EMIR Valuation Reporting

Since 11 August 2014 financial and non-financial counterparties who report for EMIR also need to report their daily mark-to-market or mark-to-model valuation of all of their ETD and OTC derivatives.

The feedback we have had from the industry is that this additional requirement has created strain on operational resources and increased costs. For this reason UnaVista has looked to provide a solution by partnering with valuation specialist Dion Global.

How the Dion Global valuation calculation works inside UnaVista

The UnaVista and Dion solution provides a ‘zero touch’ and fully automated valuation service allowing you to meet your reporting requirements under EMIR. The service is available across all asset classes whether exchange traded or OTC, enables compliance and provides peace of mind with no internal impact to the organization. Firms can utilise their existing connection into UnaVista to take advantage of the valuation service on request. Reporting will continue in the same way as it does today and addition Dion will automatically perform the valuation calculation and enhance the current report with the mark to market or / mark to model valuation as required by ESMA.

Dion Valuation Process

Firms will send in trades to UnaVista utilising their existing process of reporting, then on a daily basis T+1 open positions will be automatically passed to Dion's valuation engine and valued in accordance with EMIR guidelines set down by ESMA. 

The existing file in UnaVista will then be enriched with MtM valuation and automatically reported in the normal way. On all valuations, Dion perform validation checks to ensure data integrity and provide you with any exceptions that fail the reporting process along with the reason for failure. In this way you can ensure that all positions are reported correctly and in a timely fashion.

What methodology Dion use

Dion use “market accepted” models and methods for calculating both mark to market or “mark to model” valuations when a “mark to market” is unavailable. Dion has built up global relationships with partners, such as Numerix, to ensure a comprehensive, data agnostic and accurate valuation service, whilst also utilising extensive in-house quant expertise.

All models and methods are transparent and full disclosure can be given to every client. This allows you to value any financial instrument and meet EMIR requirements.

Some examples of the models methodology being used are:

  • Black Scholes
  • Heston
  • LSV
  • PDE
  • Monte Carlo
  • Lattice
  • Deterministic
  • Hull White

Benefits for clients

  • Automate your EMIR reporting valuation calculations
  • Reduce burden on your operations teams
  • No technical set-up required, utilise your current connection to UnaVista
  • Ensure compliance with valuation reporting
  • Full transparency of process and methodology

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