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Capital Requirements Regulation (CRR)
Article 224

Article 224 - Supervisory volatility adjustment under the Financial Collateral Comprehensive Method

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In force
Selected consolidated version from
30/09/2021
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Article 224

Supervisory volatility adjustment under the Financial Collateral Comprehensive Method

1.  

The volatility adjustments to be applied by institutions under the Supervisory Volatility Adjustments Approach, assuming daily revaluation, shall be those set out in Tables 1 to 4 of this paragraph.

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 Article 197(1)(b)

Volatility adjustments for debt securities issued by entities described in Article 197(1) (c) and (d)

Volatility adjustments for securitisation positions and meeting the criteria in Article 197(1) (h)

 

 

20-day liquidation period (%)

10-day liquidation period (%)

5-day liquidation period (%)

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

2,829

2

1,414

 

>1 ≤ 5 years

2,828

2

1,414

5,657

4

2,828

11,314

8

5,657

 

> 5 years

5,657

4

2,828

11,314

8

5,657

22,628

16

11,313

2-3

≤ 1 year

1,414

1

0,707

2,828

2

1,414

5,657

4

2,828

 

>1 ≤ 5 years

4,243

3

2,121

8,485

6

4,243

16,971

12

8,485

 

> 5 years

8,485

6

4,243

16,971

12

8,485

33,942

24

16,970

4

≤ 1 year

21,213

15

10,607

N/A

N/A

N/A

N/A

N/A

N/A

 

>1 ≤ 5 years

21,213

15

10,607

N/A

N/A

N/A

N/A

N/A

N/A

 

> 5 years

21,213

15

10,607

N/A

N/A

N/A

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 Article 197(1)(b) with short-term credit assessments

Volatility adjustments for debt securities issued by entities described in Article 197(1) (c) and (d) with short-term credit assessments

Volatility adjustments for securitisation positions and meeting the criteria in Article 197(1)(h)

 

20-day liquidation period (%)

10-day liquidation period (%)

5-day liquidation period (%)

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

2,829

2

1,414

2-3

1,414

1

0,707

2,828

2

1,414

5,657

4

2,828



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

2.  

The calculation of volatility adjustments in accordance with paragraph 1 shall be subject to the following conditions:

(a) 

for secured lending transactions the liquidation period shall be 20 business days;

(b) 

for repurchase transactions, except insofar as such transactions involve the transfer of commodities or guaranteed rights relating to title to commodities, and securities lending or borrowing transactions the liquidation period shall be 5 business days;

(c) 

for other capital market driven transactions, the liquidation period shall be 10 business days.

Where an institution has a transaction or netting set which meets the criteria set out in Article 285(2), (3) and (4), the minimum holding period shall be brought in line with the margin period of risk that would apply under those paragraphs.

3.  
In Tables 1 to 4 of paragraph 1 and in paragraphs 4 to 6, the credit quality step with which a credit assessment of the debt security is associated is the credit quality step with which the credit assessment is determined by EBA to be associated under Chapter 2.

For the purpose of determining the credit quality step with which a credit assessment of the debt security is associated referred to in the first subparagraph, Article 197(7) also applies.

4.  
For non-eligible securities or for commodities lent or sold under repurchase transactions or securities or commodities lending or borrowing transactions, the volatility adjustment is the same as for non-main index equities listed on a recognised exchange.
5.  
For eligible units in CIUs the volatility adjustment is the weighted average volatility adjustments that would apply, having regard to the liquidation period of the transaction as specified in paragraph 2, to the assets in which the fund has invested.

Where the assets in which the fund has invested are not known to the institution, the volatility adjustment is the highest volatility adjustment that would apply to any of the assets in which the fund has the right to invest.

6.  
For unrated debt securities issued by institutions or investment firms and satisfying the eligibility criteria in Article 197(4), the volatility adjustments is the same as for securities issued by institutions or corporates with an external credit assessment associated with credit quality step 2 or 3.

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