ANNEX VIIICREDIT RISK MITIGATION

PART 3Calculating the effects of credit risk mitigation

1.FUNDED CREDIT PROTECTION

1.4.Financial collateral

1.4.2.Financial Collateral Comprehensive Method

(b)Calculation of volatility adjustments to be applied

(i)Supervisory volatility adjustments

36.The volatility adjustments to be applied under the Supervisory volatility adjustments approach (assuming daily revaluation) shall be those set out in Tables 1 to 4.

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 Part 1, point 7(b)

Volatility adjustments for debt securities issued by entities described in Part 1, point 7(c) and (d)

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

>1 ≤ 5 years

2,828

2

1,414

5,657

4

2,828

> 5 years

5,657

4

2,828

11,314

8

5,657

2-3

≤ 1 year

1,414

1

0,707

2,828

2

1,414

>1 ≤ 5 years

4,243

3

2,121

8,485

6

4,243

> 5 years

8,485

6

4,243

16,971

12

8,485

4

≤ 1 year

21,213

15

10,607

N/A

N/A

N/A

>1 ≤ 5 years

21,213

15

10,607

N/A

N/A

N/A

> 5 years

21,213

15

10,607

N/A

N/A

N/A

Table 2

Credit quality step with which the credit assessment of a short term debt security is associated

Volatility adjustments for debt securities issued by entities described in Part 1, point 7(b) with short-term credit assessments

Volatility adjustments for debt securities issued by entities described in Part 1, point 7(c) and (d) 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 ( %)

1

0,707

0,5

0,354

1,414

1

0,707

2-3

1,414

1

0,707

2,828

2

1,414

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

Other Equities or Convertible Bonds listed on a recognised exchange

35,355

25

17,678

Cash

0

0

0

Gold

21,213

15

10,607

Table 4

Volatility adjustment for currency mismatch

20-day liquidation period ( %)

10-day liquidation period ( %)

5-day liquidation period)

11,314

8

5,657