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5 Reporting at position level

  1. 11. Following the reporting of the details of a derivative a counterparty has concluded and the termination of that derivative due to inclusion in a position, a counterparty shall be allowed to use position level reporting provided that all of the following conditions are fulfilled:

    1. (a) the risk is managed at position level;

    2. (b) the reports relate to derivatives concluded on a trading venue or on an organised trading platform located outside of the UK or to derivatives cleared by a CCP or to contracts for difference that are fungible with each other and have been replaced by the position;

    3. (c) the derivatives at trade level, as referred to in field 154 in Table 2 of the Annex, were correctly reported prior to their inclusion in the position;

    4. (d) other events that affect the common fields in the report of the position are separately reported;

    5. (e) the derivatives referred to in point (b) were duly terminated by indicating the action type ‘Terminate’ in field 151 in Table 2 of the Annex and event type ‘Inclusion in position’ in the field 152 in Table 2 of the Annex;

    6. (f) the resulting position was duly reported either as a new position or as an update to an existing position;

    7. (g) the report of the position was made correctly filling in all the applicable fields in Tables 1 and 2 of the Annex and by indicating that the report is made at position level in field 154 in Table 2 of the Annex;

    8. (h) the counterparties to the derivative agree that the derivative should be reported at position level.

  2. 12. When an existing derivative is to be included in a position level report on the same day, such derivative shall be reported with action type ‘Position component’ in field 151 in Table 2 of the Annex.

  3. 13. The subsequent updates, including valuation updates, collateral updates and other modifications and lifecycle events, shall be reported at position level and they shall not be reported for the original derivatives at trade level that were terminated and included in that position.