> For the complete documentation index, see [llms.txt](https://www.mica.wtf/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://www.mica.wtf/mifir/title-x-final-provisions-art.-52-55/technical-standards/rts/2017-2417-the-trading-obligation-for-certain-derivatives.md). # 2017/2417 - the trading obligation for certain derivatives the trading obligation for certain derivatives | | | | --------------- | ----------------------------------------------------------------- | | **Instrument** | Commission Delegated Regulation (EU) 2017/2417 (RTS) | | **Drafted by** | ESMA | | **Legal basis** | Article 32(1) MiFIR | | **Status** | Machine-verified; awaiting MiFIR Level-2 family sample approval | | **Source** | [EUR-Lex](https://eur-lex.europa.eu/eli/reg_del/2017/2417/oj/eng) | ## Recitals 1. Regulation (EU) No 600/2014 provides for an obligation to trade on a regulated market, a multilateral trading facility, an organised trading facility or an equivalent third-country trading venue certain classes of derivatives, or relevant subsets thereof, which have been declared subject to the clearing obligation referred to in Article 4 of Regulation (EU) No 648/2012 of the European Parliament and of the Council (2). That trading obligation should only apply to derivatives that are sufficiently liquid and available for trading on at least one trading venue. 2. For interest rate derivatives subject to the clearing obligation, liquidity is concentrated in derivative contracts which have the most standardised characteristics. Those characteristics should therefore be taken into consideration when establishing the classes of derivatives subject to the trading obligation. 3. Similarly, liquidity in interest rate derivatives subject to the clearing obligation is concentrated in derivative contracts having certain benchmark tenors. It is therefore appropriate to limit the trading obligation to the derivatives with those benchmark tenors. In order to distinguish derivative contracts starting immediately after the execution of the trade from derivative contracts starting at a predetermined date in the future, the tenor of a contract should be calculated based on the effective date at which the obligations under the contract come into effect. However, to adequately take into account the derivatives' liquidity pattern and to avoid circumvention of the trading obligation, it is important not to make use of benchmark tenors as strict thresholds but rather as points of reference for targeted intervals. 4. For credit derivatives, with respect to the two index credit default swaps that are subject to the clearing obligation, liquidity is concentrated in the current on-the-run series and the latest off-the-run series. It is therefore appropriate to limit the application of the trading obligation to derivatives belonging to those series only. 5. Commission Delegated Regulation (EU) 2015/2205 (3) (interest rate OTC derivatives) and Commission Delegated Regulation (EU) 2016/592 (4) (credit OTC derivatives) identify four categories of counterparty to which the clearing obligation applies. In order to accommodate the specific needs of each category of counterparty, a phased-in application of that clearing obligation has also been laid down in those Delegated Regulations. Given the link between the clearing obligation and the trading obligation, the trading obligation for each category of counterparty should only take effect once the clearing obligation for that category has already taken effect. 6. This Regulation is based on the draft regulatory technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission. 7. This Regulation is adopted on the basis of the facts, and in particular the prevailing liquidity, at the time of its adoption and will be reviewed and amended as appropriate in accordance with market developments. 8. ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (5). 9. In order to ensure the smooth functioning of the financial markets, this Regulation should enter into force as a matter of urgency and apply from the same date as the date of application of Regulation (EU) No 600/2014, ## Article 1 — Derivatives subject to the trading obligation The derivatives set out in the Annex shall be subject to the trading obligation referred to in Article 28 of Regulation (EU) No 600/2014. A derivative referred to in Table 1, Table 2 and Table 3 of the Annex shall be deemed to have a tenor of 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20 or 30 years where the period of time between the date at which the obligations under that contract come into effect and the termination date of that contract equals one of those periods of time, plus or minus 5 days. ## Article 2 — Dates from which the trading obligation takes effect The trading obligation referred to in Article 28 of Regulation (EU) No 600/2014 shall, for each category of counterparties referred to in Article 3 of Delegated Regulation (EU) 2015/2205 and Article 3 of Delegated Regulation (EU) 2016/592, take effect from the later of the following dates:\ **(a)** 3 January 2018; **(b)** the date referred to in Article 3 of Delegated Regulation (EU) 2015/2205 or Article 3 of Delegated Regulation (EU) 2016/592 for that category of counterparties. ## Article 3 — Entry into force This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union. ## ANNEX 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 Fixed-to-float interest rate swaps denominated in USD | Fixed-to-Float single currency interest rate swaps – USD LIBOR 3M | | | | ----------------------------------------------------------------- | ---------------------------- | --------------------------- | | Settlement currency | USD | USD | | Trade start type | Spot (T+2) | IMM (next two IMM dates) | | Optionality | No | No | | Tenor | 2,3,4,5, 6,7,10,12,15,20,30Y | 2,3,4,5,6,7,10,12,15,20,30Y | | 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 | USD LIBOR 3M | USD LIBOR 3M | | Reset frequency | Quarterly | Quarterly | | Day count convention | Actual/360 | Actual/360 | | Fixed-to-Float single currency interest rate swaps – USD LIBOR 6M | | | | ----------------------------------------------------------------- | ---------------------------- | --------------------------- | | Settlement currency | USD | USD | | Trade start type | Spot (T+2) | IMM (next two IMM dates) | | Optionality | No | No | | Tenor | 2,3,4,5, 6,7,10,12,15,20,30Y | 2,3,4,5,6,7,10,12,15,20,30Y | | 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 | USD LIBOR 6M | USD LIBOR 6M | | Reset frequency | Quarterly or semi-annual | Quarterly or semi-annual | | Day count convention | Actual/360 | Actual/360 | Table 3 Fixed-to-float interest rate swaps denominated in GBP | Fixed-to-Float single currency interest rate swaps – GBP LIBOR 3 and 6M | | | | ----------------------------------------------------------------------- | ------------------------ | ------------------------ | | Settlement currency | GBP | GBP | | Trade start type | Spot (T+0) | Spot (T+0) | | Optionality | No | No | | Tenor | 2,3,4,5,6,7,10,15,20,30Y | 2,3,4,5,6,7,10,15,20,30Y | | Notional type | Constant Notional | Constant Notional | | Fixed leg | | | | Payment frequency | Quarterly or semi-annual | Quarterly or semi-annual | | Day count convention | Actual/365F | Actual/365F | | Floating leg | | | | Reference index | GBP LIBOR 6M | GBP LIBOR 3M | | Reset frequency | Semi-annual or quarterly | Quarterly | | Day count convention | Actual/365F | Actual/365F | 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 | --- # Agent Instructions This documentation is published with GitBook. GitBook is the documentation platform designed so that both humans and AI agents can read, navigate, and reason over technical content effectively. Learn more at gitbook.com. ## Querying This Documentation If you need additional information that is not directly available in this page, you can query the documentation dynamically by asking a question. Perform an HTTP GET request on the current page URL with the `ask` query parameter, and the optional `goal` query parameter: ``` GET https://www.mica.wtf/mifir/title-x-final-provisions-art.-52-55/technical-standards/rts/2017-2417-the-trading-obligation-for-certain-derivatives.md?ask=&goal= ``` `ask` is the immediate question: it should be specific, self-contained, and written in natural language. `goal` is optional and describes the broader end goal you are ultimately trying to accomplish on behalf of the user. GitBook uses it to tailor the answer towards what is most useful for that goal. The response will contain a direct answer to the question and relevant excerpts and sources from the documentation. Use this mechanism when the answer is not explicitly present in the current page, you need clarification or additional context, or you want to retrieve related documentation sections.