What days do I need to submit valuations for a trade?

What days do I have to support valuation data for a given trade?

The rule says "If the reporting counterparty is a swap dealer, major swap participant, or derivatives clearing organization, swap valuation data shall be reported electronically to a swap data repository in the manner provided in § 45.13(b) each business day."

For purposes of "Missing Valuation Reports" KOR has interpreted this as:

• For every business day that a trade is open (e.g., from the date portion of 'Execution timestamp' to its Close Date) a valuation message is required by T+1. Meaning for each business day, including the execution day and close day, KOR expects to receive a valid valuation message no later than T+1 where the date portion of the field 'Valuation Timestamp' covers each business day.
• For trades that open and close on the same business day, KOR expects to receive one valuation with the valuation timestamp that contains that given business day.  

When do I have to report valuation messages by?

Timeliness calculations

Valuation reporting for trades must be completed on a T+1 basis, calculated as midnight (local time) of the following business day.  Reporting counterparties may report valuation data on either T or T+1, however must be after the initial new trade message has been submitted.  

If my trade is executed and closed on the same day, do I have to report valuation?

Yes, valuation data on the trade for that single day must being reported by at least T+1 and may also be submitted on T.