062611e1_anual_for_asset_quality_review__Description
[0] 8 [Working block] Level 3 fair value exposures review [Description] 
For banks with material level 3 exposures, a thorough revaluation of the most important exposures will be carried out on a selective basis – i.e. not all banks will be analysed. For banks with material level 3 banking book exposure, a revaluation of the most important securities will be carried out. For the banks with the most important trading books, a qualitative review of trading book core processes (independent price verification, product approval, etc.) will be carried out, combined with a quantitative review of the most important derivative pricing models (measured by metrics such as level 3 gross mark-to-market) from a level 3 perspective. It is expected that, in most cases, fewer than ten derivative pricing models will be reviewed for each bank included in the trading book review, depending on the size of the bank’s exposure to level 3 derivatives. Some banks included in the trading book review will have no relevant level 3 derivative pricing models to review.
ECB publishes manual for asset quality review
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