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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 9 Calculation of market price uncertainty AVA

1. Market price uncertainty AVAs shall be calculated at valuation exposure level ('individual market price uncertainty AVAs').

2. The market price uncertainty AVA shall only be assessed to have zero value where both of the following conditions are met:

(a) the institution has firm evidence of a tradable price for a valuation exposure or a price can be determined from reliable data based on a liquid two-way market as described in the second subparagraph of Article 338(1) of Regulation (EU) No 575/2013;

(b) the sources of market data set out in Article 3(2) do not indicate any material valuation uncertainty.

3. Where a valuation exposure cannot be shown to have a zero AVA, when assessing the market price uncertainty AVA institutions shall use the data sources defined in Article 3. In this case the calculation of the market price uncertainty AVA shall be performed as described in paragraphs 4 and 5.

4. Institutions shall calculate AVAs on valuation exposures related to each valuation input used in the relevant valuation model.

(a) The granularity at which those AVAs shall be assessed shall be one of the following: