+Article 32 5

Article 32 5

5.   For the purposes of paragraph 2, point (b)(i), paragraph 3, point (b)(i) and paragraph 4, point (b)(i), competent authorities shall apply the following assessment method:

(a)

require the institution to provide a sample of risk factors and buckets, with the corresponding verifiable and representative prices, including:

(i)

risk factors and buckets that narrowly met the conditions for being assessed as modellable;

(ii)

risk factors and buckets that changed their modellability status over the previous year;

(iii)

where applicable, risk factors and buckets for which verifiable prices are obtained solely by the institution, solely by third-party vendors, and by both the institution and third-party vendors;

(b)

require the institution to justify for the prices referred to in point (a), of this paragraph which of the conditions referred to in Article 2(1) of Delegated Regulation (EU) 2022/2060 are met, and verify the following:

(i)

where the condition referred to in Article 2(1), point (a), of Delegated Regulation (EU) 2022/2060 is met, how the institution assessed that the transaction was entered at arm’s length;

(ii)

where the condition referred to in Article 2(1), point (b), of Delegated Regulation (EU) 2022/2060 is met, how the institution or the third-party vendor assessed that the transaction was entered at arm’s length;

(iii)

where the condition referred to in Article 2(1), point (c), of Delegated Regulation (EU) 2022/2060 is met, how the institution or the third-party vendor identified both bid and offer quotations;

(c)

for the verifiable prices referred to in point (a), competent authorities shall verify:

(i)

whether the price is not a transaction or bid and offer quotation between two entities of the same group as referred to in Article 2(2), point (a), of Delegated Regulation (EU) 2022/2060, and whether the approach that the institution or the third-party vendor used to conclude that the two entities do not belong to the same group is sound;

(ii)

how the institution or the third-party vendor concluded that the volume of the transaction or committed quote associated with the verifiable price is non-negligible as referred to in Article 2(2), point (b), of Delegated Regulation (EU) 2022/2060, and whether the metrics employed to evaluate the negligibility are sound;

(iii)

where the verifiable price relates to committed quotes as referred to in Article 2(1), point (c), of Delegated Regulation (EU) 2022/2060:

(1)

how the institution or the third-party vendor concluded that the bid-offer spread does not deviate substantially from applicable market conditions as referred to in Article 2(2), point (c), of that Regulation;

(2)

whether the metrics employed to evaluate such potential deviation are sound;

(iv)

whether among those prices some may be considered to meet the conditions referred to in Article 2(2), point (b) or Article 2(2), point (c), of Delegated Regulation (EU) 2022/2060 because they are characterised by an unusually low volume or by an unusually large bid-offer spread;

(v)

whether the institution or the third-party vendor identified a time zone that is used consistently across all data sources to identify the observation date of the verifiable price as required by Article 2(3) of Delegated Regulation (EU) 2022/2060.

For the purposes of this paragraph, competent authorities shall require institutions or third-party vendors as applicable to provide them with all information that they need to perform that assessment comprehensively, in accordance with Article 2(5), point (b), of Delegated Regulation (EU) 2022/2060.

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