Regulatory Technical Standards on prudent valuation
- Status: Adopted and published in the Official Journal of the EU
These Regulatory Technical Standards (RTS) set out the requirements related to prudent valuation adjustments of fair valued positions. Their objective is to determine prudent values that can achieve an appropriate degree of certainty while taking into account the dynamic nature of trading book positions.
Summary of document history
Draft Regulatory Technical Standards on credit valuation adjustment risk for the determination of a proxy spread and the specification of a limited number of smaller portfolios
- Status: In force
- Application date:
- Compliance deadline:
Documents
Final draft RTS on credit valuation adjustment
(599.75 KB - PDF) Last update 4 August 2014
Instructions for CVA data collection exercise
(723.2 KB - PDF) Last update 16 May 2014
Template
(79.91 KB - Excel Spreadsheet) Last update 16 May 2014
Second template
(26.21 KB - Excel Spreadsheet) Last update 4 August 2014
Links
Press contacts
Franca Rosa Congiu