EBA欧洲银行-PH-Draft-Technical-Standards-on-valuation-for-resolution-2816-Jan-201529_18页_1mb

报告摘要

EBA Draft Technical Standards on Valuation for Resolution Summary

Core Content

The European Banking Authority (EBA) has published a draft technical standard on valuation for resolution, which is part of a broader regulatory initiative under the Bank Recovery and Resolution Directive (BRRD). The document outlines the valuation processes required for bail-in procedures, the stages of valuation, and the challenges faced by firms, authorities, and advisors in implementing these standards.

Main Valuation Stages and Purposes

1. Ex Ante Valuations

Purpose: To inform the resolution trigger and decision-making process.
Key Elements:
- Based on the current bank structure and accounting/prudential rules.
- Use a prudent "economic value" approach, which may differ from accounting valuation.
- May be provisional, with a buffer for additional losses.

2. Ex Post Valuations

Purpose: To inform compensation and assess the effectiveness of the resolution.
Key Elements:
- Includes final versions of ex ante valuations, if they were provisional.
- Involves an insolvency valuation to determine the value of equity in the event of a going concern failure.
- Requires an estimated insolvency outcome to ensure that no creditor is worse off than they would have been in insolvency.

3. Article 36 and 74 Valuations

Article 36: Focuses on the valuation to determine whether resolution conditions are met. It is based on updated accounting valuation with regulatory adjustments.
Article 74: Involves assessing the difference in treatment between resolution and insolvency. It is divided into two parts:
- Stage 3 (Estimated Insolvency Outcome): A hypothetical valuation to determine what creditors would have received in insolvency. It is performed post-resolution and prohibits the use of hindsight.
- Stage 4 (Actual Treatment): The valuation of the actual compensation received by bailed-in creditors, which may differ from the estimated insolvency outcome.

Key Information

Independent Valuation: All valuations must be conducted by independent valuers, except for Article 36 which may be done provisionally by the resolution authority.
Valuation Methodologies: Valuers have discretion in choosing methodologies, but must focus on areas of significant uncertainty.
Discount Rate: The draft RTS include the use of a discount rate in the valuation process.
Coordination: Large firms with operations in multiple jurisdictions require coordination between authorities to ensure rapid and credible valuations.

Challenges

Time Constraints: Producing reliable valuations in a short time frame is a significant challenge.
System Adaptation: Firms may need to adapt their management information (MI) systems and valuation processes to meet resolution requirements.
Cross-border Coordination: For multinational banks, coordination between authorities is essential.
Advisor Familiarity: Valuation advisors must be well-versed in the types of valuations, the level of detail required, and the inputs for each.

Next Steps

Consultation Period: Closes on 6 February 2015.
Review Process: Draft RTS will be reviewed based on consultation responses.
Approval: Final draft RTS will be approved by the EBA's Resolution Committee or Board of Supervisors.
Submission: Then submitted to the European Commission for adoption.
Timeline: Expected to be finalized in 2015.
Article 49 Consultation: Also expected in 2015.

Questions for Consultation

Article 36 Valuations ('Ex Ante')

Should the definitions of valuation approaches be modified?
Are specific types of disclosure from the valuer on deviations from management assumptions necessary?
Should the areas subject to significant valuation uncertainty be adjusted?
Should the buffer for provisional valuations always be greater than zero?
Is a valuation of post-conversion equity necessary at stage 2?
Is the definition of equity value appropriate?
Should the use of hindsight information be further restricted?
Should valuation advisors be required to be familiar with the types of valuations and the level of detail needed?

Article 74 Valuations ('Ex Post')

Should the use of information available after the resolution date be further restricted?
Should only information that would result in a significant change be considered?
Should the RTS provide further detail on appropriate discount rates?
Should the methodology for determining actual treatment be modified?
Should valuers be required to make additional disclosures?