Consultation on Regulatory Technical Standards on prudent valuation: Consultation on Regulatory Technical Standards on prudent valuation form

The EBA invites comments on all proposals put forward in this paper and in particular on the specific questions detailed below.

Comments are most helpful if they:

  • respond to the question stated;
  • indicate the specific point to which a comment relates;
  • are supported by a clear rationale;
  • provide evidence to support the views expressed/ rationale proposed; and
  • provide alternative regulatory options for consideration by the EBA.

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Articles 1 – Calculation frequency of AVAs

Question 1. Are you able to calculate and report fair values and AVAs with a monthly frequency? 

Article 3– Data sources

Article 3a – Data requirements

Article 4 – Threshold calculation

Article 7 – Fall-back approach

Article 8 – General requirements for the calculation of AVAs under the core approach

Articles 9, 10, 11 – MPU, CoC and model risk AVAs

Article 12 – UCS AVAs

Articles 14 and 15 – Concentrated positions AVAs and FAC AVAs

Articles 19a and 19b – Framework for extraordinary circumstances

Annex – Aggregation factor for UCS AVAs

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