Version status: Applicable | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2014 - onwards
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Article 224 Supervisory volatility adjustment under the Financial Collateral Comprehensive Method

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.

VOLATILITY ADJUSTMENTS

Table 1

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 Article 197(1)(c) and (d)

Volatility adjustments for securitisation positions and meeting the criteria in Article 197(1)(h)

   

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

2,829