1. The volatility adjustments to be applied by institutions under the Supervisory Volatility Adjustments Approach, assuming daily revaluation, shall be those set out in Tables 1 to 4 of this paragraph.
Credit quality step with which the credit assessment of the debt security is associated |
Residual Maturity |
Volatility adjustments for debt securities issued by entities described in Article 197(1)(b) |
Volatility adjustments for debt securities issued by entities described in Article197(1)(c) and (d) |
Volatility adjustments for securitisation positions and meeting the criteria in Article 197(1)(h) |
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---|---|---|---|---|---|---|---|---|---|---|
20-day liquidation period (%) |
10-day liquidation period (%) |
5-day liquidation period (%) |
20-day liquidation period (%) |
10-day liquidation period (%) |
5-day liquidation period (%) |
20-day liquidation period (%) |
10-day liquidation period (%) |
5-day liquidation period (%) |
||
1 |
≤ 1 year |
0,707 |
0,5 |
0,354 |
1,414 |
1 |
0,707 |