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Version date: 17 December 2020 - onwards

4.4.5 Data elements related to valuation (paras. 352-364)

352. In the Consultation Paper, ESMA requested feedbacks if the valuation fields should remain unchanged.

353. The value of an existing contract is a key field to determine exposures and consequently assess counterparty credit risk and identify vulnerabilities in the financial system. Currently, there are 4 fields that relate to valuation. All of these are also included in the CDE guidance:

a. field 1.17 Value of the contract (CDE 2.25);

b. field 1.18 Currency of the value (CDE 2.26);

c. field 1.19 Valuation timestamp (CDE 2.27);

d. field 1.20 Valuation type (CDE 2.28).

354. All respondents supported the proposal to leave the valuation fields unchanged.

355. Two respondents suggested to explicitly clarify the sign of the valuation amount as they perceive this as a common data quality issue. ESMA considers this as a good suggestion to address in a Q&A on this subject.

356. One respondent has pointed out unnecessary restriction in the validation rules which will be considered for the future updates to the validation rules.

357. One respondent asked for further clarification and confirmation on the contract value reconciliation tolerance. The aspects related to the reconciliation are covered in the section 5.3.