Home Technical Standards 2017 | Commission Delegated Regulation (EU) 2017/2417 ANNEX Derivatives subject to the trading obligation
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ANNEX Derivatives subject to the trading obligation

ANNEX Derivatives subject to the trading obligation

30/06/2025EU

Table 1 Fixed-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 2 [deleted]


 

Table 3 [deleted]


 

Table 4 Index CDS 

TypeSub-typeGeographical zoneReference indexSettlement CurrencySeriesTenor
Index CDSUntranched indexEuropeiTraxx Europe MainEUR

on-the-run series

first off-the-run series

5y
Index CDSUntranched indexEuropeiTraxx Europe CrossoverEUR

on-the-run series

first off-the-run series

5y


 

Table 5 Overnight indexed swaps denominated in GBP

Overnight indexed swaps – GPB SONIA
Floating leg
Settlement currencyGBPGBP
Trade start typeSpot (T+0)IMM (next 2 IMM dates)
OptionalityNoNo
Tenor1,2,3,4,5,6,7,8,9, 10,12,15,20,25,30Y1,2,3,4,5,6,7,8,9,10,12,15,20,25,30Y
Notional typeConstant NotionalConstant Notional
Fixed leg  
Payment frequencyAnnual or semi-annualAnnual or semi-annual
Day count conventionActual/365FActual/365F
Floating leg
Reset frequencyAnnual, semi-annual or quarterlyAnnual, semi-annual or quarterly
Day count conventionActual/365FActual/365F


 

Table 6 Overnight indexed swaps denominated in USD

Overnight indexed swaps – USD SOFR
Specification
Settlement currencyUSDUSDUSD
Trade start typeSpot (T+2)IMM (next 2 IMM dates)IMM (next 2 IMM dates)
OptionalityNoNoNo
Tenor2,3,4,5,6,7,10,12,15,20,30Y1,2,3,4,5,6,7,10,12,15, 20,30Y1,2,3,4,5,7,10,15,20,30Y
Notional typeFixed NotionalFixed NotionalFixed Notional
Fixed rateParParFixed leg
Fixed leg
Payment frequencyAnnualAnnualAnnual
Day count conventionActual/360Actual/360Actual/360
Floating leg
Reset frequencyAnnualAnnualAnnual
Day count conventionActual/360Actual/360Actual/360