
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.
This Regulation shall be binding in its entirety and directly applicable in all Member States.Done at Brussels, 28 May 2020.
For the Commission
The President
Ursula VON DER LEYEN
ANNEX

Formula for Method 1

APVA = (FV – PV) – α · (FV – PV)= (1 – α) · (FV – PV)
AVA = Σ APVAFormula for Method 2

APVA = max {0, (FV – PV) – α · (EV – PV)}= max {0, FV – α · EV – (1 – α) · PV}
AVA = Σ APVAWhere:
FVThe 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,PVThe valuation exposure-level prudent value determined in accordance with this Regulation,EVThe expected value at a valuation exposure level taken from a range of possible values,αThe aggregation factor,APVAThe valuation exposure-level AVA after adjusting for aggregation,AVAThe 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 %.’
