SA Tech Manual §1.2.8 “Packages” says:
“Package identifier should be used by reporting counterparties or entities responsible for reporting as a unique link between reports belonging to the same derivative contract, where the table of fields does not enable submitting the details in only one report and where the package transaction is composed of a combination of derivative contracts that are negotiated together as the product of a single economic agreement.
If a derivative contract ceases to exist, but gives rise to another derivative, those two contracts should be considered individually and not be reported as a package transaction, thus no package identifier should be used to link those reports in such circumstance, while at the same time the field ’Prior UTI‘ should be reported.”
The definition of Package Identifier is same for CSA #110 and CFTCv3.3 #70, and is taken from CDEv4 2.13.1 (excerpt):
“A package may include reportable and non-reportable transactions.”
The footnote for CSA #110 and CFTCv3.3 #70 (does not exist in CDE) says:
“In addition, a “package transaction” also includes a transaction involving two or more instruments: (1) that is executed between two or more counterparties; (2) that is priced or quoted as one economic transaction with simultaneous or near simultaneous execution of all components; (3) where the execution of each component is contingent upon the execution of all other components; (4) where each component is assigned a Unique Swap Identifier (USI) or Unique Transaction Identifier (UTI); and (5) each component is reported separately.”
# | Package composition scenario | Rationales: | Required to be identified as a package per CSA §1.2.8? |
1 | A CFTC swap (ex. an FX forward - reportable) and another CFTC swap (ex. an IRD transaction - reportable) | Both components are derivatives | Yes |
2 | A CFTC swap (reportable) and a SEC swap (not reportable to CFTC but reportable to SEC) | Both components are derivatives | Yes |
3 | A CFTC swap (reportable) and an FX spot (not reportable) | One component is not a derivative. Rule 91-506 Product Determination states an FX spot is not a derivative. | No |
4 | A CFTC swap (reportable) and an exchange traded contract (not reportable) | One component is not a derivative. | No |
5 | A CFTC swap (reportable) and a cash instrument (bond or equity) (not reportable) | One component is not a derivative. | No |
6 | A CFTC swap (reportable) and a cash deposit (not reportable) | One component is not a derivative. | No |
7 | A CFTC swap (reportable) and a repo or securities lending transaction or other debt/fixed income instrument (not reportable) | One component is not a derivative. | No |