Article 221 › 7

The calculation of the potential change in value referred to in paragraph 6 shall be subject to all the following standards: (a) it shall be carried out at least daily; (b) it shall be based on a 99th percentile, one-tailed confidence interval; (c) it shall be based on a 5-day equivalent liquidation period, except in the case of transactions other than securities repurchase transactions or securities lending or borrowing transactions where a 10-day equivalent liquidation period shall be used; (d) it shall be based on an effective historical observation period of at least one year except where a shorter observation period is justified by a significant upsurge in price volatility; (e) the data set used in the calculation shall be updated every three months. Where an institution has a repurchase transaction, a securities or commodities lending or borrowing transaction and margin lending or similar 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, in combination with Article 285(5).

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Source: EUR-Lex CELLAR · retrieved 2026-09-04