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FAQs on transaction reporting – Question II.2.3.10

Basis Swaps – defining who the buyer and seller are so counterparty fields can be correctly and consistently populated.

We trade products that are basis swaps. These are swaps where each leg is floating. Whereas for fixed-floating swaps we can use market convention to define the buyer, for floating-floating swaps there is no clear guidance on which leg the buyer is and which leg the seller is. For some jurisdictions we can report trades as generic so we don’t have to define buyer / seller for reporting purposes. Does ACER have any guidance?

We have our own convention in our internal systems for defining buyer / seller that we apply consistently.


Answer:

In the TRUM, under Field (25) for Table 1 “Fixing index or reference price” there is clear guidance on which leg the buyer is and which leg the seller is.

For derivatives that have not already been reported under EMIR, and which are therefore reported under REMIT, the following buyer and seller logic should apply: for example, in the case of a fix to floating derivative, if party X buys a swap, then party X pays a fixed price and party Y pays a floating price. This means that party X receives the floating leg and party Y receives the fixed leg. X will be identified as a buyer (B) and Y will be identified as a seller (S).

In the case of a floating to floating derivative, if party X buys a swap, party X pays the floating price of the first leg (or index) and party Y pays the floating price of the second leg (or second index). In this case, legs (indexes) should be sorted alphabetically. X will be identified as a buyer (B) and Y will be identified as a seller (S).

Last update: 26/04/2017   RSS_Icon Subscribe to this Page’s RSS