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)
Article 1
Classes of OTC derivatives subject to the clearing obligation
Article 2
Article 3
Dates from which the clearing obligation takes effect
Article 4
Minimum remaining maturity
Article 5
Entry into force
ANNEX
Interest rate OTC derivatives classes subject to the clearing obligation
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 |
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 |
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 |
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 |