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,
Whereas:
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.
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.
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.
This Regulation is based on the draft regulatory technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission.
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.
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 1Derivatives 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 2Dates 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 3Entry 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
ANNEXDerivatives subject to the trading obligation
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 |
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 |
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 |
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 |