+Article 48 1

Article 48 1

1.   When assessing an institution’s compliance with Article 325bi(1), point (e), of Regulation (EU) No 575/2013 in relation to the requirements on the estimation of default probabilities, competent authorities shall verify whether the internal documentation covers all aspects laid down in Article 5 of Delegated Regulation (EU) 2023/1578, and whether the institution’s internal policies require the production of an up-to-date inventory specifying:

(a)

the methods that the institution uses to estimate default probabilities, including the materiality of each different method in terms of number of issuers, size of positions, and contribution to the default risk own funds requirements;

(b)

for each issuer, the default probability value, the rating, where available, and whether:

(i)

the default probability is available under the IRB approach for a non-trading book exposure of the issuer, and whether it is used for the trading book exposure as required by Article 325bp(5), point (d), of Regulation (EU) No 575/2013;

(ii)

the default probability is not available under the IRB approach for a non-trading book exposure of the issuer, and whether the institution employs the IRB approach to obtain the issuer’s default probability as required by Article 325bp(5), point (d), of Regulation (EU) No 575/2013, on the basis that the institution has the IRB approval for the exposure class to which the exposure of the issuer belongs;

(iii)

the default probability is not available under the IRB approach for a non-trading book exposure of the issuer, and whether the institution uses an internal methodology fulfilling the requirements of the IRB approach laid down in Article 1(1) of Delegated Regulation (EU) 2023/1578 to obtain that default probability;

(iv)

the default probability is not available under the IRB approach for a non-trading book exposure of the issuer, and whether the institution uses an internal methodology fulfilling the requirements laid down in Article 1(3) or (4) of Delegated Regulation (EU) 2023/1578 to obtain that default probability;

(v)

the default probability is not available under the IRB approach for a non-trading book exposure of the issuer, and whether the institution uses external sources as referred to in Article 2 of Delegated Regulation (EU) 2023/1578 to obtain that default probability;

(c)

for all issuers, the exposure class referred to in Article 147(2) of Regulation (EU) No 575/2013 to which their exposure belongs;

(d)

for issuers for which an estimate of default probability is obtained by using external sources as referred to in Article 2 of Delegated Regulation (EU) 2023/1578, whether the estimate is obtained in combination with current market prices as referred to in Article 325bp(5), point (c), of Regulation (EU) No 575/2013 and Article 2(4), point (b), of Delegated Regulation (EU) 2023/1578.

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