+Article 39 7
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Article 39 7
7. For the purposes of paragraph 2, point (b), competent authorities may, on a sample of non-trading book positions and for a reference date for the calculation of the expected shortfall risk measure as referred to in Article 325bb of Regulation (EU) No 575/2013 and the stress scenario risk measure as referred to in Article 325bk of that Regulation, apply the following assessment method:
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(a)
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assess how the institution disentangles the foreign exchange risk factors from other inputs used to determine the accounting value of a position;
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(b)
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require the institution to provide the list of risk factors out of the foreign exchange risk factors referred to in point (a) on which the institution applies scenarios of future shocks when calculating the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 or the stress scenario risk measure referred to in Article 325bk of that Regulation;
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(c)
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obtain the value of the foreign exchange risk factors and of other inputs used to determine the accounting value at the following dates:
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(i)
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the date at which the last available accounting value was determined;
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(ii)
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the given reference date for the calculation of the expected shortfall risk measure and the stress scenario risk measure;
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(d)
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verify whether:
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(i)
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for positions for which the treatment set out in Article 3(4) of Delegated Regulation (EU) 2023/1577 is not used, the valuation inputs not reflecting foreign exchange risk have not been updated between the two dates referred to in points (c)(i) and (c)(ii);
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(ii)
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for positions for which the treatment set out in Article 3(4) Delegated Regulation (EU) 2023/1577 is used, the valuation inputs, including foreign exchange risk factors, have been updated between the two dates referred to in points (c)(i) and (c)(ii);
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(iii)
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the risk factors referred to in point (b) relates only to foreign exchange risk, regardless of whether the treatment set out in Article 3(4) of Delegated Regulation (EU) 2023/1577 is used.
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1. Pārskats
1.1 Atsauces
1.2 Identificētās prasības
1.3 Saistītie standarti
2. Identificētās prasības
3. Saistītie standarti
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