ESMA Q&A 1690 — Q&A — Business Case: Inflation Indexed bond [Answer Published]
Financial servicesLevel 3Q&AMiFIRAnsweredOfficial source
Business Case: Inflation Indexed bond
Question
How should transactions on “inflation indexed bonds” be reported under RTS 22?
Answer
[ESMA 70-1861941480-56 MiFIR data reporting Q&A, Q&A 10.1]
Example of transaction report on “inflation indexed bonds”:
An investment firm acquires a DBRI 0.1% 04/15/2026 (ISIN Code DE0001030567) by trading over the counter at 110.00%. The nominal value of the transaction is 1000000 EUR.
The net amount for this transaction is 1111274.01 EUR.
Considering that for the purpose of this example:
The static characteristics (as defined upon the issue of the financial instrument) are:
Maturity Date: April 15th 2026
Coupon frequency: Annual
Day Count Convention: ACT/ACT
Day to Settle Convention: 2 business days after the trade date
The variables (dynamic characteristics depending on the market conditions) are:
Trade Date: July 25th 2016
Settlement Date: July 27th 2016 (as per the Day to Settle Convention)
Last Coupon Date: April 15th 2016
Next Coupon Date: April 15th 2017
Accrued number of days: 103 (i.e., the number of days between the Last Coupon Date and the Settlement Date)
Period basis: 365 (i.e., the total number of days between the Last Coupon Date and the Next Coupon Date)
Quantity: 1000000 (i.e., the nominal or monetary value of the transaction)
Clean price: 110.00
Index ratio: 1.009990
Accrued interest: 0.02821918 (i.e., Nominal Coupon / Annual Coupon Frequency x Accrued Number of Days / Period basis = 0.1/1 x 103/365 )
The net amount will be calculated as follows (pursuant to the formula provided in field 35 of RTS 22):
Net amount[1] = [(Clean price x Nominal value) + (Accrued coupons x Nominal value)] x Index ratio i.e. [((110/100 x 1000000 EUR) + (0.02821918/100 x 1000000 EUR))] x 1.009990 =1111274.01 EUR.
N
Field name
Values
XML representation
30
Quantity
‘1000000’
<Tx>
<New>
...
<Tx>
...
<Qty>
<NmnlVal Ccy="EUR">1000000</
</Qty>
<Pric>
<Pctg>110.00</
</Pric>
<NetAmt>1111274.01</
<TradVn>XOFF</
...
</Tx>
<FinInstrm>
<Id>DE0001030567</
</FinInstrm>
...
</New>
</Tx>
[1] Please note that this example differs from example 92 within the Guidelines by the index ratio that needs to be taken into account in the calculation of the Net Amount.
Source: ESMA original document