Version status: In force | Document consolidation status: Assimilated law updated to reflect all known changes

Published date: 28 January 2016

Part 1 (FCA) - Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (Assimilated Law)

	Recitals
	Chapter I General provisions (arts. A1-3)
	Article A1
	Article 1 Methodology for calculating Additional Valuation Adjustments (AVAs)
	Article 2 Definitions
	Article 3 Sources of market data
	Chapter II Simplified approach for the determination of AVAs (arts. 4-6)
	Article 4 Conditions for use of the simplified approach
	Article 5 Determination of AVAs under the simplified approach
	Article 6 Determination of total AVAs calculated under the simplified approach
	Chapter III Core approach for the determination of AVAs (arts. 7-17)
	Article 7 Overview of the core approach
	Article 8 General provisions for the calculations of AVAs under the core approach
	Article 9 Calculation of market price uncertainty AVA
	Article 10 Calculation of close-out costs AVA
	Article 11 Calculation of model risk AVA
	Article 12 Calculation of unearned credit spreads AVA
	Article 13 Calculation of investing and funding costs AVA
	Article 14 Calculation of concentrated positions AVA
	Article 15 Calculation of future administrative costs AVA
	Article 16 Calculation of early termination AVA
	Article 17 Calculation of operational risk AVA
	Chapter IV Documentation, systems and controls (arts. 18-19)
	Article 18 Documentation requirements
	Article 19 Systems and controls requirements
	Chapter V Final Provisions (art. 20)
	Article 20 Entry into force
	Annex - Formulae to be used for the purpose of aggregating AVAs under Articles 9(6), 10(7) and 11(7)
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