Document ID: 02017R2417-20220518
Language: ENG

02017R2417 — EN — 18.05.2022 — 001.001
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<table><col/><col/><tr><td><p><a>&#9658;B</a></p></td><td><p>                        COMMISSION DELEGATED REGULATION (EU) 2017/2417</p><p>of 17 November 2017</p><p>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</p><p><a>(Text with EEA relevance)</a></p><p>(OJ L 343 22.12.2017, p. 48)</p></td></tr></table>
Amended by:
<table><col/><col/><col/><col/><col/><tr><td><p>&#160;</p></td><td><p>&#160;</p></td><td><p>Official Journal</p></td></tr><tr><td><p>&#160;&#160;No</p></td><td><p>page</p></td><td><p>date</p></td></tr><tr><td><p><a>&#9658;M1</a></p></td><td><p><a>                              COMMISSION DELEGATED REGULATION (EU) 2022/749&#160;of 8&#160;February 2022</a></p></td><td><p>&#160;&#160;L&#160;138</p></td><td><p>4</p></td><td><p>17.5.2022</p></td></tr></table>
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)
Article 1
Derivatives 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 2
Dates 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 3
Entry into force
This 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.
ANNEX
Derivatives subject to the trading obligation
Table 1
Fixed-to-float interest rate swaps denominated in EUR
<table><col/><col/><col/><tbody><tr><td><p><span>Fixed-to-Float single currency interest rate swaps &#8211; EUR EURIBOR 3 and 6M</span></p></td></tr><tr><td><p>Settlement currency</p></td><td><p><span>EUR</span></p></td><td><p><span>EUR</span></p></td></tr><tr><td><p>Trade start type</p></td><td><p>Spot (T+2)</p></td><td><p>Spot (T+2)</p></td></tr><tr><td><p>Optionality</p></td><td><p>No</p></td><td><p>No</p></td></tr><tr><td><p>Tenor</p></td><td><p>2,3,4,5,6,7,8,9,10,12,15,20,30Y</p></td><td><p>2,3,4,5,6,7,10,15,20,30Y</p></td></tr><tr><td><p>Notional type</p></td><td><p>Constant Notional</p></td><td><p>Constant Notional</p></td></tr><tr><td><p><span>Fixed leg</span></p></td></tr><tr><td><p>Payment frequency</p></td><td><p>Annual or semi-annual</p></td><td><p>Annual or semi-annual</p></td></tr><tr><td><p>Day count convention</p></td><td><p>30/360 or Actual/360</p></td><td><p>30/360 or Actual/360</p></td></tr><tr><td><p><span>Floating leg</span></p></td></tr><tr><td><p>Reference index</p></td><td><p>EURIBOR 6M</p></td><td><p>EURIBOR 3M</p></td></tr><tr><td><p>Reset frequency</p></td><td><p>Semi-annual or quarterly</p></td><td><p>Quarterly</p></td></tr><tr><td><p>Day count convention</p></td><td><p>Actual/360</p></td><td><p>Actual/360</p></td></tr></tbody></table>
—————
Table 4
Index CDS
<table><col/><col/><col/><col/><col/><col/><col/><tbody><tr><td><p>Type</p></td><td><p>Sub-type</p></td><td><p>Geographical zone</p></td><td><p>Reference index</p></td><td><p>Settlement Currency</p></td><td><p>Series</p></td><td><p>Tenor</p></td></tr><tr><td><p>Index CDS</p></td><td><p>Untranched index</p></td><td><p>Europe</p></td><td><p>iTraxx Europe Main</p></td><td><p>EUR</p></td><td><p>on-the-run series</p><p>first off-the-run series</p></td><td><p>5y</p></td></tr><tr><td><p>Index CDS</p></td><td><p>Untranched index</p></td><td><p>Europe</p></td><td><p>iTraxx Europe Crossover</p></td><td><p>EUR</p></td><td><p>on-the-run series</p><p>first off-the-run series</p></td><td><p>5y</p></td></tr></tbody></table>