‘Swap’ is a contract in which two parties agree to exchange cash flows in one financial instrument for those of another financial instrument at a certain future date.
The above definition of the swap is stipulated in the Annex III to Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (RTS 2)).
In turn REMIT Transaction Reporting User Manual (TRUM, Version 4.1, 30 April 2021) published by the European Agency for the Cooperation of Energy Regulators (ACER) includes - for the purpose of transaction reporting under REMIT - the following definition of swap contracts related to financial products:
"Swap: typically indicates a contract that settles with multi periods and results in exchange of a series of cash flows. It may for example involve one market participant having a fixed-price contract for an energy commodity, while the other counterparty takes on the floating price of the same commodity. However also floating-to-floating trades might occur, as well as physical/geographical swaps where the hedging is based on different pricing in different locations".
Questions and Answers on MiFIR data reporting
Question 10 [Last update: 14/11/2017]
Are both legs of a swap reportable, when one leg contains an index such as LIBOR or EURIBOR?
Answer 1
In the case of a swap, where one leg contains e.g. LIBOR or EURIBOR, it is key for competent authorities to have visibility of both legs of the reported swap. Therefore in transaction reports for an OTC swap, where one leg of a swap contains at least one reportable financial instrument, also the complementing leg of the given swap containing indices, such as LIBOR or EURIBOR, should be identified in a transaction report, as shown in Example 106 in section 5.35.7.1 of the ESMA Guidelines.
|
|
Documentation |
Questions and Answers on MiFIR data reporting
|
|
Links |
