he National Bank of Ukraine has approved the Fair Valuation Methodology for Derivative Financial Instruments used in the NBU’s transactions (hereinafter – the Methodology).

The Methodology has been developed in line  with Fair Value Measurement requirements (IFRS 13). The Methodology describes methods deployed by the NBU to measure the fair value of exchange-traded and OTC derivatives.

The Methodology also describes valuation models for measuring the fair value of OTC derivatives: a foreign exchange forward, foreign exchange swap, European FX option, forward rate agreement and a simple swap rate.  Going forward, the NBU intends to develop calculators for measuring the fair value of ordinary derivatives using the models described above and publish them on the NBU’s website.

If own methodologies and models for measuring the fair value of derivative financial instruments are non-available, banks may apply approaches used by the NBU.

The Fair Valuation Methodology for Derivative Financial Instruments used in the NBU’s Transactions (hereinafter – the Methodology) is approved by NBU Board Resolution No.437-D of 13 July 2017.