European Commission 14 June 2022, Commission Delegated Regulation (EU) 2022/2059 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the technical details of back-testing and profit and loss attribution requirements under Articles 325bf and 325bg of Regulation (EU) No 575/2013 (Text with EEA relevance)

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European Union · · · Cited by 21 · 14-06-2022

CHAPTER 1. TECHNICAL ELEMENTS TO BE INCLUDED IN THE ACTUAL AND HYPOTHETICAL CHANGES IN A PORTFOLIO’S VALUE FOR THE PURPOSES OF THE BACK-TESTING REQUIREMENTS
Section 1. Technical elements to be included in the actual changes in a portfolio’s value
Article 1. Technical elements to be included in the actual changes in a trading desk portfolio’s value for the back-testing requirements performed at trading desk level
Article 2. Technical elements to be included in the actual changes in the portfolio’s value for the back-testing requirements performed at institution level
Section 2. Technical elements to be included in the hypothetical changes in a portfolio’s value requirements
Article 3. Technical elements to be included in the hypothetical changes in a trading desk portfolio’s value for the back-testing requirements performed at trading desk level
Article 4. Technical elements to be included in the hypothetical changes in the portfolio’s value for the back-testing requirements performed at institution level
Article 5. Documentation requirements
CHAPTER 2. TECHNICAL SPECIFICATION OF THE PROFIT AND LOSS ATTRIBUTION REQUIREMENT
Section 1. Criteria necessary to ensure that the theoretical changes and the hypothetical changes in the value of a trading desk portfolio are sufficiently close and consequences for trading desks that do not meet that condition
Article 6. General requirements
Article 7. Calculation of the Spearman correlation coefficient
Article 8. Calculation of the Kolmogorov-Smirnov test metric
Article 9. Specification of criteria necessary to ensure that the theoretical changes and the hypothetical changes in the value of a trading desk portfolio are sufficiently close
Article 10. Consequences for trading desks that are classified as yellow, orange or red zone desks
Article 11. Frequency of the assessment of compliance with the profit and loss attribution requirement
Section 2. Technical elements to be included in the theoretical and hypothetical changes in a trading desk portfolio’s value for the purposes of the profit and loss attribution requirement
Article 12. Technical elements to be included in the theoretical changes in the trading desk portfolio’s value
Article 13. Technical elements to be included in the hypothetical changes in a trading desk portfolio’s value for the profit and loss attribution requirement
Article 14. Alignment of data for the profit and loss attribution requirements
Article 15. Documentation requirements
Section 3. Own funds requirements calculated in accordance with the alternative internal model approach
Article 16. Calculation of the own funds requirements for market risk under the alternative internal model approach for institutions having trading desks
Article 17. Entry into force

26.10.2022

Official Journal of the European Union

L 276/47

COMMISSION DELEGATED REGULATION (EU) 2022/2059

of 14 June 2022

supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the technical details of back-testing and profit and loss attribution requirements under Articles 325bf and

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