(1)

Regulation (EU) 2024/1623 of the European Parliament and of the Council (2) amended some provisions of Regulation (EU) No 575/2013, to introduce a small number of remaining BCBS requirements that had not been implemented in the previous banking package and some clarifications to the already existing requirements. Those amendments should therefore be reflected in Commission Delegated Regulations (EU) 2022/2059 (3), (EU) 2022/2060 (4) and (EU) 2023/1577 (5), supplementing Regulation (EU) No 575/2013.

(2)

To ensure a clearer alignment with the BCBS international standards and to additional amendments introduced in Union law by Regulation (EU) 2024/1623, it is necessary to amend Delegated Regulation (EU) 2022/2059 to specify that green zone desks, as classified in accordance with that Regulation, should be considered to have close theoretical and hypothetical changes in the portfolio’s value, and yellow trading desks to have sufficiently close, but not close, theoretical and hypothetical changes in the portfolio’s value. Red and orange zone desks should instead be considered to have theoretical and hypothetical changes in the portfolio’s value that are neither close nor sufficiently close.

(3)

It is necessary to amend Delegated Regulation (EU) 2022/2059 to remove the aggregation formula, currently laid down in Article 16 of that Delegated Regulation, which is now laid down in Article 325ba(3) of Regulation (EU) No 575/2013.

(4)

To support competent authorities in their assessment on whether to allow institutions to use market data provided by third-party vendors in the assessment of modellability of risk factors in accordance with Article 325be(1), second subparagraph, of Regulation (EU) No 575/2013, it is necessary to adjust the documentation requirements laid down in Delegated Regulation (EU) 2022/2060.

(5)

To ensure additional clarity on the calculation of the own funds requirements for market risk in relation to non-trading book positions, institutions should have clear policies outlining which are the trading desks in charge of managing those positions, and they should be able to identify whether the foreign exchange positions just relate to translation risk. It is therefore necessary to amend Delegated Regulation (EU) 2023/1577 to ensure that those objectives are achieved.

(6)

This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Banking Authority.

(7)

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 (6).

(8)

The empowerments contained in Article 325(9), third subparagraph, Article 325be(3), third subparagraph, Article 325bf(9), third subparagraph, and Article 325bg(4), third subparagraph of Regulation (EU) No 575/2013 aim to further specify technical elements to be used by the banks in their calculation of their own funds requirements for market risk under the alternative internal model approach. As those empowerments are closely linked by their subject matter, the amendments proposed in this Regulation provide a complete view of all of the necessary changes to alternative internal models following the adoption of Regulation (EU) 2024/1623 and should, thus, be bundled in this Regulation,

(1)

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

(2)

Article 9 is amended as follows:

(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.

(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.’.

(1)

in Article 1, the following paragraph 6 is added:

(2)

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

(3)

in Article 4, the following paragraph 4 is added: