Retained EU Law SI 2016/101 United Kingdom

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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Status
In Force
Penalty ceiling
Regulated

Does it bind you?

Business-side roles with duties under this instrument.

Any Person1

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Any Person — also bound by 2684 other Acts

What it requires

Regulations creating concrete business duties or carrying penalties, grouped as the instrument is structured. Titles link to the source text — blue means you’re leaving for legislation.gov.uk.

s.art018 Documentation requirements Regulated
  • Document prudent valuation methodology and keep AVA recordsAny Person
24 other provisions — procedural and definitional
s.annex para.1 Formula for Method 1
s.annex para.2 Formula for Method 2
s.annex para.3 Where:
s.annex para.4 FV The valuation exposure-level fair value after any accounting adjustment...
s.annex para.5 Institutions shall set the aggregation factor ‘ α ’ at...
s.art001 Methodology for calculating Additional Valuation Adjustments (AVAs)
s.art002 Definitions
s.art003 Sources of market data
s.art004 Conditions for use of the simplified approach
s.art005 Determination of AVAs under the simplified approach
s.art006 Determination of total AVAs calculated under the simplified approach
s.art007 Overview of the core approach
s.art008 General provisions for the calculations of AVAs under the core approach
s.art009 Calculation of market price uncertainty AVA
s.art010 Calculation of close-out costs AVA
s.art011 Calculation of model risk AVA
s.art012 Calculation of unearned credit spreads AVA
s.art013 Calculation of investing and funding costs AVA
s.art014 Calculation of concentrated positions AVA
s.art015 Calculation of future administrative costs AVA
s.art016 Calculation of early termination AVA
s.art017 Calculation of operational risk AVA
s.art019 Systems and controls requirements
s.art020 Entry into force

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