3.2.1 Reporting of IRS

Q64. Are there any other aspects in reporting of IRS that should be clarified?

343. In the CP, ESMA proposed that, when reporting IRS, counterparties should describe the underlying fixed or floating rates in the dedicated rate fields for leg 1 and leg 2 (fields 2.79-2.110), rather than e.g. providing the floating rate in the underlying index field.

344. The feedback received was generally supportive and included few clarification requests.

345. To clarify, ESMA proposes that counterparties should populate the following three distinct fields to describe a floating rate:

a. to the extent that they are available for a given rate, the identifier (fields 2.83 and 2.99), which should be populated with ISIN, and/or the indicator (fields 2.84 and 2.100), which should be populated with a standardised 4-letter code; and

b. in all cases, the name (fields 2.85 and 2.101), which should be populated with the full name of the rate.

346. ESMA notes that, in the drafting of the ITS on reporting, the provision of the official name was considered important as this is the way in which the rates are referred to in the register for clearing obligation.