Question
Is it permitted for an institution to use the simplified approach to calculate additional valuation adjustments (AVA) on the individual level, on condition that: i: the individual threshold ist not above the EUR 15 billion ii: this institut has fair valued positions only on the individual level (on consolidated level (group level) the institution has no fair valued position) iii. this institution is a part of a group breaching the EUR 15 billion threshold on a consolidated basis, but as mentioned before the institution has no contribution to the fair valued positions at consolidated basis
Background on the question
According to EBA/ITS/2018/01 the simplified approach may be used on condition that the sum of the absolute value of fair-valued assets and liabilities of an institution is less than EUR 15 billion and that this institution is not included in the consolidation of a group breaching that threshold on a consolidated basis. Our question is, if for an institution: i. the sum of the absolute value of fair-valued assets and liabilities is less than EUR 15 billion ii: this institut has fair valued positions only at his individual level iii. this institution is a part of a group breaching the EUR 15 billion threshold on a consolidated basis, but the institution has no fair valued positions as contribution on the consolidated level
Answer
This question has been rejected because the issue it deals with is already explained or addressed in Article 4 of EBA/RTS/2014/06/rev1.For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.