http://www.legislation.gov.uk/id/eudr/2006/48/annex/VIII/part/3/division/n3/division/1.4/division/1.4.2/division/b/division/ii

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

(ii)Own estimates of volatility adjustments

53.

The volatility estimates shall be used in the day-to-day risk management process of the credit institution including in relation to its internal exposure limits.