The European Commission has adopted Delegated Regulation (EU) 2025/878 amending regulatory technical standards (RTS) on technical details of back-testing and profit and loss attribution requirements, the criteria for assessing the modellability of risk factors, and the treatment of foreign-exchange risk and commodity risk in the non-trading book. The amendments are being made to reflect amendments made to Regulation (EU) No 575/2013 (CRR) which introduced a number of remaining BCBS requirements which are yet to be implemented and some clarifications, including changes to ensure alignment with BCBS international standards. Key amendments include: (i) updated criteria for classifying trading desks and the removal of the aggregation formula for back-testing and profit and loss attribution requirements; (ii) adjusting documentation requirements to support competent authorities on whether institutions can use market data provided by third-party vendors in the assessment of modellability of risk factors; and (iii) clarifying the calculation of own funds requirements for market risk related to non-trading book positions. The regulation shall enter into force on the twentieth day following its publication in the Official Journal of the European Union.
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