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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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Commission Delegated Regulation (EU) 2016/101 is up to date with all changes known to be in force on or before 04 January 2026. There are changes that may be brought into force at a future date. Help about Changes to Legislation

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 :

  1. Introductory Text

  2. CHAPTER I GENERAL PROVISIONS

    1. Article 1.Methodology for calculating Additional Valuation Adjustments (AVAs)

    2. Article 2.Definitions

    3. Article 3.Sources of market data

  3. CHAPTER II SIMPLIFIED APPROACH FOR THE DETERMINATION OF AVAs

    1. Article 4.Conditions for use of the simplified approach

    2. Article 5.Determination of AVAs under the simplified approach

    3. Article 6.Determination of total AVAs calculated under the simplified approach

  4. CHAPTER III CORE APPROACH FOR THE DETERMINATION OF AVAs

    1. Article 7.Overview of the core approach

    2. Article 8.General provisions for the calculations of AVAs under the core approach

    3. Article 9.Calculation of market price uncertainty AVA

    4. Article 10.Calculation of close-out costs AVA

    5. Article 11.Calculation of model risk AVA

    6. Article 12.Calculation of unearned credit spreads AVA

    7. Article 13.Calculation of investing and funding costs AVA

    8. Article 14.Calculation of concentrated positions AVA

    9. Article 15.Calculation of future administrative costs AVA

    10. Article 16.Calculation of early termination AVA

    11. Article 17.Calculation of operational risk AVA

  5. CHAPTER IV DOCUMENTATION, SYSTEMS AND CONTROLS

    1. Article 18.Documentation requirements

    2. Article 19.Systems and controls requirements

  6. CHAPTER V FINAL PROVISIONS

    1. Article 20.Entry into force

  7. Signature

    1. ANNEX

      Formulae to be used for the purpose of aggregating AVAs under Article 9(6), Article 10(7) and Article 11(7)

      1. Formula for Method 1

      2. Formula for Method 2

      3. Where:

      4. FV The valuation exposure-level fair value after any accounting adjustment...

      5. Institutions shall set the aggregation factor ‘ α ’ at...

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