(7)In line with the Basel standards, one of the criteria laid down in Article 1(1) and Article 4(2) of Commission Delegated Regulation (EU) 2022/2060note for a risk factor to be modellable is that the institution concerned has identified, over an observation period of 12 months, a certain number of verifiable prices for that risk factor. That requirement is problematic for recently issued instruments, including newly issued bonds, new reference rates or commodities, because it means that during the 12 months following their issuance, the risk factors for those positions might not pass the risk factor eligibility test, regardless of the liquidity of those positions. To alleviate the operational burden on institutions and ensure a level playing field with credit institutions from other jurisdictions, credit institutions should be allowed to prorate the number of real price observations required for modellability purposes for those new risk factors until one year after those new instruments are first traded in the market.
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