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Q&A · ESMA

Interest Rate Swaps reporting

Answered
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AI-generated Summary

ESMA gives worked examples of transaction reports and reference data for interest rate swaps: in a fixed-to-floating swap the buyer is the payer of the fixed rate, reported as the price; in a float-to-float basis swap the buyer is the payer of the spread (reported as the price, even if negative), with rules for ordering the legs.

Details

ReferenceESMA_QA_1697
IssuerESMA
Published26 Sept 2018
Answered26 Sept 2018
Submitted26 Sept 2018
ESMA topicsESMA70-1861941480-56 Questions and Answers on MiFIR reporting
Earlier Q&A documentESMA 70-1861941480-56 MiFIR data reporting Q&A, Q&A 16.2