ESMA_QA_2202
Status: ✅ Answer Published
Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/2202
Regulatory Context
Regulation : EMIR
Level 1 Regulation: European Market Infrastructure Regulation (EMIR) Regulation (EU) No 648/2012- MDP
Level 2 Regulation: No information available
Level 3 Regulation: No information available
Topic: * EMIR Reporting
Subject Matter: Reporting of accumulator contracts
Question
Submission Date: 27 May 2024
(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
Answer Date: 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
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
This document was automatically extracted from the ESMA EMIR Q&A database.