2021_6237 Definition of long/short derivative positions

Question ID: 2021_6237
Legal act: Regulation (EU) No 575/2013 (CRR)
Topic: Market risk
Article: 273a
Paragraph: 3
Subparagraph: (b)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations: Not applicable
Article/Paragraph: N/A
Type of submitter: Credit institution
Subject matter: Definition of long/short derivative positions
Question: Which is the intended meaning of long/short positions in the context of Article 273a(3)(b)?
Background on the question: The subparagraph refers to long/short derivative positions, but several interpretations of this concept can be considered.

Different interpretations of the concept of long/short derivative positions can lead to relevant differences in the application of the Article: for example if long/short refers to the main risk factor, netting could be allowed between positions of the same directions but with positive/negative fair value, while if long/short is a synonym of positive/negative fair value no netting can be applied.
Submission date: 14/10/2021
Status: Question under review
Answer prepared by: Answer prepared by the European Commission because it is a matter of interpretation of Union law.