Commission Delegated Regulation (EU) 2020/866 of 28 May 2020 amending Delegated Regulation (EU) 2016/101 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) of Regulation (EU) No 575/2013 (Text with EEA relevance)

• CELEX: Delegated Regulation (EU) 2020/866
• Articles: 3

Article 1

The Annex to Delegated Regulation (EU) 2016/101 is replaced by the text in the Annex to this Regulation.

Article 2

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union .

Schedules & Appendices

ANNEX Formulae to be used for the purpose of aggregating AVAs under Article 9(6), Article 10(7) and Article 11(7)

ANNEX

Formulae to be used for the purpose of aggregating AVAs under Article 9(6), Article 10(7) and Article 11(7)

Formula for Method 1

APVA

=

(FV – PV) – α · (FV – PV)

= (1 – α) · (FV – PV)

AVA

=

Σ APVA

Formula for Method 2

APVA

=

max {0, (FV – PV) – α · (EV – PV)}

= max {0, FV – α · EV – (1 – α) · PV}

AVA

=

Σ APVA

Where:

FV

=

The valuation exposure-level fair value after any accounting adjustment applied in the institution’s fair value that can be identified as addressing the same source of valuation uncertainty as the relevant AVA,

PV

=

The valuation exposure-level prudent value determined in accordance with this Regulation,

EV

=

The expected value at a valuation exposure level taken from a range of possible values,

α

=

The aggregation factor,

APVA

=

The valuation exposure-level AVA after adjusting for aggregation,

AVA

=

The total category-level AVA after adjusting for aggregation.

Institutions shall set the aggregation factor ‘α’ at 66 % until 31 December 2020, after which they shall set the aggregation factor at 50 %.’