Commission Delegated Regulation (EU) 2022/2059 specifying technical details of back-testing and profit and loss attribution requirements

Institutions must calculate actual and hypothetical changes in trading desk and institution-level portfolio values for back-testing purposes using end-of-day valuation techniques, while excluding credit valuation adjustments, own credit risk adjustments, and specific additional value deductions. The regulation mandates that institutions classify each trading desk into green, orange, yellow, or red zones based on Spearman correlation coefficients and Kolmogorov-Smirnov test metrics derived from the most recent 250 business days of data. Green zone desks require a Spearman coefficient greater than 0.8 and a Kolmogorov-Smirnov metric lower than 0.09, whereas red zone classification occurs if the coefficient falls below 0.7 or the metric exceeds 0.12. Institutions are required to maintain documented policies and procedures detailing the methodologies used for these calculations and the treatment of various market risk adjustments.

Get EC alerts — same-day email on every new publication.

EUR-Lex

Access to European Union law

This document is an excerpt from the EUR-Lex website

You are here

EUROPA

EUR-Lex home

EUR-Lex - 02022R2059-20250528 - EN

Help

Quick search

Use quotation marks to search for an "exact phrase". Append an asterisk ( * ) to a search term to find variations of it (transp * , 32019R * ). Use a question mark ( ? ) instead of a single character in your search term to find variations of it (ca ? e finds case, cane, care).

Search tips

Need more search options? Use the

Read the rest free, and get an email when EC publishes again

Email me when EC publishes something newOne email per publication, same day. Sign in below to keep reading.

Lineage: Amended

amendssupersedesissued underrefers toproposed or not in RegAlertarrows run from the older text to the one that changes it

Timeline

Amended 1 time · last 2025-05-28

2025-05-28ECCommission Delegated Regulation (EU) 2023/1577 on regulatory technical standards for market risk own funds requirements for non-trading book positionsamends

Source: European Commission — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works