Art. 495i · Transitional provisions as regards the profit and loss attribution test under the alternative internal model approach for market risk

Version in force 1 January 2027, Inserted +788 −0§

Amended by Regulation (EU) 2026/1221 32026R1221 on EUR-Lex (external, EUR-Lex)

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A new Article 495i is added, setting out transitional provisions on the profit and loss attribution test under the alternative internal model approach for market risk.

It states that, by way of derogation from Article 325az(2), point (d), and until 31 December 2029, institutions may use the alternative internal model approach to calculate own funds requirements for market risk for trading desks that do not meet the requirements of Article 325bg.

It also provides that, for those trading desks, institutions shall consider the theoretical changes in portfolio value derived from their risk measurement models to be close to the hypothetical changes in portfolio value derived from their pricing models.

Cited: Art. 495i, v2 (external, EUR-Lex)

v1 is the previous version, v2 this one.

Article 495i
Transitional provisions as regards the profit and loss attribution test under the alternative internal model approach for market risk
1. By way of derogation from Article 325az(2), point (d), and until 31 December 2029, institutions may use the alternative internal model approach to calculate their own funds requirements for market risk for trading desks that do not meet the requirements laid down in Article 325bg.
2. For the purposes of paragraph 1, institutions shall consider that, for the trading desks in scope, the theoretical changes in the value of those trading desks’ portfolios, based on the institutions’ risk measurement models, are close to the hypothetical changes in the value of those trading desks’ portfolios, based on the institutions’ pricing models.