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EBA issues methodology for valuation of liabilities arising from derivatives

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2016-01-07 08:58

The European Banking Authority (EBA) published today the final draft Regulatory Technical Standards (RTS) on the methodology for the valuation of derivative liabilities for the purpose of bail-in in resolution, said EBA in a statement.

These standards, which have been developed within the framework of the Bank Recovery and Resolution Directive (BRRD) setting procedures for the orderly management of bank failures, provide EU resolution authorities with a methodology for the valuation of derivative liabilities of credit institutions placed under resolution and ensure that the discipline brought in by the new bail-in tool can effectively be extended to these liabilities too.

The EBA provided EU resolution authorities with a series of tools to carry out a swift and objective valuation of derivative liabilities, while minimising risks of breaching the principle that no creditor should be treated worse off than in liquidation. The approach applies a statutory valuation methodology based on the costs or gains that would be incurred by the counterparty in replacing the contract.

Derivative counterparties will be given the opportunity to provide evidence of commercially reasonable replacement trades within a certain deadline; if they do not exercise this option, then resolution authorities will apply a statutory methodology supported by observable market data or other relevant information.

Resolution authorities may establish the value of derivative liabilities as on the close-out date or as on the date when a price is available in the market. For centrally cleared derivatives, the final draft RTS take into account the applicable regulatory framework under the EU Market Infrastructure Regulation (EMIR) and provides for a process that relies in principle on the Central Counterparty (CCP) default and valuation processes.

When adopted by the Commission, these draft RTS will allow resolution authorities to conclude a potential resolution action including derivative liabilities on the basis of a reliable valuation in a short timeframe. In cases of particular urgency, resolution authorities may also apply resolution actions on the basis of provisional valuations.

Legal basis

These draft RTS have been developed according to paragraph 5 of Article 49 of Directive 2014/59/EU (BRRD), which mandates the EBA to develop draft RTS specifying methodologies and principles on the valuation of liabilities arising from derivatives.

Source: EBA

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De la: client CHFSubiect:

Demisi de onoare a conducerii BNR

Comentariu:

Parlamentul este al Romaniei, nu al bancilor si al intereselor straine. Trebuie gasite solutii in asa fel incat bancile sa suporte si ele o parte din costurile creditelor in CHF, nu numai clientii. Legea de dare in plata „obliga” ca bancile sa negocieze intr-adevar cu clientii nu ca pana acum, ne-au inchis usile in fata. Este trist ca bancile nu au venit ele cu solutii data fiind situatia urmare a cursului CHF. Este si mai trist ca BNR-ul a sarit ca ars sa apere bancile de aceasta lege...., dar cand a fost vorba de cetatenii Romaniei ia durut in cot. BNR este institutie a statului Roman si chiar daca se lauda ca se autofinanteaza tot a statului roman este si salariile sunt din avutia tarii. Prin urmare atata timp cat conducerea acesteti institutii nu reprezinta si cetatenii tarii ci doar interesele bancilor straine e cazul sa va dati demisia. Sunt de acord ca legea de dare in plata trebuie imbunatatita si sunt de acord si cu amendamentele pe care le-ati adus acestei legi, dar pentru ca BNR nu a intreprins nicio actiune de mediere a clientilor care au credite in CHF cu bancile comerciale intr-un an de zile va solicit demisia de onoare atat a lui Isarescu cat si a intregii conduceri. E nevoie de o alta mentalitate, de o alta viziune a BNR-ului, de implicare si fata de cetatenii sai.... ati lasat bancile sa faca camatarie in tara asta si sunteti vinovati de aceasta...DORIM TRANSPARENTA IN BNR â€“ Dorim sa stim ce faceti in calitatea dvs... vizavi de suferintele noastre.....urmatoarea demonstratie a noastra va fi la BNR si daca nu se voteaza legea de inghetare a cursului CHF ca in alte tari nu vom pleca pana nu va dati demisia.

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