Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) (repealed) (c. 48)

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.

(ii) Own estimates of volatility adjustments U.K.

50. Credit institutions shall take into account the illiquidity of lower-quality assets. The liquidation period shall be adjusted upwards in cases where there is doubt concerning the liquidity of the collateral. They shall also identify where historical data may understate potential volatility, e.g., a pegged currency. Such cases shall be dealt with by means of a stress scenario. U.K.