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EN

1.8.2023

Official Journal of the European Union
L 193/1

II
Non-legislative acts
REGULATIONS
COMMISSION DELEGATED REGULATION EU 2023/1577
of 20 April 2023
supplementing Regulation EU No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the calculation of the own funds requirements for market risk for non-trading book positions subject to foreign exchange risk or commodity risk and the treatment of those positions for the purposes of the regulatory back-testing requirements and the profit and loss attribution requirement under the alternative internal model approach Text with EEA relevance
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union, Having regard to Regulation EU No 575/2013 of 26 June 2013 of the European Parliament and of the Council on prudential requirements for credit institutions and amending Regulation EU No 648/2012 1, and in particular Article 3259, third subparagraph, Article 325bf9, third subparagraph, and Article 325bg4, third subparagraph, thereof, Whereas:
1

Considering the different value measures applicable for non-trading book positions, it is necessary to specify whether institutions should use the accounting value or the fair value of those positions as a basis to calculate, in accordance with the alternative standardised approach or the alternative internal model approach set out in Part Three, Title IV, Chapter 1a and Chapter 1b, respectively, of Regulation EU No 575/2013, the own funds requirements for market risk for non-trading book positions subject to foreign exchange risk, commodity risk or both.

2

Since the value of non-trading book positions is not driven only by market risk factors, institutions should not be required to perform a daily valuation of those positions for the calculation of own funds requirements for foreign exchange risk under the alternative standardised approach. Instead, institutions should reflect in the value of those positions used as a basis for calculation only those changes that are associated with the foreign exchange risk components of those positions.

3

To ensure consistency with accounting practices, institutions should use the last available accounting value of a nontrading book position as a basis for calculating the own funds requirement for foreign exchange risk in accordance with the alternative standardised approach. However, the fair value of those positions is also deemed an appropriate basis for the calculation of the own funds requirements. Therefore, institutions should be allowed to use the fair value instead of the last available accounting value as a basis for that calculation if they measure all their nontrading book positions at fair value at least quarterly.

1 OJ L176, 27.6.2013, p. 1.