The European Securities and Markets Authority (ESMA) has published a consultation paper containing draft guidelines on position calculation under the European Market Infrastructure Regulation (EMIR).

The purpose of the guidelines is to ensure that trade repositories (TRs) calculate positions in derivatives in a harmonised and consistent manner in accordance with Article 80(4) EMIR. 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 relevant authorities. This includes:

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

The 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 draft 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.

The deadline for comments on the consultation paper is 15 January 2018. ESMA expects to publish a final report on the guidelines in the first half of 2018.

View ESMA consults on guidelines on derivative position calculation under EMIR, 17 November 2017