Commission Delegated Regulation (EU) 2022/2058 of 28 February 2022 supplementing Regulation (EU) No 575/2013
as it stood on 2022-02-28, permalink: /eu-eurlex/32022r2058/2022-02-28
Article 1
- When mapping risk factors to the broad risk factor categories of Table 2 of Article 325bd of Regulation (EU) No 575/2013, institutions shall assign each risk factor to the most appropriate broad risk factor category, having regard to the nature of the risk captured by the risk factor and the data used as inputs for the risk factor in the risk measurement model.
When mapping risk factors to the broad risk factor sub-categories under the broad risk factor category of that Table, institutions shall assign the risk factor to the most appropriate broad risk factor sub-category of that broad risk factor category, having regard to the nature of the risk captured by the risk factor and the data used as inputs for the risk factor in the risk measurement model.
For the purposes of paragraph 1, where the nature of the risk factor does not correspond to any broad risk factor categories of Table 2 of Article 325bd of Regulation (EU) No 575/2013, institutions shall map that risk factor to the broad risk factor category ‘Commodity’ of that Table and to the broad risk factor sub-category ‘Other types’ of that category.
For the purposes of paragraph 1, for a risk factor that could be mapped to more than one broad risk factor category or broad risk factor sub-category, institutions shall identify all of those corresponding categories and corresponding sub-categories.
Among those broad risk factor categories or those corresponding broad risk factor sub-categories, the risk factor shall be mapped to the broad risk factor category and the corresponding broad risk factor sub-category having the longest liquidity horizon.
Where more than one broad risk factor category or corresponding broad risk factor sub-category have the same longest liquidity horizon, the risk factor may be mapped to any of those broad risk factor categories and their corresponding broad risk factor sub-categories.
Article 2
- By way of derogation from Article 1, where an institution represents a position in a homogeneous index instrument as a single risk factor in its risk measurement model, the institution may choose to map the risk factor in accordance with the methodology set out in paragraph 2.
For the purposes of this Article, a ‘homogeneous index’ shall mean an index that has one of the following compositions:
| (a) | equities or other indices composed by equities only; |
|---|
| (b) | bonds or other indices composed by bonds only; |
|---|
| (c) | credit default swaps or other indices composed of credit default swaps only; |
|---|
| (d) | commodities or other indices composed of commodities only. |
|---|
- The liquidity horizon of a single risk factor modelling a homogeneous index instrument as referred to in paragraph 1 may be determined by an institution as follows:
| (a) | the institution shall map the risk factor to the broad risk factor category of Table 2 of Article 325bd of Regulation (EU) No 575/2013 corresponding to the appropriate category for the homogenous index composition; |
|---|
| (b) | the institution shall apply the general methodology laid down in Article 1 separately to each of the homogeneous index’s constituents to determine their appropriate liquidity horizons; |
|---|
| (c) | the institution shall compute the weighted average of the liquidity horizons determined in accordance with point (b) on the basis of each constituent’s respective weight in the index; |
|---|
| (d) | the liquidity horizon of the risk factor modelling the homogeneous index instrument shall be the shortest liquidity horizon of the index’s constituents sub-categories which is greater or equal to the weighted average referred to in point (c). |
|---|
For the purposes of point (a), a risk factor of a homogenous index instrument having the composition referred to in paragraph 1, points (b) and (c), shall be mapped to the broad risk factor category ‘Credit spread’.
Article 3
By way of derogation from Article 1, institutions shall map inflation risk factors for a given currency to the broad risk factor category ‘Interest rate’, and to the broad risk factor sub-category of that currency.
By way of derogation from Article 1, institutions shall map mono-currency basis risk factors and cross-currency basis risk factors to the broad risk factor category ‘Interest Rate’, and to the broad risk factor sub-category of the currency denominating the basis.
Article 4
By way of derogation from Article 1, institutions shall map equity repo rates and dividend risk factors to the broad risk factor category ‘Equity’.
By way of derogation from Article 1, for the purpose of determining the broad risk factor sub-category, equity repo rates and dividend risk factors for a given equity shall be treated as risk factors corresponding to the volatility of that equity.
Article 5
The currencies that constitute the most liquid currencies sub-category of the broad category of the interest rate risk factor of Table 2 of Article 325bd of Regulation (EU) No 575/2013 shall be those listed in Annex I to this Regulation.
Article 6
The currency pairs that constitute the most liquid currency pairs sub-category of the broad category of the foreign exchange risk factor of Table 2 of Article 325bd of Regulation (EU) No 575/2013 shall be those listed in Annex II to this Regulation.
Article 7
- For the purposes of the equity price and volatility sub-category of the broad category of equity risk factor of Table 2 of Article 325bd of Regulation (EU) No 575/2013, an equity with large market capitalisation shall meet at least one of the following conditions:
| (a) | the market capitalisation of the equity is greater than EUR 1,75 billion; |
|---|
| (b) | the equity is included in one of the main indices set out in Annex I of Implementing Regulation (EU) 2016/1646 the components of which are all quoted in the Union. |
|---|
- All other equities than those referred to in paragraph 1 shall be considered as equities with small market capitalisation.
Article 8
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
Provenance and validity dates, identifier, hash
| as of | 2022-02-28 → this version applied |
| valid | 2022-02-28 → open publisher-asserted |
| type | REG_DEL Commission Delegated Regulation (EU) 2022/2058 of 28 February 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on liquidity horizons for the alternative internal model approach, as referred to in Article 325bd(7) (Text with EEA relevance) |
| language | en |
| published | 2022-02-28 |
| lex_id | eu-eurlex:32022r2058:2022-02-28 |
| record sha256 | 99699e0cc190040fa36e2d692e047c8078f1f8306be4659474f3bb6657cb9b88 |
New here? What am I looking at?
This is a consolidated text: the original law with every later amendment merged in, as the official publisher produced it for a given date. Laws are amended constantly, so “the law” has no single text, only a text per date. That date is the banner above.
It has no legal force. Only the version published in the official gazette (Mémorial / Official Journal) is authentic, the publishers say so themselves, and so do we. Lex reproduces their text without altering a byte, and links the source on every page. This is legal information, never legal advice: it reports what the text said, never what it means for your situation.
“Valid from → to” = the window in which this text applied. “Open” = still current as far as the publisher has consolidated. Each article carries its own hash so you can prove it was not tampered with , here is how.
timeline next version (2022-02-28) →
| tier | A, publisher-supplied validity dates |
| history begins | publisher |
| index built | 2026-08-07T19:46:23Z · corpus 8d5e859 |
| stamp signature | valid (ECDSA-P256) |