FAQ - Sistema Integrado de Información sobre transacciones de Derivados
Frequently Asked Questions - Cabecera
Is a trial period considered during the implementation of the SIID-TR?
Yes. In accordance with the provisions of the Transitional Rule of Chapter III.D.3, the implementation of the System incorporates a six-month white start-up period, counted from the effective date of the SIID-TR, for each Participant, in accordance with the SIID's gradual implementation schedule published in the Circular Letter of the Central Bank of Chile, on October 13, 2020.
Who can be appointed as Profile Administrator in the SIID-TR and what are their functions/responsibilities?
SIID-TR allows a maximum of two Profile Administrators per Participant. These Profile Administrators must be natural persons with a Unique Tax Number (RUT) from the Internal Revenue Service (SII), and who have the necessary attributions and powers to act on behalf of the Participant in the SIID-TR, as declared in Annex Nº1 of the RO-SIID; or, in the case of Participants in the category "Others domiciled in Chile", with respect to persons accredited under the regulations of the Compendium of International Exchange Regulations and its Procedures Manual.
The Profile Administrator will have the role of "Supervisor" with respect to the other users of his/her institution in the System, which means that, in addition to being able to upload and consult information, the Profile Administrator will be responsible for creating, modifying and suspending the different operational users, who will only be able to upload and/or consult information of the Participant in the SIID-TR.
How can an accredited Profile Administrator create a reporting user for your company?
To create an operational user, the Profile Administrator must enter the SIID-TR application, then select the "User Administration" module from the menu, and then click on the "Create User" option. This section must be completed with the data of the user to be created, and then click on the "Save" button. Once the user has been created in the system, you are requested to notify the Central Bank by e-mail SIIDerivados@bcentral.cl, in order to manage the delivery of the new user's soft-token.
In the case of Pension Fund Management Companies, who must be identified as the Counterparty to the transaction?
In the reports to SIID-TR for operations carried out by and with Pension Funds, the RUT field must indicate the RUT corresponding to the respective Pension Fund Administrators. Regarding the LEI code, the information of the particular fund must be indicated, in case this identifier is available. If the fund does not have an LEI code, the LEI of the AFP must be indicated in this field.
In the case of General Fund Administrators reporting on behalf of the managed funds, who should be identified as Counterparty 1 (or Participant) of the operation?
The reports to the SIID-TR by the General Fund Administrators (AGFs) must identify as Counterparty 1 the mutual fund or investment fund that has acquired the derivative operation and that said audited entity manages, as specified in section B. Participants of the SIID (entities obliged to report)" with respect to "Other CMF Audited Entities".
What is a LEI (Legal Entity Identifier) code?
The LEI is a code that identifies the different legal entities involved in financial transactions, according to ISO 17442.
What is the official source of LEI code information?
The official source for validating LEI code information is GLEIFL (The Global LEI Fundation). The official Gelif website website has an online search tool: https://search.gleif.org/#/search/ , as well as direct database download or Golden Copy of LEI codes: https://www.gleif.org/en/lei-data/gleif-golden-copy/download-the-golden-copy#/
When should the LEI code be reported in the SIID-TR?
The LEI code must be reported to the SIID-TR, with respect to the different parties involved in the operation, according to the definitions of information requirements contained in the SIID-TR Operating Regulations, as long as the natural or legal person has an LEI code.
Under what legal powers does the Central Bank of Chile request the reporting of derivative information to the SIID-TR by entities resident in Chile?
The legal powers of the Central Bank to request the mandatory reporting of information on derivatives through the SIID-TR are set forth in paragraph 6 of Paragraph 2 of Section A. of Title I of Chapter III.D.3 of the CNF.
¿Quiénes deben acreditarse como Participantes del SIID-TR ante el Banco Central de Chile y solicitar acceso para remitir la información requerida al Sistema Integrado de Información sobre Transacciones de Derivados (SIID)?
Participating banks and their subsidiaries, non-bank legal entities that the Central Bank of Chile has authorized to be part of the Formal Exchange Market (FCM) and non-bank financial entities or individuals supervised by the Financial Market Commission, are required to submit Annex Nº1 of the SIID-TR Operating Regulations, in their capacity as Participants, to request access to submit the required information to the SIID-TR.
Notwithstanding the foregoing, those Participants classified in the category of "Others Domiciled or Resident in Chile" in Chapter III.D.3 of the CNF; that is, natural or legal persons other than banking companies and subsidiaries, entities authorized for the Formal Exchange Market, and entities supervised by the Financial Market Commission, that have a password to report their derivative transactions to the Central Bank through Chapter IX of the Compendium of International Exchange Regulations of the Central Bank of Chile (CNCI), will not be required to sign the access request indicated in Annex Nº1. Only in the event that the Participant wishes to modify these Profile Managers for the SIID-TR, it will be necessary to send the aforementioned Annex.
Which entities are required to report their financial derivatives information to SIID-TR?
The entities obliged to report to the SIID-TR ("SIID Participants" or "Participants") are the banking companies - including in this category the banking subsidiaries of Article 70 letter a) of the General Banking Law (LGB) -, the non-bank legal entities that the Bank has authorized to be part of the Formal Exchange Market (MFC), non-bank financial market entities supervised by the Financial Market Commission (CMF), as included in the regulations issued by the BCCh, and other individuals or legal entities resident in Chile that enter into derivative transactions with a person domiciled or resident abroad.
For more details on the type of information and reporting frequency that each Participant is required to send to the SIID-TR, see question 1.2.
What information must be sent to the SIID-TR by the Participants and with what periodicity?
The information to be sent to SIID, according to the type of Participant, is summarized below:
Banking Entities: They must report, on a daily basis, the subscriptions and modifications of contracts, and, on a monthly basis, the portfolio of outstanding and expired transactions during the period; in each case with respect to derivative instruments on exchange rates (including inflation derivatives), interest rates and fixed income, agreed with domestic and foreign counterparties.
Non-banking MCF Entities: They must report, on a monthly basis, the stock of outstanding and matured transactions at the close of each month, with respect to derivative instruments on exchange rates involving a foreign currency and exchange rate derivatives in which a foreign currency is involved and have been agreed in the local market, together with those derivative transactions on currencies (including UF), interest rates and fixed income, agreed with counterparties domiciled or resident abroad. The banking subsidiaries of Article 70 letter a) LGB: Must provide, on a monthly basis, the portfolio of current and expired operations during the period, with respect to derivative instruments on exchange rates (including inflation derivatives), interest rates and fixed income, agreed with domestic and foreign counterparties.
Financial entities audited by the CMF that are non-banking companies and are not part of the MCF: They must report, on a monthly basis, the stock of outstanding and expired transactions during the period, with respect to derivative instruments on exchange rates in which a foreign currency is involved and have been agreed in the local market, together with those derivative transactions on currencies (including the UF), interest rates and fixed income agreed with counterparties domiciled or resident abroad.
Other residents in Chile: They must report, on a monthly basis, the portfolio of outstanding and matured transactions during the period, with respect to derivative instruments on currencies (including the UF), interest rates and fixed income, which have been agreed with counterparties domiciled or resident abroad.
What are the deadlines for reporting derivative information to SIID-TR?
Daily reports on new subscriptions and contract modifications must be sent to the SIID-TR by 10:00 AM of the following bank working day.
On the other hand, the monthly reports on information on terms and maturities must be sent to the SIID-TR by the fifth working day of the month following the referred month.
During the transition period from the current Central Bank of Chile's derivatives information reporting system (Chapter IX of the CNCI) to the new SIID-TR Repository (Chapter III.D.3 of the CNF), will there be a double reporting of derivatives information to the Central Bank's systems?
Yes, during the six-month white march, the Participant must comply with the obligation to report its derivatives information both to Chapter IX of the CNCI and to the new SIID-TR system, which in the case of derivatives on currencies and interest rates, implies a double reporting of the information to the Central Bank of Chile. The aforementioned double reporting will prevail until the SIID-TR system is definitively implemented, or when the Central Bank, in its role as Administrator of the SIIDTR, so determines.
It should be recalled that the new SIID-TR system collects information on derivatives that the Participants make on underlying exchange rates, interest rates and fixed income, as specified in Chapter III.D.3 of the CNF and its Operating Regulations. Derivatives on commodities and other underlyings continue under the Regulations defined in Chapter IX of the CNCI, and must be reported to the Central Bank of Chile in accordance with the provisions of said regulation, when they have the nature of exchange information.
What type of information will be disclosed by SIID to the general public?
One of the purposes of the SIID-TR is to enable the compilation and publication of national macroeconomic statistics. This is based on the exercise of the statistical function of the Central Bank of Chile contemplated in Article 53 of the LOC, which includes compiling and publishing, among others, exchange rate statistics. However, these publications must comply with the provisions of Article 66 of the LOC, i.e., the BCCh may only publish operations in global terms, not personalized and for statistical or general information purposes.
What information from the SIID-TR will the Financial Market Commission (CMF) have access to?
The CMF will have direct access to the information contained in the SIID-TR with respect to its supervised entities. In addition, in accordance with the provisions of TITLE III on Supervision of Chapter III.D.3 of the CNF, the CMF may arrange for additional information on derivatives to be sent to it by its supervised entities through the SIID-TR.
How must a Participant be accredited to access the SIID-TR?
To request access to the SIID-TR, Participants banks and subsidiaries, non-bank FCM entities and financial entities supervised by the CMF, must send to the Central Bank of Chile Annex Nº1 contained in the SIID Operating Regulations, duly completed and signed by the company's General Manager and its Fiscal or Legal Manager, as appropriate. Once the documentation is received and accepted by the Central Bank of Chile, the persons designated as Profile Administrators will be contacted via e-mail (from the account SIIDerivados@bcentral.cl) to receive a soft-token for access to the web application (the soft-token must be installed in each user's mobile device).
In the case of "Others domiciled or resident in Chile" other than the Participants mentioned in the previous paragraph, who already have an access code for Chapter IX of the CNCI and who, in accordance with Chapter III.D.3.1, are not required to send Annex N°1, the Participant will be contacted via e-mail to confirm the information of their current Profile Administrators and proceed with the delivery of the soft-token for access to the SIID-TR application.
What information must be reported by a General Fund Manager supervised by the CMF, which is not a banking subsidiary?
General Fund Managers that are not banking subsidiaries are responsible for reporting to the SIID-TR the foreign exchange derivatives transactions (FX and cross-border) that it carries out on its own account and on behalf of third parties, according to Law 20.172.
What information must a General Fund Manager that is a bank subsidiary report?
General Fund Managers that are banking subsidiaries are responsible for reporting to the SIID-TR all their currency, interest rate and fixed income derivative transactions agreed on their own account, as well as foreign exchange derivative transactions (FX and cross-border) agreed on behalf of the funds they manage, according to Law 20.172.
Who must sign Annex Nº1 for the accreditation of Participants in the SIID-TR?
Annex 1 of the "APPLICATION FOR ACCESS TO SUBMIT REQUIRED INFORMATION TO THE CENTRAL BANK OF CHILE'S INTEGRATED INFORMATION SYSTEM ON DERIVATIVES TRANSACTIONS (SIID)", and Annex 1.2 of the FORM OF PAPA PARTICIPANT DESIGNATIONS FOR THE SIID must be signed by the General Manager of the company Participant of the SIID, while the CERTIFICATE must be signed by the Attorney, Legal Manager or other similar position, who holds a professional title of attorney.
Annex Nº1.2 and the Certificate must be completed according to the modality in which the Participant is going to submit its information to the SIID, be it directly, through an Authorized Agent, or through its parent or related company.
What is reported in the Contract Jurisdiction field?
The "Contract Jurisdiction" field must be completed with the ISO 3166-1 alpha-3 country code, corresponding to the legislation and jurisdiction under which the contract is covered. In the case of transactions entered into under an international Master Agreement, such as an ISDA Master Agreement, the jurisdiction agreed in the ISDA Schedule must be indicated in this field.
Can received and delivered payments be reported together in a single record?
Yes, delivered and received payments may be grouped or netted in the monthly report, as long as they correspond to the same payment type category, in accordance with Table Nº17: Type of Payment of the Technical Specifications Document and Tables related to the RO-SIID.
In case of reporting grouped payments, the date corresponding to the most recent payment of this group must be indicated in the payment date field.
What should be reported in the Total Number of Payment Records field?
The Total Number of Payment Records field should indicate the total number of actual payment records reported in the Payments section of the monthly file.
Which payments must be reported in the "Payments" section and how often?
In the monthly report files on current and past due transactions, for each of these transactions, the payments actually made during the month of reference to the report must be reported, both those payments received and those delivered by the Participant. Payments for guarantees, taxes and commissions are excluded from this report.
Is it possible to delegate the responsibility of reporting to the SIID-TR to a third party?
The reporting processes and the sending of information to the SIID may be carried out by a third party, called "Authorized Agent" or Indirect Reporter, in accordance with the provisions of Chapter III.D.3 of the CNF and its Operating Regulations. However, the Participant is exclusively responsible for the information reported, its veracity and timeliness.
Who may act as "Authorized Agent" or "Indirect Reporter" to submit information on behalf of a SIID Participant?
The following entities may act as Authorized Agents: (i) banking subsidiaries or companies that support the banking business in accordance with articles 70 and 74 of the LGB; (ii) stock exchanges; (iii) companies that manage clearing and settlement systems for financial instruments governed by Law No. 20,345; or (iv) securities depository companies established in accordance with Law No. 18,876 or their subsidiaries, subject to the CMF's oversight.
In addition, banking institutions may submit to the SIID-TR the information corresponding to their respective subsidiaries, acting on behalf of the latter as an Indirect Reporter, the subsidiary in question assuming in all cases the responsibility for sending the information, as to its veracity and timeliness. Likewise, the entities that are part of the group of companies related to the Participant may also send the required information to the SIID-TR on behalf of the Participant.
Can a banking company send its monthly information and that of its subsidiary(ies)?
Yes. A Participant that is a banking subsidiary obliged to report to the SIID-TR may do so by submitting the information through its parent bank, declaring the above in Annex Nº1 of the RO-SIID, and in any case directly assuming the corresponding reporting responsibilities.
In which SIID-TR System should a Swaption be reported?
Swaption instruments must be reported in the System to which the underlying swap transaction to which the option to enter on the maturity date of the option corresponds. That is, the "System N°1 of Transactions with Derivative Instruments on Currencies" for a Cross Currency Swap and the "System N°2 of Transactions with Derivative Instruments on Interest Rates" for an Interest Rate Swap.
How is an Forward reported where the future price is unknown until maturity?
An Observed Forward must be identified in the SIID-TR as an "Observed Forward" instrument, according to Table N° 4 of instruments of the Technical Specifications document and Tables related to the RO-SIID. Given the nature of this type of derivative, in which an exchange is agreed at a price whose value is unknown at the time of trading, the daily subscription report must include the fields "Forward Agreed Price" and "Forward Points" empty, as well as the amount of the currency that will depend on the value of the Forward Agreed Price, and be informed in a subsequent report, once these are known by the Participant.
Why are UF/Chilean peso forwards classified as currency derivatives for SIID reporting purposes?
For the purposes of the current compilation and publication of statistical information on derivative transactions, the Bank's foreign exchange regulations treat the UF as equivalent to a currency; therefore, the SIID Operating Regulations provide that forward transactions between CLP and UF be reported through System No. 1 of transactions on currency derivatives.
It is worth mentioning that the classification defined in the SIID Operating Regulations is without prejudice to the definition adopted by the CMF in Title II "Total Assets and Risk Weighted Assets" of Chapter 12-1 of the Updated Rules Compilation (RAN), in which, for the purpose of adding a conversion factor for estimating the "credit equivalent" of derivative instruments, interest rate derivative contracts and inflation contracts (inflation insurance: CLP/UF) are included in the same grouping, apart from foreign currency contracts.
In which SIID-TR System should a Cross Currency Swap be reported, considering that this type of instrument combines currency and interest rate swaps?
Cross Currency Swaps must be reported in the "System No. 1 of Transactions with Currency Derivative Instruments". This seeks to maintain consistency with the regulations prior to the SIID-TR (Annex 1 of Chapter IX of the CNCI Manual).
¿Quiénes son Entidades de Contrapartes Central? ¿Las Contrapartes Centrales locales y residentes en el extranjero deben ser identificadas en el SIID-TR?
Who are Central Counterparty Entities? Do local and foreign resident Central Counterparties need to be identified in the SIID-TR?
When a transaction is novated at a Central Counterparty (CCP), who should be identified as Counterparty 1 (or Participant) and Counterparty 2 in the SIID?
The information requirements that refer to Counterparty 1 (or Participant) and Counterparty 2 in the SIID-TR always correspond to the original counterparties that bilaterally agreed the derivative contract, regardless of whether the transaction has been subsequently novated or subject to another equivalent legal procedure with respect to a CCP. The entity acting as Central Counterparty in a transaction must be identified in the SIID-TR in the RUT and LEI fields of the Central Counterparty, as appropriate.
Should the novation of a transaction to a Central Counterparty (CCP) be reported to SIID-TR as a modification of the contract counterparty (reporting event: "Modification of Counterparty by Assignment")?
No. The SIID-TR "Modification of the Counterparty by Assignment" reporting event excludes cases of novations of transactions in Central Counterparty.
If at the date of the underwriting report the transaction is already in a CCP, the underwriting report must incorporate the Central Counterparty information in the fields RUT/LEI of the Central Counterparty, Margins and Direct Participant/Clearing Agent, as applicable.
If the novation occurred after the transaction was reported to the SIID, it must be reported the following business day as an "other modification" event, completing the fields referring to the Central Counterparty information (RUT/LEI of the Central Counterparty, Margins and Direct Participant/Settling Agent, as applicable) and the Modification event (Modification Start Date).
Term date" is understood as the original term date agreed in the contract. However, there are cases where the expiration date is subject to modifications foreseen in the original contract specifications, should the term date field reflect the updated expiration date? Should this contract modification be reported in the SIID as a modification or early termination event?
The "termination date" of a transaction in each report must correspond to the updated termination date, as agreed in the contract specifications, which may be different from the original maturity agreed at the time of subscription for certain types of derivative instruments.
In this case, it is not appropriate to report the modification of the maturity of the transaction as a reporting event in the SIID, since the different maturities were pre-established in the financial conditions agreed at the beginning and therefore do not correspond to a contractual modification of the transaction.
How do I report a contract extension in SIID?
An extension or modification of the maturity date of a transaction to a date later than the originally agreed maturity date must be reported to the SIID-TR as an "Other Modifications" event, indicating in the "Termination Date" field the new maturity date of the transaction.
What is meant by "fixing date" and how should it be interpreted when reporting a derivative transaction?
The term "fixing date" refers to the date to be considered for the exchange rate, price or reference index used in the calculation of the derivative compensation, as stipulated in the contract of each transaction.
How should a transaction that does not have a single fixing date be reported?
When a transaction does not have a single fixing date, the "Fixing Date 1" and "Fixing Date 2" fields must indicate the maximum period of dates contemplated for fixing.
In the case of an Asian instrument, which considers a period of dates for fixing, the Fixing Date 1 and Fixing Date 2 fields must indicate the start date and the end date of this period.
For "American" or "Bermuda" type transactions, Fixing Date 1 and Fixing Date 2 must correspond to the first and last date, respectively, on which it will be possible to exercise the right.
In the case of an instrument involving an initial exchange of currencies in the spot market, e.g. a Cross Currency Swap or a spot-forward FX Swap, should the spot swap be reported in the SIID-TR?
In the case of instruments such as an FX Swap or Cross Currency Swap that contemplate a spot equity swap, this should not be reported to the SIID-TR. Only the future exchanges of the derivative must be reported in the SIID-TR, with respect to the date on which it was entered into.
It is worth mentioning that for an FX Swap comprising two future or forward exchanges, it must be reported to the SIID-TR as a structured transaction comprising two forward instruments.
How do you report a currency swap with a spot and a forward swap (FX-Swap forward-forward)?
The currency swap that has a spot and a forward exchange must be reported as an "FX swap" instrument, considering as reference for the information of currencies and amounts to be received and delivered the future or forward exchange (the spot part must not be reported to SIID-TR - see question 9.1).
For which instruments should section B. of the RO-SIID Flow Schedule be completed?
The "Flow Schedule" section must be completed for Interest Rate Swap instruments and other derivatives involving more than one forward exchange. For all other derivative instruments, the fields in this section should not be sent to SIID-TR.
In the report of outstanding contracts of operations with more than one forward exchange, should the Flow Calendar include only the current flows or also those that have expired?
Transactions with more than one forward exchange and interest rate swap instruments should be reported with their complete flow schedules, including information on future flows that are outstanding at the reporting date, as well as those that have expired.
How is an FX Swap with two forward swaps (FX Swap forward-forward) reported?
The Swap with two forward currency swaps must be reported to SIID as a "Derivative Structure" composed of two forwards, i.e. two independent reports of Forward instruments containing the same "Contract Identifier" (field that allows linking two instruments as a structure) and the correlative of each instrument within the structure ("Structured Transaction Identifier").
In the options report, what is meant by "knock-in" and "knock-out" concepts?
For certain non-standardized options that consider barrier prices within their operating scheme, the fields "Knock-in Barrier Price" and "Knock-out Barrier Price" must be informed.
The "Knock-in Barrier Price" field must be reported when the information sent to the SIID corresponds to an option with an "up-and-in" or "down-and-in" barrier. This means that, during the life of the option, in the first case, the price of the underlying must rise to a certain level (the entry barrier price) for the instrument to be activated; the second case is similar, but the price of the underlying must fall to a certain level for the option to be valid (entry barrier price).
Alternatively, the "Knock-out price" field must be used for options with an "up-and-out" or "down-and-out" barrier. In this case, the option is only valid as long as the price of the underlying does not reach a certain level (the exit barrier price); the second case is similar, but the price of the underlying must remain above a certain level (exit barrier price) for the option to remain active.
What is meant by structured or derivative structure and how is it reported?
A derivative structure is defined as a transaction comprising the use of two or more derivative instruments, according to the list of instruments defined in Table 4 of Annex N°2 of the SIID Operating Regulations. Each operation that makes up the structure must be reported separately to the SIID, keeping the same "Contract Identifier" number and indicating the correlative corresponding to each instrument within the structure in the "Structured Operations Identifier" field.
How should a "partial unwind" of an operation be reported?
The partial closing of a transaction or the reduction of the notional amount applicable to it must be reported as a modification of the transaction with the reporting event "Other Modifications". Usually this type of action generates a compensation between the parties, which should be duly reported in the monthly Payments report for the respective month.
How should an unwind or early termination of a transaction be reported?
An "unwind" or early termination of a transaction shall be reported in the daily reports as an "Expiration, Early Termination or Rescission" reporting event, and in the monthly maturity reports. In the respective reports, the field "Effective Date of Termination or Early Settlement" shall contain the date when the early termination of the operation became effective, while the "Termination Date" shall keep the information of the original maturity of the contract. In addition, the payment(s) originated by the settlement shall be duly reported in the Payments section of the monthly report.
When the assets comprising a collateral portfolio are valued in different currencies, should the amounts be normalized to a base currency?
Yes, collateral received and delivered that is valued in different currencies must be normalized to a base currency, indicating that currency in the "Collateral Valuation Currency" field. The participant is free to choose the base currency of the collateral in which the market value to be reported to the SIID will be expressed.
Why should collateral be associated with each derivative transaction, when collateral can be posted at the portfolio level? How should collateral be reported for such cases?
The information reported to SIID requires that, for each transaction, information is sent on the guarantee it supports (if any). This may be a single asset or a group of assets. Likewise, such guarantee may support only that transaction, or a set of transactions (portfolio). In the latter case, the required information must be sent for each transaction in relation to the portfolio. This information will be subsequently consolidated by the SIID, using the fields "Identifier of the Guarantee Received" and/or "Identifier of the Guarantee Delivered", contained in the respective Guarantee sections of each underlying.
Given the above, it is essential that the "Identifier of the Guarantee Received" and/or "Identifier of the Guarantee Delivered" fields are correctly reported. These must be sent with a unique code that will allow individualizing the instrument or portfolio that supports the operation. This code is chosen by the User or Counterparty 1, and must be consistent with the other operations that are eventually backed by this same instrument or portfolio.
When more than one operation is backed by the same guaranteed asset or portfolio, the market value of the guarantee must be repeated in the monthly report for each of these operations, and it is not necessary to prorate the value between each guaranteed operation.
In the case of transactions settled in Central Counterparties, must collateral information be reported?
When a transaction is settled in a Central Counterparty resident in Chile, pursuant to Law No. 20.345, the monthly collateral information report does not need to be completed.
The guarantees section is mandatory in the case of bilateral transactions or transactions settled in foreign Central Counterparties that are not under Chilean jurisdiction.
How should the threshold amount be reported in the case of General Fund Managers and Pension Fund Administrators, where independent thresholds are used for each fund and its Administrator?
The Threshold or Threshold Amount at which the guarantee or any Recouponing or Early termination clause is triggered must always be reported with respect to the counterparty of the transaction under which such amount has been agreed.
What is a calculating agent in the derivative transaction?
The Calculation Agent is in charge of determining the value of the transaction at the time of settlement. Said Agent may be one of the counterparties to the transaction, both counterparties together, or a third party, as defined in the financial conditions agreed at the closing of the contract, or, in the case of transactions under a Master Agreement, as established in the Conditions and Annexes thereof.
In the event that a Framework Agreement stipulates that in the absence of an agreement between the parties involved, the value to be settled must be calculated by the "Reference Banks" of the Framework Agreement, and these circumstances take place, the information of the Calculation Agent must be updated in the corresponding reports to the SIID-TR (monthly report of "maturities" and/or daily report of "Expiration, early termination or rescission").
In the case of transactions that are not settled in Central Counterparties, should the reporting counterparties agree with the market value that each of them reports to SIID-TR?
For operations that are not settled in Central Counterparties, the reporting counterparties need not agree on the market value reported by each one of them to SIID-TR, during the term of the operation, since this value depends on the methodology and estimation of discount curves that may be used by each party, in accordance with the respective contract or operation. However, upon maturity of the contract, the final value to be exchanged must be the same.
Some of the requested valuation adjustments are calculated at the portfolio level. How should they be reported at the transactional level in the SIID-TR?
In the event that the valuation adjustment values are not available at the transactional level because they were the result of portfolio-level estimates by the Participant, the corresponding portfolio adjustment value must be sent for each transaction, without the need to prorate it in each contract.
Are general lines of credit considered as derivative guarantees?
No, credit lines are not considered as guarantee to support an entity's exposure to variations in its derivative positions, even though the credit line is backed by a promissory note. This is because the line of credit does not represent an actual or potential asset, which gives a right of collection against the debtor entity. In addition, lines of credit are money credit operations and not guarantees (real or personal).
How should a transaction be reported if it has threshold risk coverage but does not constitute a guarantee?
If the transaction has a threshold from which a recouponing or early termination clause is triggered, for example, this must be reported in the Threshold Amount ("Threshold") fields for Counterparty 1 or for Counterparty 2, as appropriate.
However, if the transaction is not collateralized by an asset or portfolio of assets, the rest of the information requirements in the Collateral section should not be completed.