For the purpose of calculating the partial expected shortfall measures in accordance with point (c) of Article 325bc(1), the effective liquidity horizon of a given modellable risk factor of a given trading book position or a non-trading book position that is subject to foreign exchange or commodity risk shall be calculated as follows:
▼M8
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EffectiveLH =
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SubCatLH if Mat > LH5
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min (SubCatLH, minj{LHj/LHj ≥ Mat}) if LH1 ≤ Mat ≤ LH5
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LH1 if Mat < LH1
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where:
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EffectiveLH
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=
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the effective liquidity horizon;
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Mat
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=
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the maturity of the trading book position;
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SubCatLH
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=
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the length of liquidity horizon of the modellable risk factor determined in accordance with paragraph 1; and
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minj {LHj/LHj ≥ Mat}
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=
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the length of one of the liquidity horizons listed in Table 1 of Article 325bc which is the nearest liquidity horizon above the maturity of the trading book position.
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