Regulation 2016/101 | judict

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Updated 25/11/2022

CRR Tool Delegated Regulation 2016/101

Delegated Regulation 2016/101

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 - GENERAL PROVISIONS (Article 1-3)Article 1 - Methodology for calculating Additional Valuation Adjustments (AVAs)Q&A Article 2 - DefinitionsQ&A Article 3 - Sources of market data

CHAPTER II - SIMPLIFIED APPROACH FOR THE DETERMINATION OF AVAs (Article 4-6)Article 4 - Conditions for use of the simplified approachQ&A Article 5 - Determination of AVAs under the simplified approach Article 6 - Determination of total AVAs calculated under the simplified approach

CHAPTER III - CORE APPROACH FOR THE DETERMINATION OF AVAs (Article 7-17)Article 7 - Overview of the core approach Article 8 - General provisions for the calculations of AVAs under the core approachQ&A Article 9 - Calculation of market price uncertainty AVAQ&A Article 10 - Calculation of close-out costs AVAQ&A 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 - DOCUMENTATION, SYSTEMS AND CONTROLS (Article 18-19)Article 18 - Documentation requirements Article 19 - Systems and controls requirements

CHAPTER V - FINAL PROVISIONS (Article 20)Article 20 - Entry into force

Metadata

In force since 17/02/2016

Initial Legal Act

Legal basis:

Art. 105(14)(3) Regulation 575/2013

Accompanying documents

Preparatory Material (2)

EBA/RTS/2014/06/rev1

Published: 23/01/2015

Published: 10/07/2013

Documents of general relevance (2)

Rejected Q&A 2022_6358

Submitted: 08/02/2022

EBA Statement on the application of the prudential framework on targeted aspects in the area of market risk in the COVID-19 outbreak

Published: 22/04/2020

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Regulation (EU) 575/2013 (CRR) Regulation (EU) 2021/451 Regulation (EU) 2021/453 Regulation (EU) 680/2014 Regulation (EU) 2016/100

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