Reporting of accumulator contracts

(a) Under EMIR REFIT, accumulators shall be classified as either forwards or options, depending on the presence of option features within these contracts. An accumulator contract without any embedded option features should be reported as a forward (‘forward accumulator’), whereas accumulator contracts embedding one or more option features, should be reported as options accordingly.   (b) (i) Forward accumulators should be reported equivalently as forward contracts, as illustrated by the below example.  In the event that a knockout event is triggered, the counterparty should regard it as an early termination of the derivative. This scenario should be reported with Action Type ‘Terminate’ and Event Type ‘Exercise’.     Example 1:    Underlying Share: ABC Limited  Tenor: 12 months  Shares per day: 5,000  Accumulation days: Assuming 20 trading days per month (total accumulation days = 240)  Settlement date: Monthly  Forward Price: EUR 10*  Maximum Notional Amount: EUR 12,000,000**  Price of Underlying Share: Month 1 - EUR 11  / Month 2 - EUR 9.50    Report at inception   Reporting of accumulator contracts  Table   Item  Field  Example  2  9  Product Classification  JESXFC  2  10  Contract type  FORW  2  11  Asset Class  EQUI  2  41  Venue of execution  XXXX  2  43  Effective date  01/01/2024  2  44  Expiration Date  31/12/2024  2  46  Final contractual settlement date  03/01/2025  2  48  Price  10  2  49  Price Currency  EUR  2  55  Notional amount of leg 1  12,000,000  2  56  Notional currency 1  EUR  Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods.  2  57  Effective date of the notional amount of leg 1  01/01/2024  2  58  End date of the notional amount of leg 1  31/01/2024  2  59  Notional amount in effect on associated effective date of leg 1  1,000,000***  2  60  Total notional quantity of leg 1  12,000,000  2  151  Action type  NEWT  2  152  Event type  TRAD  2  154  Level  TCTN  * Initial forward price should be populated in Field 2.48   ** Maximum Notional Amount = maximum number of shares x forward price   Maximum number of shares = shares per day x maximum number of accumulation days   Maximum number of accumulation days = trading days x number of months within tenor     *** On assumption of 20 trading days per month and 5,000 shared per accumulation day.      In this example, we assume a gearing ratio of 1, in the calculation of the maximum number of shares and notional amount.      Modification after 3 rd month execution   Reporting of accumulator contracts  Table   Item  Field  Example  2  9  Product Classification  JESXFC  2  10  Contract type  FORW  2  11  Asset Class  EQUI  2  41  Venue of execution  XXXX  2  43  Effective date  01/01/2024  2  44  Expiration Date  31/12/2024  2  46  Final contractual settlement date  03/01/2025  2  48  Price  10  2  49  Price Currency  EUR  2  55  Notional amount of leg 1  12,000,000  2  56  Notional currency 1  EUR  Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods.  2  57  Effective date of the notional amount of leg 1  01/02/2024  2  58  End date of the notional amount of leg 1  29/02/2024  2  59  Notional amount in effect on associated effective date of leg 1  1,000,000***  2  60  Total notional quantity of leg 1  12,000,000  2  57  Effective date of the notional amount of leg 1  01/03/2024  2  58  End date of the notional amount of leg 1  31/03/2024  2  59  Notional amount in effect on associated effective date of leg 1  950,000  2  60  Total notional quantity of leg 1  12,000,000  …  …  …  …  …  …  …  …  2  151  Action type  MODI  2  152  Event type  TRAD  2  154  Level  TCTN    (ii) Option Accumulators should be reported as displayed below. Example 2:   Underlying Share: XYZ Limited  Tenor: 6 months  Shares per month: 1,000  Settlement date: Monthly  Option 1: Strike Price: EUR 100 (Expiry in 2 month)  Option 2: Strike Price: EUR 105 (Expiry in 6 months)  Total Notional Amount: EUR 620,000    Month 1: Market price EUR 110. Buy 1,000 shares at strike – EUR 100 (option 1);   Month 2: Market price EUR 108. Buy 1,000 shares at strike – EUR 100 (option 1);   Month 3: Market Price EUR 106. Buy 1,000 shares at strike – EUR 105 (option 2);    And so forth, until expiry.      Report at inception   Reporting of accumulator contracts  Table   Item  Field  Example  2  9  Product Classification  OCESCS  2  10  Contract type  OPTN  2  11  Asset Class  EQUI  2  41  Venue of execution  XXXX  2  43  Effective date  01/01/2024  2  44  Expiration Date  28/06/2024  2  46  Final contractual settlement date  02/07/2024  2  55  Notional amount of leg 1  620,000  2  56  Notional currency 1  EUR  Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods.  2  57  Effective date of the notional amount of leg 1  01/01/2024  2  58  End date of the notional amount of leg 1  31/01/2024  2  59  Notional amount in effect on associated effective date of leg 1  100,000  2  60  Total notional quantity of leg 1  1000          2  132  Option type   CALL  2  133  Option style   EURO  2  134  Strike price  100  2  135  Effective date of the strike price  01/01/2024  2  136  End date of the strike price  29/02/2024  2  137  Strike price in effect on associated effective date  100  2  138  Strike price currency/currency pair  EUR          2  151  Action type  NEWT  2  152  Event type  EXER  2  154  Level  TCTN    Modification after 3 rd month exercise of the option     Reporting of accumulator contracts  Table   Item  Field  Example  2  9  Product Classification  OCESCS  2  10  Contract type  OPTN  2  11  Asset Class  EQUI  2  41  Venue of execution  XXXX  2  43  Effective date  01/01/2024  2  44  Expiration Date  28/06/2024  2  46  Final contractual settlement date  02/07/2024  2  55  Notional amount of leg 1  620,000  2  56  Notional currency 1  EUR  Fields 2.57 to 2.60 below, are repeatable depending on the number of scheduling periods.  2  57  Effective date of the notional amount of leg 1  01/01/2024  2  58  End date of the notional amount of leg 1  31/01/2024  2  59  Notional amount in effect on associated effective date of leg 1  100,000  2  60  Total notional quantity of leg 1  1000          2  57  Effective date of the notional amount of leg 1  01/02/2024  2  58  End date of the notional amount of leg 1  29/02/2024  2  59  Notional amount in effect on associated effective date of leg 1  100,000  2  60  Total notional quantity of leg 1  1000          2  57  Effective date of the notional amount of leg 1  01/03/2024  2  58  End date of the notional amount of leg 1  31/03/2024  2  59  Notional amount in effect on associated effective date of leg 1  105,000  2  60  Total notional quantity of leg 1  1000          2  132  Option type   CALL  2  133  Option style   EURO  2  134  Strike price  100  2  135  Effective date of the strike price  01/01/2024  2  136  End date of the strike price  29/02/2024  2  137  Strike price in effect on associated effective date  100  2  138  Strike price currency/currency pair  EUR          2  135  Effective date of the strike price  01/03/2024  2  136  End date of the strike price  28/06/2024  2  137  Strike price in effect on associated effective date  105  2  138  Strike price currency/currency pair  EUR          2  151  Action type  MODI  2  152  Event type  EXER  2  154  Level  TCTN