in force 2025-01-01 MODIFIED+708 −401§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
Table 1 in paragraph 1 replaces the previous three residual-maturity bands (up to 1 year, 1 to 5 years, over 5 years) with five narrower bands (up to 1 year, 1 to 3 years, 3 to 5 years, 5 to 10 years, and over 10 years), each with its own set of volatility adjustment percentages, and the credit quality step 4 row is now shown as applying to all maturities rather than being repeated across the three former maturity bands.
Table 2 is similarly relabelled to reference residual maturity, though its figures for credit quality steps 1 and 2-3 remain the same values as before.
Table 3's percentages for main index equities and convertible bonds, other listed equities or convertible bonds, and gold have each been increased, and gold is now labelled as gold bullion, while Table 4's currency-mismatch adjustment figures are unchanged.
Cited: Art. 224, v1 · Art. 224, v2
text before / after
02013R0575-20240709 → 02013R0575-20250101
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 maturity (m), expressed in years Volatility adjustments for debt securities issued by entities described as referred to in Article 197(1)(b) 197(1), point (b) Volatility adjustments for debt securities issued by entities described as referred to in Article 197(1) 197(1), points (c) and (d) Volatility adjustments for securitisation positions and meeting the criteria laid down in Article 197(1) 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 year 0,707 0,5 0,354 1,414 1 0,707 2,829 2,828 2 1,414
>1 1 < m ≤ 3 2,828 2 1,414 4,243 3 2,121 11,314 8 5,657
3 < m ≤ 5 years 2,828 2 1,414 5,657 4 2,828 11,314 8 5,657
> 5 years < m ≤ 10 5,657 4 2,828 8,485 6 4,243 22,627 16 11,314 8 m > 10 5,657 22,628 4 2,828 16,971 12 8,485 22,627 16 11,313
2-3 11,314
2 to 3 m ≤ 1 year 1,414 1 0,707 2,828 2 1,414 5,657 4 2,828
>1 1 < m ≤ 3 4,243 3 2,121 5,657 4 2,828 16,971 12 8,485
3 < m ≤ 5 years 4,243 3 2,121 8,485 6 4,243 16,971 12 8,485
> 5 years < m ≤ 10 8,485 6 4,243 16,971 12 8,485 33,942 33,941 24 16,970 16,971
m > 10 8,485 6 4,243 28,284 20 14,142 33,941 24 16,971
4 ≤ 1 year 21,213 15 10,607 N/A N/A N/A N/A N/A N/A
>1 ≤ 5 years 21,213 15 10,607 N/A N/A N/A N/A N/A N/A
> 5 years 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 described as referred to in Article 197(1)(b) 197(1), point (b), with short-term credit assessments Volatility adjustments for debt securities issued by entities described as referred to in Article 197(1) 197(1), points (c) and (d) (d), with short-term credit assessments Volatility adjustments for securitisation positions and meeting the criteria laid down in Article 197(1)(h) 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 2,829 2,828 2 1,414
2-3 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 21,213 15 10,607 index equities, main index convertible bonds 28,284 20 14,142
Other Equities equities or Convertible Bonds convertible bonds listed on a recognised exchange 35,355 25 17,678 42,426 30 21,213
Cash 0 0 0
Gold 21,213 15 10,607 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
2. The calculation of volatility adjustments in accordance with paragraph 1 shall be subject to the following conditions:
(a) for secured lending transactions the liquidation period shall be 20 business days;
(b) for repurchase transactions, except insofar as such transactions involve the transfer of commodities or guaranteed rights relating to title to commodities, and securities lending or borrowing transactions the liquidation period shall be 5 business days;
(c) for other capital market driven transactions, the liquidation period shall be 10 business days.
Where an institution has a transaction or netting set which meets the criteria set out in Article 285(2), (3) and (4), the minimum holding period shall be brought in line with the margin period of risk that would apply under those paragraphs.
3. In Tables 1 to 4 of paragraph 1 and in paragraphs 4 to 6, the credit quality step with which a credit assessment of the debt security is associated is the credit quality step with which the credit assessment is determined by EBA to be associated under Chapter 2.
For the purpose of determining the credit quality step with which a credit assessment of the debt security is associated referred to in the first subparagraph, Article 197(7) also applies.
4. For non-eligible securities or for commodities lent or sold under repurchase transactions or securities or commodities lending or borrowing transactions, the volatility adjustment is the same as for non-main index equities listed on a recognised exchange.
5. For eligible units in CIUs the volatility adjustment is the weighted average volatility adjustments that would apply, having regard to the liquidation period of the transaction as specified in paragraph 2, to the assets in which the fund has invested.
Where the assets in which the fund has invested are not known to the institution, the volatility adjustment is the highest volatility adjustment that would apply to any of the assets in which the fund has the right to invest.
6. For unrated debt securities issued by institutions or investment firms and satisfying the eligibility criteria in Article 197(4), the volatility adjustments is the same as for securities issued by institutions or corporates with an external credit assessment associated with credit quality step 2 or 3.