ESMA_QA_933
22/03/2022
Subject Matter
Currency for the Overview and Margin reports (Guidelines on calculation of positions in SFTs by trade repositories)
Original 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”?
ESMA Answer
22-03-2022
Original language
[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.
Status: Answer Published
Additional Information
Level 1 Regulation
Securities Financing Transactions Regulation (SFTR) Regulation (EU) 2015/2365- MDP
Topic
Reporting at position level