ANNEX VIII U.K.CREDIT RISK MITIGATION

PART 3 U.K.Calculating the effects of credit risk mitigation

1. FUNDED CREDIT PROTECTION U.K.

1.4. Financial collateral U.K.

1.4.2. Financial Collateral Comprehensive Method U.K.

(b) Calculation of volatility adjustments to be applied U.K.

(i) Supervisory volatility adjustments U.K.

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. U.K.

VOLATILITY ADJUSTMENTS U.K.

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