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
Disclose name of institution / entity:
No
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.

Date of submission:
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.
Image CAPTCHA