10, 2013, for swaps entered into 

on or after that date. With regard to the CDS indices on European corporate names, iTraxx, 

following the compliance dates apply: April 26, 2013, for Category 1 Entities; July 25, 2013, for 
Category 2 Entities; and October 23, 2013, for all other entities. The specifications for iTraxx 

include the following:

Specification European Untranched CDS Indices Class

1. Reference 

Entities

Corporate 

2. Region Europe

3. Indices

iTraxx Europe

iTraxx Europe Crossover

iTraxx Europe HiVol

4. Tenor 

iTraxx Europe: 5Y, 10Y

iTraxx Europe Crossover: 5Y

iTraxx Europe HiVol: 5Y

5. 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

6. Tranched No

Market participants electing an exception from mandatory clearing under section 2(h)(7) of the 

CEA do not have to comply with the reporting requirements for electing the exception until 

September 9, 2013.