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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Source: European Commission — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works