+Article 224 1.
|
Article 224 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
▼M17
Table 1
|
Credit quality step with which the credit assessment of the debt security is associated
|
Residual maturity (m), expressed in years
|
Volatility adjustments for debt securities issued by entities as referred to in Article 197(1), point (b)
|
Volatility adjustments for debt securities issued by entities as referred to in Article 197(1), points (c) and (d)
|
Volatility adjustments for securitisation positions and meeting the criteria laid down in Article 197(1), point (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
|
m ≤ 1
|
0,707
|
0,5
|
0,354
|
1,414
|
1
|
0,707
|
2,828
|
2
|
1,414
|
|
|
1 < m ≤ 3
|
2,828
|
2
|
1,414
|
4,243
|
3
|
2,121
|
11,314
|
8
|
5,657
|
|
|
3 < m ≤ 5
|
2,828
|
2
|
1,414
|
5,657
|
4
|
2,828
|
11,314
|
8
|
5,657
|
|
|
5 < m ≤ 10
|
5,657
|
4
|
2,828
|
8,485
|
6
|
4,243
|
22,627
|
16
|
11,314
|
|
|
m > 10
|
5,657
|
4
|
2,828
|
16,971
|
12
|
8,485
|
22,627
|
16
|
11,314
|
|
2 to 3
|
m ≤ 1
|
1,414
|
1
|
0,707
|
2,828
|
2
|
1,414
|
5,657
|
4
|
2,828
|
|
|
1 < m ≤ 3
|
4,243
|
3
|
2,121
|
5,657
|
4
|
2,828
|
16,971
|
12
|
8,485
|
|
|
3 < m ≤ 5
|
4,243
|
3
|
2,121
|
8,485
|
6
|
4,243
|
16,971
|
12
|
8,485
|
|
|
5 < m ≤ 10
|
8,485
|
6
|
4,243
|
16,971
|
12
|
8,485
|
33,941
|
24
|
16,971
|
|
|
m > 10
|
8,485
|
6
|
4,243
|
28,284
|
20
|
14,142
|
33,941
|
24
|
16,971
|
|
4
|
all
|
21,213
|
15
|
10,607
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
Table 2
|
Credit quality step with which the credit assessment of a short term debt security is associated
|
Residual maturity (m), expressed in years
|
Volatility adjustments for debt securities issued by entities as referred to in Article 197(1), point (b), with short-term credit assessments
|
Volatility adjustments for debt securities issued by entities as referred to in Article 197(1), points (c) and (d), with short-term credit assessments
|
Volatility adjustments for securitisation positions and meeting the criteria laid down in Article 197(1), point (h), with short-term credit assessments
|
|
|
|
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
|
|
0,707
|
0,5
|
0,354
|
1,414
|
1
|
0,707
|
2,828
|
2
|
1,414
|
|
2 to 3
|
|
1,414
|
1
|
0,707
|
2,828
|
2
|
1,414
|
5,657
|
4
|
2,828
|
Table 3
Other collateral or exposure types
|
|
20-day liquidation period (%)
|
10-day liquidation period (%)
|
5-day liquidation period (%)
|
|
Main index equities, main index convertible bonds
|
28,284
|
20
|
14,142
|
|
Other equities or convertible bonds listed on a recognised exchange
|
42,426
|
30
|
21,213
|
|
Cash
|
0
|
0
|
0
|
|
Gold bullion
|
28,284
|
20
|
14,142
|
Table 4
Volatility adjustment for currency mismatch (Hfx)
|
20-day liquidation period (%)
|
10-day liquidation period (%)
|
5-day liquidation period (%)
|
|
11,314
|
8
|
5,657
|
▼C2
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
- EULAW -
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