Prudential filters took a smaller bite out of bank capital in 2020
Additional valuation adjustments deducted €1.3 billion less from CET1 at top banks
Prudential haircuts to fair value (FV) assets cut €11.2 billion ($13.5 billion) off top EU banks’ Common Equity Tier 1 (CET1) capital at end-2020 – 10% less than a year ago, reflecting in part the ‘quick fix’ to banking rules ushered in on the outbreak of the coronavirus crisis.
Additional value adjustments (AVAs) are deductions applied to bank capital to account for the valuation uncertainty of certain FV assets. Put simply, AVAs are the difference between a bank’s FV of its own equity, and
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