Updated 19/05/2024

Metadata

In force since 15/11/2022

Initial Legal Act

References (2)

EBA webpage on this legal act

eba.europa.eu/technical-standards-ima-under-frtb

Timeline

26/10/2022

Delegated Regulation 2022/2058 published in OJ

07/03/2020

EBA/RTS/2020/01

Final Draft published

27/07/2019

Consultation published

CRR Tool Delegated Regulation 2022/2058

Delegated Regulation 2022/2058

Commission Delegated Regulation (EU) 2022/2058 of 28 February 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on liquidity horizons for the alternative internal model approach, as referred to in Article 325bd(7) (Text with EEA relevance)

CHAPTER 1 - Mapping of risk factors (Article 1-4)Article 1 - General methodology Article 2 - Specific methodology for homogenous index instruments Article 3 - Specific methodology for inflation, mono-currency and cross-currency basis risk factors Article 4 - Specific methodology for repo and dividend risk factors

CHAPTER 2 - Determination of the most liquid currencies sub-category, determination of the most liquid currency pairs sub-category and definition of small and large market capitalisation sub-categories (Article 5-8)Article 5 - Most liquid currencies sub-category Article 6 - Most liquid currency pairs sub-category Article 7 - Definition of small and large market capitalisation Article 8 - Entry into force

ANNEX I - List of most liquid currencies referred to in Article 5 ANNEX II - List of currency pairs referred to in Article 6