EBA · 2023_6745 Question under review

Back-to-Back in regulatory threshold

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
325a
Topic
Market risk
Submitted by
Consultancy firm
Submitted
2023-03-12
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

How should back-to-back trades that net off perfectly when calculating the size of their on- and off-balance-sheet business that is subject to market risk be accounted for? Should both positions be considered in absolute value, both the short and the long position, or should they not be included as the positions perfectly offset each other and do not generate capital requirements for market risk?

Background

Article 325a states that all positions subject to market risk must be included in the calculation of the size of their on- and off-balance-sheet business and short and long positions must be added in absolute value
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6745

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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