On March 4, 2016, the EBA launched a consultation on proposed amendments to the Implementing Technical Standards on supervisory reporting to incorporate the new requirements for prudent valuation reporting and supplementary requirements for reporting of credit risk information. Under the Capital Requirements Regulation, firms are subject to requirements on prudent valuation adjustments of fair-valued positions. The Regulatory Technical Standards on prudent valuation came into force on February 16, 2016 and cover the methodology for calculating Additional Valuation Adjustments, consideration to be given to available market data and the simplified and core approaches for the determination of AVA. According to the EBA, the entry into force of the RTS justifies more detailed reporting requirements for prudent valuation than have been required to date. In addition, the EBA is proposing that firms report credit risk on a total level as well as on a country level only. Responses to the consultation are due by March 30, 2016.
The EBA consultation paper is available at: http://www.eba.europa.eu/documents/10180/1393810/EBA-CP-2016-02+% 28Consultation+Paper+on+changes+to+ITS+on+reporting%29.pdf , the ITS on supervisory reporting is available at:
https://www.eba.europa.eu/documents/10180/1028653/ITS+on+Supervisory+reporting.pdf/9212b4e7-37a1-4bbf-8409-2cc450d8513e and the RTS on 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.
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