2. For the purposes of paragraph 1, point (g), competent authorities shall:
(a)
require the institution to provide an overview of their time series used in
,
,
,
,
and
, as referred to in Article 325bb of Regulation (EU) No 575/2013, and in the calculation of the stress scenario risk measures, as referred to in Article 7 of Commission Delegated Regulation (EU) 2024/397, and to include in that overview for each time series used:
(i)
the total number of days in the historical observation period used to calculate the
,
,
,
,
and
, as referred to in Article 325bb of Regulation (EU) No 575/2013, and the stress scenario risk measures, as referred to in Article 7 of Commission Delegated Regulation (EU) 2024/397;
(ii)
the number of days with missing data in the time series before the institution introduces any adjustment;
(iii)
the number of days without any daily change in the time series before the institution introduces any adjustment;
(iv)
the maximum number of consecutive days without any daily change in the time series before the institution introduces any adjustment;
(v)
the number of days for which data were initially available in the time series but that the institution excluded or changed before being used in the calculation of the
,
,
,
,
and
, as referred to in Article 325bb of Regulation (EU) No 575/2013, and the stress scenario risk measures, as referred to in in Article 7 of Commission Delegated Regulation (EU) 2024/397;
(b)
based on the overview referred to in point (a), identify those times series used for risk factors that may be affected by low data quality;
(c)
based on the overview referred to in point (a), select a sample of time series that are characterised by a high number of data points initially missing, and apply the following steps in the following order:
(i)
require the institution to provide the time series with the initial data points only, and the time series after they have been filled in;
(ii)
verify that the time series have been filled in in accordance with the methodologies envisaged in the internal policies as referred to in paragraph 1, points (a) and (b), and that such methodologies are appropriate for the case at matter;
(d)
based on the overview referred to in point (b), select a sample of time series characterised by a high number of data points that were initially available but have been substituted by other data points, and apply the following steps in the following order:
(i)
require the institution to provide the time series with the initial data points only, and the time series after data points in the time series have been substituted;
(ii)
verify that the data points have been replaced in accordance with the methodologies envisaged in the internal policies as referred to in paragraph 1, points (a) and (b), and that such methodologies are appropriate for the case at matter.
For the purposes of point (b), competent authorities may use, where appropriate, as a basis for the identification referred to in that point, the following indicators:
(a)
time series with less than 10 % of initially available data points;
(b)
time series with 20 consecutive business days without any daily change;
(c)
time series with more than 20 % of days with no changes;
(d)
time series for which more than 50 % of the initially available data have been changed.
Competent authorities shall require the institution to justify the use of those time series and, where applicable, the reason why the corresponding risk factor is included in the reduced set of risk factors as referred to in Article 325bc(2), points (a) and (b), and Article 325bc(3), points (a) and (b), of Regulation (EU) No 575/2013.
