ESMA_QA_2202
27/05/2024
Subject Matter
Reporting of accumulator contracts
    (a) For the purpose of reporting under EMIR REFIT, how should OTC accumulator contracts – i.e., derivative contracts in which the buyer enters into an agreement to purchasing a predetermined number of underlying financial instruments at a predefined price, per day - over a specified ‘accumulation’ period, be classified?


    (b) How should these contracts be reported under EMIR REFIT?
    ESMA Answer
    24-05-2024

      (a) Under EMIR REFIT, accumulators shall be classified as either forwards or options, depending on the presence of option features within these contracts. An accumulator contract without any embedded option features should be reported as a forward (‘forward accumulator’), whereas accumulator contracts embedding one or more option features, should be reported as options accordingly.  

      (b) (i) Forward accumulators should be reported equivalently as forward contracts, as illustrated by the below example. 

      In the event that a knockout event is triggered, the counterparty should regard it as an early termination of the derivative. This scenario should be reported with Action Type ‘Terminate’ and Event Type ‘Exercise’.  

       

      Example 1:  

      Underlying Share: ABC Limited 

      Tenor: 12 months 

      Shares per day: 5,000 

      Accumulation days: Assuming 20 trading days per month (total accumulation days = 240) 

      Settlement date: Monthly 

      Forward Price: EUR 10* 

      Maximum Notional Amount: EUR 12,000,000** 

      Price of Underlying Share: Month 1 - EUR 11  / Month 2 - EUR 9.50 

       

      Report at inception 

      Reporting of accumulator contracts 

      Table  

      Item 

      Field 

      Example 

      Product Classification 

      JESXFC 

      10 

      Contract type 

      FORW 

      11 

      Asset Class 

      EQUI 

      41 

      Venue of execution 

      XXXX 

      43 

      Effective date 

      01/01/2024 

      44 

      Expiration Date 

      31/12/2024 

      46 

      Final contractual settlement date 

      03/01/2025 

      48 

      Price 

      10 

      49 

      Price Currency 

      EUR 

      55 

      Notional amount of leg 1 

      12,000,000 

      56 

      Notional currency 1 

      EUR 

      Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods. 

      57 

      Effective date of the notional amount of leg 1 

      01/01/2024 

      58 

      End date of the notional amount of leg 1 

      31/01/2024 

      59 

      Notional amount in effect on associated effective date of leg 1 

      1,000,000*** 

      60 

      Total notional quantity of leg 1 

      12,000,000 

      151 

      Action type 

      NEWT 

      152 

      Event type 

      TRAD 

      154 

      Level 

      TCTN 

      * Initial forward price should be populated in Field 2.48 

      ** Maximum Notional Amount = maximum number of shares x forward price 

      Maximum number of shares = shares per day x maximum number of accumulation days 

      Maximum number of accumulation days = trading days x number of months within tenor 

       *** On assumption of 20 trading days per month and 5,000 shared per accumulation day.  

       In this example, we assume a gearing ratio of 1, in the calculation of the maximum number of shares and notional amount.  

       

      Modification after 3rd month execution 

      Reporting of accumulator contracts 

      Table  

      Item 

      Field 

      Example 

      Product Classification 

      JESXFC 

      10 

      Contract type 

      FORW 

      11 

      Asset Class 

      EQUI 

      41 

      Venue of execution 

      XXXX 

      43 

      Effective date 

      01/01/2024 

      44 

      Expiration Date 

      31/12/2024 

      46 

      Final contractual settlement date 

      03/01/2025 

      48 

      Price 

      10 

      49 

      Price Currency 

      EUR 

      55 

      Notional amount of leg 1 

      12,000,000 

      56 

      Notional currency 1 

      EUR 

      Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods. 

      57 

      Effective date of the notional amount of leg 1 

      01/02/2024 

      58 

      End date of the notional amount of leg 1 

      29/02/2024 

      59 

      Notional amount in effect on associated effective date of leg 1 

      1,000,000*** 

      60 

      Total notional quantity of leg 1 

      12,000,000 

      57 

      Effective date of the notional amount of leg 1 

      01/03/2024 

      58 

      End date of the notional amount of leg 1 

      31/03/2024 

      59 

      Notional amount in effect on associated effective date of leg 1 

      950,000 

      60 

      Total notional quantity of leg 1 

      12,000,000 

      … 

      … 

      … 

      … 

      … 

      … 

      … 

      … 

      151 

      Action type 

      MODI 

      152 

      Event type 

      TRAD 

      154 

      Level 

      TCTN 

       

      (ii) Option Accumulators should be reported as displayed below.

      Example 2: 

      Underlying Share: XYZ Limited 

      Tenor: 6 months 

      Shares per month: 1,000 

      Settlement date: Monthly 

      Option 1: Strike Price: EUR 100 (Expiry in 2 month) 

      Option 2: Strike Price: EUR 105 (Expiry in 6 months) 

      Total Notional Amount: EUR 620,000 

       

      Month 1: Market price EUR 110. Buy 1,000 shares at strike – EUR 100 (option 1); 

      Month 2: Market price EUR 108. Buy 1,000 shares at strike – EUR 100 (option 1); 

      Month 3: Market Price EUR 106. Buy 1,000 shares at strike – EUR 105 (option 2);  

      And so forth, until expiry.  

       

      Report at inception 

      Reporting of accumulator contracts 

      Table  

      Item 

      Field 

      Example 

      Product Classification 

      OCESCS 

      10 

      Contract type 

      OPTN 

      11 

      Asset Class 

      EQUI 

      41 

      Venue of execution 

      XXXX 

      43 

      Effective date 

      01/01/2024 

      44 

      Expiration Date 

      28/06/2024 

      46 

      Final contractual settlement date 

      02/07/2024 

      55 

      Notional amount of leg 1 

      620,000 

      56 

      Notional currency 1 

      EUR 

      Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods. 

      57 

      Effective date of the notional amount of leg 1 

      01/01/2024 

      58 

      End date of the notional amount of leg 1 

      31/01/2024 

      59 

      Notional amount in effect on associated effective date of leg 1 

      100,000 

      60 

      Total notional quantity of leg 1 

      1000 

       

       

       

       

      132 

      Option type  

      CALL 

      133 

      Option style  

      EURO 

      134 

      Strike price 

      100 

      135 

      Effective date of the strike price 

      01/01/2024 

      136 

      End date of the strike price 

      29/02/2024 

      137 

      Strike price in effect on associated effective date 

      100 

      138 

      Strike price currency/currency pair 

      EUR 

       

       

       

       

      151 

      Action type 

      NEWT 

      152 

      Event type 

      EXER 

      154 

      Level 

      TCTN 

       


      Modification after 3rd month exercise of the option 

       

      Reporting of accumulator contracts 

      Table  

      Item 

      Field 

      Example 

      Product Classification 

      OCESCS 

      10 

      Contract type 

      OPTN 

      11 

      Asset Class 

      EQUI 

      41 

      Venue of execution 

      XXXX 

      43 

      Effective date 

      01/01/2024 

      44 

      Expiration Date 

      28/06/2024 

      46 

      Final contractual settlement date 

      02/07/2024 

      55 

      Notional amount of leg 1 

      620,000 

      56 

      Notional currency 1 

      EUR 

      Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods. 

      57 

      Effective date of the notional amount of leg 1 

      01/01/2024 

      58 

      End date of the notional amount of leg 1 

      31/01/2024 

      59 

      Notional amount in effect on associated effective date of leg 1 

      100,000 

      60 

      Total notional quantity of leg 1 

      1000 

       

       

       

       

      57 

      Effective date of the notional amount of leg 1 

      01/02/2024 

      58 

      End date of the notional amount of leg 1 

      29/02/2024 

      59 

      Notional amount in effect on associated effective date of leg 1 

      100,000 

      60 

      Total notional quantity of leg 1 

      1000 

       

       

       

       

      57 

      Effective date of the notional amount of leg 1 

      01/03/2024 

      58 

      End date of the notional amount of leg 1 

      31/03/2024 

      59 

      Notional amount in effect on associated effective date of leg 1 

      105,000 

      60 

      Total notional quantity of leg 1 

      1000 

       

       

       

       

      132 

      Option type  

      CALL 

      133 

      Option style  

      EURO 

      134 

      Strike price 

      100 

      135 

      Effective date of the strike price 

      01/01/2024 

      136 

      End date of the strike price 

      29/02/2024 

      137 

      Strike price in effect on associated effective date 

      100 

      138 

      Strike price currency/currency pair 

      EUR 

       

       

       

       

      135 

      Effective date of the strike price 

      01/03/2024 

      136 

      End date of the strike price 

      28/06/2024 

      137 

      Strike price in effect on associated effective date 

      105 

      138 

      Strike price currency/currency pair 

      EUR 

       

       

       

       

      151 

      Action type 

      MODI 

      152 

      Event type 

      EXER 

      154 

      Level 

      TCTN 

       

      Status: Answer Published

      Additional Information

      Level 1 Regulation
      European Market Infrastructure Regulation (EMIR) Regulation (EU) No 648/2012- MDP
      Topic
      * EMIR Reporting