Updated 16/10/2025
Coming into force on 03/11/2025

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Article 1 - Delegated Regulation 2025/1265

Article 1

Method for identifying the main risk drivers of a non-derivative position

1.   When identifying the main risk driver of a non-derivative position that is assigned to the trading book, institutions shall first identify all risk factors of that position which are the principal determinants of its change in value. They shall do so by assessing at least the risk factors referred to in Articles 325l to 325q of Regulation (EU) No 575/2013. The risk factors identified by the institutions shall be the risk drivers of the position.

2.   Institutions that have identified, in accordance with paragraph 1, only one risk driver of a non-derivative position assigned to the trading book shall take that risk driver as the main risk driver of that position.

3.   Institutions that have identified, in accordance with paragraph 1, more than one risk driver of a non-derivative position assigned to the trading book shall identify the main risk driver of that position by applying the following steps in the following order:

(a)

institutions shall calculate the delta risk sensitivities in accordance with Articles 325r and 325t of Regulation (EU) No 575/2013 for each risk driver identified in accordance with paragraph 1 of this Article;

(b)

institutions shall calculate the weighted sensitivities in accordance with the formula laid down in Article 325f(6) of that Regulation, using the sensitivities calculated in accordance with point (a) of this paragraph;

(c)

institutions shall identify the main risk driver as the risk driver which corresponds to the highest absolute value of the weighted sensitivities calculated in accordance with point (b) of this paragraph.