ANNEX
Table 1
Identifying reference data for OTC interest rate swaps subject to the transparency requirements laid down in Article 8a(2), and Articles 10 and 21 of Regulation (EU) No 600/2014
Identifying reference data
Instructions
1
Asset class
To determine whether an OTC derivative is referencing a rate, credit, foreign exchange rates, equities, commodities, or other non-standard asset classes.
2
Instrument type
To determine whether an OTC derivative is a swap, an option, or a forward.
3
Underlying asset type
To determine whether an OTC interest rate swap is a fixed-for-floating, a fixed-for-fixed, or a floating-to-floating (basis) swap.
4
Notional currency
To determine whether an OTC interest rate swap is denominated in any of the four currencies referred to in Article 8a(2) of Regulation (EU) No 600/2014 and to identify the relevant currency.
5
Delivery type
To determine whether an OTC interest rate swap is deliverable (physical) or non-deliverable (cash).
6
Notional schedule
To determine whether the swap has a constant, accreting, amortising or customised notional schedule.
7
Underlying reference rate
To identify the rate and the term of the rate that the OTC interest rate swap references.
8
Standard business terms associated with the underlying reference rate
To identify the standard business terms associated with each of the underlying reference rates. Table 2 specifies standard business terms for the reference rates for OTC interest rate swaps subject to the transparency requirements laid down in Article 8a(2), and Articles 10 and 21 of Regulation (EU) No 600/2014.
9
Contractual term
To determine whether the contractual term of an OTC interest rate swap is one of the full whole year term within the scope of Article 8a(2) of Regulation (EU) No 600/2014. In case an OTC interest rate swap is concluded for a full whole year term, to determine the term of the contract expressed as an integer and the applicable time-period unit.
10
Effective Date Offset
To determine whether an OTC interest rate swap is spot (usually two business days after conclusion) or forward starting (any other agreed starting date).
11
Roll Convention
To determine whether an OTC interest swap uses the calendar, the IMM or any other (non-standard) roll convention.
Table 2
Standard business terms for the reference rates for OTC interest rate swaps subject to the transparency requirements laid down in Article 8a(2), and Articles 10 and 21 of Regulation (EU) No 600/2014
Reference Rate Family
EUR-EURIBOR
EUR-EuroSTR
USD-SOFR
GBP-SONIA
JPY-TONA
Business Day Adjustment Convention
Modified Following
Modified Following
Modified Following
Modified Following
Modified Following
Fixed Day Count Convention
30360 (ISDA)
Act360
Act360
Act365.FIXED
Act365.FIXED
Fixed Payment Frequency
Annual
Annual
Annual
Annual
Annual
Floating Day Count Convention
Act360
Act360
Act360
Act365.FIXED
Act365.FIXED
Floating Payment Frequency
Semi (6M RR)/Quart (3M RR)
Annual
Annual
Annual
Annual
Fixing Lag
2BD
0BD
0BD
0BD
0BD
Fixing Calendar
EUTA
EUTA
USGS
GBLO
JPTO
Payment Calendar
EUTA
EUTA
USNY
GBLO
JPTO
Additional Payments
NONE
NONE
NONE
NONE
NONE
Roll Convention
STD
IMM
STD
IMM
STD
IMM
STD
IMM
STD
IMM
Effective Date Offset
2BD
Next
2BD
Next
2BD
Next
0BD
Next
2BD
Next
