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Version date: 8 July 2021 - onwards

6.7 Reporting of equity derivatives

Closed
30 September 2021

432. Equity derivatives are a type of derivatives whose value is derived, at least partly, from one or more underlying equity securities. Options and futures are the most common equity derivatives. The type of contract and the asset class (EQUI) should be specified in field 2.11 as indicated on the draft RTS and the draft ITS on reporting.

433. A Total Return Swap is a contract between two parties who exchange returns from a financial asset (underlying) between them. In this kind of derivatives, one party makes payments based on a set rate while the other party makes payments based on the total return of the underlying asset. The underlying assets are usually a bond, equity, equity index, interest, or loan.

434. For example, a Total Return Swap on an equity index should be reported with the value 'EQUI' in field 2.11 Asset Class, whereas a Total Return Swap on a bond or loan should be reported with the value ' CRDT' in field 2.11 Asset Class .

435. The event type 'Corporate actions' should be used in the case of lifecycle events triggered by corporate actions on the underlying equities. See section 5.6 for more details.

436. The direction of the trade of most equity swaps should be reported following the approach in which the counterparties would indicate whether the reporting counterparty is payer/receiver for a given leg at the time of the derivative, using an indicator in the dedicated fields ( "Direction of leg 1" or "Direction of leg 2"). See the section 5.12 of this guideline for further details.