Article 224 › 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.

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