ESMA · ESMA_QA_933 Answer Published

Currency for the Overview and Margin reports (Guidelines on calculation of positions in SFTs by trade repositories)

Regulation
Securities Financing Transactions Regulation (SFTR) Regulation (EU) 2015/2365- MDP
Topic
Reporting at position level
Submitted
2022-03-22
Answered
2022-03-22
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Question

In the case of the Overview and Margin reports, how should TRs aggregate positions containing multiple currencies, irrespective of whether those currencies belong to the same or different currency buckets as per Guideline 15 of the “Guidelines on calculation of positions in SFTs by trade repositories”?

Answer

[ESMA 74-362-893 SFTR Q&A 12] For the Overview and Margin reports, TRs should calculate and express the aggregate positions in SFTs in their EUR equivalent value, irrespective of whether a position captures SFTs featuring the same or different currencies.
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This Q&A is published by European Securities and Markets Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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