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Version date: 20 December 2022 - onwards

5.4 Reporting of FX swaps and forwards (paras. 421-432)

421. The Final contractual settlement date as specified in the RTS on reporting is not a repeatable field, therefore it is not possible to report both settlement dates - of the near and far leg - in this field.

422. FX swap is reported in a single report; therefore the Package identifier should not be populated.

423. The below examples illustrate how an FX swap and a lifecycle event affecting a single leg of a swap should be reported under Article 9 of EMIR.

5.4.1 FX swaps (spot-forward and forward-forward)

424. Following scenarios are considered:

f. -Scenario A: Reporting of an FX swap composed of a spot and forward leg.

g. Scenario B: Reporting of an FX swap composed of two forward legs.

425. In both scenarios the derivatives have the following characteristics:

- Banks A and B enter in a EUR/GBP swap instrument on 1 June 2018 (regardless of how the instrument has been subsequently confirmed or settled);

- notional of the contract: 1,000,000 EUR;

- maturity date of the contract: 31 December 2018;

- the swap is physically settled;