4. Institutions should reflect the impact within the liquidity horizon of maturity mismatches …

Institutions should reflect the impact within the liquidity horizon of maturity mismatches between long and short positions (for example if a CDS matures before the underlying bond and the default happens after the CDS maturity), if the resulting risks are material. Therefore, an institution should be able to compute the P&L taking into account the impact of potential maturity mismatches between long and short positions. An institution should at least be able to prove that the above-mentioned risk is not a material risk, otherwise it should have to model the risk accordingly.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.