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 %.’