TR Question 1: Classification of financial instruments [last update 24 September 2020]
Article 9 of EMIR -Classification of financial instruments
How should the following financial instruments be classified for reporting and other purposes under EMIR?
(a) ETD on government bonds (e.g. Bund, Bobl)
(b) Cross-currency swaps, swaptions, Caps and Floors?
(c)Total returns swaps
TR Answer 1
(a) These financial instruments should be classified as interest rates and Field 4 of Table 2 should be populated accordingly. The dedicated fields for this asset class should not be filled, since they are not relevant.
(b) These financial instruments should be classified as interest rates, in line with current market practice.
On the sections to be reported, ESMA finds that where both sections are relevant having in mind the terms of the contract being reported, both sections of reporting fields are to be reported i.e. "option" and "interest rate" for swaption, Caps and Floors, and "FX" and "interest rate" for cross - currency swaps. The contract type (Field 1 of Table 2) should be populated with the value "ST" for swaption.