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# ANNEX

**Commission Delegated Regulation (EU) 2017/2417 · binding · OJ L 343, 22.12.2017 · dated 17 Nov 2017 [in force]**

*In force · Consolidated version of 18 May 2022 · Checked against EUR-Lex on 26 Oct 2026 · [Official source](https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:02017R2417-20220518)*

ANNEX
Derivatives subject to the trading obligation
Table 1
Fixed-to-float interest rate swaps denominated in EUR

<!-- table: t01 -->
<table>
<tbody>
<tr><td colspan="3"><strong>Fixed-to-Float single currency interest rate swaps – EUR EURIBOR 3 and 6M</strong></td></tr>
<tr><td>Settlement currency</td><td>EUR</td><td>EUR</td></tr>
<tr><td>Trade start type</td><td>Spot (T+2)</td><td>Spot (T+2)</td></tr>
<tr><td>Optionality</td><td>No</td><td>No</td></tr>
<tr><td>Tenor</td><td>2,3,4,5,6,7,8,9,10,12,15,20,30Y</td><td>2,3,4,5,6,7,10,15,20,30Y</td></tr>
<tr><td>Notional type</td><td>Constant Notional</td><td>Constant Notional</td></tr>
<tr><td colspan="3"><strong>Fixed leg</strong></td></tr>
<tr><td>Payment frequency</td><td>Annual or semi-annual</td><td>Annual or semi-annual</td></tr>
<tr><td>Day count convention</td><td>30/360 or Actual/360</td><td>30/360 or Actual/360</td></tr>
<tr><td colspan="3"><strong>Floating leg</strong></td></tr>
<tr><td>Reference index</td><td>EURIBOR 6M</td><td>EURIBOR 3M</td></tr>
<tr><td>Reset frequency</td><td>Semi-annual or quarterly</td><td>Quarterly</td></tr>
<tr><td>Day count convention</td><td>Actual/360</td><td>Actual/360</td></tr>
</tbody>
</table>
<!-- /table -->

**Table 2** [Deleted by [Commission Delegated Regulation (EU) 2022/749](https://eur-lex.europa.eu/eli/reg_del/2022/749/oj) of 8 February 2022.]

**Table 3** [Deleted by [Commission Delegated Regulation (EU) 2022/749](https://eur-lex.europa.eu/eli/reg_del/2022/749/oj) of 8 February 2022.]

Table 4
Index CDS

<!-- table: t02 -->
<table>
<tbody>
<tr><td><strong>Type</strong></td><td><strong>Sub-type</strong></td><td><strong>Geographical zone</strong></td><td><strong>Reference index</strong></td><td><strong>Settlement Currency</strong></td><td><strong>Series</strong></td><td><strong>Tenor</strong></td></tr>
<tr><td>Index CDS</td><td>Untranched index</td><td>Europe</td><td>iTraxx Europe Main</td><td>EUR</td><td><p>on-the-run series</p><p>first off-the-run series</p></td><td>5y</td></tr>
<tr><td>Index CDS</td><td>Untranched index</td><td>Europe</td><td>iTraxx Europe Crossover</td><td>EUR</td><td><p>on-the-run series</p><p>first off-the-run series</p></td><td>5y</td></tr>
</tbody>
</table>
<!-- /table -->