Version in force , Modified +21 −227§
Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
The sentence describing that institutions using their own estimates under Article 225 must first calculate volatility adjustments on the basis of daily revaluation has been removed.
The remaining text on scaling up volatility adjustments for less-than-daily revaluation and the formula's defined terms is otherwise the same, aside from minor formatting differences in how the variable definitions are presented.
Cited: Art. 226, v1 (external, EUR-Lex) · Art. 226, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
Previous version, in force 9 July 2024 02013R0575-20240709 → this version, in force 1 January 2025 02013R0575-20250101
Article 226
Scaling up of volatility adjustment under the Financial Collateral Comprehensive Method
The volatility adjustments set out in Article 224 are the volatility adjustments an institution shall apply where there is daily revaluation. Similarly, where an institution uses its own estimates of the volatility adjustments in accordance with Article 225, it shall calculate them in the first instance on the basis of daily revaluation. Where the frequency of revaluation is less than daily, institutions shall apply larger volatility adjustments. Institutions shall calculate them by scaling up the daily revaluation volatility adjustments, using the following square-root-of-time formula:HHM NRTM 1TM formula:
where:
H
= the volatility adjustment to be applied;
HM
= the volatility voatility adjustment where there is daily revaluation;
NR
= the actual number of business days between revaluations;
TM
= the liquidation period for the type of transaction in question.