On January 28, 2016, a Regulation setting out Regulatory Technical Standards for prudent valuations under the CRR was published in the Official Journal of the European Union. The RTS relate to firms applying the CRR standards to assets measured on a fair value basis. The RTS deal with matters including: (i) the methodology for calculating Additional Valuation Adjustments; (ii) consideration to be given to available market data; and (iii) the simplified and core approaches for the determination of AVAs. The Regulation enters into force on February 17, 2016.
The RTS for Prudent Valuation is available at: http://eur-lex.europa.eu/legalcontent/EN/TXT/?uri=uriserv:OJ.L_.2016.021.01.0054.01.ENG&toc=OJ:L:2016:021:TOC.