EBA · 2023_6696 Rejected question

Inclusion of instruments in aggregated portfolios

Name: Inclusion of instruments in aggregated portfolios: EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 78
Topic: Supervisory reporting - Supervisory Benchmarking
Submitted by: Competent authority
Submitted: 2023-01-23

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Question

In Annex 5, when calclulating risk measures for an aggregated portfolio, an instrument should enter the calclulation only once or each time it forms an individual portfolio?

Background

In Annex 5 several instruments form more than one indivudual portfolio. For example the instrument 304 is part of individual portfolios 3002 and 3003.

No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6696

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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