+Article 39 1

Article 39 1

1.   When assessing an institution’s compliance with Article 325bi(1), point (e), of Regulation (EU) No 575/2013 in relation to requirements on the calculation of own funds requirements for market risk for positions in the non-trading book, competent authorities shall verify whether the internal policies referred to in that Article specify:

(a)

the scope of foreign exchange positions in the non-trading book for which the institution calculates the own funds requirements with the alternative internal model approach and, where applicable, the underlying reason for excluding some positions from that scope;

(b)

the scope of commodity positions in the non-trading book for which the institution calculates the own funds requirements with the alternative internal model approach, and where applicable, the underlying reason for excluding some positions from that scope;

(c)

for positions subject to foreign exchange risk but not to commodity risk:

(i)

whether the value that is used as a basis to calculate the own funds requirements for foreign exchange risk is the last available accounting value referred to in Article 3(1) of Delegated Regulation (EU) 2023/1577, or the last available fair value referred to in Article 3(2) of that Delegated Regulation, and the frequency at which such value is recalculated;

(ii)

whether there are trading desks whose non-linear positions in the exchange rate are subject to the treatment referred to in Article 3(4) and Article 5(1), second subparagraph, of Delegated Regulation (EU) 2023/1577 and, where applicable, the reason for using such derogation for some trading desks, while not for some others;

(d)

the trading desks for which the hypothetical and the actual changes in the portfolio’s value in relation to a non-trading book position which is subject to commodity risk or both to commodity and foreign exchange risk are calculated in accordance with Article 5(2), point (a), of Delegated Regulation (EU) 2023/1577, and trading desks for which the changes are calculated in accordance with Article 5(2), point (b), of that Delegated Regulation, and the reason for that choice.

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1.3 Standards relatati

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