RiskTech Forum

ESMA Consults on Calculation of Derivative Positions

Posted: 20 November 2017  |  Source: ESMA


The European Securities and Markets Authority (ESMA) has today published for public consultation future 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:

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.