We aim to clarify expectations for investment firms and trading venues submitting UK MiFIR transaction reports and instrument reference data in relation to LIBOR transition.
Should a transaction report be submitted when the reference rate for a previously reported contract changes from LIBOR to an alternative rate (whether as a result of the application of a fallback or otherwise)?
Where the only amendment to the contract is the reference rate and associated spread, a new transaction report should not be submitted.
Where other amendments are made to the contract that result in a reportable transaction, such as a change in notional, a new transaction report should be submitted in accordance with applicable requirements:
- Where field 41 of RTS 22 as onshored is applicable and the change in reference rate results in the generation of a new International Securities Identification Number (ISIN) by the trading venue, this field should be populated with the new ISIN. Where the change in reference rate does not result in the generation of a new ISIN, the existing ISIN should be reported in this field.
- Where fields 42-56 of RTS 22 as onshored are applicable, they should be reported with reference to the instrument on the transaction date, identifying the new underlying rate.
Are trading venues required to amend financial instrument reference data when the reference rate for an instrument changes from LIBOR to an alternative rate (whether as a result of the application of a fallback or otherwise)?
Where the change in reference rate would result in a new ISIN being generated on request, trading venues should request the new ISIN, terminate the existing instrument and submit financial instrument reference data for the new instrument in accordance with RTS 23 as onshored.
If the change would not result in a new ISIN being generated, and no other changes are being made to the instrument that would result in a new ISIN being generated, no action is required by trading venues.
See our EMIR news page for an update on reporting under UK EMIR in relation to LIBOR transition.