Commission Delegated Regulation (EU) 2017/2417 of 17 November 2017 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on the trading obligation for certain derivatives (Text with EEA relevance. )

• CELEX: Delegated Regulation (EU) 2017/2417
• Articles: 4

Article 1 Derivatives subject to the trading obligation

The derivatives set out in the Annex shall be subject to the trading obligation referred to in Article 28 of Regulation (EU) No 600/2014.

A derivative referred to in Table 1, Table 2 and Table 3 of the Annex shall be deemed to have a tenor of 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20 or 30 years where the period of time between the date at which the obligations under that contract come into effect and the termination date of that contract equals one of those periods of time, plus or minus 5 days.

Article 2 Dates from which the trading obligation takes effect

The trading obligation referred to in Article 28 of Regulation (EU) No 600/2014 shall, for each category of counterparties referred to in Article 3 of Delegated Regulation (EU) 2015/2205 and Article 3 of Delegated Regulation (EU) 2016/592, take effect from the later of the following dates:

(a)

3 January 2018;

(b)

the date referred to in Article 3 of Delegated Regulation (EU) 2015/2205 or Article 3 of Delegated Regulation (EU) 2016/592 for that category of counterparties.

Article 3 Entry into force

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union .

Schedules & Appendices

ANNEX

ANNEX

Derivatives subject to the trading obligation

Table 1

Fixed-to-float interest rate swaps denominated in EUR

Fixed-to-Float single currency interest rate swaps – EUR EURIBOR 3 and 6M

Settlement currency

EUR

EUR

Trade start type

Spot (T+2)

Spot (T+2)

Optionality

No

No

Tenor

2,3,4,5,6,7,8,9,10,12,15,20,30Y

2,3,4,5,6,7,10,15,20,30Y

Notional type

Constant Notional

Constant Notional

Fixed leg

Payment frequency

Annual or semi-annual

Annual or semi-annual

Day count convention

30/360 or Actual/360

30/360 or Actual/360

Floating leg

Reference index

EURIBOR 6M

EURIBOR 3M

Reset frequency

Semi-annual or quarterly

Quarterly

Day count convention

Actual/360

Actual/360

Table 2

Fixed-to-float interest rate swaps denominated in USD

Fixed-to-Float single currency interest rate swaps – USD LIBOR 3M

Settlement currency

USD

USD

Trade start type

Spot (T+2)

IMM (next two IMM dates)

Optionality

No

No

Tenor

2,3,4,5, 6,7,10,12,15,20,30Y

2,3,4,5,6,7,10,12,15,20,30Y

Notional type

Constant Notional

Constant Notional

Fixed leg

Payment frequency

Annual or semi-annual

Annual or semi-annual

Day count convention

30/360 or Actual/360

30/360 or Actual/360

Floating leg

Reference index

USD LIBOR 3M

USD LIBOR 3M

Reset frequency

Quarterly

Quarterly

Day count convention

Actual/360

Actual/360

Fixed-to-Float single currency interest rate swaps – USD LIBOR 6M

Settlement currency

USD

USD

Trade start type

Spot (T+2)

IMM (next two IMM dates)

Optionality

No

No

Tenor

2,3,4,5, 6,7,10,12,15,20,30Y

2,3,4,5,6,7,10,12,15,20,30Y

Notional type

Constant Notional

Constant Notional

Fixed leg

Payment frequency

Annual or semi-annual

Annual or semi-annual

Day count convention

30/360 or Actual/360

30/360 or Actual/360

Floating leg

Reference index

USD LIBOR 6M

USD LIBOR 6M

Reset frequency

Quarterly or semi-annual

Quarterly or semi-annual

Day count convention

Actual/360

Actual/360

Table 3

Fixed-to-float interest rate swaps denominated in GBP

Fixed-to-Float single currency interest rate swaps – GBP LIBOR 3 and 6M

Settlement currency

GBP

GBP

Trade start type

Spot (T+0)

Spot (T+0)

Optionality

No

No

Tenor

2,3,4,5,6,7,10,15,20,30Y

2,3,4,5,6,7,10,15,20,30Y

Notional type

Constant Notional

Constant Notional

Fixed leg

Payment frequency

Quarterly or semi-annual

Quarterly or semi-annual

Day count convention

Actual/365F

Actual/365F

Floating leg

Reference index

GBP LIBOR 6M

GBP LIBOR 3M

Reset frequency

Semi-annual or quarterly

Quarterly

Day count convention

Actual/365F

Actual/365F

Table 4

Index CDS

Type

Sub-type

Geographical zone

Reference index

Settlement Currency

Series

Tenor

Index CDS

Untranched index

Europe

iTraxx Europe Main

EUR

on-the-run series

first off-the-run series

5y

Index CDS

Untranched index

Europe

iTraxx Europe Crossover

EUR

on-the-run series

first off-the-run series

5y