# Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (Text with EEA relevance), Article 12: Calculation of unearned credit spreads AVA

Extent: E+W+S+N.I.

1. Institutions shall calculate the unearned credit spreads AVA to reflect the valuation uncertainty in the adjustment necessary according to the applicable accounting framework to include the current value of expected losses due to counterparty default on derivative positions.
2. Institutions shall include the element of the AVA relating to market price uncertainty within the market price uncertainty AVA category. The element of the AVA relating to close-out cost uncertainty shall be included within the close-out costs AVA category. The element of the AVA relating to model risk shall be included within the model risk AVA category.

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Source: https://www.legislation.gov.uk/eur/2016/101/article/12 (the official version)
Page: https://openlegislation.uk/eu-regulation-2016-101/article-12
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.