415. Forward Rate Agreements (FRAs), cross-currency swaps, caps and floors should be classified as interest derivatives.

416. When reporting FRAs the counterparties should pay attention to the following:

a. The underlying rate should be reported in the fields pertaining to the underlying section (fields 2.13-2.16).

b. Execution timestamp should be populated with the relevant date and time when the derivative was concluded by the counterparties and following the specifications in the validation rules.

c. Effective date is the date when obligations under the contract come into effect. Unless the obligations between the counterparties are postponed to a future date, this is the same as the date part of the execution timestamp. Effective date is not the settlement date referred to in the FRA documentation.

d. Maturity date is the date agreed by the counterparties when the obligations under the derivative expire. In the case of FRAs, this is the date on which the exposures between the counterparties are extinguished by the determination of the payment covering the difference between the agreed rate and the prevailing market rate. This is not the final date of the underlying rate.

e. Settlement date is the date on which the counterparties settle the underlying. The underlying of a FRA is a forward interest rate and the settlement of the difference between the agreed rate and the prevailing market rate either coincides with the maturity date or it takes place on a later date.