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. )

Derivatives subject to the trading obligation

Article 1

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.

Dates from which the trading obligation takes effect

Article 2

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.

Entry into force

Article 3

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

ANNEXSupplementary provisions

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