Stressed credit market events have shown that market participants cannot assume that markets remain liquid under those conditions. Banks experienced significant illiquidity in a wide range of credit products held in the trading book, including leveraged loans. Under these circumstances, liquidity in many parts of the securitisation markets dried up, forcing banks to retain exposures in securitisation pipelines for prolonged periods of time. The CBB therefore expects banks to pay particular attention to the appropriate liquidity horizon assumptions within their IRC models.