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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

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Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.