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No. 360/2026
25 March 2026

RULES

on market risk of financial undertakings.

Article 1. Scope.

These rules apply to financial undertakings that calculate own funds requirements for market risk in accordance with the Act on Financial Undertakings, No. 161/2002.

Article 2. Calculation of own funds requirements for market risk.

A financial undertaking that is required to calculate own funds requirements for market risk shall, as applicable, comply with the provisions of the regulations (EU) specified in Article 3.

Article 3. Implementation of regulations.

With reference to Article 2, the following regulations apply in this country:

• Commission Delegated Regulation (EU) No. 525/2014 of 12 March 2014 supplementing Regulation (EU) No. 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 81/2019 of 29 March 2019, published in the EEA Supplement to the Official Journal of the European Union No. 44 of 2 July 2020, p. 65. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No. 50 of 23 July 2020, pp. 291-292.

• Commission Delegated Regulation (EU) No. 526/2014 of 12 March 2014 supplementing Regulation (EU) No. 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for determining the mapped amount and limited smaller portfolios for the risk of credit valuation adjustment, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 81/2019 of 29 March 2019, published in the EEA Supplement to the Official Journal of the European Union No. 44 of 2 July 2020, p. 65. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No. 50 of 23 July 2020, pp. 293-296.

• Commission Delegated Regulation (EU) No. 528/2014 of 12 March 2014 supplementing Regulation (EU) No. 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risks in relation to options in the standardised approach for market risk, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 81/2019 of 29 March 2019, published in the EEA Supplement to the Official Journal of the European Union No. 44 of 2 July 2020, p. 65. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No. 50 of 23 July 2020, pp. 297-303.

• Commission Delegated Regulation (EU) No. 530/2014 of 12 March 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards further specifying material exposures and thresholds for internal approaches for specific risk in the trading book, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 81/2019 of 29 March 2019, published in the EEA Supplement to the Official Journal of the European Union No. 44 of 2 July 2020, p. 65. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No. 50 of 23 July 2020, pp. 318-319.

• Commission Implementing Regulation (EU) No. 945/2014 of 4 September 2014 on implementing technical standards with regard to appropriate sufficiently diversified indices in accordance with Regulation (EU) No. 575/2013 of the European Parliament and of the Council, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 82/2019 of 29 March 2019, published in the EEA Supplement to the Official Journal of the European Union No. 44 of 2 July 2020, p. 71. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No. 50 of 23 July 2020, pp. 364-367.

• Commission Implementing Regulation (EU) 2015/2197 of 27 November 2015 on implementing technical standards with regard to closely correlated currencies in accordance with Regulation (EU) No. 575/2013 of the European Parliament and of the Council, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 82/2019 of 29 March 2019, published in the EEA Supplement to the Official Journal of the European Union No. 44 of 2 July 2020, pp. 71-76. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No. 50 of 23 July 2020, pp. 368-372.

• Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 on regulatory technical standards for prudent valuation under Article 105(14) of Regulation (EU) No. 575/2013 of the European Parliament and of the Council, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 80/2019 of 29 March 2019, published in the EEA Supplement to the Official Journal of the European Union No. 44 of 2 July 2020, p. 59. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No. 50 of 23 July 2020, pp. 273-284.

• Commission Delegated Regulation (EU) 2016/861 of 18 February 2016 correcting Commission Delegated Regulation (EU) No 528/2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach and correcting Commission Delegated Regulation (EU) No 604/2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards with respect to qualitative and appropriate quantitative criteria to identify categories of staff whose professional activities have a material impact on an institution's risk profile, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 81/2019 of 29 March 2019 published in the EEA Supplement to the Official Journal of the European Union No 44 of 2 July 2020, p. 65. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No 92 of 20 December 2023, pp. 1-3.

• Commission Delegated Regulation (EU) 2018/728 of 24 January 2018 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for procedures for excluding transactions with non-financial counterparties established in a third country from the own funds requirements for credit valuation adjustment risk, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 64/2020 of 30 April 2020 published in the EEA Supplement to the Official Journal of the European Union No 19 of 9 March 2023, p. 33. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No 25 of 21 March 2024, pp. 15-17.

• Commission Implementing Regulation (EU) 2018/1580 of 19 October 2018 amending Implementing Regulation (EU) 2015/2197 with regard to closely correlated currencies in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 64/2020 of 30 April 2020 published in the EEA Supplement to the Official Journal of the European Union No 19 of 9 March 2023, p. 33. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No 25 of 21 March 2024, pp. 18-21.

• Commission Implementing Regulation (EU) 2019/2091 of 28 November 2019 amending Implementing Regulation (EU) 2015/2197 with regard to closely correlated currencies in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 114/2021 of 19 March 2021. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No 26 of 30 March 2023, pp. 329-332.

• Commission Implementing Regulation (EU) 2020/125 of 29 January 2020 amending Implementing Regulation (EU) No 945/2014 with regard to appropriate sufficiently diversified indices in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 158/2020 of 23 October 2020 published in the EEA Supplement to the Official Journal of the European Union No 66 of 14 September 2023, p. 20. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No 30 of 20 April 2023, pp. 21-24.

• Commission Delegated Regulation (EU) 2020/866 of 28 May 2020 amending Delegated Regulation (EU) 2016/101 with regard to regulatory technical standards for prudent valuation under Article 105(14) of Regulation (EU) No 575/2013 of the European Parliament and of the Council, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 213/2021 of 9 July 2021 published in the EEA Supplement to the Official Journal of the European Union No 13 of 8 February 2024, p. 48. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No 26 of 30 March 2023, pp. 333-335.

• Commission Implementing Regulation (EU) 2021/249 of 17 February 2021 amending Implementing Regulation (EU) 2015/2197 with regard to closely correlated currencies in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 214/2021 of 9 July 2021 published in the EEA Supplement to the Official Journal of the European Union No 13 of 8 February 2024, pp. 4-9. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No 26 of 30 March 2023, pp. 336-342.

• Commission Delegated Regulation (EU) 2022/1622 of 17 May 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on emerging markets and advanced economies, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 322/2023 of 8 December 2023, published in the EEA Supplement to the Official Journal of the European Union No 48 of 13 June 2024, p. 48.

• Commission Delegated Regulation (EU) 2022/2058 of 28 February 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on liquidity horizons for the alternative internal model approach, as referred to in Article 325bd(7) of that Regulation, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 16/2023 of 3 February 2023, published in the EEA Supplement to the Official Journal of the European Union No 75 of 19 October 2023, p. 24.

• Commission Delegated Regulation (EU) 2022/2059 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying in greater detail the requirements for backtesting and profit and loss attribution under Articles 325bf and 325bg of that Regulation, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 16/2023 of 3 February 2023, published in the EEA Supplement to the Official Journal of the European Union No 75 of 19 October 2023, p. 24.

• Commission Delegated Regulation (EU) 2022/2060 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the criteria for assessing the modellability of risk factors under the internal model approach (IMA) and specifying the frequency of that assessment under Article 325be(3) of that Regulation, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 16/2023 of 3 February 2023, published in the EEA Supplement to the Official Journal of the European Union No 75 of 19 October 2023, p. 24.

• Commission Delegated Regulation (EU) 2022/2257 of 11 August 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the calculation methods for gross jump-to-default amounts for exposures to debt and equity instruments and for exposures to default risk arising from certain derivative instruments and specifying the notional amounts of instruments other than those referred to in Article 325w(4) of that Regulation, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 52/2023 of 17 March 2023, published in the EEA Supplement to the Official Journal of the European Union No 77 of 26 October 2023, p. 45.

• Commission Delegated Regulation (EU) 2022/2328 of 16 August 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying exotic underlying instruments and instruments with residual risk factors in relation to the calculation of own funds requirements for residual risk factors, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 54/2023 of 17 March 2023, published in the EEA Supplement to the Official Journal of the European Union No 77 of 26 October 2023, p. 47.

• Commission Delegated Regulation (EU) 2023/1577 of 20 April 2023 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the calculation of own funds requirements for market risk for non-trading book positions subject to foreign exchange risk or commodity risk and the treatment of those positions for the purposes of the backtesting requirements and the profit and loss attribution requirement under the alternative internal model approach, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 283/2023 of 27 October 2023, published in the EEA Supplement to the Official Journal of the European Union No 42 of 16 May 2024, p. 61.

• Commission Delegated Regulation (EU) 2023/1578 of 20 April 2023 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the requirements for the internal methodology or external sources used in the own model for default risk when assessing the probability of default and loss given default, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 283/2023 of 27 October 2023, published in the EEA Supplement to the Official Journal of the European Union No 42 of 16 May 2024, p. 61.

• Commission Implementing Regulation (EU) 2023/1718 of 8 September 2023 amending the implementing technical standards laid down in Implementing Regulation (EU) 2015/2197 as regards closely correlated currencies in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council, incorporated into the EEA Agreement by Decision of the EEA Joint Committee No 26/2024 of 2 February 2024, published in the EEA Supplement No 51 of 27 June 2024, p. 49. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No 25 of 21 March 2024, pp. 392-396.

• Commission Implementing Regulation (EU) 2023/2056 of 26 September 2023 amending the technical implementing standards laid down in Commission Implementing Regulation (EU) No. 945/2014 as regards the update of the list of relevant appropriately diversified indices in accordance with Regulation (EU) No. 575/2013 of the European Parliament and of the Council, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 25/2024 of 2 February 2024 published in the EEA Supplement to the Official Journal of the European Union No. 51 of 27 June 2024, p. 48. The Regulation is published in the EEA Supplement to the Official Journal of the European Union No. 25 of 21 March 2024, pp. 387-391.

• Commission Delegated Regulation (EU) 2024/397 of 20 October 2023 supplementing Regulation (EU) No. 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the calculation of the stress scenario risk measure, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 100/2024 of 26 April 2024 published in the EEA Supplement to the Official Journal of the European Union No. 60 of 8 August 2024, p. 29.

• Commission Delegated Regulation (EU) 2024/1085 of 13 March 2024 supplementing Regulation (EU) No. 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the assessment methodology that competent authorities use to verify an institution's compliance with the requirements to use own models for market risk, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 242/2024 of 25 October 2024 published in the EEA Supplement to the Official Journal of the European Union No. 9 of 20 February 2025, p. 22.

• Commission Delegated Regulation (EU) 2025/878 of 3 February 2025 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2022/2059, Delegated Regulation (EU) 2022/2060 and Delegated Regulation (EU) 2023/1577 as regards back-testing and profit and loss attribution, criteria for assessing the modellability of risk factors and the treatment of foreign exchange risk and commodity risk outside the trading book, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 295/2025 of 5 December 2025.

• Commission Delegated Regulation (EU) 2025/789 of 23 April 2025 supplementing Regulation (EU) No. 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the conditions and indicators that EBA uses to determine whether exceptional circumstances within the meaning of Article 325az(5) and Article 325bf(6) of that Regulation have occurred, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 92/2026 of 20 March 2026.

• Commission Delegated Regulation (EU) 2025/1265 of 1 July 2025 supplementing Regulation (EU) No. 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the method to identify the main risk driver for a position and whether a transaction is considered a long or short position as referred to in Article 94(3), Article 273a(3) and Article 325a(2) of that Regulation, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 93/2026 of 20 March 2026.

• Commission Delegated Regulation (EU) 2025/1311 of 3 July 2025 supplementing Regulation (EU) No. 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the conditions for assessing the extent of extensions and changes to the use of non-traditional own models and changes to sub-categories of modellable risk factors, which was incorporated into the EEA Agreement by Decision of the EEA Joint Committee No. 93/2026.

With reference to the authorisation in Article III of the transitional provisions of Act No. 161/2002 on financial undertakings, the Central Bank of Iceland refers to the publication of the English version of Commission Regulations (EU) 2022/1622, 2022/2058, 2022/2059, 2022/2060, 2022/2257, 2022/2328, 2023/1577, 2023/1578, 2024/397, 2024/1085, 2025/878, 2025/789, 2025/1265 and 2025/1311 in the Official Journal of the European Union:

• 1. https://eur-lex.europa.eu/legal-content/EN/ALL/?uri=CELEX:32022R2058, published in OJ Series L, Subseries R, No. 276, on 26 October 2022, pp. 40-46;

• 2. https://eur-lex.europa.eu/legal-content/EN/ALL/?uri=CELEX:32022R2059, published in OJ Series L, Subseries R, No. 276, on 26 October 2022, pp. 47-59;

• 3. https://eur-lex.europa.eu/legal-content/EN/ALL/?uri=CELEX:32022R2060, published in OJ Series L, Subseries R, No. 276, on 26 October 2022, pp. 60-68;

• 4. https://eur-lex.europa.eu/legal-content/EN/ALL/?uri=CELEX:32022R2257, published in OJ Series L, Subseries R, No. 299, on 18 November 2022, pp. 1-4;

• 5. https://eur-lex.europa.eu/legal-content/EN/ALL/?uri=CELEX:32022R2328, published in OJ Series L, Subseries R, No. 308, on 29 November 2022, pp. 1-4;

• 6. https://eur-lex.europa.eu/legal-content/EN/ALL/?uri=CELEX:32023R1577, published in OJ Series L, Subseries R, No. 193, on 1 August 2023, pp. 1-6;

• 7. https://eur-lex.europa.eu/legal-content/EN/ALL/?uri=CELEX:32023R1578, published in OJ Series L, Subseries R, No. 193, on 1 August 2023, pp. 7-13;

• 8. https://eur-lex.europa.eu/legal-content/EN/ALL/?uri=CELEX:32022R1622, published in OJ Section L, Subsection R, No. 244, on 21 September 2022, pp. 3-4;

• 9. https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32024R0397&qid=1774452335556, published in OJ Section L, Subsection R, 2024/397, on 29 January 2024;

• 10. https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32024R1085, published in OJ Section L, Subsection R, 2024/1085, on 17 June 2024;

• 11. https://eur-lex.europa.eu/legal-content/EN/ALL/?uri=CELEX:32025R0878, published in OJ Section L, Subsection R, 2025/878, on 8 May 2025;

• 12. https://eur-lex.europa.eu/eli/reg_del/2025/789/oj/eng, published in OJ Section L, Subsection R, 2025/789, on 1 August 2025;

• 13. https://eur-lex.europa.eu/eli/reg_del/2025/1265/oj/eng, published in OJ, Section L, Subsection R, 2025/1265, on 14 October 2025;

• 14. https://eur-lex.europa.eu/eli/reg_del/2025/1311/oj/eng, published in OJ, Section L, Subsection R, 2025/1311, on 14 October 2025.

Article 4. Entry into force.

These rules, which are laid down pursuant to the authorisation in the second paragraph of Article 117 b of the Act on Financial Undertakings, No. 161/2002, enter into force immediately. Upon their entry into force, the rules on market risk of financial undertakings, No. 226/2026, shall be repealed.

Central Bank of Iceland, 25 March 2026.
Björk Sigurgísladóttir
Deputy Governor of Financial Supervision.
Guðmundur Óli Blöndal
Director.

Part B — Publication date: 13 April 2026