On Mar. 28, ESMA issued consultation on TRs' position calculation.
ESMA published consultation on proposed amendments to its Guidelines for trade repositories (TRs) on position calculation under EMIR, in force since Dec. 3, 2018.
Follows ESMA Mar. 2018 final guideline for position calculation by TRs, see #36213.
Background
The guidelines have so far ensured harmonization and consistency across position calculations and aggregations of derivatives by TRs, have given high standard data.
This has allowed authorities to use the information effectively to assess systemic risks to financial stability as well as to be able to act quickly in the event of a crisis.
In preparation for EMIR Refit go-live on Apr. 29, 2024, ESMA proposes to amend the existing guidelines to ensure full alignment with reporting requirements under EMIR.
Aim is to avoid inconsistencies in way TRs generate position reports from that date.
Feedback will help decide whether guidelines can be changed or new ones required.
Proposals
ESMA seeks input on extent to which the consistency of position calculations can be enhanced across TRs re scope of data, time of calculation, calculation methodologies.
Amended guidelines will also address to what extent continuity should be ensured by TRs during the EMIR Refit transition period when pre- and post-Refit data will coexist.
Amended guidelines establish high-level principles that should be followed by the TRs.
Principles complemented by specific procedures to be followed for accurate reporting.
Aim is to preserve existing guidelines to extent possible, propose changes if needed.
ESMA identified 47 fields used under existing guidelines, for 46 of these found 1-2-1 relationship with equivalent field under EMIR Refit, details to report remain the same.
Three new EMIR Refit fields considered necessary for purpose of amended guidelines, nine new fields that could potentially be included but are not essential for calculation.
Consultation End
Closing date for comments on the consultation is May 9, 2023, will consider feedback, expects to publish final report in Q3 2023 to allow 6-month implementation period.
Dec. 19, 2023 Final Report
On Dec. 18, 2023, EU ESMA issued final report and guidelines on position calculation.
Following feedback, ESMA proposes to delay go-live date of the new Guidelines until the EMIR Refit transition period has been concluded (option C in related consultation).
Methodology to identify whether reporting counterparty is the buyer or seller of a derivative contract is included in the final Guidelines as proposed in the consultation.
Proposed new EMIR Refit fields to be included in the calculation of positions also present in final Guidelines in the format they were proposed in the consultation.
Existing Guidelines that were applicable as of Dec. 3, 2018 will be repealed on Apr. 29, 2024 and replaced with the new Guidelines that will apply from Oct. 28, 2024.
In Mar. 2024, ESMA issued guide on position calculation per EMIR refit, see #202875.
