Art. 325bd · Liquidity horizons

Previous version, in force 9 July 2024 02013R0575-20240709 → this version, in force 1 January 2025 02013R0575-20250101

Article 325bd Liquidity horizons 1. Institutions shall map each risk factor of positions assigned to the trading desks for which they have been granted permission as referred to in Article 325az(2), or for which they are in the process of being granted … 332 unchanged words … pairs that are composed of the euro and the currency of a Member State participating in ERM II shall be included in the most liquid currency pairs sub-category within the broad category of foreign exchange risk factor of Table 2. 5a. Currencies of Member States participating in ERM II shall be included in the most liquid currencies and domestic currency sub-category within the broad category of interest rate risk factor of Table 2. 6. An institution shall verify the appropriateness of the mapping referred to in paragraph 1 on at least a monthly basis. 7. EBA shall develop draft regulatory technical standards to specify: (a) how institutions are to map the risk factors of the positions referred to in paragraph 1 to broad categories of risk factors and broad sub-categories of risk factors for the purposes of paragraph 1; (b) which currencies constitute the most liquid currencies sub-category of the broad category of interest rate risk factor of Table 2; (c) which currency pairs constitute the most liquid currency pairs sub-category of the broad category of foreign exchange risk factor of Table 2; (d) the definitions of small market capitalisation and large market capitalisation for the purposes of the equity price and volatility sub-category of the broad category of equity risk factor of Table 2. EBA shall submit those draft regulatory technical standards to the Commission by 28 March 2020. Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010. Table 2 Broad categories of risk factors Broad sub-categories of risk factors Liquidity horizons Length of the liquidity horizon (in days) Interest rate Most liquid currencies and domestic currency 1 10 Other currencies (excluding most liquid currencies) 2 20 Volatility 4 60 Other types 4 60 Credit spread Central government, including central banks, of Member States 2 20 Covered bonds issued by credit institutions in Member States (Investment Grade) 2 20 Sovereign (Investment grade) 2 20 Sovereign (High yield) 3 40 Corporate (Investment grade) 3 40 Corporate (High yield) 4 60 Volatility 5 120 Other types 5 120 Equity Equity price (Large market capitalisation) 1 10 Equity price (Small market capitalisation) 2 20 Volatility (Large market capitalisation) 2 20 Volatility (Small market capitalisation) 4 60 Other types 4 60 Foreign exchange Most liquid currency pairs 1 10 Other currency pairs (excluding most liquid currency pairs) 2 20 Volatility 3 40 Other types 3 40 Commodity Energy price and carbon emissions price 2 20 Precious metal price and non-ferrous metal price 2 20 Other commodity prices (excluding energy price, carbon emissions price, precious metal price and non-ferrous metal price) 4 60 Energy volatility and carbon emissions volatility 4 60 Precious metal volatility and non-ferrous metal volatility 4 60 Other commodity volatilities (excluding energy volatility, carbon emissions volatility, precious metal volatility and non-ferrous metal volatility) 5 120 Other types 5 120