Interest Rate SwapClearing Products
List of Clearing Products
IRS transactions cleared by JSCC
No |
Types of Products* |
---|---|
IRS Fix-Float |
|
1 |
JPY-TONA-OIS-COMPOUND or JPY-TONA-OIS-Compound ("OIS") |
2 |
JPY-TIBOR-ZTIBOR or JPY-Euroyen TIBOR ("Z TIBOR") (1M,3M,6M) |
3 |
JPY-TIBOR-17097 or JPY-TIBOR ("D TIBOR") (1M,3M,6M) |
Basis Swap-Tenor Swap(JPY) |
|
4 |
Z TIBOR (1M,3M,6M) |
5 |
D TIBOR (1M,3M,6M) |
6 |
OIS |
Basis Swap-Curve Swap |
|
7 |
OIS vs Z TIBOR |
8 |
OIS vs D TIBOR |
9 |
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.Definitions
- An IRS transaction which is executed in accordance with ISDA Definitions (2000 Definitions, 2006 Definitions or 2021 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
- a.An IRS transaction with an exchange of a fixed rate and a floating rate
b.An IRS transaction with an exchange of a floating rate and another floating rate - 4.Types of Floating Rates
- a.OIS (the weighted average of the unsecured overnight call rate published by the Bank of Japan)
b.ZTIBOR (Euroyen TIBOR published by Japanese Bankers Association TIBOR Administration)
c.DTIBOR (JPY-TIBOR published by Japanese Bankers Association TIBOR Administration)
- 5.Floating Period
- a.For OIS Swaps, the period for floating rate shall be 1 day.
b.For ZTIBOR and DTIBOR Swaps, periods for floating rate shall be 1 month, 3 months or 6 months. - 6.Stub
- Either a front stub, a back stub and front and back stubs are available.
- 7.Currencies
- For OIS, ZTIBOR and DTIBOR Swaps, the currency of IRS transactions shall be Japanese yen
- 8.Minimum Contract Residual Term
- Minimum Contract Residual Term (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 more
- 9.Remaining Period to Termination Date
- a. For OIS Swaps, the remaining period (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 than 14,623 days.
b.For ZTIBOR Swaps, the remaining period shall be not less than 3 days and not more than 10,971 days.
c.For DTIBOR Swaps, the remaining period shall be not less than 3 days and not more than 10,971 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 shall be more than JPY1 and less than JPY4 Trillion.
- 11.Day Count Fraction
- For OIS and DTIBOR Swaps, Day Count is on Actual/365 (Fixed) stipulated by ISDA Definitions. For ZTIBOR Swaps, Day Count shall be on ACT/360 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
- For OIS, ZTIBOR and DTIBOR Swaps, transactions must have the principal payment financial center Tokyo. In addition, London, New York, Target or Sydney (including transactions with multiple Financial Centers) can be added as Financial Center.
- 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 OIS, ZTIBOR and DTIBOR Swaps: Tokyo
- 15.Other Conditions
- See(https://www.jpx.co.jp/jscc/en/rule/cimhll00000001ow-att/03e_MattersPrescribedasRequirementsforEligibleIRSTransactions.pdf)