Commission Delegated Regulation (EU) 2023/1577 on regulatory technical standards for market risk own funds requirements for non-trading book positions

Institutions must use the last available accounting value as the basis for calculating own funds requirements for non-trading book positions subject to foreign exchange risk under the alternative standardised approach, with a derogation allowing fair value if positions are measured at fair value at least quarterly. For commodity risk positions under the same approach, institutions must use the latest available fair value and measure positions at fair value at least monthly. Under the alternative internal model approach, institutions must update foreign exchange risk values daily and apply shock scenarios only to relevant broad risk factor categories for expected shortfall and stress scenario calculations. The regulation also mandates documentation of trading desk assignments for non-trading book positions and specifies methods for computing hypothetical and actual portfolio value changes for back-testing purposes.

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

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