ANNEX
Table 1
Identifying reference data for OTC interest rate swaps subject to the transparency requirements laid down in Article 8a(2), and Articles 10 and 21 of Regulation (EU) No 600/2014
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|
Identifying reference data |
Instructions |
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1 |
Asset class |
To determine whether an OTC derivative is referencing a rate, credit, foreign exchange rates, equities, commodities, or other non-standard asset classes. |
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2 |
Instrument type |
To determine whether an OTC derivative is a swap, an option, or a forward. |
|
3 |
Underlying asset type |
To determine whether an OTC interest rate swap is a fixed-for-floating, a fixed-for-fixed, or a floating-to-floating (basis) swap. |
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4 |
Notional currency |
To determine whether an OTC interest rate swap is denominated in any of the four currencies referred to in Article 8a(2) of Regulation (EU) No 600/2014 and to identify the relevant currency. |
|
5 |
Delivery type |
To determine whether an OTC interest rate swap is deliverable (physical) or non-deliverable (cash). |
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6 |
Notional schedule |
To determine whether the swap has a constant, accreting, amortising or customised notional schedule. |
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7 |
Underlying reference rate |
To identify the rate and the term of the rate that the OTC interest rate swap references. |
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8 |
Standard business terms associated with the underlying reference rate |
To identify the standard business terms associated with each of the underlying reference rates. Table 2 specifies standard business terms for the reference rates for OTC interest rate swaps subject to the transparency requirements laid down in Article 8a(2), and Articles 10 and 21 of Regulation (EU) No 600/2014. |
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9 |
Contractual term |
To determine whether the contractual term of an OTC interest rate swap is one of the full whole year term within the scope of Article 8a(2) of Regulation (EU) No 600/2014. In case an OTC interest rate swap is concluded for a full whole year term, to determine the term of the contract expressed as an integer and the applicable time-period unit. |
|
10 |
Effective Date Offset |
To determine whether an OTC interest rate swap is spot (usually two business days after conclusion) or forward starting (any other agreed starting date). |
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11 |
Roll Convention |
To determine whether an OTC interest swap uses the calendar, the IMM or any other (non-standard) roll convention. |
Table 2
Standard business terms for the reference rates for OTC interest rate swaps subject to the transparency requirements laid down in Article 8a(2), and Articles 10 and 21 of Regulation (EU) No 600/2014
|
Reference Rate Family |
EUR-EURIBOR |
EUR-EuroSTR |
USD-SOFR |
GBP-SONIA |
JPY-TONA |
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|
Business Day Adjustment Convention |
Modified Following |
Modified Following |
Modified Following |
Modified Following |
Modified Following |
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Fixed Day Count Convention |
30360 (ISDA) |
Act360 |
Act360 |
Act365.FIXED |
Act365.FIXED |
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Fixed Payment Frequency |
Annual |
Annual |
Annual |
Annual |
Annual |
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Floating Day Count Convention |
Act360 |
Act360 |
Act360 |
Act365.FIXED |
Act365.FIXED |
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|
Floating Payment Frequency |
Semi (6M RR)/Quart (3M RR) |
Annual |
Annual |
Annual |
Annual |
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|
Fixing Lag |
2BD |
0BD |
0BD |
0BD |
0BD |
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Fixing Calendar |
EUTA |
EUTA |
USGS |
GBLO |
JPTO |
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|
Payment Calendar |
EUTA |
EUTA |
USNY |
GBLO |
JPTO |
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|
Additional Payments |
NONE |
NONE |
NONE |
NONE |
NONE |
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|
Roll Convention |
STD |
IMM |
STD |
IMM |
STD |
IMM |
STD |
IMM |
STD |
IMM |
|
Effective Date Offset |
2BD |
Next |
2BD |
Next |
2BD |
Next |
0BD |
Next |
2BD |
Next |
ELI: http://data.europa.eu/eli/reg_del/2025/1003/oj
ISSN 1977-0677 (electronic edition)