Reasons for publication

The purpose of these guidelines is to set up a framework for TRs to calculate positions in derivatives in a harmonised and consistent manner in accordance with Article 80(4) of EMIR. High-quality position data is necessary for the assessment of systemic risks to financial stability by the relevant authorities.

ESMA has observed divergent and inconsistent approaches to position calculations by TRs, which hinder the successful aggregation of data across repositories for the purposes of monitoring systemic risks to financial stability. On 17 November 2017, ESMA published a Consultation Paper (CP) on Guidelines for position calculation under EMIR. The consultation closed on 15 January 2018. ESMA received 13 responses (including five confidential responses), mostly from trade repositories and central banks. The answers received are available on ESMA’s website unless respondents requested otherwise. ESMA also sought the advice of the Securities and Markets Stakeholder’s Group (SMSG).

The guidelines provide specific instructions 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.

The aim of the 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 and the calculation methodologies. These guidelines will also ensure a consistent methodology is used to calculate collateral relating to positions.

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