On 9 July 2020, the European Securities and Markets Authority (ESMA) launched a consultation on draft guidelines on the calculation of positions by trade repositories (TRs) under the Securities Financing Transactions Regulation (SFTR).
The draft guidelines set out the relevant clarification to TRs with regards to the compliance with Article 4(6) of SFTR setting out a general requirement for TRs to calculate positions (by cross-reference to Article 80 of the European Market Infrastructure Regulation (EMIR)). Furthermore, Article 12(2) of SFTR requires TRs to collect and maintain details of SFTs (i.e., including positions) and Article 5 of the regulatory technical standards on data aggregation specifically requires TRs to calculate positions in SFTs in a harmonised and consistent manner. High-quality position data is necessary for the assessment of systemic risks to financial stability by relevant authorities.
The draft guidelines cover two main types of aggregation – the named positions between counterparties and the sectorial positions for the purposes of FSB reporting. The aim of the draft guidelines is to ensure consistency of position calculation across TRs, with regard to the time of calculations, the scope of the data used in calculations, the treatment of outliers, the recordkeeping of data and the calculation methodologies. The draft guidelines will also ensure a consistent methodology is used under EMIR and SFTR, while still reflecting the specificities of SFT reporting.
The deadline for comments on the consultation is 15 September 2020. ESMA intends to publish final guidelines in Q4 2020/Q1-2021.