What changed, Commission Delegated Regulation (EU) 2023/1577 of 20 April 2023 supplementing Regulation (EU) No 575/2013

+ ### Article 1 — Calculation of the own funds requirements for market risk for non-trading book positions subject to foreign exchange risk in accordance with the alternative standardised approach
− ### art_1
+ **1.** When calculating the own funds requirements for non-trading book positions subject to foreign exchange risk under the sensitivities-based method in accordance with Part Three, Title IV, Chapter 1a, Section 2, of Regulation (EU) No 575/2013, institutions shall use as a basis the last available…
− Article 1
+ **2.** By way of derogation from paragraph 1, institutions may use the last available fair value of a non-trading book position that is subject to foreign exchange risk, provided that they measure all their non-trading book positions at fair value at least on a quarterly basis. When using this derog…
− 1. When calculating the own funds requirements for non-trading book positions subject to foreign exchange risk under the sensitivities-based method in accordance with Part Three, Title IV, Chapter 1a, Section 2, of Regulation (EU) No 575/2013, institutions shall use as a basis the last available acc…
+ **3.** Institutions shall update the last available value that is used as a basis for calculating the own funds requirements for foreign exchange risk in accordance with paragraphs 1 and 2 at least on a monthly basis, by reflecting the changes in the value of the foreign exchange risk factors.
− 2. By way of derogation from paragraph 1, institutions may use the last available fair value of a non-trading book position that is subject to foreign exchange risk, provided that they measure all their non-trading book positions at fair value at least on a quarterly basis. When using this derogatio…
− 
− 3. Institutions shall update the last available value that is used as a basis for calculating the own funds requirements for foreign exchange risk in accordance with paragraphs 1 and 2 at least on a monthly basis, by reflecting the changes in the value of the foreign exchange risk factors.
+ **4.** Institutions shall identify the currency of denomination of the item as the foreign currency whose depreciation against their reporting currency would lead to the highest impairment of the item, where all of the following conditions are met:(a) the item is not measured at fair value;(b) the i…
− 4. Institutions shall identify the currency of denomination of the item as the foreign currency whose depreciation against their reporting currency would lead to the highest impairment of the item, where all of the following conditions are met:
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− | (a) | the item is not measured at fair value; |
− | --- | --- |
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− | (b) | the item is subject to the risk of impairment due to foreign exchange risk; |
− | --- | --- |
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− | (c) | the accounting value of the item is not updated at each reporting date to reflect the changes in the exchange rate between the foreign currency and the reporting currency. |
− | --- | --- |
+ (a) the item is not measured at fair value;
− | (a) | the item is not measured at fair value; |
− | --- | --- |
+ (b) the item is subject to the risk of impairment due to foreign exchange risk;
− | (b) | the item is subject to the risk of impairment due to foreign exchange risk; |
− | --- | --- |
+ (c) the institution’s reporting currency differs from the reporting currency of the institution that recognises the item in its individual financial statement;
− | (c) | the institution’s reporting currency differs from the reporting currency of the institution that recognises the item in its individual financial statement; |
− | --- | --- |
+ (d) the accounting value of the item is not updated at each reporting date to reflect the changes in the exchange rate between the foreign currency and the reporting currency of the institution recognising the item in its individual financial statement.
− | (d) | the accounting value of the item is not updated at each reporting date to reflect the changes in the exchange rate between the foreign currency and the reporting currency of the institution recognising the item in its individual financial statement. |
− | --- | --- |
+ **5.** The value of the delta foreign exchange risk sensitivity calculated in accordance with Article 325r(5) of Regulation (EU) No 575/2013 corresponding to the items referred to in paragraph 4 of this Article shall be equal to the value which those items have in the currency of denomination identi…
− 5. The value of the delta foreign exchange risk sensitivity calculated in accordance with Article 325r(5) of Regulation (EU) No 575/2013 corresponding to the items referred to in paragraph 4 of this Article shall be equal to the value which those items have in the currency of denomination identified…
+ **6.** When calculating the own funds requirements for market risk on a consolidated basis, in accordance with Article 325b of Regulation (EU) No 575/2013, institutions shall be able to identify, in their internal risk-management systems, the positions that have been included in the foreign exchange…
− ### art_2
+ ### Article 2 — Calculation of the own funds requirements for market risk for non-trading book positions subject to commodity risk in accordance with the alternative standardised approach
− Article 2
+ ### Article 3 — Calculation of the own funds requirements for market risk for non-trading book positions subject to foreign exchange risk in accordance with the alternative internal model approach
− ### art_3
+ **1.** When calculating the own funds requirements for non-trading book positions subject to foreign exchange risk in accordance with the alternative internal model approach set out in Part Three, Title IV, Chapter 1b, of Regulation (EU) No 575/2013, institutions shall use as a basis the last availa…
− Article 3
+ **2.** By way of derogation from paragraph 1, institutions may use the last available fair value of a non-trading book position that is subject to foreign exchange risk, provided that they measure all their non-trading book positions at fair value at least on a quarterly basis. When using this derog…
− 1. When calculating the own funds requirements for non-trading book positions subject to foreign exchange risk in accordance with the alternative internal model approach set out in Part Three, Title IV, Chapter 1b, of Regulation (EU) No 575/2013, institutions shall use as a basis the last available …
+ **3.** Institutions shall update the last available value that is used as a basis for calculating the own funds requirements for foreign exchange risk in accordance with paragraphs 1 and 2 on a daily basis, by reflecting changes in the value of the foreign exchange risk factors.
− 2. By way of derogation from paragraph 1, institutions may use the last available fair value of a non-trading book position that is subject to foreign exchange risk, provided that they measure all their non-trading book positions at fair value at least on a quarterly basis. When using this derogatio…
+ **4.** When updating the last available value of a non-trading book position on a daily basis, institutions shall update the value of all risk factors for a position for which they used the derogation laid down in Article 5(1), second subparagraph.
− 3. Institutions shall update the last available value that is used as a basis for calculating the own funds requirements for foreign exchange risk in accordance with paragraphs 1 and 2 on a daily basis, by reflecting changes in the value of the foreign exchange risk factors.
+ **5.** When calculating the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 and the stress scenario risk measure referred to in Article 325bk of that Regulation in relation to non-trading book positions subject to foreign exchange risk, institutions shall …
− 4. When updating the last available value of a non-trading book position on a daily basis, institutions shall update the value of all risk factors for a position for which they used the derogation laid down in Article 5(1), second subparagraph.
+ **6.** Institutions shall capture in their risk-measurement model the risk of impairment due to changes in the relevant exchange rates posed by items that are subject to that risk, where those items are not measured at fair value and their accounting values are not updated at each reporting date to …
− 5. When calculating the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 and the stress scenario risk measure referred to in Article 325bk of that Regulation in relation to non-trading book positions subject to foreign exchange risk, institutions shall appl…
+ **7.** Institutions shall document, as part of the internal policies referred to in Article 325bi of Regulation (EU) No 575/2013, whether non-trading book positions subject to foreign exchange risk are assigned to a trading desk managing exclusively non-trading book positions in accordance with Arti…
− 6. Institutions shall capture in their risk-measurement model the risk of impairment due to changes in the relevant exchange rates posed by items that are subject to that risk, where those items are not measured at fair value and their accounting values are not updated at each reporting date to refl…
+ **8.** When calculating the own funds requirements for market risk on a consolidated basis, in accordance with Article 325b of Regulation (EU) No 575/2013, institutions shall be able to identify, in their internal risk-measurement systems, the positions that have been included in the foreign exchang…
− ### art_4
+ ### Article 4 — Calculation of the own funds requirements for market risk for non-trading book positions subject to commodity risk or both to commodity and foreign exchange risk in accordance with the alternative internal model approach
− Article 4
+ **1.** When calculating the own funds requirements for non-trading book positions subject either to commodity risk or both to commodity and foreign exchange risk in accordance with the alternative internal model as set out in Part Three, Title IV, Chapter 1b, of Regulation (EU) No 575/2013, institut…
− 1. When calculating the own funds requirements for non-trading book positions subject either to commodity risk or both to commodity and foreign exchange risk in accordance with the alternative internal model as set out in Part Three, Title IV, Chapter 1b, of Regulation (EU) No 575/2013, institutions…
+ **2.** In relation to non-trading book positions subject to commodity risk only, when calculating the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 or the stress scenario risk measure referred to in Article 325bk of that Regulation, institutions shall ap…
− 2. In relation to non-trading book positions subject to commodity risk only, when calculating the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 or the stress scenario risk measure referred to in Article 325bk of that Regulation, institutions shall apply …
+ **3.** In relation to non-trading book positions subject to commodity risk and foreign exchange risk, when calculating the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 or the stress scenario risk measure referred to in Article 325bk of that Regulation, …
− 3. In relation to non-trading book positions subject to commodity risk and foreign exchange risk, when calculating the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 or the stress scenario risk measure referred to in Article 325bk of that Regulation, inst…
+ **4.** Institutions shall document, as part of the internal policies referred to in Article 325bi of Regulation (EU) No 575/2013, whether non-trading book positions subject to commodity risk or to both commodity and foreign exchange risk are assigned to a trading desk managing exclusively non-tradin…
− ### art_5
+ ### Article 5 — Computation of the hypothetical and actual changes in the value of the portfolio related to non-trading book positions subject to foreign exchange risk or commodity risk or both to commodity and foreign exchange risk in accordance with Article 325bf and Article 325bg of Regulation (E…
− Article 5
+ **1.** By way of derogation from Articles 1 to 4 of Delegated Regulation (EU) 2022/2059, institutions calculating the hypothetical and the actual changes in the value of the portfolio referred to in Articles 325bf and 325bg of Regulation (EU) No 575/2013 in relation to a non-trading book position wh…
− 1. By way of derogation from Articles 1 to 4 of Delegated Regulation (EU) 2022/2059, institutions calculating the hypothetical and the actual changes in the value of the portfolio referred to in Articles 325bf and 325bg of Regulation (EU) No 575/2013 in relation to a non-trading book position which …
− 
− 2. By way of derogation from Articles 1 to 4 of Delegated Regulation (EU) 2022/2059, institutions calculating the hypothetical and the actual changes in the value of the portfolio referred to in Articles 325bf and 325bg of Regulation (EU) No 575/2013 in relation to a non-trading book position which …
+ **2.** By way of derogation from Articles 1 to 4 of Delegated Regulation (EU) 2022/2059, institutions calculating the hypothetical and the actual changes in the value of the portfolio referred to in Articles 325bf and 325bg of Regulation (EU) No 575/2013 in relation to a non-trading book position wh…
− | (a) | institutions shall use the value of that non-trading book position at the end of the previous day and update only the components reflecting the foreign exchange and commodity risk; |
− | --- | --- |
− | (b) | institutions shall use the value of that non-trading book position at the end of the previous day and update all the components the institution uses to value that non-trading book position. |
− | --- | --- |
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+ **3.** Institutions shall apply paragraphs 1 and 2 only to non-trading book positions that are included both in the portfolio on the day of the computation of the value-at-risk number referred to in Article 325bf of Regulation (EU) No 575/2013, and in the portfolio on the day following the computati…
− 3. Institutions shall apply paragraphs 1 and 2 only to non-trading book positions that are included both in the portfolio on the day of the computation of the value-at-risk number referred to in Article 325bf of Regulation (EU) No 575/2013, and in the portfolio on the day following the computation o…
+ ### Article 6 — Entry into force
− ### art_6
+ This Regulation shall enter into force on the twentieth day following that of its publication in the *Official Journal of the European Union*.
− Article 6
− 
− This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.