QA2023-19 - FMIR value of transactions OTC derivatives

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Feb 01, 2024
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QA2023-19

Question


The FMIR guidance does not provide enough details on how to compute the value of transactions for OTC derivatives. The only indication is "For OTC swaps, the total market value of transactions executed during the year should be used." without indicating whether we are talking about the NPV on the trade date or other metrics. What is the exact definition of "the value of transactions" for OTC derivatives (incl. swaps) ?


Response


The "value of transactions" for OTC derivatives (incl. swaps) should be computed as the sum of the mark-to-market (as of end-Dec 2022) of all OTC derivatives deals initiated in 2022, i.e. with a trade date in 2022 only.