+Article 33 1
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Article 33 1
1. When assessing an institution’s compliance with Article 325bi(1), point (e), of Regulation (EU) No 575/2013 in relation to requirements on the risk factors’ liquidity horizon, competent authorities shall verify whether the internal policies referred to in that point require the production of an up-to-date inventory specifying, for each risk factor, the following:
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(a)
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a description of the risk factor;
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(b)
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whether the risk factor is modellable following the assessment of the modellability referred to in Article 325be of Regulation (EU) No 575/2013 and, where the risk factor is modellable, whether that risk factor is included in the subset of modellable risk factors referred to in Article 325bc(2), point (a), of that Regulation;
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(c)
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a simple description of the data inputs used to mark the risk factor;
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(d)
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the liquidity horizon assigned to the risk factor as required by Article 325bd(2) of Regulation (EU) No 575/2013;
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(e)
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whether the nature of the risk factor does not correspond to any broad category of risk factors as required by Article 1(2) of Delegated Regulation (EU) 2022/2058;
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(f)
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whether the nature of the risk captured by the risk factor and the data inputs used for that risk factor correspond to risk factors that could fall under more than one broad category of risk factors or broad sub-category of risk factors as required by Article 1(3) of Delegated Regulation (EU) 2022/2058;
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(g)
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where used to model a homogenous index, whether the methodology referred to in Article 1 of Delegated Regulation (EU) 2022/2058 or the methodology referred to in Article 2 of that Regulation has been used to map the risk factor to the appropriate broad category and sub-category of risk factors of Table 2 of Article 325bd of Regulation (EU) No 575/2013.
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1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
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Requirement |
3. Related Standards
Standards
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Requirement |
- Builddate: 17.06.2024 00:00:00 -Doknr: CELEX:32024R1085
- EULAW -
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