5.2 Reporting of swaptions (paras. 411-414)
411. When reporting swaptions, the counterparties should provide both the fields related to options (fields 2.132-2.142) as well as the fields characterising the underlying swap (fields 2.79-2.110).
412. Exercise 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.
413. The tables below illustrate how to report an original swaption, exercise of that swaption and the resulting swap.
5.2.1 Swaption on a fixed-to-floating IRS
414. Counterparty enters into an American put 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 28 - Reporting of a swaption on a fixed-to-floating IRS
Table 29 - Reporting of an exercise of a swaption