Question
In Annex 5, when calclulating risk measures for an aggregated portfolio, an instrument should enter the calclulation only once or each time it forms an individual portfolio?
Background on the question
In Annex 5 several instruments form more than one indivudual portfolio. For example the instrument 304 is part of individual portfolios 3002 and 3003.
Answer
This question has been rejected because it is considered that EBA guidance or clarification is not needed with regard to the issue that it raises. For example, this can be the case where it is considered that the existing regulatory framework is sufficiently clear and unambiguous, or where different practices may be possible but it is not currently necessary to harmonise these further through the Q&A process.The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts.For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.