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 %.’
Substituted by 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).