| Description |
According to Article 62(2) of the MiFID II Delegated Regulation firms shall report to clients with leveraged financial instruments or contingent liability transactions, where the initial value of each instrument depreciates by 10% and thereafter at multiples of 10%.
According to the European Working Group funds, structured securities and derivates are handled as follows.
Funds: For the purpose of reporting under Article 62(2) of the MiFID II Delegated Regulation, retail investment funds (UCITS and retail AIFs) should generally not be deemed “leveraged financial instruments”.
Structured securities: Leverage is calculated on the first reporting date and is based on the delta. Most structured securities would be expected to be considered as leveraged if the level factor is > 2.
Derivates: Some derivatives may be considered as leveraged by default (without calculating delta), such as warrants and listed derivatives. For the purpose of reporting under Article 62(2) of the MiFID II Delegated Regulation, CFDs are to be considered as contingent liability products.
// The correspondent MiFID II field introduced by the European Working Group with their MiFID Data Dictionary Template (EMT) is:
EMT: 00100_Leveraged_Financial_Instrument_or_Contingent_Liability_Instrument. This is an Indicative EMT field.//
// Comment openfunds: This field does not seem to be relevant for mutual funds as there is no obligation for publishing the EMT on a daily basis.// |