Regulatory Alerts2022-08-16
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Commission Delegated Regulation (EU) 2022/2328 on regulatory technical standards for exotic underlyings and residual risks
The European Commission adopted Delegated Regulation (EU) 2022/2328 to specify exotic underlyings and instruments bearing residual risks for calculating own funds requirements under Regulation (EU) No 575/2013. Article 1 designates longevity risk, weather, natural disasters, and future realised volatility as exotic underlyings, while Article 2 lists specific derivative instruments that constitute residual risks. Article 3 clarifies that certain risks, such as delivery option risk or specific correlation risks, do not automatically trigger residual risk classification. The regulation entered into force on the twentieth day following its publication in the Official Journal on 29 November 2022.
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