Question ID
2026_7944
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
325bd
Paragraph
4
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
Not applicable
Type of submitter
Credit institution
Subject matter
Maturity of a trading book position
Question

For the purpose of calculating the Expected Shortfall under Article 325bd(4), can “the maturity of the trading book position” (parameter ‘Mat’) be interpreted to mean the time for which the exposure remains sensitive to the risks of the position currently held?

For example: for a physical delivery derivative, it would be the maturity of the underlying. For others, it would depend on the capacity of replacing the position, which should typically be met for liquid listed derivatives.

Background on the question

For the calculation of the expected shortfall, each risk factor of positions in the scope of a trading desk capitalised under the A-IMA shall be assigned a liquidity horizon that would depend on the risk factor category and sub-risk category (paragraph 2); on whether the institution has requested a derogation for a longer liquidity horizon for a desk and a sub-risk category (paragraph 3); and on the maturity of the position (paragraph 4). The maturity of the position (actually, the next highest supervisory LH) serves as a liquidity horizon cap for the risk factors of the position.

However, Article 325bd provides no definition of a trading book position for the purpose of the liquidity horizon determination in the context of the expected shortfall.


 

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the matter it refers to has already been identified and will be considered for a forthcoming version of the Reporting framework / release of the respective validation rules.

Status
Rejected question