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 the technical details of back-testing and profit and loss attribution requirements, the criteria for assessing the modellability of risk factors, and the treatment of foreign-exchange risk and commodity risk in the non-trading book

• CELEX: Delegated Regulation (EU) 2025/878
• Articles: 4

Article 1 Calculation of the additional own funds requirement referred to in Article 325bg(2) of Regulation (EU) No 575/2013

Delegated Regulation (EU) 2022/2059 is amended as follows:

(1)

in Article 6, paragraph 1 is replaced by the following:

‘1.   For the purposes of Article 325bg of Regulation (EU) No 575/2013, institutions shall calculate, for a given trading desk’s portfolio, the Spearman correlation coefficient laid down in Article 7 of this Regulation, the Kolmogorov-Smirnov test metric laid down in Article 8 of this Regulation and, based on the results of those calculations, apply the criteria referred to in Article 9 of this Regulation.’

;

(2)

Article 9 is amended as follows:

(a)

paragraph 1 is replaced by the following:

‘1.   For the purposes of Article 325bg(1) of Regulation (EU) No 575/2013, institutions shall classify each of the trading desks as a green, orange, yellow or red zone desk in accordance with paragraphs 2 to 5.’

;

(b)

the following paragraphs 6, 7 and 8 are added:

‘6.   For the purposes of Article 325bg(1) of Regulation (EU) No 575/2013, a trading desk that has been classified as a green zone desk shall be considered to have theoretical changes in the value of that trading desk’s portfolio close to the hypothetical changes in the value of that trading desk’s portfolio.

7.   For the purposes of Article 325bg(1) Regulation (EU) No 575/2013, a trading desk that has been classified as a yellow zone desk shall be considered to have theoretical changes in the value of that trading desk’s portfolio sufficiently close, but not close, to the hypothetical changes in the value of that trading desk’s portfolio.

8.   For the purposes of Article 325bg(1) Regulation (EU) No 575/2013, a trading desk that has been classified as either an orange zone desk or a red zone desk shall be considered to have theoretical changes in the value of that trading desk’s portfolio neither close nor sufficiently close to the hypothetical changes in the value of that trading desk’s portfolio.’

;

(3)

Article 10 is replaced by the following:

‘Article 10

Calculation of the additional own funds requirement referred to in Article 325bg(2) of Regulation (EU) No 575/2013

1.   The additional own funds requirement referred to in Article 325bg(2) shall be equal to:

Where:

PLA

addon

=

PLA

addon

as defined in Article 325ba(3) of Regulation (EU) No 575/2013;

k

=

as specified in paragraph 2;

ASA

aima

=

ASA

aima

as defined in Article 325ba(3) of Regulation (EU) No 575/2013;

AIMA

=

AIMA as defined in Article 325ba(3) of Regulation (EU) No 575/2013.

2.   For the purposes of paragraph 1, the coefficient k shall be calculated in accordance with the following formula:

Where:

ASA

i

=

the own funds requirements for market risks as calculated in accordance with the alternative standardised approach set out in Part Three, Title IV, Chapter 1a of Regulation (EU) No 575/2013 for all the positions attributed to trading desk ‘ i ’;

=

the indices of all trading desks that have been classified as yellow zone desks in accordance with Article 9 of this Regulation among those for which the own funds requirements for market risks are calculated in accordance with the alternative internal model approach set out in Part Three, Title IV, Chapter 1b of Regulation (EU) No 575/2013;

=

the indices of all trading desks for which the own funds requirements for market risks are calculated in accordance with the alternative internal model approach set out in Part Three, Title IV, Chapter 1b of Regulation (EU) No 575/2013.’;

(4)

Article 16 is deleted.

Article 2

Delegated Regulation (EU) 2022/2060 is amended as follows:

(1)

in Article 2, paragraph 4 is deleted;

(2)

in Article 7(1), the following subparagraph is added:

‘Where an institution’s sources of verifiable price information referred to in point (b) of the first subparagraph include third-party vendors, the institution shall document in addition for each third-party vendor the number of risk factors that have been classified as modellable on the basis of the verifiable prices provided by that third party vendor, and a materiality assessment of those risk factors.’.

Article 3

Delegated Regulation (EU) 2023/1577 is amended as follows:

(1)

in Article 1, the following paragraph 6 is added:

‘6.   When calculating the own funds requirements for market risk on a consolidated basis, in accordance with Article 325b of Regulation (EU) No 575/2013, institutions shall be able to identify, in their internal risk-management systems, the positions that have been included in the foreign exchange risk exposure of the institution due to the translation risk resulting when translating the positions of each institution or undertaking of the group into the same reporting currency in accordance with that Article.’

;

(2)

in Article 3, the following paragraphs 7 and 8 are added:

‘7.   Institutions shall document, as part of the internal policies referred to in Article 325bi of Regulation (EU) No 575/2013, whether non-trading book positions subject to foreign exchange risk are assigned to a trading desk managing exclusively non-trading book positions in accordance with Article 104b(6) of Regulation (EU) No 575/2013, or to a trading desk managing both trading and non-trading book positions. Where some non-trading book positions subject to foreign exchange risk are assigned to a trading desk managing exclusively non-trading book positions in accordance with Article 104b(6) of Regulation (EU) No 575/2013, and some others are assigned to a trading desk managing both trading and non-trading book positions, the internal policies shall specify the criteria and the rationale for the assignment to a trading desk exclusively managing non-trading book positions or to a desk managing both trading and non-trading book positions.

8.   When calculating the own funds requirements for market risk on a consolidated basis, in accordance with Article 325b of Regulation (EU) No 575/2013, institutions shall be able to identify, in their internal risk-measurement systems, the positions that have been included in the foreign exchange risk exposure of the institution due to the translation risk resulting when translating the positions of each institution or undertaking of the group into the same reporting currency in accordance with that Article.’

;

(3)

in Article 4, the following paragraph 4 is added:

‘4.   Institutions shall document, as part of the internal policies referred to in Article 325bi of Regulation (EU) No 575/2013, whether non-trading book positions subject to commodity risk or to both commodity and foreign exchange risk are assigned to a trading desk managing exclusively non-trading book positions in accordance with Article 104b(6) of Regulation (EU) No 575/2013, or to a trading desk managing both trading and non-trading book positions. Where some non-trading book positions subject to foreign exchange risk are assigned to a trading desk managing exclusively non-trading book positions in accordance with Article 104b(6) of Regulation (EU) No 575/2013, and some others are assigned to a trading desk managing both trading and non-trading book positions, the internal policies shall specify the criteria and the rationale for the assignment to a trading desk exclusively managing non-trading book positions or to a desk managing both trading and non-trading book positions.’

.

Article 4

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union .