Question ID
2013_252
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Own funds
Article
45, 59, 69
Paragraph
a, a, a
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
N/A
Name of institution / submitter
AFME - Association for Financial Markets in Europe
Country of incorporation / residence
UK
Type of submitter
Industry association
Subject matter
Maturity matching
Question

Articles 45(a), 59(a), 69(a) of Regulation (EU) No 575/2013 (CRR) each include a condition that “the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year”, in order for the short position to be recognized for the calculation of the net long position. Please confirm that maturities are deemed to match for the purposes of these provisions where the maturity of the short position is greater than the maturity of the long position. Where the maturity of the short is greater than the maturity of the long the institution will only ever be left with a net short position (economically a forward starting short), all things being equal, and should not therefore have to take a deduction.

Background on the question

The approach we propose has been taken in the US in implementing Basel III. We believe there should be global consistency in the application of these deductions, particularly as the US is another key jurisdiction in which the business affected by this rule is undertaken.

Submission date
Final publishing date
Final answer

Where Articles 45(a), 59(a) and 69(a) of Regulation (EU) No 575/2013 (CRR) refer to the condition that the maturity of the short position matches the maturity of the long position, this should be read so as to include cases where the maturity of the short position is longer than the maturity of the long position.

DISCLAIMER:

This question goes beyond matters of consistent and effective application of the regulatory framework. A Directorate General of the Commission (Directorate General for Internal Market and Services) has prepared the answer, albeit that only the Court of Justice of the European Union can provide definitive interpretations of EU legislation. This is an unofficial opinion of that Directorate General, which the European Banking Authority publishes on its behalf. The answers are not binding on the European Commission as an institution. You should be aware that the European Commission could adopt a position different from the one expressed in such Q&As, for instance in infringement proceedings or after a detailed examination of a specific case or on the basis of any new legal or factual elements that may have been brought to its attention.

Status
Final Q&A
Answer prepared by
Answer prepared by the European Commission because it is a matter of interpretation of Union law.
Note to Q&A

Update 26.03.2021: This Q&A has not yet been reviewed by the European Commission in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR).

Disclaimer

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