ESMA consults on calculation of derivative positions by trade repositories under EMIR

The European Securities and Markets Authority (ESMA) has today published for public consultationfuture guidelines on the calculation of derivative positions by trade repositories (TRs) authorised in the European Union under the European Market Infrastructure Regulation (EMIR).

ESMA supervises the way TRs make data available to public authorities. That data should be of sufficient quality to enable those authorities to monitor risk in derivatives markets. ESMA has observed divergent and inconsistent approaches to position calculations by TRs. This hinders the successful aggregation of data across TRs, which is required for monitoring systemic risks to financial stability. There are currently seven authorised TRs within the European Union and in 2017 the TRs combined have received on average around 400 million reports relating to derivatives each week.

ESMA proposes to introduce guidelines in order to ensure consistency of position calculations across TRs. The guidelines will provide specific information on the aggregation of certain data fields and how those should be calculated by TRs prior to the provision of the data to NCAs, including:

  • the timing of calculations;
  • the scope of the data used in calculations; and
  • the calculation methodologies.

These guidelines will also ensure consistency in relation to collateral calculations for derivative positions.  EMIR also requires TRs to make available information on derivative positions to central banks in the currency that they issue. With respect to this, the proposed guidelines also 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 issuer.

ESMA is seeking stakeholders’ views on the draft guidelines by 15 January 2018 and expects to publish a final report on the guidelines in the first half of 2018.

Lavanya Rathnam

Lavanya Rathnam is an experienced technology, finance, and compliance writer. She combines her keen understanding of regulatory frameworks and industry best practices with exemplary writing skills to communicate complex concepts of Governance, Risk, and Compliance (GRC) in clear and accessible language. Lavanya specializes in creating informative and engaging content that educates and empowers readers to make informed decisions. She also works with different companies in the Web 3.0, blockchain, fintech, and EV industries to assess their products’ compliance with evolving regulations and standards.

Posted in UncategorizedTagged ,

Leave a Reply

Your email address will not be published. Required fields are marked *