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Institutions shall disclose on an aggregate basis for all trading desks covered by the internal models referred to in Article 325az the following components, where applicable: (a) the most recent value as well as the highest, lowest and mean value for the previous 60 business days of: (i) the unconstrained expected shortfall measure referred to in Article 325bb(1); (ii) the unconstrained expected shortfall measure referred to in Article 325bb(1) for each regulatory broad risk factor category; (b) the most recent value as well as the mean value for the previous 60 business days of: (i) the expected shortfall risk measure referred to in Article 325bb(1); (ii) the stress scenario risk measure referred to in Article 325ba(1), point (b); (iii) the own funds requirement for default risk referred to in Article 325ba(2); (iv) the sum of the own funds requirements referred to in Article 325ba(3), including all components of the formula and the applicable multiplier factor; (c) the number of back-testing overshootings over the most recent 250 business days at the 99th percentile as referred to in Article 325bf(6).

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Source: EUR-Lex CELLAR · retrieved 2026-09-04