Joint response to EBA prudent valuation
Response of the International Swaps and Derivatives Association, Inc. (ISDA), The Association for Financial Markets in Europe (AFME), and The British Bankers' Association (BBA)
The Industry agrees with the need to specify how to apply the prudent valuation requirements in Article 100 of the draft CRR consistently and believes these aims are achievable. We recognise the importance of having both a comparable starting point for the calculation of regulatory capital resources, and confidence in the realisability of the valuations used within that calculation. However we do not believe the approaches currently laid out achieve this, and in fact are likely to worsen comparability as discussed further below. We therefore propose a consultation group, comprising industry, regulators and auditors, be set up to explore how these aims can be achieved.
Please read the full response via the link below