22. The level at which to define liquidity horizons

Institutions should define liquidity horizons at a product level rather than on an issuer level. For an individual position the relevant liquidity horizon may vary according to the type of product (including its complexity), and the issuer.

Nevertheless, given the practical issues with an entirely granular assessment of liquidity horizon at a product level, considering the significant range of products held

18 in trading portfolios, liquidity horizons may be initially defined on an aggregated basis, for example at the issuer level.

Institutions should, however, monitor and document the range of products linked to each issuer and ensure that the liquidity horizon defined at an aggregate level is adequate for even the most illiquid product.