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
Previous ArticleFPC Decides to Increase the Countercyclical Capital Buffer in UK
APRA issued a letter to authorized deposit-taking institutions announcing its intent to formalize the capital measures and reporting requirements for COVID-19 loans through temporary legislative instruments.
EBA is inviting relevant stakeholders, such as financial institutions and information and communication technology (ICT) third-party providers, to share their views and experience on the use of regtech solutions through its regtech industry survey.
BoE published a statistical notice (Notice 2020/9) explaining the approach for treatment of payment holidays on the profit and loss return or Form PL.
FASB announced the launch of its new Post-Implementation Review (PIR) web portal.
EBA revised the draft implementing technical standards on supervisory reporting as part of the reporting framework 3.0.
ECB published report that presents a summary of the analysis conducted on the internal capital adequacy assessment process (ICAAP) practices of a sample of 37 "significant" banks.
BoE updated the known issues document for the statistical reporting Forms AS and FV.
FED announced individual capital requirements for 34 large banks and these requirements go into effect on October 01, 2020.
SRB published a set of documents to give operational guidance to banks on implementation of the bail-in tool.
BIS published an update on the G20 TechSprint Initiative, which was launched in April 2020 and aims to highlight the potential for technologies to resolve regulatory compliance (regtech) and supervisory (suptech) challenges.