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EMIRCommunity Interpretation

How are firms reporting uneven forward-forward FX swap

BMOversight managerAsked 39 views2 replies

For an uneven forward-forward FX swap, where the notional amounts of the near and far legs differ but both legs are negotiated as part of a single economic agreement, should the transaction be reported as: a single report, or two separate reports (i.e. the near and far legs reported separately, each with Contract Type = FX Swap)? If reported as two separate transactions, would firms be expected to populate both Exchange Rate 1 and Forward Exchange Rate fields on each report, or only the Forward Exchange Rate field?

#FX swap#contract type#Exchange Rate 1#Forward Exchange Rate
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Replies (2)

Replies are community interpretation, not regulatory fact.

  • SameerAssociate · 10 yrs·

    My understanding is that an uneven forward-forward FX swap should still be reported as one transaction, provided both legs form part of the same economic agreement/contract.

    • BMOversight manager · 10 yrs·

      Thanks for your response. If I am not wrong, The ISDA BP guidance is to report them as two legs because the notional amounts are different on two legs. How would you report notional if its reported as one leg.

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