{
  "url": "https://openlegislation.uk/eu-regulation-2017-2417/annex",
  "json_url": "https://openlegislation.uk/eu-regulation-2017-2417/annex.json",
  "legislation": "eur/2017/2417",
  "legislation_title": "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)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2017-2417",
  "path": "annex",
  "kind": "annex",
  "number": null,
  "heading": "Derivatives subject to the trading obligation",
  "text": "Table 1\nFixed-to-float interest rate swaps denominated in EUR\nFixed-to-Float single currency interest rate swaps – EUR EURIBOR 3 and 6M\nSettlement currency\nEUR\nEUR\nTrade start type\nSpot (T+2)\nSpot (T+2)\nOptionality\nNo\nNo\nTenor\n2,3,4,5,6,7,8,9,10,12,15,20,30Y\n2,3,4,5,6,7,10,15,20,30Y\nNotional type\nConstant Notional\nConstant Notional\nFixed leg\nPayment frequency\nAnnual or semi-annual\nAnnual or semi-annual\nDay count convention\n30/360 or Actual/360\n30/360 or Actual/360\nFloating leg\nReference index\nEURIBOR 6M\nEURIBOR 3M\nReset frequency\nSemi-annual or quarterly\nQuarterly\nDay count convention\nActual/360\nActual/360\nTable 2\nFixed-to-float interest rate swaps denominated in USD\nFixed-to-Float single currency interest rate swaps – USD LIBOR 3M\nSettlement currency\nUSD\nUSD\nTrade start type\nSpot (T+2)\nIMM (next two IMM dates)\nOptionality\nNo\nNo\nTenor\n2,3,4,5, 6,7,10,12,15,20,30Y\n2,3,4,5,6,7,10,12,15,20,30Y\nNotional type\nConstant Notional\nConstant Notional\nFixed leg\nPayment frequency\nAnnual or semi-annual\nAnnual or semi-annual\nDay count convention\n30/360 or Actual/360\n30/360 or Actual/360\nFloating leg\nReference index\nUSD LIBOR 3M\nUSD LIBOR 3M\nReset frequency\nQuarterly\nQuarterly\nDay count convention\nActual/360\nActual/360\nFixed-to-Float single currency interest rate swaps – USD LIBOR 6M\nSettlement currency\nUSD\nUSD\nTrade start type\nSpot (T+2)\nIMM (next two IMM dates)\nOptionality\nNo\nNo\nTenor\n2,3,4,5, 6,7,10,12,15,20,30Y\n2,3,4,5,6,7,10,12,15,20,30Y\nNotional type\nConstant Notional\nConstant Notional\nFixed leg\nPayment frequency\nAnnual or semi-annual\nAnnual or semi-annual\nDay count convention\n30/360 or Actual/360\n30/360 or Actual/360\nFloating leg\nReference index\nUSD LIBOR 6M\nUSD LIBOR 6M\nReset frequency\nQuarterly or semi-annual\nQuarterly or semi-annual\nDay count convention\nActual/360\nActual/360\nTable 3\nFixed-to-float interest rate swaps denominated in GBP\nFixed-to-Float single currency interest rate swaps – GBP LIBOR 3 and 6M\nSettlement currency\nGBP\nGBP\nTrade start type\nSpot (T+0)\nSpot (T+0)\nOptionality\nNo\nNo\nTenor\n2,3,4,5,6,7,10,15,20,30Y\n2,3,4,5,6,7,10,15,20,30Y\nNotional type\nConstant Notional\nConstant Notional\nFixed leg\nPayment frequency\nQuarterly or semi-annual\nQuarterly or semi-annual\nDay count convention\nActual/365F\nActual/365F\nFloating leg\nReference index\nGBP LIBOR 6M\nGBP LIBOR 3M\nReset frequency\nSemi-annual or quarterly\nQuarterly\nDay count convention\nActual/365F\nActual/365F\nTable 4\nIndex CDS\nType\nSub-type\nGeographical zone\nReference index\nSettlement Currency\nSeries\nTenor\nIndex CDS\nUntranched index\nEurope\niTraxx Europe Main\nEUR\non-the-run series\nfirst off-the-run series\n5y\nIndex CDS\nUntranched index\nEurope\niTraxx Europe Crossover\nEUR\non-the-run series\nfirst off-the-run series\n5y",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2017/2417/annex",
    "retrieved_at": "2026-11-01T14:44:19.886502+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}