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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

You are viewing the version of the document as on 2021-01-01.

Status: In this content, we have included all amendments made by EU exit-related instruments up to end September 2020. There will be more amendments to be made later this year, further to the September QCP.

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

Fixed leg

Floating leg

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

Payment frequency

Annual or semi-annual

Annual or semi-annual

Day count convention

30/360 or Actual/360

30/360 or Actual/360

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

Fixed leg

Floating leg

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

Payment frequency

Annual or semi-annual

Annual or semi-annual

Day count convention

30/360 or Actual/360

30/360 or Actual/360

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

Fixed leg

Floating leg

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

Payment frequency

Annual or semi-annual

Annual or semi-annual

Day count convention

30/360 or Actual/360

30/360 or Actual/360

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

Fixed leg

Floating leg

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

Payment frequency

Quarterly or semi-annual

Quarterly or semi-annual

Day count convention

Actual/365F

Actual/365F

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