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L 214/2

EN

Official Journal of the European Union
31.8.2023

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To ensure that all the risks or elements of risks that an investment firm is exposed to or poses to others are duly covered, an investment firm should hold sufficient own funds, taking into account the business model, scale and complexity of activities performed by the investment firm, to withstand additional operational expenses related to an orderly wind-down process. In order to ensure that such own funds would be appropriate in particular economic circumstances, different plausible economic scenarios should be considered by competent authorities during the supervisory review and evaluation process carried out in accordance with Article 36 of Directive EU 2019/2034. In particular, business continuity, investor protection and market integrity are not to be jeopardised during the wind-down process. To that end, the investment firm should be capable, also during that process, of absorbing costs and losses not matched by a sufficient volume of profits. Given that the length of the wind-down process could differ significantly depending on specific circumstances, competent authorities should take this into account when setting the additional own funds requirement. Moreover, given the potentially diverse legal forms that investment firms can have, the competent authorities should take into account the applicable national insolvency, corporate and trade laws, which could affect the length of wind-down processes, as well as associated costs and risks.

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To ensure proportionality in determining the additional own funds requirement, risks and elements of risk not covered or not sufficiently covered by the K-factor requirement referred to in Article 15 of Regulation EU 2019/2033 should be measured only for those investment firms that are subject to the K-factor requirement referred to in that Article, and not for small and non-interconnected firms that meet the conditions set out in Article 121 of that Regulation. Other risks not covered at all by the own funds requirements set out in Parts Three and Four of Regulation EU 2019/2033, including risks explicitly excluded from those own funds requirements, exist for investment firms. Therefore, it is necessary to specify that those risks are assessed and measured by competent authorities on the basis of the size and business model of the invetsment firm as well as on the basis of the scope, nature and complexity of its activities.

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To ensure the correct measurement and coverage of all the risks which are referred to in Parts Three and Four of Regulation EU 2019/2033 but not fully or adequately covered by those requirements, such risks should be measured separately for each risk category Risk-to-Client, Risk-to-Market and Risk-to-Firm. For the same reason, the risks not covered in Parts Three and Four of that Regulation, including those explicitly excluded from those requirements, should be measured on a risk-by-risk basis. However, if the measurement per risk category or on a risk-by-risk basis is overly burdensome or is not feasible in cases of investment firms subject to an initial capital requirement lower than the requirement laid down in Article 91 of Directive EU 2019/2034, the measurement of risks should in those cases be performed on an aggregate level, taking into account the principle of proportionality.

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To strike the right balance between prudential considerations and proportional application, the measurement of risks on an aggregate level should not apply to investment firms that are subject to the initial capital requirement laid down in Article 91 of Directive EU 2019/2034. Investment firms that are subject to higher initial capital requirements should be assessed in terms of risks with a measurement per risk category and on a risk-by-risk basis.

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To ensure consistency in the measurement of material risks that investment firms could pose to others or face themselves, competent authorities should rely on a harmonised set of minimum indicative qualitative metrics.
Given that risks evolve throughout the business cycle of a firm, competent authorities should perform not only a static assessment, but also perform a historical trend analysis of such metrics. To cover all the relevant risks properly, different metrics should be used for investment firms with different business models and activities. In order to properly cover all the relevant risks of the investment firm, taking into account the specific business model or activity, legal form and the availability of reliable data, competent authorities should, under certain conditions notably pertaining to the specificities of a firms business model or data quality, adjust the metrics and use those adjusted metrics or, if that is not possible, use alternative metrics that are proportionate to the investment firms size, complexity, business model, and operating model and that would ensure an appropriate assessment of the risks.

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This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Banking Authority.