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
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 |
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 |
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 |
Volatility adjustment for currency mismatch | ||
---|---|---|
20-day liquidation period ( %) | 10-day liquidation period ( %) | 5-day liquidation period) |
11,314 | 8 | 5,657 |