394. When reporting swaptions, the counterparties should provide both the fields related to opions (fields 132-142 of the table 2) as well as the fields characteristing the underlying swap (Fields 79-110 of the table 2).

395. Execution of the swaption should be reported with action type 'Terminate' and event type 'Exercise'. The resulting swap should be reported with action type 'New' and event type 'Exercise' as well as with the field 2.3 Prior UTI populated.

396. The tables below illustrate how to report an original swaption, exercise of that swaption and the resulting swap.Example: Counterparty enters into an american option on a fixed-to-floating IRS based on 1D SONIA vs 0.75% (with no additional spread). The premium is 200,000 GBP. If exercised, the reporting counterparty will pay fixed rate and the counterparties will exchange payments each 3 months and reset frequency is set to annual. The day count convention is Actual/Actual ISDA.

Table 30 [view table in PDF]

Table 31 [view table in PDF]

Table 32 [view table in PDF]