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Version status: Applicable | Document consolidation status: Updated to reflect all known changes
Version date: 26 June 2021 - onwards
  Version 3 of 3    

Article 30 Collateral

1. All collateral for both bilateral and cleared transactions referred to in Article 25 shall be subject to volatility adjustments in accordance with the following table:

 Table 4

Asset class

Volatility adjustment repurchase transactions

Volatility adjustment other transactions

Debt securities issued by central governments or central banks

≤ 1 year

0,707 %

1 %

> 1 year ≤ 5 years

2,121 %

3 %

> 5 years

4,243 %

6 %

Debt securities issued by other entities

≤ 1 year

1,414 %

2 %

> 1 year ≤ 5 years

4,243 %

6 %

> 5 years

8,485 %

12 %

Securitisation positions

≤ 1 year

2,828 %

4 %

> 1 year ≤ 5 years

8,485 %

12 %

> 5 years

16,970 %

24 %

Listed equities and convertibles

 

14,143 %

20 %

Other securities and commodities

 

17,678 %

25 %

Gold

 

10,607 %

15 %

Cash

 

0 %

0 %

For the purposes of Table 4, securitisation positions shall not include re-

Comparing proposed amendment...