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Changes in fair value due to credit risk

On 26th July 2013, the European Banking Authority (EBA) published its final draft Implementing Technical Standards (ITS) on supervisory reporting. In addition to requirements for leverage and liquidity ratios, these also contain new disclosure templates for common reporting (CoRep) and for financial reporting (FinRep), which are due for initial submission to the supervisory authority on 31st March 2014 and 30th September 2014, respectively. One aspect widely discussed in this context is the marked increase, compared to IFRS 7, in the disclosure of changes in fair value attributable, with regard to assets, to credit risk of the counter party and, for liabilities, to credit risk of the entity itself. Changes in fair value resulting from an entity’s credit risk will also play a more prominent role under IFRS 9.

In light of this, a renewed consideration of the methodology and processes for determining changes in fair value due to credit risk is strongly advisable. Our white paper on this issue contains a brief overview of the requirements and summarizes the key points which, in our view, should be examined when implementing the requirements. 

 

We can help you:

The d-fine consultancy team has both expertise and hands-on experience in all aspects of the existing and new regulatory and financial context, as well as extensive and significant experience in modelling and valuation:

  • We will set out with you the impact of the regulatory requirements on your business, and assist you in identifying the products affected.
  • You will benefit from our expertise when designing suitable methods for separating the credit risk effect to ensure a pragmatic approach to the implementation of the regulatory requirements.
  • We will examine the current state of the discussions taking place between the supervisory authority and the market participants, and the extent to which the new regulations have been implemented in the banking market.
  • We will support the implementation of the requirements through to acceptance by the relevant auditors and supervisory authorities.

 

For detailed information about our references and our approach to the issue of  changes in fair value due to credit risk, please contact us by phone on +49 69 907370 or by sending an e-mail to info@remove-this.d-fine.de with the subject “credit risk effect”.