Technical Specifications
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      Field: Valuation amount & Valuation Currency

      ROC

      • ROC clarified in CDE v3 Consultation that CDE Valuation Amount definition is unadjusted. “The purpose of updating the element 2.25 Valuation amount is to clarify that counterparties should not apply any valuation adjustments (CVA, DVA etc) for the purpose of reporting valuation of derivatives to the TRs. Only such unadjusted valuation of the derivatives provides the authorities with a correct view of the outstanding risk in the market.”

      ASIC Guidance

      • Valuation amount is reported as the unadjusted value of the outstanding OTC Derivative, calculated as the amount that would be paid to terminate the OTC Derivative in an orderly market on the valuation date. 
      • It is reported as any numeric value, which may be positive, negative or zero. 
      • Valuation currency is the ISO 4217 code of the currency in which Valuation amount is denominated.
      • Valuation amount and Valuation currency are required to be reported in all valuation reports.
      • ‘unadjusted value’ means that the Valuation is determined without applying any valuation adjustments, such as credit valuation adjustment (CVA), funding valuation adjustment (FVA), etc., which are collectively known as X-value adjustments (XVA).
      •  ‘would be paid’ means paid by either counterparty to the outstanding OTC derivative, and not just by the reporting entity and/or counterparty 1.
      • Valuation amount is reported from the perspective of the reporting entity, such that a positive number indicates that the Valuation amount would be paid to Counterparty 1 and a negative number indicates that the Valuation amount would be paid to Counterparty 2—Valuation amount may equal zero.
      • In relation to collateralised transactions, we do not consider that margining that is labelled as ‘Settled-to-Market’ means that the Valuation amount is consequently reported as zero. This could be the case if the terms of a transaction were coincidentally reported by the Reporting Entity as modifying the fixed rate or other price parameters to reflect a zero valuation, but we do not observe this reporting practice. Reporting entities must report a valuation amount that is consistent with the reported terms of the outstanding OTC derivative about which the report is made.
      • Valuation reporting for a ‘package’ transaction need not attribute in reporting a valuation for each component transaction of the package. The overall net valuation may be reported for one transaction component of the package, provided the valuation amount for each of the other transaction component(s) of the package is reported as zero.

      EMIR Guidance

      Article 9 of EMIR – Reporting of valuations

      • (a) How should information on valuation be reported to TRs?

      With reference to transactions cleared by a CCP, the fields on the contract valuation should be reported on a daily basis, as maintained and valued by the CCP in accordance with Article 3 (5) of Commission Delegated Regulation (EU) No 148/2013 (RTS on reporting to TR). This does not mean that the report should be made by the CCP. The CCP may make data available to counterparties so that the latter report. The use of CCP valuation data does not mean duplication of reporting. Those reports can instead be done for position level when such information is provided.

      To the extent that counterparties of reported transactions are subject to the requirement to daily markto-market/mark-to-model them, changes in mark-to-market or mark-to-model valuations on already reported transactions need to be reported on a daily basis (end of day). For contracts not cleared by a CCP the counterparties should report valuations performed in accordance with the methodology defined in International Financial Reporting Standard 13 Fair Value Measurement as adopted by the Union and referred to in the Annex to Commission Regulation (EC) No 1126/2008.

        • (a1) Should the variation margin be taken into account for the calculation of the mark to market value?
      No. It is not permissible to report zero in the field 17 of Table 1 exclusively on the grounds that there is no market risk because variation margin has been paid or received. Any margin paid or received would be reflected in the fields 26 and 30 of Table 1 and not in this field.
        • (a2) Which price should be considered for the purpose of calculating the mark-to-market value of contract to be reported in Table 1, Field 17?

      The mark to market value (Table 1, Field 17) should be based on the End of Day settlement price of the market (or CCP) from which the prices are taken as reference. If an End of Day settlement price is not available, then the mark to market value should be based on the closing mid-price of the market concerned. Counterparties should use a mark-to-market or mark-tomodel price as referred to in Article 11(2) of EMIR. For transactions cleared by a CCP, counterparties should use the CCP’s valuation in accordance with Article 3 (5) of Commission Delegated Regulation (EU) No 148/2013.

        • (a3) How should the mark to market value be calculated?

      The mark to market value should represent the total value of the contract, rather than a daily change in the valuation of the contract. 

      • (b) When a transaction is first reported can the mark-to-market valuation be left empty and reported later after end of day with a modification?
      By the end of the day following execution (reporting time limit) the contract and all its characteristics, including valuation, should be reported. Please refer to the table at the end of this Q&A for a more detailed example of reporting of the valuations.

      • (c) On what basis a specific valuation should be considered as mark-to-market as opposed to mark-tomodel?
      Whenever a price is available for the valuation, such valuation should be considered as ‘mark-tomarket’.

      • (d) Where reporting has been delegated to a counterparty, e.g. from A to B, is it acceptable for B’s valuation to be submitted in the A’s report?
      When counterparties delegate reporting, including valuations, they retain responsibility for ensuring that reports submitted on their behalf are accurate and for periodically ensuring that they are in agreement with the values submitted on their behalf.

      • (e) In the case of OTC derivatives not cleared by a CCP, do counterparties have to agree on the valuation reported?
      Since the valuation is part of the Counterparty data, in the case of a derivative not cleared by a CCP, counterparties do not need to agree on the valuation reported. However, in accordance with Art. 1(2) of the Commission Delegated Regulation (EU) No 148/2013 (RTS on reporting to TR) the counterparties should report valuations performed in accordance with the methodology defined in International Financial Reporting Standard 13 Fair Value Measurement as adopted by the Union and referred to in the Annex to Commission Regulation (EC) No 1126/2008.

      • (f) Should counterparties send valuation update on the last day of a derivative and for intraday derivatives? (i.e. derivatives that are concluded and terminated on the same day)?

      No, it is not required to send valuation and collateral data in those cases

      Example of reporting of valuation and collateral Explanation of the reporting scenario:

      Screenshot 2025-05-21 at 11.55.59 AM

      1. Line 1: On 25.08.2015/ 14:27:25 Counterparty 1 (IF) concludes a trade 1234 with the Counterparty 2 (CCP) and is included in the position on the same day. The trade is reported by the Counterparty 1 on 26.08.2015/ 10:08:35 with Action type “Position component” (“P”). It should be noted that the counterparty could equally report the execution and compression of the trade 1234 with two separate reports using the Action types “New” (“N”) and “Compression” (“Z”).

      2. Line 2: The new position ABCD resulting from compression is created end-of-day on 25.08.2015 and reported on the following day with Action type “New” (“N”).

      3. Line 3: The newly created position is valued on the same day as it was concluded (25.08.2015/ 18:10:05). The valuation report is submitted on the following day (26.08.2015/ 18:05:00). The valuation report contains also the information on the collateral posted to the CCP as IM and VM (1000 and 0, respectively). It should be noted that for the purpose of this example it is assumed that the collateral is posted at the position level, however it is acknowledged that collateralisation at the portfolio level might be the prevailing industry practice.

      4. Line 4: The position is not modified on 26.08.2015. Therefore, the counterparty sends only the Valuation report on the following day reporting the change in the Value of the contract and the additional VM of 200.

      5. Line 5: Counterparty 1 concludes a new trade 789 with the Counterparty 2 with quantity 5000. The trade in compressed into the existing position ABCD on the same day. Hence, the trade is repported by the Counterparty 1 on the following day with Action type “Position component” (“P”). 

      Line 6: Upon compression, trade 789 is included into the position ABCD. This is reported on the following day as modification of the position by increase in the quantity from 10 000 to 15 000.

      7. Line 7: Valuation of the position and modified margins’ values (IM=1500 and VM= 200) are reported on 28.08.2015.

      8. Line 8: Another trade between the counterparties with quantity 7.000 takes place on 28.08.2015 and is compressed into the existing position. Counterparty reports the conclusion and compression of the trade using the Action type “Position component”.

      9. Line 9: The position is modified by increase in the quantity from 15 000 to 22 000 28.08.2015. The modification is reported on the following day.

      10. Line 10: Valuation of the position and modified margins’ values (IM= 2200 and VM= 1000) are reported on 29.08.2015.

      11. Line 11: On 29.08.2015 the total of 22.000 quantity is sold. The new transaction is also netted into the position on the same day. Accordingly, the counterparty reports the transaction with Action type “Position component” (“P) and indicating it is a “Sell”. 1

      2. Line 12: As result of the “Sell” transaction the position is modified to the quantity of zero. It should be noted that if the counterparty would decide to terminate the position, it would need to send the report with Action Type “Early Termination” (“C”). In such case the entity would not be expected to send the valuation reports (as described in lines 13-15). Furthermore, as the counterparty was the seller in the derivative concluded at trade level that resulted in the netting of the position, the counterparty should report “S” in B/S indicator field in the report modifying the notional of the position to zero. The other counterparty, in the same scenario, should report “B” in B/S indicator field, as it was the buyer in the derivative concluded at trade level that resulted in the netting of the position.

      13. Line 13: Accordingly, the valuation and collateral amounts are reset to zero.

      14. Lines 14-15: No new trades are concluded on 30-31.09.2015. Given that the position has not been terminated, Counterparty submits only the Valuation reports, with valuation and collateral amounts equal to zero.

      15. Line 16: On 01.09.2015 a new trade with quantity 300 takes place between the same counterparties and is compressed into the previous position. 

      16. Line 17: Therefore, the position is amended by reporting the new quantity of 300.

      17. Line 18: Subsequently, Valuation report is sent including the information on the value of the position and new margins posted (IM= 50 and VM=0).

       

      CFTC (ISDA)

      Part 45 requires that SD and MSP reporting counterparties to report valuation data for the swap on a daily basis, for cleared and uncleared swaps. Valuation data is defined as “all of the data elements necessary to fully describe the daily mark of the transaction, pursuant to CEA section 4s(h)(3)(B)(iii), and to § 23.431 of this chapter if applicable.”

      Market participants are currently reporting valuation data in line with the CFTC Business Conduct rule 23.431(d) “Daily mark” which requires that a SD or MSP shall:

      ―     For cleared swaps: notify a counterparty (other than an SD/MSP/SBSD/MSBSP) of the right to receive upon request the daily mark from the DCO.  

      ―     For uncleared swaps: provide to the counterparty (other than an SD/MSP/SBSD/MSBSP) with a daily mark which shall be the mid-market of the swap. The mid-market mark of the swap shall not include amounts for profit, credit reserve, hedging, funding, liquidity, or any other costs or adjustments.

      1. CFTC Business Conduct rule 23.431(d) “Daily mark” requires that a SD or MSP shall:
      • For cleared swaps: notify a counterparty (other than an SD/MSP/SBSD/MSBSP) of the counterparty's right to receive, upon request, the daily mark from the appropriate DCO.
      • For uncleared swaps: provide to the counterparty (other than an SD/MSP/SBSD/MSBSP) with a daily mark, which shall be the mid-market of the swap. The mid-market mark of the swap shall not include amounts for profit, credit reserve, hedging, funding, liquidity, or any other costs or adjustments. The daily mark shall be provided to the counterparty during the term of the swap as of the close of business or such other time as the parties agree in writing
      • For uncleared swaps, disclose to the counterparty:

      (i) The methodology and assumptions used to prepare the daily mark and any material changes during the term of the swap; provided however, that the swap dealer or major swap participant is not required to disclose to the counterparty confidential, proprietary information about any model it may use to prepare the daily mark; and

      (ii) Additional information concerning the daily mark to ensure a fair and balanced communication, including, as appropriate, that:

      (A) The daily mark may not necessarily be a price at which either the counterparty or the swap dealer or major swap participant would agree to replace or terminate the swap;

      (B) Depending upon the agreement of the parties, calls for margin may be based on considerations other than the daily mark provided to the counterparty; and

      (C) The daily mark may not necessarily be the value of the swap that is marked on the books of the swap dealer or major swap participant.