The biggest surprise in the May Q&A was that it contained absolutely no changes to the Trade Reporting section. This despite the numerous questions still to be answered about the logistics of mark to market and collateral reporting, which begins on 12 August. It is to be hoped that we don’t receive an updated Q&A the day before this new reporting phase begins, as happened in February. Here is a selection of (somewhat technical) questions, which Abide have submitted for ESMA’s consideration.
1. After undertaking a compression exercise using type Z cancels, assuming that the net quantity of buys and sells is zero, would that zero position be reportable? If so, what would be the approach to population of fields such as Buy/Sell direction, price, notional amount, and how would that position ever be closed out?
2. For netted trades with residual quantities reported as positions, what is the advice re notional amount and other numeric fields? Should Unit Price be reported as the last price traded, mark to market price or average mid-price across all trades
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3. Do positions, once created, have to persist and be updated, or can they be cancelled and recreated on every compression cycle
4. Would ESMA countenance a new Action Type (eg Type Q) which indicates a New trade for immediate Cancellation and incorporation into a subsequent position report (where required)? The advantage of this is to reduce by around 50% the number of messages submitted by ETD and CFD firms who are following the Report/Cancel/Position protocol
5. If a position is the result of a single trade, may the compression route be followed or should the trade simply be updated with the mark to market value?