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New version applies from 15/11/2022.
33 provisions change.
Later versions: 28/05/2025.
Commission Delegated Regulation (EU) 2022/2059
15/11/2022 → 28/05/2025: 0 inserted · 1 removed · 13 amended · 0 moved · 1 renamed · 19 unchanged
Position-only shifts inside the same heading are not changes. Amended = the printed text changed.
Preamble
Preamble · 1 unchanged
Recitals
Recitals · 15 unchanged
Recital 1 · Recital 2 · Recital 3 · Recital 4 · Recital 5 · Recital 6 · Recital 7 · Recital 8 · Recital 9 · Recital 10 · Recital 11 · Recital 12 · Recital 13 · Recital 14 · Recital 15
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
- amended 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 Chapter 1 › Section 1
- amended 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 Chapter 1 › Section 1
- amended 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 Chapter 1 › Section 2
- amended 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 Chapter 1 › Section 2
- amended Article 5 - Documentation requirements Chapter 1 › Section 2
Chapter 2 - TECHNICAL SPECIFICATION OF THE PROFIT AND LOSS ATTRIBUTION REQUIREMENT
- amended Article 6 - General requirements Chapter 2 › Section 1
- amended Article 7 - Calculation of the Spearman correlation coefficient Chapter 2 › Section 1
- amended Article 8 - Calculation of the Kolmogorov-Smirnov test metric Chapter 2 › Section 1
- amended 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 Chapter 2 › Section 1
- amendedrenamed Article 10 - Calculation of the additional own funds requirement referred to in Article 325bg(2) of Regulation (EU) No 575/2013 Chapter 2 › Section 1 was “Article 10 - Consequences for trading desks that are classified as yellow, orange or red zone desks”
- amended Article 12 - Technical elements to be included in the theoretical changes in the trading desk portfolio’s value Chapter 2 › Section 2
- amended Article 14 - Alignment of data for the profit and loss attribution requirements Chapter 2 › Section 2
- amended Article 15 - Documentation requirements Chapter 2 › Section 2
- removed Article 16 - Calculation of the own funds requirements for market risk under the alternative internal model approach for institutions having trading desks Chapter 2 › Section 3