Recital 6

Commission Delegated Regulation (EU) 2021/424 of 17 December 2019 amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the alternative standardised approach for market risk (Text with EEA relevance) · European Union

(6) In addition, institutions should have the option to treat a CIU position that tracks an index as a direct position in that index for the purposes of calculating the own funds requirements for market risk. That approach should be allowed where the difference in annualised return between the CIU and the index it tracks remains below 1 % over a 12-month period. Where less than 12 months of data are available, institutions should seek the permission from their competent authority to use that approach.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-18 · Text as adopted (Official Journal); later amendments are not incorporated in this text.