+Article 44 1

Article 44 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 determination of the extreme scenario of future shock, competent authorities shall verify whether the internal policies referred to in that point meet all of the following requirements:

(a)

the internal policies comply with Article 21 of Delegated Regulation (EU) 2024/397;

(b)

the internal policies require the production of an up-to-date inventory which, for each non-modellable risk factor:

(i)

describes the risk factor;

(ii)

specifies the liquidity horizon assigned to the risk factor in accordance with Article 325bd of Regulation (EU) No 575/2013;

(iii)

specifies whether the institution calculates the extreme scenario of future shock by the direct method or the stepwise method referred to in Article 2, Article 3, Article 5 and Article 6 of Delegated Regulation (EU) 2024/397 respectively, or determines a regulatory extreme scenario of future shock in accordance with Article 14 of that Delegated Regulation;

(iv)

where the institution uses the stepwise method, specifies whether the historical, asymmetrical sigma, or fallback method is used to calibrate the downward and upward shocks;

(v)

for risk factors for which the institution determines a regulatory extreme scenario of future shock in accordance with Article 14 of Delegated Regulation (EU) 2024/397, justifies that choice;

(vi)

specifies whether the risk factor is part of a bucket and, if so, which one;

(c)

internal policies specify the criteria referred to in Article 1, point (a)(i) and Article 4, point (a)(i), of Delegated Regulation (EU) 2024/397, establishing when either the direct method or the stepwise method referred to in Article 2, Article 3, Article 5 and Article 6 of that Delegated Regulation is used with reference to any non-modellable risk factor or non-modellable standardised bucket;

(d)

internal policies specify the criteria to identify business and non-business days in a way that is consistent across the calculation of the stress scenario risk measure referred to in Article 325bk of Regulation (EU) No 575/2013 and the calculation of the expected shortfall risk measure referred to in Article 325bb of that Regulation;

(e)

internal policies specify the criteria to identify risk factors for which the institution determines the stress scenario risk measure by applying a regulatory extreme scenario of future shock in accordance with Article 14 of Delegated Regulation (EU) 2024/397;

(f)

internal policies require that the institution keeps track of all pricing failures as referred to in Article 13(3) of Delegated Regulation (EU) 2024/397, the cause of the pricing failures, and the remedial actions taken under that Article;

(g)

internal policies specify the frequency of updates, in accordance with Article 12(4) of Delegated Regulation (EU) 2024/397, of the stress period used for the determination of the extreme scenario of future shock, and the other possible criteria triggering an update of such stress period.

1. Ħarsa ġenerali

,

1.1 Referenzi

1.2 Rekwiżiti identifikati

1.3 Standards relatati

2. Rekwiżiti identifikati

Rekwiżiti

3. Standards relatati

Standards