EBA consults on draft technical standards on prudent valuation
10 July 2013
The objective of this consultation is to determine prudent values that can achieve an appropriate degree of certainty while taking into account the dynamic nature of trading book positions. Comments to this consultation can be sent by 8 October, 2013.
These draft RTS present a methodology to calculate additional valuation adjustments (AVAs) for the purpose of determining the prudent value of fair valued positions. To take account of proportionality and namely of those institutions with limited exposure to fair valued positions, the following two approaches are proposed:
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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 €15 billion;
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Core approach, which is intended to provide a consistent framework for determining prudent valuation. In this respect, the core approach gives a clear indication of the level of prudence that institutions should aim at when estimating AVAs.
Comments to this consultation can be sent by 8 October, 2013. A public hearing will take place at the EBA premises on 29 July 2013 from 10:30 to 13:00 hours UK time.
Press release
Consultation EBA/CP/2013/28
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