+Article 32 3

Article 32 3

3.   When assessing whether an institution’s internal model is implemented with integrity as required by Article 325bi(1) of Regulation (EU) No 575/2013 in relation to the modellability assessment of risk factors that belong to a curve, a surface or a cube and that are assessed as modellable in accordance with Article 4 of Delegated Regulation (EU) 2022/2060, competent authorities shall:

(a)

in relation to the results of the modellability assessment:

(i)

by using the inventory referred to in paragraph 1, point (b), verify whether the bucketing of curves, surfaces and cubes complies with the conditions referred to in Article 5(2) or Article 5(4) of Delegated Regulation (EU) 2022/2060, and that the institution correctly applies the criteria referred to in paragraph 1, point (d), of this Article to select the bucketing approach;

(ii)

where the institution uses the set of standard pre-defined buckets referred to in Article 5(2), point (d), of Delegated Regulation (EU) 2022/2060, verify whether any conversion of buckets into a different market-standard convention is appropriate;

(iii)

by using the inventory referred to in paragraph 1, point (b), verify whether the buckets that are assessed as modellable meet any of the two conditions referred to in Article 4(2), points (a) and (b), of Delegated Regulation (EU) 2022/2060;

(iv)

by using the inventory referred to in paragraph 1, point (b), verify whether the period used for the modellability assessment is the same for all buckets of a given curve, surface or cube;

(b)

in relation to the requirements for considering a price verifiable as referred to in Article 2 of Delegated Regulation (EU) 2022/2060:

(i)

by reviewing the institution’s internal systems and policies, and its contractual agreements with third-party vendors, ensure that:

(1)

the conditions referred to in Article 2(1) of Delegated Regulation (EU) 2022/2060 are met;

(2)

that no prices that meet the conditions referred to in Article 2(2) of that Delegated Regulation are considered verifiable;

(ii)

by reviewing the audit reports, verify whether the independent audit to which third-party vendors are subject is robust and covers all the aspects referred to Article 2(6) of Delegated Regulation (EU) 2022/2060;

(iii)

where applicable, review the contractual arrangements between the institution and the third-party vendors referred to in Article 2(7) of Delegated Regulation (EU) 2022/2060;

(c)

in relation to the requirements for allocating a verifiable price to a bucket as referred to in Article 4(4) of Delegated Regulation (EU) 2022/2060, verify whether the mapping process and the criteria referred to in Article 7(1), point (d), of that Regulation used to determine that a price is representative for a point in the bucket are sound;

(d)

in relation to the possibility of reallocating a verifiable price of a bucket to an adjacent bucket in accordance with Article 5(5) of Delegated Regulation (EU) 2022/2060, verify:

(i)

whether the approach documented in accordance with Article 7(1), point (f), of that Regulation used by the institution to perform such reallocation is appropriate;

(ii)

how the institution ensures that the conditions under which reallocation is allowed in accordance with Article 5(5) of Delegated Regulation (EU) 2022/2060 are fulfilled.

For the purposes of point (b)(i), competent authorities shall apply the assessment method referred to in paragraph 5.

For the purposes of point (c), competent authorities shall apply the assessment method referred to in paragraph 7.

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