Firms will need to form their own valuation mechanism for OTC derivatives
European regulator Esma has clarified the
valuation of over-the-counter derivatives in an updated version
of its Q&A on the UCITS directive.
On Tuesday, European Securities and
Markets Authority published its decision on the valuation of
over-the-counter (OTC) derivatives under the UCITS directive.
The question concerned whether UCITS management companies are
allowed to rely on central counterparty (CCP) valuation for the
pricing of OTC derivatives that are subject to central clearing
and reporting obligations under European Market Infrastructure
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