Original question
(b) How should these contracts be reported under EMIR REFIT?
Original language
(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 |
|
2 |
9 |
Product Classification |
JESXFC |
|
2 |
10 |
Contract type |
FORW |
|
2 |
11 |
Asset Class |
EQUI |
|
2 |
41 |
Venue of execution |
XXXX |
|
2 |
43 |
Effective date |
01/01/2024 |
|
2 |
44 |
Expiration Date |
31/12/2024 |
|
2 |
46 |
Final contractual settlement date |
03/01/2025 |
|
2 |
48 |
Price |
10 |
|
2 |
49 |
Price Currency |
EUR |
|
2 |
55 |
Notional amount of leg 1 |
12,000,000 |
|
2 |
56 |
Notional currency 1 |
EUR |
|
Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods. |
|||
|
2 |
57 |
Effective date of the notional amount of leg 1 |
01/01/2024 |
|
2 |
58 |
End date of the notional amount of leg 1 |
31/01/2024 |
|
2 |
59 |
Notional amount in effect on associated effective date of leg 1 |
1,000,000*** |
|
2 |
60 |
Total notional quantity of leg 1 |
12,000,000 |
|
2 |
151 |
Action type |
NEWT |
|
2 |
152 |
Event type |
TRAD |
|
2 |
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 |
|
2 |
9 |
Product Classification |
JESXFC |
|
2 |
10 |
Contract type |
FORW |
|
2 |
11 |
Asset Class |
EQUI |
|
2 |
41 |
Venue of execution |
XXXX |
|
2 |
43 |
Effective date |
01/01/2024 |
|
2 |
44 |
Expiration Date |
31/12/2024 |
|
2 |
46 |
Final contractual settlement date |
03/01/2025 |
|
2 |
48 |
Price |
10 |
|
2 |
49 |
Price Currency |
EUR |
|
2 |
55 |
Notional amount of leg 1 |
12,000,000 |
|
2 |
56 |
Notional currency 1 |
EUR |
|
Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods. |
|||
|
2 |
57 |
Effective date of the notional amount of leg 1 |
01/02/2024 |
|
2 |
58 |
End date of the notional amount of leg 1 |
29/02/2024 |
|
2 |
59 |
Notional amount in effect on associated effective date of leg 1 |
1,000,000*** |
|
2 |
60 |
Total notional quantity of leg 1 |
12,000,000 |
|
2 |
57 |
Effective date of the notional amount of leg 1 |
01/03/2024 |
|
2 |
58 |
End date of the notional amount of leg 1 |
31/03/2024 |
|
2 |
59 |
Notional amount in effect on associated effective date of leg 1 |
950,000 |
|
2 |
60 |
Total notional quantity of leg 1 |
12,000,000 |
|
… |
… |
… |
… |
|
… |
… |
… |
… |
|
2 |
151 |
Action type |
MODI |
|
2 |
152 |
Event type |
TRAD |
|
2 |
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 |
|
2 |
9 |
Product Classification |
OCESCS |
|
2 |
10 |
Contract type |
OPTN |
|
2 |
11 |
Asset Class |
EQUI |
|
2 |
41 |
Venue of execution |
XXXX |
|
2 |
43 |
Effective date |
01/01/2024 |
|
2 |
44 |
Expiration Date |
28/06/2024 |
|
2 |
46 |
Final contractual settlement date |
02/07/2024 |
|
2 |
55 |
Notional amount of leg 1 |
620,000 |
|
2 |
56 |
Notional currency 1 |
EUR |
|
Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods. |
|||
|
2 |
57 |
Effective date of the notional amount of leg 1 |
01/01/2024 |
|
2 |
58 |
End date of the notional amount of leg 1 |
31/01/2024 |
|
2 |
59 |
Notional amount in effect on associated effective date of leg 1 |
100,000 |
|
2 |
60 |
Total notional quantity of leg 1 |
1000 |
|
|
|
|
|
|
2 |
132 |
Option type |
CALL |
|
2 |
133 |
Option style |
EURO |
|
2 |
134 |
Strike price |
100 |
|
2 |
135 |
Effective date of the strike price |
01/01/2024 |
|
2 |
136 |
End date of the strike price |
29/02/2024 |
|
2 |
137 |
Strike price in effect on associated effective date |
100 |
|
2 |
138 |
Strike price currency/currency pair |
EUR |
|
|
|
|
|
|
2 |
151 |
Action type |
NEWT |
|
2 |
152 |
Event type |
EXER |
|
2 |
154 |
Level |
TCTN |
Modification after 3rd month exercise of the option
|
Reporting of accumulator contracts |
|||
|
Table |
Item |
Field |
Example |
|
2 |
9 |
Product Classification |
OCESCS |
|
2 |
10 |
Contract type |
OPTN |
|
2 |
11 |
Asset Class |
EQUI |
|
2 |
41 |
Venue of execution |
XXXX |
|
2 |
43 |
Effective date |
01/01/2024 |
|
2 |
44 |
Expiration Date |
28/06/2024 |
|
2 |
46 |
Final contractual settlement date |
02/07/2024 |
|
2 |
55 |
Notional amount of leg 1 |
620,000 |
|
2 |
56 |
Notional currency 1 |
EUR |
|
Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods. |
|||
|
2 |
57 |
Effective date of the notional amount of leg 1 |
01/01/2024 |
|
2 |
58 |
End date of the notional amount of leg 1 |
31/01/2024 |
|
2 |
59 |
Notional amount in effect on associated effective date of leg 1 |
100,000 |
|
2 |
60 |
Total notional quantity of leg 1 |
1000 |
|
|
|
|
|
|
2 |
57 |
Effective date of the notional amount of leg 1 |
01/02/2024 |
|
2 |
58 |
End date of the notional amount of leg 1 |
29/02/2024 |
|
2 |
59 |
Notional amount in effect on associated effective date of leg 1 |
100,000 |
|
2 |
60 |
Total notional quantity of leg 1 |
1000 |
|
|
|
|
|
|
2 |
57 |
Effective date of the notional amount of leg 1 |
01/03/2024 |
|
2 |
58 |
End date of the notional amount of leg 1 |
31/03/2024 |
|
2 |
59 |
Notional amount in effect on associated effective date of leg 1 |
105,000 |
|
2 |
60 |
Total notional quantity of leg 1 |
1000 |
|
|
|
|
|
|
2 |
132 |
Option type |
CALL |
|
2 |
133 |
Option style |
EURO |
|
2 |
134 |
Strike price |
100 |
|
2 |
135 |
Effective date of the strike price |
01/01/2024 |
|
2 |
136 |
End date of the strike price |
29/02/2024 |
|
2 |
137 |
Strike price in effect on associated effective date |
100 |
|
2 |
138 |
Strike price currency/currency pair |
EUR |
|
|
|
|
|
|
2 |
135 |
Effective date of the strike price |
01/03/2024 |
|
2 |
136 |
End date of the strike price |
28/06/2024 |
|
2 |
137 |
Strike price in effect on associated effective date |
105 |
|
2 |
138 |
Strike price currency/currency pair |
EUR |
|
|
|
|
|
|
2 |
151 |
Action type |
MODI |
|
2 |
152 |
Event type |
EXER |
|
2 |
154 |
Level |
TCTN |