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Technical Standards
2016
Commission Delegated Regulation (EU) 2016/101
CHAPTER III CORE APPROACH FOR THE DETERMINATION OF...
Article 16 Calculation of early termination AVA

You are viewing the version of the document as on 2021-01-01.

Article 16 Calculation of early termination AVA

01/01/2021

Institutions shall estimate an early termination AVA considering the potential losses arising from non-contractual early terminations of client trades. The early termination AVA shall be calculated taking into account the percentage of client trades that have historically terminated early and the losses that arise in those cases.

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Article 16 Calculation of early termination AVA