In this act Annex of 1
ANNEX
Financial servicesLevel 2RTSMiFIRIn forceOfficial source
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 [Deleted by Commission Delegated Regulation (EU) 2022/749 of 8 February 2022.]
Table 3 [Deleted by Commission Delegated Regulation (EU) 2022/749 of 8 February 2022.]
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 |