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6.4 Reporting of FX swaps and forwards

Closed
30 September 2021

405. The Final contractual settlement date as specified in the draft RTS on reporting iis not a repeatable field, therefore it will not be possible to report both settlement dates - of the near and far leg - in this field.

406. FX swap is reported in a single report, therefore the Package ientifier is not populated.

407. The below examples illustrate:

a. How should an FX swap be reported under Article 9 of EMIR?

b. How should a lifecycle event affecting a single leg of a swap be reported under Article 9 of EMIR?

408. Following scenarios are considered:

- Scenario A: Reporting of an FX swap composed of a spot and forward leg.

- Scenario B: Reporting of an FX swap composed of two forward legs.

409. In both scenarios the derivatives have the following characteristics:

- Banks A and B enter in a EUR/GBP swap instrument on 1 June 2018 (regardless of how the instrument has been subsequently confirmed or settled);

- notional of the contract: 1M€;

- maturity date of the contract: 31 December 2018;

- the swap is physically settled;