Article 227 › 2

Institutions may apply a 0 % volatility adjustment where all the following conditions are met: (a) both the exposure and the collateral are cash or debt securities issued by central governments or central banks within the meaning of Article 197(1)(b) and eligible for a 0 % risk weight under Chapter 2; (b) both the exposure and the collateral are denominated in the same currency; (c) either the maturity of the transaction is no more than one day or both the exposure and the collateral are subject to daily marking-to-market or daily re-margining; (d) the time between the last marking-to-market before a failure to re-margin by the counterparty and the liquidation of the collateral is no more than four business days; (e) the transaction is settled in a settlement system proven for that type of transaction; (f) the documentation covering the agreement or transaction is standard market documentation for repurchase transactions or securities lending or borrowing transactions in the securities concerned; (g) the transaction is governed by documentation specifying that where the counterparty fails to satisfy an obligation to deliver cash or securities or to deliver margin or otherwise defaults, then the transaction is immediately terminable; (h) the counterparty is considered a core market participant by the competent authorities.

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