ESMA Q&A 2204 — Q&A — Reporting of accumulator contracts [Answer Published]

Reporting of accumulator contracts

Question

(a) How should accumulators - i.e. derivative contracts whereby the buyer commits to buy a predefined number of underlying financial instruments at a predefined price, per day, over a certain “accumulation” period - be classified?

(b) Should the IF report the single transactions executed when settling the accumulator contract?

(c) Should the IF report the transactions concluded with third parties to secure the financial instruments to be sold to the accumulator’s buyer?

(d) How should the accumulator contract be reported?

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Answer

(a) For the purposes of transaction data reporting, accumulators should be classified as either forwards or options, depending as to whether they embed option features (e.g. knock-out price or gearing ratio).

(b) No.

(c) Yes, they should be reported according to the general rules, as applicable.

(d) Accumulators should be reported as displayed below:

RTS 22 Field Number

RTS 22 Field Name

Content to be reported

30

Quantity

Number of derivative contracts purchased.

33

Price

Price at which the buyer has committed to purchase the underlying financial instruments during the accumulation period.

[For contracts classified as options]

The premium of the derivative contract per underlying.

38

Up-front payment

If applicable, the monetary value of any up-front payment.

42

Instrument full name

Full name of the financial instrument, which must contain the term "accumulator".

43

Classification

JE**** or O*****

46

Price multiplier

Maximum number of shares to be purchased over the entire accumulation period.

47

Underlying ISIN

ISIN of the underlying.

51

Strike price

[Only for contracts classified as options]

Pre-determined price at which the holder will have to buy the underlying financial instrument.

55

Expiry date

Expiration date of the accumulator.

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Source: ESMA original document