EBA · 2021_6237 Question under review

Definition of long/short derivative positions

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
273a, para. 3
Topic
Market risk
Submitted by
Credit institution
Submitted
2021-10-14
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Which is the intended meaning of long/short positions in the context of Article 273a(3)(b)?

Background

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.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2021_6237

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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