March 27, 2018

ESMA published the final guidelines setting out a consistent approach for calculation of derivative positions by trade repositories, under the European Market Infrastructure Regulation (EMIR). Consultation on the guidelines ran from November 17, 2017 to January 15, 2018. The guidelines provide instructions on aggregation of certain data fields and how those should be calculated by trade repositories prior to the provision of data to relevant authorities. The guidelines will be translated into the official languages of EU and will become applicable by December 03, 2018.

The report first explains the existing situation in relation to position calculation and the purpose of the guidelines, before explaining the feedback ESMA received to the consultation paper and how this has been considered in the final drafting of these guidelines. Finally, the Annexes refer to an analysis of the costs and benefits of the proposals and the guidelines. ESMA had observed divergent and inconsistent approaches to position calculations by trade repositories. ESMA has registered eight trade repositories under EMIR and such inconsistency hinders the successful aggregation of data across repositories for the purpose of monitoring systemic risks to financial stability.  The guidelines aim to ensure consistency of position calculations across trade repositories, with regard to the time of calculations, the scope of  data used in calculations, and the calculation methodologies.  

 

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Effective Date: December 03, 2018

Keywords: Europe EU Securities Trade Repositories Positions Calculation EMIR ESMA

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