+Article 325bd 7.

Article 325bd 7.

EBA shall develop draft regulatory technical standards to specify:

(a)

how institutions are to map the risk factors of the positions referred to in paragraph 1 to broad categories of risk factors and broad sub-categories of risk factors for the purposes of paragraph 1;

(b)

which currencies constitute the most liquid currencies sub-category of the broad category of interest rate risk factor of Table 2;

(c)

which currency pairs constitute the most liquid currency pairs sub-category of the broad category of foreign exchange risk factor of Table 2;

(d)

the definitions of small market capitalisation and large market capitalisation for the purposes of the equity price and volatility sub-category of the broad category of equity risk factor of Table 2.

EBA shall submit those draft regulatory technical standards to the Commission by 28 March 2020.

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.

Table 2

Broad categories of risk factors	Broad sub-categories of risk factors	Liquidity horizons	Length of the liquidity horizon (in days)
Interest rate	Most liquid currencies and domestic currency	1	10
	Other currencies (excluding most liquid currencies)	2	20
	Volatility	4	60
	Other types	4	60
Credit spread	Central government, including central banks, of Member States	2	20
	Covered bonds issued by credit institutions in Member States (Investment Grade)	2	20
	Sovereign (Investment grade)	2	20
	Sovereign (High yield)	3	40
	Corporate (Investment grade)	3	40
	Corporate (High yield)	4	60
	Volatility	5	120
	Other types	5	120
Equity	Equity price (Large market capitalisation)	1	10
	Equity price (Small market capitalisation)	2	20
	Volatility (Large market capitalisation)	2	20
	Volatility (Small market capitalisation)	4	60
	Other types	4	60
Foreign exchange	Most liquid currency pairs	1	10
	Other currency pairs (excluding most liquid currency pairs)	2	20
	Volatility	3	40
	Other types	3	40
Commodity	Energy price and carbon emissions price	2	20
	Precious metal price and non-ferrous metal price	2	20
	Other commodity prices (excluding energy price, carbon emissions price, precious metal price and non-ferrous metal price)	4	60
	Energy volatility and carbon emissions volatility	4	60
	Precious metal volatility and non-ferrous metal volatility	4	60
	Other commodity volatilities (excluding energy volatility, carbon emissions volatility, precious metal volatility and non-ferrous metal volatility)	5	120
	Other types	5	120

1. Übersicht

Bezeichnung	Regulierung

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen
Quelle	Anforderung

3. Zugehörige Standards

Standards
Quelle	Anforderung

Builddate: 26.06.2026 00:00:00 -Doknr: CELEX:32013R0575
EULAW -
European Regulation published on http://eur-lex.europa.eu/