FX Swap Spread – Reporting Clarification
The FX swap spread should be reported as a package transaction spread under CFTC field #50.
This reporting method is consistent with ASIC’s proposed amendments on FX swaps (see excerpts below), and aligns with broader international regulatory expectations.
ISDA, in its CDE v3 response, has requested that the Regulatory Oversight Committee (ROC) provide guidance confirming the following within the definition of CDE field 2.93:
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For physically settled FX swaps where the relevant rules require package reporting, industry practice is to report the two legs—spot/near-dated and forward/far-dated—as separate transactions, each with its own UTI. These legs are linked using the Package Identifier field (2.89).
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The difference between the exchange rates of these two legs (i.e., the FX spread) is either explicitly defined in the contract or can be derived from the terms of the transactions. ISDA has recommended that this spread be explicitly reportable under Package Transaction Spread (2.93), rather than Package Transaction Price (2.90), to eliminate ambiguity in current reporting practices.
This clarification would ensure consistent treatment of FX swap spreads across jurisdictions and reduce interpretive inconsistencies.
ASIC Guidance:
623. The applicability of (c) in paragraph 620 sets out a proposed jurisdictional reporting requirement in this jurisdiction to not allow the reporting of foreign exchange swap derivative transactions (FX swaps) within a single report. We are proposing this because:
(a) we understand that the current and globally most common reporting practices are that FX swaps are reported as two ‘transactions’ that represent a spot/near-dated ‘leg’ and the opposite forward/far-dated ‘leg’ respectively— so we do not wish to require FX swaps to be reported in a single report;
(b) we have considered that, particularly for cross-jurisdictional transactions, FX swaps could be allowed to be reported either in a single report or in two reports, but we think it is important to have conformity to one approach for FX swaps reporting—so we are proposing to require the globally most common approach of two reports.
634. The particular package of an FX swap is one where the package spread— that is, the difference between the exchange rates for the spot/near-dated leg and forward/far-dated leg—is a contract term of the transaction or is determinable from the exchange rates that are terms of the transaction(s). In this case, we would expect that both counterparties would report the same values for the package spread and the exchange rates.
Industry Best Practice: Reporting FX Swaps with Spot Legs under CFTC Rules
Market participants have come to a consensus that they should treat transactions executed as FX Swaps—including those with a spot leg—as reportable under CFTC Part 45.
This approach is supported by:
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The definition of “FX Swap” under the Commodity Exchange Act §1a(25);
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The CFTC’s definition of “swap” under Part 45; and
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Recent enforcement actions and public guidance indicating the CFTC's view that FX Swaps—regardless of whether they contain one or two spot legs—are considered swaps and subject to reporting.
Firms should ensure that FX Swaps, even when structured with a spot-starting leg, are captured and reported in accordance with applicable CFTC swap data reporting requirements.