23. Key criteria for determining the relevant liquidity horizon

L-orizzonti ta‟ likwidità għandhom jiġu riveduti fuq bażi regolari biex jiġi żgurat li jibqgħu adattati, b‟mod partikolari fir-rigward ta‟ avvenimenti jew ta‟ kwalunkwe indikatur sinifikanti li juri li l-kundizzjonijiet ta‟ likwidità jkunu nbidlu f‟suq, li jirriflettu l-possibilità għall-likwidità tas-swieq li tinbidel malajr hekk kif il-parteċipanti tas-suq jidħlu u joħorġu mill-klassijiet ta‟ assi.

L-istituzzjonijiet għandhom jikkunsidraw bidliet sinifikanti fil-fatturi użati biex jiddeterminaw l-orizzont ta‟ likwidità bħala sett minimu ta‟ xkattaturi għar-reviżjoni tal-orizzont rilevanti ta‟ likwidità. Kwalunkwe esperjenza ta‟ bejgħ ta‟ pożizzjoni li tindika li orizzont ta‟ likwidità mhuwiex konservattiv biżżejjed għandha ukoll tiġi kkunsidrata minnufih fid-determinazzjoni tal-orizzont ta‟ likwidità għal prodotti simili u l-proċeduri għall-allokazzjoni ta‟ pożizzjonijiet għal fatturi ta‟ likwidità għandhom imbagħad jiġu aġġornati kif suppost.

Maż-żmien l-istituzzjonijiet għandhom jissorveljaw u jtejbu l-firxa ta‟ fatturi użati sabiex jidentifikaw orizzonti ta‟ likwidità abbażi tal-esperjenza tas-suq tagħhom.

Positions should be systematically assessed against the criteria chosen and allocated to liquidity horizons accordingly (with a floor of 3 months). Where limited data is available on a position or set of positions, institutions should be conservative in determining the relevant liquidity horizon.

The approach applied to link a criterion to a longer or shorter liquidity horizon should be documented and supported by historical evidence including evidence based on experience of liquidating similar positions during stressed periods, to ensure that assumptions which appear theoretically logical but are not true in practice are not mistakenly used in the analysis – for example it may not be true in 19 all cases that a lower credit rating implies a longer liquidity horizon if there is an active market in certain types of positions with low credit ratings. For example, in the case of the use of historical bid-offer spreads, institutions may set thresholds which determine which liquidity horizon a position is allocated to – the choice of these thresholds should be justified.