The European Banking Authority has made a specific and limited amendment to its final draft regulatory technical standards (RTS) on prudent valuation under Article 105(14) of the Capital Requirements Regulation.

Consequently, all reference to “volatility” in Articles 9 and 10 of the final draft RTS published on 31 March 2014 should be replaced by “variance” for the purposes of computing market price uncertainty and close-out costs additional valuation adjustments.

View EBA publishes revised version of its final draft technical standards on prudent valuation, 23 January 2015