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Article 4 Conditions for use of the simplified approach

  1. (1)

    Institutions may apply the simplified approach described in this Chapter only if the sum of the absolute value of fair-valued assets and liabilities, as stated in the institution's financial statements under the applicable accounting framework, is less than EUR 15 billion.

  2. (2)

    Exactly matching, offsetting fair-valued assets and liabilities shall be excluded from the calculation of paragraph 1. For fair-valued assets and liabilities for which a change in accounting valuation has a partial or zero impact on Common Equity Tier 1 ("CET1") capital, their values shall only be included in proportion to the impact of the relevant valuation change on CET1 capital.

  3. (3)

    The threshold referred to in paragraph 1 shall apply on an individual and consolidated basis. Where the threshold is breached on a consolidated basis, the core approach shall be applied to all entities included in the consolidation.

  4. (4)

    Where institutions applying the simplified approach fail to meet the condition of paragraph 1 for two consecutive quarters, they shall immediately notify the relevant competent authority and shall agree on a plan to implement the approach referred to in Chapter 3 within the following two quarters.

Article 5 Determination of AVAs under the simplified approach

Institutions shall calculate AVAs under the simplified approach as 0,1 % of the sum of the absolute value of fair-valued assets and liabilities which are included within the threshold calculation laid down in Article 4.

Article 6 Determination of total AVAs calculated under the simplified approach

For institutions applying the simplified approach, the total AVAs for the purpose of Article 1 shall be the AVA resulting from the calculation of Article 5.