Amendments to Delegated Regulation (EU) No 529/2014
Article 1
Delegated Regulation (EU) No 529/2014 is amended as follows: 1. Article 1 is replaced by the following: ‘Article 1 Subject matter This Regulation lays down the conditions for assessing the materiality of extensions and changes to the Internal Rating Based approaches, the Advanced Measurement Approaches and the Internal Models Approach permitted in accordance with Regulation (EU) No 575/2013, including the modalities of the notifications of such changes and extensions.’ 2. Article 2(1) is replaced by the following: ‘1. The materiality of changes to the range of application of a rating system or an internal models approach to equity exposures, or of changes to the rating systems or internal models approach to equity exposures, for the Internal Rating Based approach (“changes in the IRB approach”) or the materiality of the extensions and changes for the Advanced Measurement Approach (“extensions and changes in the AMA”) or the materiality of the extensions and changes for the Internal Models Approach (“extensions and changes in the IMA”) shall be classified into one of the following categories: (a) material extensions and changes, which, according to Articles 143(3), and 312(2) and 363(3) of Regulation (EU) No 575/2013, require permission from the relevant competent authorities; (b) other extensions and changes, which require notification to the competent authorities.’ 3. Article 3 is amended as follows: (a) In paragraph 1, the following third subparagraph is added: ‘The classification of extensions and changes in the IMA shall be carried out in accordance with this Article and Articles 7a and 7b.’ (b) In paragraph 2, point (c) is replaced by the following: ‘(c) for changes having no direct quantitative impact, no quantitative impact as laid down in Article 4(1)(c) for IRB approach or Article 6(1)(c) for AMA or Article 7a(1)(c) for IMA needs to be calculated.’ 4. The following Articles 7a and 7b are inserted: ‘Article 7a Material extensions and changes to the IMA 1. Extensions and changes to the IMA shall be considered material, if they fulfil any of the following conditions: (a) they fall under any of the extensions described in Annex III, Part I, Section 1; (b) they fall under any changes described in Annex III, Part II, Section 1; (c) they result in a change in absolute value of 1 % or more, computed for the first business day of the testing of the impact of the extension or change, of one of the relevant risk numbers referred to in Article 364(1)(a)(i), or Article 364(1)(b)(i), or Article 364(2)(b)(i) or Article 364(3)(a) of Regulation (EU) No 575/2013, and associated with the scope of application of the relevant IMA model to which the risk number refers, and result in either of the following: (i) in a change of 5 % or more of the sum of the risk numbers referred to in Article 364(1)(a)(i), Article 364(1)(b)(i), scaled up by the multiplication factors (m c ) and (m s ) respectively according to Article 366 of Regulation (EU) No 575/2013, Article 364(2)(b)(i) and Article 364(3)(a) of Regulation (EU) No 575/2013, and the own funds requirements according to Chapter 2, 3 and 4 of Title IV of that Regulation, as applicable, computed at the level of the EU parent institution or, in the case of an institution which is neither a parent institution nor a subsidiary, at the level of that institution; (ii) in a change of 10 % or more of one or more of the relevant risk numbers referred to in Article 364(1)(a)(i), or Article 364(1)(b)(i), or Article 364(2)(b)(i) or Article 364(3)(a) of Regulation (EU) No 575/2013, and associated with the scope of application of the relevant IMA model to which the risk number refers. 2. For the purposes of paragraph (1)(c)(i), and in accordance with Article 3(2), the impact of any extension or change shall be assessed as the highest absolute value over the period referred to in paragraph 4 of this Article of a ratio calculated as follows: (a) in numerator, the difference between the sum referred to in paragraph (1)(c)(i) with and without the extension or change; (b) in the denominator, the sum referred to in paragraph (1)(c)(i) without the extension or change. 3. For the purposes of paragraph (1)(c)(ii), and in accordance with Article 3(2), the impact of any extension or change shall be assessed as the highest absolute value over the period referred to in paragraph 4 of this Article of a ratio calculated as follows: (a) in the numerator, the difference between the risk number referred to in Article 364(1)(a)(i), Article 364(1)(b)(i), Article 364(2)(b)(i) or Article 364(3)(a) of Regulation (EU) No 575/2013 with and without the extension or change; (b) in the denominator, the risk number referred to, respectively, in Article 364(1)(a)(i), or Article 364(1)(b)(i), or Article 364(2)(b)(i) or Article 364(3)(a) without the extension or change. 4. For the purposes of paragraph (1)(c)(i) and (1)(c)(ii) the ratios referred to in paragraphs 2 and 3 shall be calculated for a period the duration of which is the shortest between the following points (a) and (b): (a) 15 consecutive business days starting from the first business day of the testing of the impact of the extension or change; (b) until such day where a daily calculation of either one of the ratios referred to in paragraphs 2 and 3 results in an impact equal or greater than the percentages referred to in either paragraph (1)(c)(i) or paragraph (1)(c)(ii), respectively. Article 7b Extensions and changes to the IMA not considered material Extensions and changes to the IMA, which are not material but are to be notified to competent authorities according to the second subparagraph of Article 363(3) of Regulation (EU) No 575/2013, shall be notified in the following manner: (a) extensions and changes falling under Annex III, Part I, Section 2, and Part II, Section 2, shall be notified to competent authorities two weeks before their planned implementation; (b) all other extensions and changes shall be notified to the competent authorities after implementation at least on an annual basis.’ 5. Article 8(1) is replaced by the following: ‘1. For extensions and changes to the IRB approach, or to the AMA or to the IMA classified as requiring competent authorities' approval, institutions shall submit, together with the application, the following documentation: (a) description of the extension or change, its rationale and objective; (b) implementation date; (c) scope of application affected by the model extension or change, with volume characteristics; (d) technical and process document(s); (e) reports of the institutions' independent review or validation; (f) confirmation that the extension or change has been approved through the institution's approval processes by the competent bodies and date of approval; (g) where applicable, the quantitative impact of the change or extension on the risk weighted exposure amounts, or on the own funds requirements, or on the relevant risk numbers or sum of relevant own funds requirements and risk numbers; (h) records of the institution's current and previous version number of internal models which are subject to approval.’ 6. Annex III is added to Regulation (EU) No 529/2014 as set out in the Annex to this Regulation.