Article 1
Amendment to Regulation (EU) No 575/2013
In Regulation (EU) No 575/2013, the following Articles 495i to 495v are inserted:
‘Article 495i
Transitional provisions as regards the profit and loss attribution test under the alternative internal model approach for market risk
1. By way of derogation from Article 325az(2), point (d), and until 31 December 2029, institutions may use the alternative internal model approach to calculate their own funds requirements for market risk for trading desks that do not meet the requirements laid down in Article 325bg.
2. For the purposes of paragraph 1, institutions shall consider that, for the trading desks in scope, the theoretical changes in the value of those trading desks’ portfolios, based on the institutions’ risk measurement models, are close to the hypothetical changes in the value of those trading desks’ portfolios, based on the institutions’ pricing models.
Article 495j
Transitional operational relief measure on own funds requirements for non-modellable risk factors
1. By way of derogation from Articles 1(1) and Article 4(2) of Commission Delegated Regulation (EU) 2022/2060 (*1) and until 31 December 2029, institutions may assess as modellable for the purposes of Article 325be of this Regulation a risk factor for which the institution has identified at least two verifiable prices over the observation periods referred to in Article 1(1) and (2) and Article 4(2) and (3) of Delegated Regulation (EU) 2022/2060.
2. Institutions shall assign to the risk factors referred to in paragraph 1 a liquidity horizon equal to 250 divided by the number of verifiable prices identified in accordance with Delegated Regulation (EU) 2022/2060, rounded to the nearest longer liquidity horizon set out in Table 2 of Article 325bd of this Regulation.
The liquidity horizon assigned in accordance with the first subparagraph shall not be shorter than the liquidity horizon that would be assigned to the risk factor, if the number of verifiable prices was sufficient to assess the risk factor as modellable in accordance with Article 1(1) and (2) and Article 4(2) and (3) of Delegated Regulation (EU) 2022/2060.
3. Institutions shall include in the calculation referred to Article 325bb all those risk factors that are considered modellable pursuant to paragraph 1. Institutions shall include other non-modellable risk factors in the scope of the calculations laid down in Article 325bk.
Article 495k
Transitional provisions on data requirements for the assessment of modellability of new issuances
By way of derogation from Article 1(2) and Article 4 of Delegated Regulation (EU) 2022/2060 and until 31 December 2029, institutions, when assessing the modellability of risk factors in accordance with Article 325be of this Regulation, shall consider that for new risk factors from recently issued or recently created instruments:
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(a) |
the observation period referred to in Article 1(1) and Article 4 of Delegated Regulation (EU) 2022/2060 begins on the day on which those instruments are issued or traded for the first time in the market; |
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(b) |
the minimum number of verifiable prices which are representative of the risk factor in accordance with that Delegated Regulation are prorated until 12 months after that issuance or after that first trading date. |
Article 495l
Transitional provisions on own funds requirements under the internal default risk model
By way of derogation from Article 325bp(5), point (a), and until 31 December 2029, institutions shall apply a multiplier equal to 0 to the probability of default estimates used for the calculation of the own funds requirements for default risk under the internal default risk model laid down in Part Three, Title IV, Chapter 1b, Section 3 for all issuers or obligors the exposures to which would attract a 0 % risk weight in the calculation of own funds requirements for default risk under the alternative standardised approach.
Article 495m
Transitional provisions on the calculation frequency for the alternative internal model approach
1. Until 31 December 2029, institutions that apply Article 325ba(1) for the calculation of their own funds requirements for market risk may choose to calculate the average values referred to in Article 325ba(1), point (b), over the preceding 12 weeks, instead of over the preceding 60 business days.
2. Until 31 December 2029, institutions that must comply with the disclosure requirements laid down in Article 455(2), points (a) and (b), may choose to disclose the values referred to in that Article for the preceding 12 weeks, instead of over the preceding 60 business days.
Article 495n
Transitional provisions on own funds requirements for positions in CIUs under the alternative internal model approach
1. By way of derogation from Article 325bh(1), point (i), and until 31 December 2029, institutions may look through:
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(a) |
at least 50 % of all underlying positions of the CIU, measured by market value; |
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(b) |
the underlying positions of the CIUs on a quarterly basis rather than on a weekly basis. |
For the purposes of the first subparagraph, point (a), institutions shall calculate the own funds requirement for market risk for all remaining positions in that CIU using the risk weight set out in Article 325j(1), point (b)(i).
2. When carrying out the look through referred to in paragraph 1, institutions shall be able to monitor risks resulting from significant changes in the composition of the CIUs concerned between two calculation dates.
3. By way of derogation from Article 325bh(1), point (i), an institution may use an alternative modelling approach for the calculation of the own funds requirements for market risk for positions in CIUs under the alternative internal model approach, subject to approval by its competent authority.
Article 495o
Transitional provisions on own funds requirements for positions in CIUs under the alternative standardised approach
1. By way of derogation from Article 325j(1), point (a), and until 31 December 2029, institutions may look through:
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(a) |
at least 50 % of the underlying positions in those CIUs, measured by market value; |
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(b) |
the underlying positions of the CIU on a quarterly basis rather than on a monthly basis. |
For the purposes of the first subparagraph, point (a), institutions shall calculate the own funds requirement for market risk for all remaining positions in those CIUs using the approach laid down in Article 325j(1), point (b)(i).
2. By way of derogation from Article 325j(1a) and (3), and until 31 December 2029, institutions may consider positions in CIUs as single equity positions with a risk weight of 100 % for the calculation of their own funds requirements for vega risk, regardless of other approaches used for the calculation of their own funds requirements for other risk factors for the same positions.
Article 495p
Transitional provisions on own funds requirements for residual risk add-on under the alternative standardised approach
By way of derogation from Article 325u and until 31 December 2029, institutions shall apply a multiplier equal to 0 to the own funds requirements for residual risks calculated in accordance with that Article for the following instruments:
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(a) |
instruments that reference future realised volatility as an underlying and that would not attract a residual risk add-on for other reasons; |
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(b) |
instruments that are options that can be exercised on a finite set of predetermined dates and that would not attract a residual risk add-on for other reasons; |
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(c) |
instruments that are options on the difference between two constant maturity swap rates denominated in the same currency and that would not attract a residual risk add-on for other reasons. |
Article 495q
Transitional provisions on the calculation of the own funds requirements for default risk under the alternative standardised approach
By way of derogation from Article 325x(4) and until 31 December 2029, institutions may at their discretion assign:
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(a) |
to cash equity positions that hedge derivative instruments, the same maturity as the maturity of the derivative instruments they hedge; |
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(b) |
a maturity of three months to equity derivative exposures. |
Article 495r
Transitional provisions on the calculation of own funds requirements under the alternative standardised approach for instruments subject to EU ETS carbon trading risk
By way of derogation from Article 325at(2) and until 31 December 2029, institutions shall divide by 99,1 % the tenor correlation parameter set out in that Article for the calculation of their own funds requirements for market risk under the alternative standardised approach for instruments subject to EU ETS carbon trading delta commodity risk.
Article 495s
Transitional provisions on the phase-in of the own funds requirements under the alternative standardised approach and simplified standardised approach
1. Until 31 December 2029, institutions shall apply a multiplier of 0,9 to the result of the calculation of their own funds requirements for market risk under the sensitivities-based method in accordance with Article 325h(4).
2. Until 31 December 2029, institutions shall apply a multiplier of 0,9 to the result of the calculation of their own funds requirements for market risk under the simplified standardised approach referred to in Article 325(2).
Article 495t
Transitional provisions on the treatment of instruments in the ACTP portfolio
By way of derogation from Article 325i(1), points (a) and (b), and until 31 December 2029, institutions may choose to also apply the treatment laid down in that Article to positions included in the ACTP.
Article 495u
Transitional provisions on the derogation for small trading book business institutions
Until 31 December 2029, an institution that is eligible for the treatment set out in Article 94 may apply the approach referred to in Article 325(2) to calculate its own funds requirements for market risk of non-trading book positions that are subject to foreign exchange risk or commodity risk.
Article 495v
Transitional provisions on the application of a multiplier to own funds requirements for market risk
1. Until 31 December 2029, an institution may choose to apply a multiplier to its own funds requirements for market risk calculated using the approaches referred to in Article 325(1) and laid out in Articles 325c to 325ay, Articles 325az to 325bp and Articles 326 to 361, where its own funds requirements for market risk, calculated by applying this Regulation in the version in force on 9 July 2024 and taking into account the transitional treatments laid down in Articles 495i to 495t as of 31 March 2027, are higher than its own funds requirements for market risk calculated by applying Part Three, Title IV, of this Regulation in the version in force on 8 July 2024.
2. An institution shall not apply the multiplier in paragraph 1 where it calculates its own funds requirements for market risk by applying only Articles 326 to 361.
3. An institution that chooses to apply the treatment laid down in paragraph 1 shall notify the competent authorities without delay and shall provide evidence of meeting the requirements set out in that paragraph.
4. An institution that applies the treatment laid down in paragraph 1 may cease to apply that treatment at any point in time, provided that it has notified its competent authority. An institution that ceases to apply that treatment shall not apply it again at a later date.
5. An institution that chooses to use the multiplier referred to in paragraph 1 shall calibrate such multiplier every three months as the ratio between its own funds requirements for market risk calculated by applying Part Three, Title IV, of this Regulation in the version in force on 8 July 2024 and its own funds requirements for market risk calculated by applying this Regulation in the version in force on 9 July 2024, taking into account the transitional treatments laid down in Articles 495i to 495t.
6. An institution that applies the multiplier laid down in paragraph 1 shall continue to also report information on the own funds requirements for market risk calculated by applying Part Three, Title IV, of this Regulation in the version in force on 8 July 2024.
7. An institution that applies the multiplier laid down in paragraph 1 shall disclose that it chooses to apply the multiplier. That institution shall continue to also comply with the disclosure requirements of the own funds requirements for market risk set out in Part Eight of this Regulation in the version in force on 8 July 2024.
8. For the determination of its own funds requirements for market risk calculated by applying this Regulation in the version in force on 9 July 2024 in accordance with paragraphs 1 and 5, an institution shall use the requirements for inclusion in the trading book laid down in Article 104 of this Regulation in the version in force on 8 July 2024.