ANNEX - Derivatives subject to the trading obligation
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Article 3 – Entry into force ⬅️ | ➡️ Retour au sommaire
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 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# Table 1 in anx_1
| Fixed-to-Float single currency interest rate swaps – EUR EURIBOR 3 and 6M |
|---|
| Settlement currency |
| Trade start type |
| Optionality |
| Tenor |
| Notional type |
| Fixed leg |
| Payment frequency |
| Day count convention |
| Floating leg |
| Reference index |
| Reset frequency |
| Day count convention |
Table 2 in anx_1
| Type | Sub-type | Geographical zone | Reference index | Settlement Currency | Series | Tenor |
|---|---|---|---|---|---|---|
| Index CDS | Untranched index | Europe | iTraxx Europe Main | EUR | on-the-run seriesfirst off-the-run series | 5y |
| Index CDS | Untranched index | Europe | iTraxx Europe Crossover | EUR | on-the-run seriesfirst off-the-run series | 5y |