For the identification of additional shorter sub intervals in point 7(b) of Annex IV of the Delegated
Regulation, does this mean only the sub intervals that are truncated by the end of the time period

Question

For the identification of additional shorter sub intervals in point 7(b) of Annex IV of the Delegated
Regulation, does this mean only the sub intervals that are truncated by the end of the time period
defined in point 6 of Annex IV?

ESA Joint Committee (EBA, ESMA, EIOPA) · Accepted Answer

Yes, and the sub intervals are intended to be based on monthly prices. For example, for a recommended
holding period of 5 years, point 7(b) of Annex IV of the Delegated Regulation intends to capture sub-
intervals of less than 5 years covering the most recent years (i.e. less than 5 years prior to the date of
calculation). This means running from 4 years and 11 months to 1 year (i.e. including 4 years and 11
months, 4 years and 10 months, 4 years and 9 months…1 year and 2 months, 1 year and 1 month, and
1 year).

For the identification of additional shorter sub intervals in point 7(b) of Annex IV of the Delegated Regulation, does this mean only the sub intervals that are truncated by the end of the time period

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