Article 16 Calculation of Early Termination AVA
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.
[Note: This rule corresponds to Article 16 of Part 2 of Regulation (EU) No 2016/101 as it applied immediately before revocation by the Treasury.]
- 01/01/2022