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Commission Delegated Regulation (EU) 2016/101Show full title
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)
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- Revised 26/06/20200.26 MB
- Revised 28/01/20160.22 MB
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Changes over time for: Article 7
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Commission Delegated Regulation (EU) 2016/101, Article 7 is up to date with all changes known to be in force on or before 18 January 2026. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
EUR 2016 No. 101 may be subject to amendment by EU Exit Instruments made by both the Prudential Regulation Authority and the Financial Conduct Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.
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Changes and effects yet to be applied to Article 7:
- Regulation revoked by 2023 c. 29 Sch. 1 Pt. 1 3
Article 7U.K.Overview of the core approach
1.Institutions shall calculate AVAs under the core approach, by applying the following two-step approach:
(a)they shall calculate AVAs for each of the categories described in paragraphs 10 and 11 of Article 105 of Regulation (EU) No 575/2013 (‘category level AVAs’) according to paragraph 2 of this Article;
(b)they shall sum the amounts resulting from point (a) for each of the category level AVAs to provide the total AVAs for the purposes of Article 1.
2.For the purposes of point (a) of paragraph 1, institutions shall calculate category level AVAs in one of the following ways:
(a)according to Articles 9 to 17;
(b)where the application of Articles 9 to 17 is not possible for certain positions, according to a ‘fall-back approach’, whereby they shall identify the related financial instruments and calculate an AVA as the sum of the following:
(i)
100 % of the net unrealised profit on the related financial instruments;
(ii)
10 % of the notional value of the related financial instruments in the case of derivatives;
(iii)
25 % of the absolute value of the difference between the fair value and the unrealised profit, as determined in point (i), of the related financial instruments in the case of non-derivatives.
For the purposes of point (b)(i) of the first paragraph, ‘unrealised profit’ shall mean the change, where positive, in fair value since trade inception, determined on a first-in-first-out basis.
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