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Commission Delegated Regulation (EU) 2015/2205Show full title
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 (Text with EEA relevance)
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- Revised 16/04/20200.17 MB
- Revised 30/04/20190.21 MB
- Revised 19/05/20170.18 MB
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Commission Delegated Regulation (EU) 2015/2205, ANNEX is up to date with all changes known to be in force on or before 18 November 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
EUR 2015 No. 2205 may be subject to amendment by EU Exit Instruments made by both the Financial Conduct Authority and the Bank of England under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 5. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.
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ANNEXU.K. Interest rate OTC derivatives classes subject to the clearing obligation
Table 1
Basis swaps classes
| id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.1.1 | Basis | Euribor | EUR | 28D-50Y | Single currency | No | Constant or variable |
| A.1.2 | Basis | LIBOR | GBP | 28D-50Y | Single currency | No | Constant or variable |
| A.1.3 | Basis | LIBOR | JPY | 28D-30Y | Single currency | No | Constant or variable |
| A.1.4 | Basis | LIBOR | USD | 28D-50Y | Single currency | No | Constant or variable |
Table 2
Fixed-to-float interest rate swaps classes
| id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.2.1 | Fixed-to-float | Euribor | EUR | 28D-50Y | Single currency | No | Constant or variable |
| A.2.2 | Fixed-to-float | LIBOR | GBP | 28D-50Y | Single currency | No | Constant or variable |
| A.2.3 | Fixed-to-float | LIBOR | JPY | 28D-30Y | Single currency | No | Constant or variable |
| A.2.4 | Fixed-to-float | LIBOR | USD | 28D-50Y | Single currency | No | Constant or variable |
Table 3
Forward rate agreement classes
| id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.3.1 | FRA | Euribor | EUR | 3D-3Y | Single currency | No | Constant or variable |
| A.3.2 | FRA | LIBOR | GBP | 3D-3Y | Single currency | No | Constant or variable |
| A.3.3 | FRA | LIBOR | USD | 3D-3Y | Single currency | No | Constant or variable |
Table 4
Overnight index swaps classes
| id | Type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type | Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.4.1 | OIS | EONIA | EUR | 7D-3Y | Single currency | No | Constant or variable |
| A.4.2 | OIS | FedFunds | USD | 7D-3Y | Single currency | No | Constant or variable |
| A.4.3 | OIS | SONIA | GBP | 7D-3Y | Single currency | No | Constant or variable |
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