Contents
Article 1Derivatives 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 2Dates 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 3Entry into force#
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
Derivatives subject to the trading obligation
| 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 |
| 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 – 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 |
| Type | Sub-type | Geographical zone | Reference index | Settlement Currency | Series | Tenor |
|---|---|---|---|---|---|---|
| Index CDS | Untranched index | Europe | iTraxx Europe Main | EUR | on-the-run seriesfirst off-the-run series | 5y |
| Index CDS | Untranched index | Europe | iTraxx Europe Crossover | EUR | on-the-run seriesfirst off-the-run series | 5y |
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