On 23 April 2020, the European Banking Authority (EBA) published a report containing final draft regulatory technical standards (RTS) on prudent valuation under Article 105(14) of the Capital Requirements Regulation (CRR).

As a result of the COVID-19 pandemic, the EBA asserts that it has become clear that rules for prudent valuation should be revised so that, besides providing for an aggregation factor to be used under normal market conditions, set at 50% (which was already provided for in the formulae contained in the Annex to Delegated Regulation (EU) No 101/2016), they also provide that institutions should apply a higher aggregation factor for this specific period of extreme volatility in market prices and systemic shock due to the COVID-19 pandemic.

The draft RTS contain a new annex which will replace the current annex to Delegated Regulation (EU) No 101/2016. From the date of entry into force of the RTS until 31 December 2020, the aggregation factor α referred to in the new annex will be set to 66%.