Regulatory Alerts2022-02-28
Added · Updated
Commission Delegated Regulation (EU) 2022/2058 on regulatory technical standards for liquidity horizons under the alternative internal model approach
The European Commission adopted Delegated Regulation (EU) 2022/2058 to establish regulatory technical standards for mapping risk factors to liquidity horizons under the alternative internal model approach of Regulation (EU) No 575/2013. Institutions must apply specific methodologies for homogeneous index instruments, inflation, mono-currency and cross-currency basis risks, and repo and dividend risks, while mapping unmapped risk factors to the 'Commodity' category. The regulation defines the most liquid currencies and currency pairs using Bank for International Settlements data and sets a EUR 1.75 billion threshold or main index inclusion for large market capitalization equities. This regulation entered into force on the twentieth day following its publication in the Official Journal of the European Union.