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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

You are viewing the version of the document as on 2021-01-01.

Status: In this content, we have included all amendments made by EU exit-related instruments up to end September 2020. There will be more amendments to be made later this year, further to the September QCP.

ANNEX Formulae to be used for the purpose of aggregating AVAs under Articles 9(6), 10(7) and 11(7)

Method 1

  • APVA=

    (FV – PV) – 50 % · (FV – PV)

    = (50 % · (FV – PV)

  • AVA= Σ APVA

  • Method 2

  • APVA=

    max {0, (FV – PV) – 50 % · (EV – PV)}

    = max {0, FV – 50 % · (EV + 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,

  • APVA= The valuation exposure level AVA after adjusting for aggregation,

  • AVA= The total category level AVA after adjusting for aggregation.