+Article 32 1

Article 32 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’ modellability, competent authorities shall verify whether the institution’s internal policies referred to in that point meet all of the following conditions:

(a)

the internal policies cover the aspects referred to in Article 7 of Delegated Regulation (EU) 2022/2060 for all documentation;

(b)

the internal policies require the production of an up-to-date inventory which specifies for each risk factor the following:

(i)

a description of the risk factor;

(ii)

whether the risk factor is modellable following the modellability assessment referred to in Article 325be of Regulation (EU) No 575/2013, and whether the risk factor has ever changed its modellability status in the previous year;

(iii)

the 12 month-period used for the modellability assessment;

(iv)

whether the risk factor is a systematic credit or equity risk factor, as referred to in Article 3(3) of Delegated Regulation (EU) 2022/2060;

(v)

whether the risk factor is a point of a curve, a surface, or a cube, as referred to in Article 4(1) of Delegated Regulation (EU) 2022/2060, the bucket used for assessing the modellability of that risk factor, and the results of the modellability assessment of that bucket;

(vi)

whether the risk factor is a function parameter used to represent a curve, a surface, or a cube, as referred to in Article 6(1) of Delegated Regulation (EU) 2022/2060, and:

(1)

the set of points of the curve, surface or cube that have been used to calibrate the parametric function as referred to in Article 6(1) of Delegated Regulation (EU) 2022/2060;

(2)

the set of buckets, and their modellability, as resulting from the application of the steps referred to in Article 6(1), points (b) and (c), of Delegated Regulation (EU) 2022/2060;

(3)

the set of points of the curve, surface or cube that have been used to calibrate the function parameter as referred to in Article 6(2) of Delegated Regulation (EU) 2022/2060;

(vii)

the number of verifiable prices that are representative for the risk factor over the period considered for the modellability assessment;

(viii)

whether there are 90-day periods with less than four verifiable and representative prices;

(c)

the internal policies set out:

(i)

criteria to identify risk factors for which the institution applies the shifted period referred to in Article 1(2) and Article 4(3) of Delegated Regulation (EU) 2022/2060;

(ii)

criteria to establish whether risk factors are to be considered to be of the same type, as referred to in Article 1(2), point (a), of that Regulation;

(d)

the internal policies set out criteria to determine whether the modellability assessment of a curve, surface, or cube is performed by using standard, pre-defined buckets as referred to in Article 5(2) of Delegated Regulation (EU) 2022/2060, or by using the institution’s own establishment of buckets as referred to in Article 5(4) of that Delegated Regulation;

(e)

the internal policies set out the rationale of the choice, where the standard pre-defined buckets referred to in Article 5(2) of Delegated Regulation (EU) 2022/2060 are subdivided into smaller buckets in accordance with Article 5(3) of that Regulation.

For the purposes of points (b)(vii) and (viii), where the institution performs the modellability assessment for a risk factor by assessing the modellability of a set of buckets first, competent authorities shall verify whether the number of verifiable and representative prices are specified at the level of each of those buckets.

1. Panoramica

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1.1 Riferimenti

1.2 Requisiti identificati

1.3 Standard correlati

2. Requisiti identificati

Requisiti

3. Standard correlati

Standard