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Version date: 8 July 2021 - onwards

6.8 Reporting of credit derivatives

Closed
30 September 2021

444. A credit derivative is a financial contract in which the underlying is a credit asset (debt or fixed-income instrument). The purpose of a credit derivative is to transfer credit risk without transferring the asset itself. The type of contract and the asset class ('CRDT') should be specified in the field 2.11.

445. Total Return Swaps (defined above in the section Reporting of equity derivatives of this guideline) should be classified based on the underlying. 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 Asset Class.

446. In the case of credit derivatives trades following a change in the index factor (field 2.147 in the draft RTS on reporting) due to credit events, the counterpartiers should not modify the notional (notional fields in the draft RTS/ITS), but rather they should only update the index factor (field 2.147).

447. Related to the reporting of reference entity for credit derivatives, ISO 3166 and ISO 3166-2 codes should only be used in the case of credit derivatives where the reference entity is a supranational, a sovereign or a municipality, respectively. In all other cases the reference entity should be identified with a LEI (field 2.144).