On 16 August 2022, the European Commission published Commission Delegated Regulation of 16.8.2022 supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) specifying exotic underlyings and the instruments bearing residual risks for the purposes of the calculation of own funds requirements for residual risks.
The final draft RTS specify what an exotic underlying is and which instruments are instruments bearing residual risks, for the purpose of Article 32u(2) of the CRR. In particular, the final draft RTS specify that longevity risk, weather, natural disasters and future realised volatility should be considered as exotic underlyings. In addition, the final draft RTS set out a non-exhaustive list of instruments bearing residual risks and a list of risks that, in themselves, do not constitute residual risks. The Delegated Regulation enters into force on the twentieth day following its publication in the Official Journal of the EU.