1.An institution's trading desk meets the P&L attribution requirements where that trading desk complies with the requirements set out in this Article.
1.2. TheAn institution’s trading desk meets the P&L attribution requirementrequirements shall ensure thatwhere the theoretical changes in the value of athat trading desk'sdesk’s portfolio, based on the institution'sinstitution’s risk-measurement model, are either close or sufficiently close to the hypothetical changes in the value of thethat trading desk'sdesk’s portfolio, based on the institution'sinstitution’s pricing model.
2.Notwithstanding paragraph 1 of this Article, where the theoretical changes in the value of a trading desk’s portfolio, based on the institution’s risk-measurement model, are sufficiently close to the hypothetical changes in the value of that trading desk’s portfolio, based on the institution’s pricing model, the institution shall calculate, for all positions assigned to that trading desk, an additional own funds requirement to the own funds requirements referred to in Article 325ba(1) and (2).
3.ForOn eachthe positionbasis of athe givenresults trading desk, an institution's compliance withof the P&L attribution requirement shall leadreferred to thein identificationparagraph 1 of this Article, an institution shall determine and document a precise list of risk factors included in the institution’s risk-measurement model that are deemed appropriate for verifying the institution'sinstitution’s compliance with the back-testing requirement set out in Article 325bf. The institution shall track any change to the list of those risk factors.
4.EBA shall develop draft regulatory technical standards to specify:
(b)the consequences for an institution where the theoretical changes in the value of a trading desk's portfolio are not sufficiently close to the hypothetical changes in the value of a trading desk's portfolio for the purposes of paragraph 2;
(a)the criteria necessaryspecifying to ensure thatwhether the theoretical changes in the value of a trading desk'sdesk’s portfolio isare either close or sufficiently close to the hypothetical changes in the value of a trading desk'sdesk’s portfolio for the purposes of paragraph 2,1, taking into account international regulatory developments;
(b)the additional own funds requirement referred to in paragraph 2;
(c)the frequency at which the P&L attribution is to be performed by an institution;
(d)the technical elements to be included in the theoretical and hypothetical changes in the value of a trading desk's portfolio for the purposes of this Article;
(e)the manner in which institutions that use the internal model are to aggregate the total own funds requirement for market risk for all their trading book positions and non-trading book positions that are subject to foreign exchange risk or commodity risk, taking into account the consequences referred to in point (b).
EBA shall submit those draft regulatory technical standards to the Commission by 10 July 2025.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.