417. ESMA proposed in the Consultation Paper to require the reporting of delta for options. The introduction of this value stems from the CDE guidance. It was proposed that this field should only be updated when a counterparty is required to submit a valuation update.

418. In general, respondents did not bring up any blocking issues with regards to the reporting of this value, even though a few argued that sourcing it would pose some difficulties. Some respondents welcomed the introduction of this field, and acknowledged the potential for monitoring of exposures.

419. Most received comments were related to the mechanics of updating the delta value. One respondent raised concerns that the daily updates would lead to drastically increased modification messages, while some advocated for reporting of delta only in connection to ETD positions (not trades). In addition, some respondents questioned the location of the field in the table of fields, and suggested moving it instead to the valuation or margin section of the table.

420. ESMA clarifies that the intention is for the delta to be reported and updated via valuation messages, and to require the update only when a counterparty is required to report valuations. To make this clearer, ESMA will move the field to the valuation section of table of fields. Regarding ETD reporting, approach will be the same as with valuations.