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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)RecitalsChapter I General provisions (arts. A1-3)Article A1Article 1 Methodology for calculating Additional Valuation Adjustments (AVAs)Article 2 DefinitionsArticle 3 Sources of market dataChapter II Simplified approach for the determination of AVAs (arts. 4-6)Article 4 Conditions for use of the simplified approachArticle 5 Determination of AVAs under the simplified approachArticle 6 Determination of total AVAs calculated under the simplified approachChapter III Core approach for the determination of AVAs (arts. 7-17)Article 7 Overview of the core approachArticle 8 General provisions for the calculations of AVAs under the core approachArticle 9 Calculation of market price uncertainty AVAArticle 10 Calculation of close-out costs AVAArticle 11 Calculation of model risk AVAArticle 12 Calculation of unearned credit spreads AVAArticle 13 Calculation of investing and funding costs AVAArticle 14 Calculation of concentrated positions AVAArticle 15 Calculation of future administrative costs AVAArticle 16 Calculation of early termination AVAArticle 17 Calculation of operational risk AVAChapter IV Documentation, systems and controls (arts. 18-19)Article 18 Documentation requirementsArticle 19 Systems and controls requirementsChapter V Final Provisions (art. 20)Article 20 Entry into forceAnnex - Formulae to be used for the purpose of aggregating AVAs under Articles 9(6), 10(7) and 11(7)Done at
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Version status: In force | Document consolidation status: Assimilated law updated to reflect all known changes
This version in force from: 31 December 2020

Article 1 Methodology for calculating Additional Valuation Adjustments (AVAs)

Institutions shall calculate the total additional valuation adjustments ('AVAs') necessary to adjust the fair values to the prudent value and shall calculate those AVAs quarterly according to the method provided in Chapter 3, unless they meet the conditions for applying the method provided in Chapter 2.

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