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November 17, 2017

ESMA published, for public consultation, draft guidelines on the calculation of derivative positions by trade repositories authorized in the EU under the European Market Infrastructure Regulation (EMIR). ESMA seeks stakeholder views by January 15, 2018 and expects to publish a final report on the guidelines in the first half of 2018.

The guidelines will provide specific information on the aggregation of certain data fields and how those should be calculated by trade repositories prior to the provision of the data to the national competent authorities, including timing of calculations, scope of the data used in calculations, and calculation methodologies.These guidelines will also ensure consistency in relation to collateral calculations for derivative positions. EMIR also requires trade repositories to make available information on derivative positions to central banks in the currency that they issue. To this end, the guidelines propose that a single report is made available to each central bank of issue, with an aggregated view of potential exposures between counterparties in the specific currency for which they are the issuers.

In the past, ESMA has observed divergent and inconsistent approaches to derivative position calculations by trade repositories. This poses challenges toward successful aggregation of data across the seven trade repositories in the EU. The proposed guidelines are intended to ensure consistency of position calculations across trade repositories.

 

Related Link: Consultation Paper (PDF)

Comment Due Date: January 15, 2018

Keywords: Europe, EU, Securities, Trade Repositories, OTC Derivatives, Position Calculations, EMIR, ESMA

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