ESMA has issued a few new pieces of guidance via its latest EMIR Q&A update.
The key point for EMIR reporting is the guidance on populating the notional field for futures and options at position level (transaction reporting, question 41).
- Notional for futures: quantity x price multiplier x settlement price
- Notional for options: quantity x price multiplier x strike price
That means that for a future on ICE on the FTSE 100 index the notional will be the quantity (number of contracts traded) x 10 (£10 per index point multiplier) x forward price (in index points). For a position report this would be the average forward price weighted by quantity.
The other updates are:
- Additional default management guidance for CCPs under CCP question 3 (d) and
- Access to data by the competent authorities under transaction reporting question 37 (a).
These updates are helpful for firms in that they provide clarity on populating the notional field however questions remain about whether the notional for a buy would be different from a sell for trades. It is clear that if you have 100 buys of FTSE 100 futures and then you do 50 sells, the notional on your position report would be reduced. But is ESMA expecting the notional for the trades to be negative for sells? It doesn’t appear to be the case from the Q&A. More clarity from worked examples as per the recent consultation on MiFID II transaction reporting would be welcomed.