Updated 08/05/2024
In force

Version from: 09/01/2024
Amendments (3)
Delegated Regulation 2015/61
Specifies: Annex 2
Delegated Regulation 2022/1011
Specifies: Annex 2
Archived Q&A 2014_841
Submitted: 12/02/2014
Updated: 16/09/2021
Annex 2
Archived Q&A 2013_666
Submitted: 17/12/2013
Updated: 16/09/2021
Annex 2
Final Q&A 2013_380
Published: 28/03/2014
Annex 2
Final Q&A 2014_1506
Updated: 26/03/2021
Published: 19/12/2014
Annex 2
Final Q&A 2017_3163
Updated: 26/03/2021
Published: 03/11/2017
Annex 2
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CRR ToolCapital Requirements Regulation (CRR)
ANNEX II

ANNEX II

ANNEX II

Types of derivatives

1. Interest-rate contracts:

(a) 

single-currency interest rate swaps;

(b) 

basis-swaps;

(c) 

forward rate agreements;

(d) 

interest-rate futures;

(e) 

interest-rate options;

(f) 

other contracts of similar nature.

2. Foreign-exchange contracts and contracts concerning gold:

(a) 

cross-currency interest-rate swaps;

(b) 

forward foreign-exchange contracts;

(c) 

currency futures;

(d) 

currency options;

(e) 

other contracts of a similar nature;

(f) 

contracts of a nature similar to (a) to (e) concerning gold.

3. Contracts of a nature similar to those in points 1(a) to (e) and 2(a) to (d) of this Annex concerning other reference items or indices. This includes as a minimum all instruments specified in points (4) to (7), (9), (10) and (11) of Section C of Annex I to Directive 2014/65/EU not otherwise included in point 1 or 2 of this Annex.