EBA launches QIS exercise on prudent valuation

22 July 2013

Following the publication of the Consultation Paper on draft RTS on prudent valuation, the EBA launched today a Quantitative Impact Study (QIS) to assess the capital impact of the proposals for the calculation of additional value adjustments (AVAs). This QIS, which will be carried out in co-ordination with the National Supervisory Authorities, will also be used to calibrate the thresholds and underlying assumptions of AVAs.

The EBA expects 75-100 banks across the EU, including large and small banks, to participate in the exercise. National Supervisory Authorities bear responsibility for ensuring banks' participation in the QIS. In this respect, the EBA has prepared a standardised QIS template that participating banks will be requested to fill in.

The QIS should be completed on a "best efforts" basis and banks should use this possibility to prepare for the implementation of prudent valuation requirements which will take place towards the end of 2014.

Participating banks are expected to submit the results of the QIS exercise to their respective National Supervisory Authorities by 15 November 2013 and to use end September 2013 data.

Throughout the exercise, National Supervisory Authorities will act as a first point of contact although participating banks can also submit questions on the QIS template and the subsequent implementation of prudent valuation requirements by e-mail to prudent-valuation@eba.europa.eu.

The EBA will use the QIS results in the finalisation of the draft RTS on Prudent Valuation which it envisages to submit to the European Commission in the second quarter of 2014.

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Franca Rosa Congiu

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