Commission Delegated Regulation (EU) 2025/1003 of 24 January 2025 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council as regards OTC derivatives identifying reference data to be used for the purposes of the transparency requirements laid down in Article 8a(2) and Articles 10 and 21

Identifying reference data for OTC interest rate swaps and OTC credit default swaps

Article 1

1.   From 1 September 2026, for the purposes of the transparency requirements laid down in Article 8a(2), and Articles 10 and 21 of Regulation (EU) No 600/2014, the identifying reference data for OTC interest rate swaps set out in Table 1 of the Annex to this Regulation shall be used. 2.   From 1 September 2026, for the purposes of the transparency requirements laid down in Article 8a(2), and Articles 10 and 21 of Regulation (EU) No 600/2014, the identifying reference data for OTC interest rate swaps and OTC credit default swaps shall also include the ISO 4914 Unique Product Identifier (UPI).

Entry into force and application

Article 2

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

ANNEXSupplementary provisions

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