AWFDE report: cross-border financial derivatives

For any questions please email aussenwirtschaft.FDE@oenb.at.

Contents

See the directory on the right.

Key reporting data

Reporting matrix

Scope

Data must be provided for transactions sent and received as well as the resulting credit and debit balances with regard to cross-border financial derivatives trades broken down by country/region as shown in the AWFDE report.

Financial derivatives include all derivatives as defined in annex 2 of Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms (CRR Regulation) and credit derivatives. To report domestic and foreign financial derivatives that are traded on a stock exchange, such as standardized options and futures to which ISINs have been assigned, use the AWFDE report for financial derivatives and not the AWWPI report for domestic custody accounts. Do no use the AWFDE report to report the value of underlying assets (e.g. underlying purchase of stocks).

To report derivative securities or securitized financial derivatives such as warrants, certificates, securities with embedded financial derivatives and similar leveraged products structured as securities, use the AWWPI report for domestic custody accounts and not the AWFDE report for cross-border financial derivatives.

Use the AWFDE report to report transactions and balances related to the following types of derivatives:

• Options

  • Options bought
    Options bought refer to exchange-traded and OTC options that were bought by residents from nonresident counterparties and may relate to both call and put options.  Options are conditional forward contracts: buyers (long positions, options holders) have the right but not the obligation to exercise their options. Options bought constitute assets. In this section, always report the option holder’s view (long position) for both call and put options.
    From the holder’s perspective (long position), options include:

    • Credit spread options bought

    • Interest options bought

    • Currency options bought

    • Equity options and other security index options bought

    • Precious metal options bought

    • Commodity options bought and other conditional forwards bought

  • Options written
    Options written refer to exchange-traded and OTC options that were sold by residents to nonresident counterparties and may relate to both call and put options.  Options written (short positions, conditional forward contracts) constitute liabilities. In this section, always report the option writer’s view (short position) for both call or put options.
    From the option writer’s perspective (short position), options include:

    • Credit spread options written

    • Interest options written

    • Currency options written

    • Equity options and other security index options written

    • Precious metal options written

    • Commodity options and other conditional forwards written

• Futures

  • Futures are standardized unconditional forward contracts which carry the obligation to buy or sell a given underlying asset at a predefined price on a predefined date. For futures, the reporting obligation is limited to transactions (no balances):
    Futures relate to both commodity and financial futures, such as:

    • Interest rate futures and interest-based index contracts

    • Currency futures and currency-based index contracts

    • Equity futures and other securities-price-related index futures

    • Equity index contracts and other securities-based index futures

    • Precious metal futures

    • Commodity futures and other contracts of a similar nature

• Forwards

  • Forwards are unconditional forward contracts which carry the obligation to buy or sell a given underlying asset at a predefined price on a predefined date. Unlike futures, forwards tend to be nonstandardized instruments. The details are agreed by the contracting partners, and the instruments are traded on OTC markets. 
    Forwards include:

    • Forward rate agreements including purchases and sales of fixed-term deposits and forward transactions in securities (OTC trade)

    • Foreign exchange forwards (OTC trade)

    • Forward precious metal transactions (OTC trade)

    • Foreign exchange forwards (OTC trade)

    • Credit spread forwards

• Swaps

  • Swaps are contractual arrangements between two parties who agree to exchange, during a defined period and under predetermined conditions, streams of payment on an agreed notional amount of principal.
    Swaps include:

    • Interest rate swaps

    • Floating interest rate swaps

    • Cross-currency interest rate swaps, capital market swaps

    • Money market swaps (foreign exchange swaps)

    • Single name credit default swaps

    • Portfolio credit default swaps

    • Total return swaps.

• Other financial derivatives

  • Other financial derivatives cover any financial derivatives that cannot be mapped to any of the other categories.

ATTENTION:

Do NOT include the following in the AWFDE report:

• Underlying

• Total of swap/forward

• Warrants, guarantee certificates, index certificates, investment certificates, knockout certificates, stock certificates, conversion bonds, cum-warrant bonds, credit-linked notes, and leveraged securities are to be reported in the AWWPI report (AWWPI).

• Initial margins are to be reported as balances in the AWFUV report (AWFUV).

Reporting threshold

The reporting threshold can be reached or exceeded in both transactions and balances for cross-border financial derivatives. If one of the two reporting thresholds (either transactions or balances) is reached or exceeded, both concepts (transactions and balances) must be reported.

Transactions:

Incoming and outgoing transactions with regard to cross-border financial derivatives must be reported if the resulting balances (or the euro equivalents) add up to EUR 1,000,000 or more in the reporting period.

Balances:

Total of valued assets and liabilities of all cross-border financial derivative transactions at the end of the month: EUR 1,000,000.

A final nil report will be required for reporting periods following any reporting periods in which transactions and the resulting (asset and liability) balances dropped back below the reporting threshold. The reporting requirement would arise again once the reporting threshold is exceeded again.

Below reporting threshold + nil report:

If, after a report has been submitted, both transactions (incoming and outgoing) and positions (assets and liabilities) fall below the specified reporting threshold within the next reporting period, a nil report must be submitted. Further reports are only required if the reporting limit is reached or exceeded again.

Example: Reporting threshold for cross-border transactions in financial derivatives (positive balance)

A domestic entity sells (writes) an option in the amount of EUR 3,000,000 (incoming transaction) to a Germany counterparty. At the same time, this domestic entity receives interest payments totaling EUR 700,000 (incoming transaction) under an interest rate swap with an Irish counterparty, to which it must pay EUR 500,000 in terms of interest (outgoing transaction).

The net balance of these transactions is as follows: EUR 3,000,000 + EUR 700,000 - EUR 500,000 = EUR 3,200,000.

The balance of these transactions exceeds the reporting threshold of EUR 1,000,000. As the reporting entity, therefore report incoming transactions from Germany (+EUR 3,000,000) and Ireland (+EUR 200,000).

Example: Reporting threshold for cross-border transactions in financial derivatives (negative balance)

A domestic entity buys options of EUR 300,000 in total (outgoing transaction) from a German counterparty, EUR 400,000 (outgoing transaction) from a US counterparty and EUR 350,000 (outgoing transaction) from a UK counterparty.

The net balance of these transactions is as follows: –EUR 300,000 – EUR 400,000 – EUR 350,000 = -EUR 1,050,000.

The absolute amount of EUR 1,050,000 exceeds the reporting threshold of EUR 1,000,000. The reporting entity therefore reports outgoing transactions to Germany (–EUR 300,000), Ireland (–EUR 400,000) and the UK (-EUR 350,000).

Example: Reporting threshold for cross-border transactions in financial derivatives (link between transactions and balances)

As of January 31, a domestic entity holds options in total of EUR 2,000,000 from an Italian entity. Also in January, this domestic entity receives interest payments of EUR 300,000 (incoming transaction) from a Spanish counterparty under an interest rate swap.

The reporting entity therefore reports both the incoming transaction from Spain (+EUR 300,000) and the assets from the Italian entity (EUR 2,000,000) because the assets (balances) exceed the reporting threshold of EUR 1,000,000.

Reporting entity/reporting agent

Data must be provided by all residents conducting cross-border financial derivatives transactions with nonresidents if the reporting thresholds outlined above are exceeded.

For CRR banks that use the Common Reporting Data Model, see the presentation of the reporting in the Reporting Data and Information Model (MDI; modeling in the Basic Cube). Reporting takes place within the framework of the data model listed.

Reporting reference date/reporting period

Data on both transactions and balances are to be reported on a monthly basis by the 15^th day of the following month. The reporting periods are calendar months. The criterion for mapping a transaction to a specific period is the date on which the accounting entry is made (not the settlement date). In other words, any transactions accounted for after the final day of a given month (e.g. March 31) must not be part of the report for the reporting period ending on that particular day. These transactions are to be reported for the following month (April).

Transactions

The reporting reference date for transactions is the last day of the month in which the incoming or outgoing transactions were recorded. 

Balances

The reporting reference date for (asset and liability) balances is the last day of the respective month.

Regional breakdown

Transactions (incoming and outgoing) and balances (asset and liability) related to cross-border transactions with financial derivatives are to be reported by country (ISO code) and type of derivative.

Example: Regional breakdown

A domestic entity conducts a number of cross-border transactions related to financial derivatives in May, incoming transactions from the UK (options), Germany (futures) and the USA (options).
Moreover, this domestic entity makes payments to other entities in Italy and France.

The absolute amount of these transactions exceeds the reporting threshold of EUR 1,000,000.
The reporting entity must use the AWFDE report to report all five transactions, broken down by country (GB, DE, US, IT and FR) and type of derivative (futures, options, etc.).

Financial derivatives – balances (STAND)

(Asset and liability) balances are to be reported at fair value and aggregated by country (total assets and total liabilities, broken down by ISO codes of the counterparties’ countries).

Some types of financial derivatives change from an asset to a liability and vice versa during the term of the contract. In general, positions must always be reported as positive assets or liabilities. If a change in holdings occurs and there is no settlement, the market value of the gross asset or gross liability is revalued to zero at the end of the previous reporting period and the gross asset or liability position is revalued from zero to the market value at the end of the current accounting period. In the case of derivatives that are settled daily, the balances in the balance sheet are zero.

Data fields and attributes

The expressions in parentheses are data field codes (dimensions) and data field attributes. These codes are required for further processing when reporting agents submit their data via Excel uploads or via IT interfaces.

Residence (LD)

Indicate the two-digit ISO codes of the countries in which the nonresident counterparties are headquartered. Individuals are to be identified by their country of residence rather than their country of citizenship. International organizations resident abroad are to be identified by the respective country code.

Derivatives traded at a foreign exchange may also be identified with the country in which the exchange was set up.  Transactions intermediated by a foreign broker may also be identified with the broker’s country of residence in case the exchange-related data are not available. However, the clearer’s country of residence must not be used to identify transactions.

ISO codes are the country codes under ISO standard 3166.

→ Exchange rates - Oesterreichische Nationalbank (OeNB)

Example: Residence (LD) (for balances)

Having purchased an option, a domestic entity has assets (balance) from a UK counterparty. The underlying assets are German stocks.

As the reporting entity, indicate the ISO code for the UK, i.e. GB.

Type of derivative (DERART)

Use the following breakdown for balances (assets and liabilities) resulting from cross-border transactions in financial derivatives:

• Forwards (FORW)

• Options (OPT)

• Swaps (SWAP)

• Other financial derivatives (SONSFD)

Asset class (AKL)

The asset classes of underlyings are to be classified as follows:

• Commodity (COMM)

• Credit (CRED)

• Foreign exchange and gold (CURR)

• Equity (EQU)

• Interest rate (INTRATE)

• Other asset class (SONSAK)

Type of balance (BESTART)

To report the balances of assets and liabilities (absolute values; see data field “value”), use the following breakdown:

• Assets (FORD)

• Liabilities (VERPF)

Balances must not be reported for futures (concept code STAND must not occur and BESTART must be empty). Only the combination of concept code = TRANS and TRANSZ = FORD or VERPF is permitted.

Type of value (WA)

The market value (MW) must be stated here.

Value 

Balances (assets and liabilities) are to be reported at fair value, broken down by country/region. Assets are to be indicated as positive fair values and liabilities as negative fair values, using absolute figures. Hence, balances are to be reported with a positive sign.

Amounts must be given in euro. Balances are to be reported at the exchange rate applicable for the last day of the reporting month.

→ Exchange rates - Oesterreichische Nationalbank (OeNB)

Example: Exchange rate for balances

As at September 30, a domestic entity owes GBP 5,000,000 to a UK counterparty following cross-border transactions in financial derivatives. 
To report the balances, convert the foreign currency amount using the ECB reference rate for September 30 (reporting reference date).

The exchange rate published for September 30 is as follows: EUR 1 = GBP 0,81275.
Conversion of the foreign currency amount at this exchange rate yields: GBP 5,000.000 GBP / 0.81275 = EUR 6,151,953

Hence, EUR 6,151,953 is the amount to be reported in terms of liabilities to the UK.

Value comment

Commenting data entries has been enabled and may reduce the need for queries. Use the comments function for system-related queries that may arise during reporting (mandatory).

Financial derivatives – transactions (TRANS)

Transactions related to financial derivatives comprise the following incoming or outgoing transactions:

• Premiums
  Premiums (incoming or outgoing transactions) related to the purchase or sale of options on primary or secondary markets.

• Cash settlement
  Cash settlements (ongoing or when an instrument is exercised/a transaction is closed) such as variation margins (e.g. in the case of futures). Such transactions are to be reported as incoming or outgoing transactions in terms of ongoing settlements under financial derivatives. Variation margins are accounting entries made on exchange trading days to account for realized gains and losses arising from individual positions.

• Physical settlement
  For physically settled transactions, report the difference between the strike price and the actual price of the underlying financial instrument under financial derivatives on the exercise date. 

• Asynchronous settlements
  Asynchronous settlements (e.g. at quarterly intervals toward annual interest under interest rate swaps) are to be reported under financial derivatives.

With regard to financial derivatives trades, do not use the AWFDE report to report the following transactions sent and received:

• Do not report initial margins – cash collateral that must be provided to open a trade – as transactions related to financial derivatives.

• In the case of currency swaps, do not report the swap of the underlyings as transactions related to financial derivatives. All that is required is offsetting the market value of the trade when closing the transaction and reporting the related incoming or outgoing transaction.

• Commissions paid or received by brokers or intermediaries for the brokerage of options, futures, swaps and other derivative contracts.

Data fields and attributes

The expressions in parentheses are data field codes (dimensions) and data field attributes. These codes are required for further processing when reporting agents submit their data via Excel uploads or via IT interfaces.

Residence (LD)

Indicate the two-digit ISO codes of the countries in which the nonresident counterparties are headquartered. Individuals are to be identified by their country of residence rather than their country of citizenship. International organizations resident abroad are to be identified by the respective country code. 

Derivatives traded at a foreign exchange may also be identified with the country in which the exchange was set up. Transactions intermediated by a foreign broker may also be identified with the broker’s country of residence in case the exchange-related data are not available. However, the clearer’s country of residence must not be used to identify transactions.

ISO codes are the country codes under ISO standard 3166.

→ Data classification (available only in German) - Oesterreichische Nationalbank (OeNB)

Example: Residence (LD) (for transactions)

A domestic entity buys an option from a UK counterparty. The underlying assets are German stocks.

When reporting the transactions, indicate the ISO code for the UK, i.e. GB.

Type of derivative (DERART)

Use the following breakdown for transactions (incoming and outgoing) resulting from cross-border transactions in financial derivatives:

• Forwards (FORW)

• Futures (FUTURE)

• Options (OPT)

• Swaps (SWAP)

• Other financial derivatives (SONSFD)

Asset class (AKL)

The asset classes of underlyings are to be classified as follows:

• Commodity (COMM)

• Credit (CRED)

• Foreign exchange and gold (CURR)

• Equity (EQU)

• Interest rate (INTRATE)

• Other asset class (SONSAK)

Transaction mapping (TRANSZ)

This information will allow mapping transactions to balances of assets and liabilities.

• Assets (FORD)

• Liabilities (VERPF)

The transactions must be categorized as follows at the time of exercise:

• TRANSZ = FORD: Balance of all incoming and outgoing transactions of all derivatives that were in an asset position (FORD) at the time of payment, per derivative type, asset class and country of the foreign business partner.

• TRANSZ = VERPF: Balance of all incoming and outgoing transactions of all derivatives that were in a liability position (VERPF) at the time of payment, by derivative type, asset class and country of the foreign business partner.

A negative balance must always be reported with a negative sign!

It is expressly pointed out that incoming and outgoing transactions can occur both on the asset and on the liabilities side. It would be incorrect to transmit incoming transactions exclusively by means of concept code = TRANS and dimension = TRANSZ with attribute characteristic = FORD or outgoing transactions exclusively with attribute characteristic = VERPF.

If a reporting entity, for example, offers forward exchange transactions as a financial intermediary for customers or within the group, there are no net transactions, as incoming and outgoing transactions offset each other at the time of settlement, provided the reporting entity is not a contracting party to the derivative transaction. Valuation differences between forward and spot rates must be reported using concept code = STAND and dimension = BESTART. If the forward transaction is in a receivables position, the attribute = FORD must be used. If the forward transaction is in an obligation position, the attribute characteristic = VERPF must be used.

Exemption regarding transactions

If it is not possible for a reporting entity to report transactions in financial derivatives in accordance with the above rule (allocation of transactions), the transaction allocation at the time of exercise can be carried out or implemented as follows:

• TRANSZ = FORD: positive balance of incoming and outgoing transactions per derivative type, asset class and country of the foreign business partner.

• TRANSZ = VERPF: negative balance of incoming and outgoing transactions per derivative type, asset class and country of the foreign business partner.

A negative balance must always be reported with a negative sign!

The OeNB must be informed of the use of this exception (e-mail to Aussenwirtschaft.FDE@oenb.at).

Type of value (WA)

The market value (MW) must be stated here.

Value 

Balances (assets and liabilities) are to be reported at fair value, broken down by country/region. Assets are to be indicated as positive fair values and liabilities as negative fair values, using absolute figures. Hence, balances are to be reported with a positive sign.

Amounts must be given in euro. Balances are to be reported at the exchange rate applicable for the last day of the reporting month.

→ Exchange rates - Oesterreichische Nationalbank (OeNB)

Example: Exchange rate for transactions

Reportable cross-border transaction in financial derivatives carried out on October 3: 
A domestic entity receives USD 2,000,000 under an options trade. Beyond this transaction, the entity does not conduct any reportable transactions related to financial derivatives in the given reporting period.
To report the transaction, convert the foreign currency amount using the ECB reference rate for October 3.

The exchange rate published for October 3 is as follows: EUR 1 = USD 1.3035.
Conversion of the foreign currency amount at the exchange rate for the transaction date yields: USD 2,000,000 / 1.3035 = EUR 1,534,331 

Hence, EUR 1,534,331 is the transaction received (positive value) to be reported.

Value comment

Commenting data entries has been enabled and may reduce the need for queries. Use the comments function for system-related queries that may arise during reporting (mandatory).

Quality requirements

• AWFDE reports must be complete and must be submitted to the OeNB in due time.

• Complete means that the report covers all types of dimensions of all types of investments.

• Use the comments function for system-related queries that may arise during reporting (mandatory).

• The data reported will be checked by the OeNB. We will contact you in case any queries should arise. Queries need to be answered without delay.

See also: General provisions.

Reporting examples for selected business cases

Example: FX-Forward

Please note: Transactions in the AWFDE report result in a change in foreign deposit/brokerage accounts, which must be transmitted to the OeNB as part of the AWFUV report.

AWFDE report on reporting reference date 30.09.2022:

AWFDE report on reporting reference date 31.10.2022:

AWFDE report on reporting reference date 30.11.2022:

Example: Call/Put of Option

Please note: Transactions in the AWFDE report result in a change in foreign deposit/brokerage accounts, which must be transmitted to the OeNB as part of the AWFUV report.

Example of a single transaction (here under the reporting limit; all cross-border financial derivatives transactions in the respective reporting period must be taken into account for reporting purposes).

AWFDE report on reporting reference date 31.10.2022:

AWFDE report of buyer:

AWFDE report of seller:

AWFDE report on reporting reference date 30.11.2022:

AWFDE report of buyer:

AWFDE report of seller:

AWFDE report on reporting reference date 31.12.2022:

The agreed strike price is lower than the market price of the share on the reporting date. The buyer exercises the option!

AWFDE report of buyer:

AWFDE report of seller:

Example: Future

Please note: Transactions in the AWFDE report result in a change in foreign deposit/brokerage accounts, which must be transmitted to the OeNB as part of the AWFUV report. Balances must not be reported for futures (concept code STAND must not occur and BESTART must be empty). Only the combination of concept code = TRANS and TRANSZ = FORD or VERPF is permitted.

Example of a single transaction (here under the reporting limit; all cross-border financial derivatives transactions in the respective reporting period must be taken into account for reporting purposes).

AWFDE report on reporting reference date 31.05.2023:

AWFDE report of buyer:

AWFDE report of seller:

Example: Interest Rate Swap

Please note: Transactions in the AWFDE report result in a change in foreign deposit/brokerage accounts, which must be transmitted to the OeNB as part of the AWFUV report.

Example of a single transaction (here under the reporting limit; all cross-border financial derivatives transactions in the respective reporting period must be taken into account for reporting purposes).

AWFDE report on reporting reference date 31.01.2024:

AWFDE report on reporting reference date 29.02.2024:

AWFDE report on reporting reference date 31.03.2024:

AWFDE report on reporting reference date 30.04.2024:

AWFDE report on reporting reference date 31.05.2024:

AWFDE report on reporting reference date 30.06.2024:

Reporting template (enhanced for IT interface)

Dimensions (data fields)

Attributes 

Reporting examples (xlsx/xml)

Example 1:

AWFDE_reporting_example_1.xlsx

AWFDE_reporting_example_1.xml