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31 March 2014

EBA(欧州銀行機構)、トレーディング勘定のポジションの公正価値評価に関する最終RTS(規制上の技術的な基準)案を公表


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This RTS lays out the requirements related to prudent valuation adjustments of fair valued positions. The objective of these draft RTS is to determine prudent values that can achieve an appropriate degree of certainty while taking into account the dynamic nature of trading book positions.


The EBA final draft RTS on prudent valuation put forward a methodology to calculate additional valuation adjustments (AVAs) for the purpose of determining the prudent value of fair valued positions. Two approaches are proposed in order to take proportionality into account, in particular for those institutions with limited exposure to fair valued positions:

  • A Simplified approach, which can be used by institutions to calculate AVAs, provided their absolute value of on- and off-balance sheet fair valued assets and liabilities is below EUR 15 billion and provided they are not part of a group that exceeds this threshold;
  • A Core approach, which is intended to provide a consistent framework for determining AVAs under a target level of certainty of 90 per cent, using either a data based or expert based approach and including diversification benefits.

These final draft RTS reflect both the feedback received from the consultation document, as well as the results of the Quantitative Impact Study (QIS). The QIS was completed on a "best efforts" basis by 59 institutions across 15 jurisdictions. The QIS results showed that on average the expected AVA would be equivalent to 1.5 per cent of the CET1 of institutions in absolute terms (on average €227 million per institution), which is on average 0.07 per cent of the value of fair-valued positions on banks' balance sheets. These results were used in the final calibration of the prudent valuation framework.

Press release

Full RTS



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