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 of 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 determination of notional amounts of instruments other than the instruments referred to in Article 325w(4) of Regulation (EU) No 575/2013
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 (1), and in particular Article 325w(8), third subparagraph, thereof,
Whereas:
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(1) |
The Fundamental Review of the Trading Book (‘FRTB’), whose final rules were adopted by the Basel Committee in January 2019, seeks to address the shortcomings identified during the global financial crisis as regards the own funds requirements for market risks. As part of the improvement brought by the FRTB, a new own funds requirement was introduced under the standardised approach to capture the default risk of exposures to debt and equity instruments. It is necessary to provide further technical elements to clarify the specifications of the FRTB rules introduced into Union law by Regulation (EU) 2019/876 of the European Parliament and of the Council (2) for the purpose of reporting requirements, and to complement those specifications where necessary. Those technical elements concern the calculation of the gross jump-to-default (‘JTD’) amounts for exposures to debt and equity instruments, the estimation of the gross jump-to-default amounts for exposures to default risk arising from certain derivative instruments, and the specification of the notional amounts of instruments other than the instruments referred to in Article 325w(4) of Regulation (EU) No 575/2013. |
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(2) |
This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Banking Authority. |
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(3) |
The European Banking Authority has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (3), |
HAS ADOPTED THIS REGULATION:
(1) OJ L 176, 27.6.2013, p. 1.
(2) Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1).
(3) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).