+Article 7 2.

Article 7 2.

For the purposes of point (a) of paragraph 1, institutions shall calculate category level AVAs in one of the following ways:

(a) 

according to Articles 9 to 17;

(b) 

where the application of Articles 9 to 17 is not possible for certain positions, according to a ‘fall-back approach’, whereby they shall identify the related financial instruments and calculate an AVA as the sum of the following:

(i) 

100 % of the net unrealised profit on the related financial instruments;

(ii) 

10 % of the notional value of the related financial instruments in the case of derivatives;

(iii) 

25 % of the absolute value of the difference between the fair value and the unrealised profit, as determined in point (i), of the related financial instruments in the case of non-derivatives.

For the purposes of point (b)(i) of the first paragraph, ‘unrealised profit’ shall mean the change, where positive, in fair value since trade inception, determined on a first-in-first-out basis.

1. Oversigt

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1.1 Referencer

1.2 Identificerede krav

1.3 Relaterede standarder

2. Identificerede krav

Krav

3. Relaterede standarder

Standarder