TR Question 41: Reporting of notional in position reports [last update 04 February 2016]
Reporting of notional in position reports
a) Does the field "Notional" have to be always populated in reports made at position level?
b) How should the field "Notional" be populated for options and futures reported at position level?
TR Answer 41
a) Yes. As clarified in the TR Q&A 17 which provides guidance on position reporting, where a report is made at a position level, all applicable fields should be populated. This means that all the data elements that are required in trade reports are mandatory as well in position reporting, with the exception of those that are relevant only at trade level.
b) The value to be reported in "Notional" field in position level reports should be calculated as follows:
• For options: Notional = Quantity x Price Multiplier X Strike Price
• For futures: Notional = Quantity x Price Multiplier x Settlement Price
The reporting of modifications to the Notional for positions should take place only if an event relevant for the position has taken place, e.g. a new trade relevant for the position has been concluded and reported.
It should be noted that if any field used to calculate a Notional is populated with "999999999999999,99999" (standing for "not available" in numeric fields), such value should not be used for the relevant calculations