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. )
Modified by
  • Commission Delegated Regulation (EU) 2022/749of 8 February 2022amending the regulatory technical standards laid down in Delegated Regulation (EU) 2017/2417 as regards the transition to new benchmarks referenced in certain OTC derivative contracts(Text with EEA relevance), 32022R0749, May 17, 2022
Commission Delegated Regulation (EU) 2017/2417of 17 November 2017supplementing 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)
Article 1Derivatives subject to the trading obligationThe 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 effectThe 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 forceThis Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.ANNEXDerivatives subject to the trading obligation
Table 1Fixed-to-float interest rate swaps denominated in EUR
Fixed-to-Float single currency interest rate swaps – EUR EURIBOR 3 and 6M
Settlement currencyEUREUR
Trade start typeSpot (T+2)Spot (T+2)
OptionalityNoNo
Tenor2,3,4,5,6,7,8,9,10,12,15,20,30Y2,3,4,5,6,7,10,15,20,30Y
Notional typeConstant NotionalConstant Notional
Fixed leg
Payment frequencyAnnual or semi-annualAnnual or semi-annual
Day count convention30/360 or Actual/36030/360 or Actual/360
Floating leg
Reference indexEURIBOR 6MEURIBOR 3M
Reset frequencySemi-annual or quarterlyQuarterly
Day count conventionActual/360Actual/360
Table 2Fixed-to-float interest rate swaps denominated in USD
Fixed-to-Float single currency interest rate swaps – USD LIBOR 3M
Settlement currencyUSDUSD
Trade start typeSpot (T+2)IMM (next two IMM dates)
OptionalityNoNo
Tenor2,3,4,5, 6,7,10,12,15,20,30Y2,3,4,5,6,7,10,12,15,20,30Y
Notional typeConstant NotionalConstant Notional
Fixed leg
Payment frequencyAnnual or semi-annualAnnual or semi-annual
Day count convention30/360 or Actual/36030/360 or Actual/360
Floating leg
Reference indexUSD LIBOR 3MUSD LIBOR 3M
Reset frequencyQuarterlyQuarterly
Day count conventionActual/360Actual/360
Fixed-to-Float single currency interest rate swaps – USD LIBOR 6M
Settlement currencyUSDUSD
Trade start typeSpot (T+2)IMM (next two IMM dates)
OptionalityNoNo
Tenor2,3,4,5, 6,7,10,12,15,20,30Y2,3,4,5,6,7,10,12,15,20,30Y
Notional typeConstant NotionalConstant Notional
Fixed leg
Payment frequencyAnnual or semi-annualAnnual or semi-annual
Day count convention30/360 or Actual/36030/360 or Actual/360
Floating leg
Reference indexUSD LIBOR 6MUSD LIBOR 6M
Reset frequencyQuarterly or semi-annualQuarterly or semi-annual
Day count conventionActual/360Actual/360
Table 3Fixed-to-float interest rate swaps denominated in GBP
Fixed-to-Float single currency interest rate swaps – GBP LIBOR 3 and 6M
Settlement currencyGBPGBP
Trade start typeSpot (T+0)Spot (T+0)
OptionalityNoNo
Tenor2,3,4,5,6,7,10,15,20,30Y2,3,4,5,6,7,10,15,20,30Y
Notional typeConstant NotionalConstant Notional
Fixed leg
Payment frequencyQuarterly or semi-annualQuarterly or semi-annual
Day count conventionActual/365FActual/365F
Floating leg
Reference indexGBP LIBOR 6MGBP LIBOR 3M
Reset frequencySemi-annual or quarterlyQuarterly
Day count conventionActual/365FActual/365F
Table 4Index CDS
TypeSub-typeGeographical zoneReference indexSettlement CurrencySeriesTenor
Index CDSUntranched indexEuropeiTraxx Europe MainEURon-the-run seriesfirst off-the-run series5y
Index CDSUntranched indexEuropeiTraxx Europe CrossoverEURon-the-run seriesfirst off-the-run series5y
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