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. )
Date: 2017-11-17
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: Euribor, credit institution, exchange rate, financial control, financial transaction, interest, investment company, market supervision, technical regulations, trading operation








L_2017343EN.01004801.xml










22.12.2017   


EN


Official Journal of the European Union


L 343/48








            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)


THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,


Having regard to Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012 (1), and in particular Article 32(1) thereof,

Whereas:







(1)


Regulation (EU) No 600/2014 provides for an obligation to trade on a regulated market, a multilateral trading facility, an organised trading facility or an equivalent third-country trading venue certain classes of derivatives, or relevant subsets thereof, which have been declared subject to the clearing obligation referred to in Article 4 of Regulation (EU) No 648/2012 of the European Parliament and of the Council (2). That trading obligation should only apply to derivatives that are sufficiently liquid and available for trading on at least one trading venue.












(2)


For interest rate derivatives subject to the clearing obligation, liquidity is concentrated in derivative contracts which have the most standardised characteristics. Those characteristics should therefore be taken into consideration when establishing the classes of derivatives subject to the trading obligation.












(3)


Similarly, liquidity in interest rate derivatives subject to the clearing obligation is concentrated in derivative contracts having certain benchmark tenors. It is therefore appropriate to limit the trading obligation to the derivatives with those benchmark tenors. In order to distinguish derivative contracts starting immediately after the execution of the trade from derivative contracts starting at a predetermined date in the future, the tenor of a contract should be calculated based on the effective date at which the obligations under the contract come into effect. However, to adequately take into account the derivatives' liquidity pattern and to avoid circumvention of the trading obligation, it is important not to make use of benchmark tenors as strict thresholds but rather as points of reference for targeted intervals.












(4)


For credit derivatives, with respect to the two index credit default swaps that are subject to the clearing obligation, liquidity is concentrated in the current on-the-run series and the latest off-the-run series. It is therefore appropriate to limit the application of the trading obligation to derivatives belonging to those series only.












(5)


Commission Delegated Regulation (EU) 2015/2205 (3) (interest rate OTC derivatives) and Commission Delegated Regulation (EU) 2016/592 (4) (credit OTC derivatives) identify four categories of counterparty to which the clearing obligation applies. In order to accommodate the specific needs of each category of counterparty, a phased-in application of that clearing obligation has also been laid down in those Delegated Regulations. Given the link between the clearing obligation and the trading obligation, the trading obligation for each category of counterparty should only take effect once the clearing obligation for that category has already taken effect.












(6)


This Regulation is based on the draft regulatory technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission.












(7)


This Regulation is adopted on the basis of the facts, and in particular the prevailing liquidity, at the time of its adoption and will be reviewed and amended as appropriate in accordance with market developments.












(8)


ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (5).












(9)


In order to ensure the smooth functioning of the financial markets, this Regulation should enter into force as a matter of urgency and apply from the same date as the date of application of Regulation (EU) No 600/2014,





HAS ADOPTED THIS REGULATION:



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.
Done at Brussels, 17 November 2017.


For the Commission


The President

Jean-Claude JUNCKER
            





(1)  
            OJ L 173, 12.6.2014, p. 84.

(2)  Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (OJ L 201, 27.7.2012, p. 1).

(3)  Commission Delegated Regulation (EU) 2015/2205 of 6 August 2015 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on the clearing obligation (OJ L 314, 1.12.2015, p. 13).

(4)  Commission Delegated Regulation (EU) 2016/592 of 1 March 2016 supplementing Regulation (EU) No 648/2012 of the European Parliament and of het Council with regard to regulatory technical standards on the clearing obligation (OJ L 103, 19.4.2016, p. 5).

(5)  Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).




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





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





Table 2


Fixed-to-float interest rate swaps denominated in USD









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 – USD LIBOR 6M





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 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





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








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