What changes on 26/06/2020

The text in force from 17/02/2016 compared with the text from 26/06/2020, which includes the changes made by Commission Delegated Regulation (EU) 2020/866.

Read the act as of 26/06/2020 · other versions: 17/02/2016

Chapter I

• amended Article 2 - Definitions
• amended Article 3 - Sources of market data

Chapter II

• amended Article 4 - Conditions for use of the simplified approach

Chapter III

• amended Article 7 - Overview of the core approach
• amended Article 8 - General provisions for the calculations of AVAs under the core approach
• amended Article 9 - Calculation of market price uncertainty AVA
• amended Article 10 - Calculation of close-out costs AVA
• amended Article 11 - Calculation of model risk AVA
• amended Article 12 - Calculation of unearned credit spreads AVA
• amended Article 13 - Calculation of investing and funding costs AVA
• amended Article 14 - Calculation of concentrated positions AVA
• amended Article 15 - Calculation of future administrative costs AVA
• amended Article 17 - Calculation of operational risk AVA

Chapter IV

• amended Article 18 - Documentation requirements
• amended Article 19 - Systems and controls requirements

Outside any heading

• amended Annex 1 - Formulae to be used for the purpose of aggregating AVAs under Article 9(6), Article 10(7) and Article 11(7)