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Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://www.headlesslaw.com/emir/level-3/q-and-a/esma/esma-qa-2202-reporting-of-accumulator-contracts.md). # ESMA Q\&A 2202 — Q\&A — Reporting of accumulator contracts \[Answer Published] *Answer Published · ESMA publication · Checked against the ESMA publication on 11 Oct 2026 ·* [*Official source*](https://www.esma.europa.eu/publications-data/questions-answers/2202) | | | | ----------------------- | ------------------------------------------------------------------------------ | | **Full title** | ESMA Q\&A 2202 — Q\&A — Reporting of accumulator contracts \[Answer Published] | | **Issuer** | ESMA | | **Reference** | ESMA\_QA\_2202 | | **Document type** | Q\&A | | **Date** | published 27/05/2024; answer 24-05-2024 | | **Addressees** | Not recorded | | **Legal basis** | Not recorded | | **Related instruments** | None recorded | | **Text on this page** | Word for word — the full text of the ESMA publication | **Reporting of accumulator contracts** #### Question (a) For the purpose of reporting under EMIR REFIT, how should OTC accumulator contracts – i.e., derivative contracts in which the buyer enters into an agreement to purchasing a predetermined number of underlying financial instruments at a predefined price, per day - over a specified ‘accumulation’ period, be classified? (b) How should these contracts be reported under EMIR REFIT? *** #### Answer (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 3rd 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 3rd 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 ***