ESMA_QA_1690
Status: ✅ Answer Published
Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1690
Regulatory Context
Regulation : MIFIR
Level 1 Regulation: Markets in Financial Instruments Regulation (MiFIR) Regulation (EU) No 600/2014- MDP
Level 2 Regulation: No information available
Level 3 Regulation: No information available
Topic: ESMA70-1861941480-56 Questions and Answers on MiFIR reporting
Subject Matter: Business Case: Inflation Indexed bond
Question
Submission Date: 03 April 2017
How should transactions on “inflation indexed bonds” be reported under RTS 22?
ESMA Answer
Answer Date: 03-04-2017
[ESMA 70-1861941480-56 MiFIR data reporting Q&A, Q&A 10.1]
Example of transaction report on “inflation indexed bonds”: An investment firm acquires a DBRI 0.1% 04/15/2026 (ISIN Code DE0001030567) by trading over the counter at 110.00%. The nominal value of the transaction is 1000000 EUR. The net amount for this transaction is 1111274.01 EUR. Considering that for the purpose of this example: The static characteristics (as defined upon the issue of the financial instrument) are:
Maturity Date: April 15th 2026 Coupon frequency: Annual Day Count Convention: ACT/ACT Day to Settle Convention: 2 business days after the trade date
The variables (dynamic characteristics depending on the market conditions) are:
Trade Date: July 25th 2016 Settlement Date: July 27th 2016 (as per the Day to Settle Convention) Last Coupon Date: April 15th 2016 Next Coupon Date: April 15th 2017 Accrued number of days: 103 (i.e., the number of days between the Last Coupon Date and the Settlement Date) Period basis: 365 (i.e., the total number of days between the Last Coupon Date and the Next Coupon Date) Quantity: 1000000 (i.e., the nominal or monetary value of the transaction) Clean price: 110.00 Index ratio: 1.009990 Accrued interest: 0.02821918 (i.e., Nominal Coupon / Annual Coupon Frequency x Accrued Number of Days / Period basis = 0.1/1 x 103/365 )
The net amount will be calculated as follows (pursuant to the formula provided in field 35 of RTS 22): Net amount[1] = [(Clean price x Nominal value) + (Accrued coupons x Nominal value)] x Index ratio i.e. [((110/100 x 1000000 EUR) + (0.02821918/100 x 1000000 EUR))] x 1.009990 =1111274.01 EUR.
N
Field name
Values
XML representation
30
Quantity
‘1000000’
… … 1000000 110.00 1111274.01 XOFF … DE0001030567 …
[1] Please note that this example differs from example 92 within the Guidelines by the index ratio that needs to be taken into account in the calculation of the Net Amount.
This document was automatically extracted from the ESMA EMIR Q&A database.