Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Re... (32016R0101)
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) (Text with EEA relevance)
- 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)
- (Text with EEA relevance)
- CHAPTER I
- Article 1
- Methodology for calculating Additional Valuation Adjustments (AVAs)
- Article 2
- Definitions
- Article 3
- Sources of market data
- CHAPTER II
- 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
- 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
- Article 18
- Documentation requirements
- Article 19
- Systems and controls requirements
- CHAPTER V
- Article 20
- Entry into force
- ANNEX
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