Articles 45, 59 and 69 of Regulation (EU) No 575/2013 (CRR) each include a condition that “the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year”, in order for the short position to be recognized for the calculation of the net long position. Please confirm that maturities are deemed to match for the purposes of these provisions where the maturity of the long and the short positions occur within the same calendar quarter.
The approach we propose has been taken in the US in implementing Basel III. We believe there should be global consistency in the application of these deductions, particularly as the US is another key jurisdiction in which the business affected by this rule is undertaken.
The provisions in Articles 45, 59 and 69 CRR stipulate that the maturities of the long and short positions need to match, not the quarters into which the maturities of the positions fall. Therefore, in order for the condition in Articles 45, 59 and 69 of CRR to be met, maturities are not deemed to match simply because the maturities of the long and the short positions occur within the same calendar quarter.
The condition of matching maturities in the above-mentioned Articles is met only when the maturity dates of both the long and the short position fall on the exact same day.
This question goes beyond matters of consistent and effective application of the regulatory framework. A Directorate General of the Commission (Directorate General for Financial Stability, Financial Services and Capital Markets Union) has prepared the answer, albeit that only the Court of Justice of the European Union can provide definitive interpretations of EU legislation. This is an unofficial opinion of that Directorate General, which the European Banking Authority publishes on its behalf. The answers are not binding on the European Commission as an institution. You should be aware that the European Commission could adopt a position different from the one expressed in such Q&As, for instance in infringement proceedings or after a detailed examination of a specific case or on the basis of any new legal or factual elements that may have been brought to its attention.
Update 26.03.2021: This Q&A has not yet been reviewed by the European Commission in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR).