Regulatory Alerts2023-04-20
Added · Updated
Commission Delegated Regulation (EU) 2023/1577 on market risk own funds requirements for non-trading book positions
The European Commission adopted Delegated Regulation (EU) 2023/1577 to establish regulatory technical standards for calculating own funds requirements for market risk in non-trading book positions subject to foreign exchange or commodity risk. Institutions must use the last available accounting or fair value as a basis for calculations, with specific update frequencies mandated: monthly for the alternative standardised approach and daily for the alternative internal model approach. The regulation also specifies how institutions must compute hypothetical and actual changes in portfolio value for back-testing and profit and loss attribution under the alternative internal model approach. These rules supplement Regulation (EU) No 575/2013 and entered into force on 21 August 2023.