Swap (MiFID definitions)
European Union Electricity Market Glossary

 


 

 

‘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)).

 

 

 

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.

 

 

 

 

IMG 0744

    Documentation    

 

 

 

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), Annex III

 

Questions and Answers on MiFIR data reporting

 

 

 

 

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    Links    

 

 

 

 

Total return swap

 

Portfolio swap

 

Currency swap 

 

Foreign exchange swap

 

Forward on a swap

 

Future on a swap

 

Swaption

 

 

 

 

 

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Last Updated on Thursday, 16 November 2017 00:46
 

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