Updated 21/11/2024

Metadata

In force since 15/11/2022

Initial Legal Act

References (5)

EBA webpage on this legal act

eba.europa.eu/activities/single-rulebook/regulatory-activities/market-counterparty-and-cva-risk/regulatory

eba.europa.eu/technical-standards-ima-under-frtb

Timeline

13/08/2024

EBA/RTS/2024/18

Final Draft published

14/12/2023

Consultation published

26/10/2022

Delegated Regulation 2022/2059 published in OJ

27/03/2020

EBA/RTS/2020/02

Final Draft published

27/06/2019

Consultation published

CRR Tool Delegated Regulation 2022/2059

Delegated Regulation 2022/2059

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 the technical details of back-testing and profit and loss attribution requirements under Articles 325bf and 325bg of Regulation (EU) No 575/2013 (Text with EEA relevance)

CHAPTER 1 - TECHNICAL ELEMENTS TO BE INCLUDED IN THE ACTUAL AND HYPOTHETICAL CHANGES IN A PORTFOLIO’S VALUE FOR THE PURPOSES OF THE BACK-TESTING REQUIREMENTS (Article 1-5)

Section 1 - Technical elements to be included in the actual changes in a portfolio’s value (Article 1-2)Article 1 - Technical elements to be included in the actual changes in a trading desk portfolio’s value for the back-testing requirements performed at trading desk level Article 2 - Technical elements to be included in the actual changes in the portfolio’s value for the back-testing requirements performed at institution level

Section 2 - Technical elements to be included in the hypothetical changes in a portfolio’s value requirements (Article 3-5)Article 3 - Technical elements to be included in the hypothetical changes in a trading desk portfolio’s value for the back-testing requirements performed at trading desk level Article 4 - Technical elements to be included in the hypothetical changes in the portfolio’s value for the back-testing requirements performed at institution level Article 5 - Documentation requirements

CHAPTER 2 - TECHNICAL SPECIFICATION OF THE PROFIT AND LOSS ATTRIBUTION REQUIREMENT (Article 6-17)

Section 1 - Criteria necessary to ensure that the theoretical changes and the hypothetical changes in the value of a trading desk portfolio are sufficiently close and consequences for trading desks that do not meet that condition (Article 6-11)Article 6 - General requirements Article 7 - Calculation of the Spearman correlation coefficient Article 8 - Calculation of the Kolmogorov-Smirnov test metric Article 9 - Specification of criteria necessary to ensure that the theoretical changes and the hypothetical changes in the value of a trading desk portfolio are sufficiently close Article 10 - Consequences for trading desks that are classified as yellow, orange or red zone desks Article 11 - Frequency of the assessment of compliance with the profit and loss attribution requirement

Section 2 - Technical elements to be included in the theoretical and hypothetical changes in a trading desk portfolio’s value for the purposes of the profit and loss attribution requirement (Article 12-15)Article 12 - Technical elements to be included in the theoretical changes in the trading desk portfolio’s value Article 13 - Technical elements to be included in the hypothetical changes in a trading desk portfolio’s value for the profit and loss attribution requirement Article 14 - Alignment of data for the profit and loss attribution requirements Article 15 - Documentation requirements

Section 3 - Own funds requirements calculated in accordance with the alternative internal model approach (Article 16-17)Article 16 - Calculation of the own funds requirements for market risk under the alternative internal model approach for institutions having trading desks Article 17 - Entry into force