Article 6
General criteria
1. When performing the valuations referred to in Article 24 and Article 26(1) of Regulation (EU) 2021/23, the valuer, or the resolution authority where conducting a provisional valuation pursuant to Article 26(1) of Regulation (EU) 2021/23, shall consider circumstances affecting the expected cash flows of and discount rates applicable to a CCP’s assets and liabilities stemming from the failure of the CCP’s clearing members or non-default events.
The valuer, or the resolution authority where conducting a provisional valuation pursuant to Article 26(1) of Regulation (EU) 2021/23, shall aim to fairly represent the CCP’s financial position in the context of the opportunities and risks it deals with.
2. The valuer, or the resolution authority where conducting a provisional valuation pursuant to Article 26(1) of Regulation (EU) 2021/23, shall disclose and justify the key assumptions used in the valuation.
Any significant deviation in the valuation from the assumptions or rules used by the CCP’s management in the preparation of financial statements and in the calculation of the CCP’s regulatory capital and capital requirements shall be supported by the best available information.
3. The valuer, or the resolution authority where conducting a provisional valuation pursuant to Article 26(1) of Regulation (EU) 2021/23, shall provide the best point estimate of the value of a given asset, liability, or combinations thereof.
Where appropriate, the results of the valuation shall also be provided in the form of value ranges.
4. Criteria laid down in this Regulation for the measurement of individual assets and liabilities of a CCP shall also apply to the measurement of portfolios or groups of assets or combined assets and liabilities, businesses, or the CCP considered as a whole, as the circumstances require.
5. The valuation shall subdivide creditors into classes according to their priority ranking under the applicable insolvency law, and shall include the following estimates:
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(a) |
the value of claims of each class under the applicable insolvency law and, where relevant and feasible, according to the contractual rights conferred on claimants; |
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(b) |
the proceeds each class would receive if the CCP were wound up under normal insolvency proceedings. When calculating the estimates pursuant to points (a) and (b), the valuer may follow the methodology set out in Article 22 of this Regulation. |
6. Where appropriate and feasible, taking into account the timing and credibility of the valuation, the resolution authority may request several valuations. In that case, the resolution authority shall establish the criteria to determine how those valuations shall be used for the objectives set out in Article 24 of Regulation (EU) 2021/23.