Regulatory Alerts2020-05-28
Added · Updated
Commission Delegated Regulation (EU) 2020/866 amending prudent valuation standards for AVAs
The European Commission amends Delegated Regulation (EU) 2016/101 to require institutions to apply a higher aggregation factor of 66% for Additional Valuation Adjustments (AVAs) until 31 December 2020. This temporary measure replaces the standard 50% aggregation factor to mitigate the disproportionate impact of extreme market volatility caused by the COVID-19 pandemic. The regulation enters into force on the day following its publication in the Official Journal of the European Union.
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