Categories of changes to the institution’s choice of the subset of the modellable risk factors
1. Institutions shall assign changes to the choice of the subset of the modellable risk factors referred to in Article 325bc(2) of Regulation (EU) No 575/2013 to one of the following categories:
(a)
material changes to the institution’s choice of the subset of the modellable risk factors, identified in accordance with Article 5(1) of this Regulation, which require permission from the competent authorities;
(b)
non-material changes to the institution’s choice of the subset of the modellable risk factors, which require notification to the competent authorities.
2. Institutions shall assign changes to the institution’s choice of the subset of the modellable risk factors referred to in paragraph 1, point (b), to one of the following sub-categories:
(a)
changes to the institution’s choice of the subset of the modellable risk factors, identified in accordance with Article 6(1), to be notified with additional information;
(b)
changes to the institution’s choice of the subset of the modellable risk factors to be notified with basic information.
Material changes to the institution’s choice of the subset of modellable risk factors
1. Institutions shall categorise changes to the institution’s choice of the subset of modellable risk factors referred to in Article 325bc of Regulation (EU) No 575/2013 as material, in accordance with Article 4(1), point (a), of this Regulation, where that change results in both of the following:
(a)
a change equal to or higher than 1 %, in absolute terms, calculated for the first business day of the testing of the impact of the change to the institution’s choice of the subset of modellable risk factors, of the risk number Rn
1 referred to in Article 2(4), point (a);
(b)
any of the following:
(i)
an increase equal to or higher than 15 %, in absolute terms, of the sum S
IMA
referred to in Article 2(1), point (b)(i);
(ii)
a decrease equal to or higher than 10 %, in absolute terms, of the sum S
IMA
referred to in Article 2(1), point (b)(i);
(iii)
an increase equal to or higher than 20 %, in absolute terms, of the risk number Rn
1 referred to in Article 2(4), point (a);
(iv)
a decrease equal to or higher than 15 %, in absolute terms, of the risk number Rn
1 referred to in Article 2(4), point (a);
(v)
a decrease of the ratio set out in paragraph 4, which leads to the following condition being met:
where R
change
is the ratio set out in paragraph 4 with the implementation of the change to the choice of the subset of modellable risk factors.
2. By way of derogation from paragraph 1, institutions shall not consider as material changes to their choice of subset of modellable risk factors that were requested by their competent authority.
3. By way of derogation from paragraph 1, institutions shall consider changes to their choice of the subset of modellable risk factors that follow from a failure to meet the requirement set out in Article 325bc(2), point (a), of Regulation (EU) No 575/2013 as non-material changes to be notified with basic information.
4. For the purposes of paragraph 1, point (b)(v), institutions shall calculate the ratio R
change
in accordance with the following formula:
where institutions shall calculate PES t+k
RC and PES t+k
FC in accordance with Article 325bc(3) and (4) of Regulation (EU) No 575/2013, and where t shall be the first business day of the testing of the impact of the change to the institution’s choice of the subset of modellable risk factors, and where the sum shall be taken over the 15 consecutive business days period referred to in Article 2(9) of this Regulation.
5. To assess whether the conditions referred to in in paragraph 1, points (b)(i) or (b)(iii) are fulfilled, institutions shall determine the impact of the change to their choice of subset of modellable risk factors by taking the highest increase, in absolute terms over the period referred to in Article 2(9), of the ratios referred to in Article 2(7) or (8), respectively.
To assess whether the conditions referred to in paragraph 1, points (b)(ii) or (b)(iv) are fulfilled, institutions shall determine the impact of the change to their choice of subset of modellable risk factors by taking the highest decrease, in absolute terms over the period referred to in Article 2(9), of the ratios referred to in Article 2(7) or (8), respectively.
Non-material changes to the institution’s choice of the subset of modellable risk factors
1. Institutions shall categorise non-material changes to their choice of the subset of modellable risk factors as requiring notification with additional information, in accordance with Article 4(2), point (a), where they result in all of the following:
(a)
a change equal to or higher than 1 %, in absolute terms, computed for the first business day of the testing of the impact of the change to the institution’s choice of the subset of modellable risk factors, of the risk number Rn
1 set out in Article 2(4), point (a);
(b)
any of the following:
(i)
an increase equal to or higher than 10 % and lower than 15 %, in absolute terms, of the sum S
IMA
referred to in Article 2(2), point (b)(i);
(ii)
a decrease equal to or higher than 5 % and lower than 10 %, in absolute terms, of the sum S
IMA
referred to in Article 2(2), point (b)(i);
(iii)
an increase equal to or higher than 15 % and lower than 20 %, in absolute terms, of the risk number Rn
1 referred to in Article 2(4), point (a);
(iv)
a decrease equal to or higher than 10 % and lower than 15 %, in absolute terms, of the risk number Rn
1 referred to in Article 2(4), point (a);
(c)
R
change
does not meet the criterion set out in Article 5(1), point (b)(v).
2. Institutions shall notify their competent authorities in accordance with Article 325az(7), second subparagraph, of Regulation (EU) No 575/2013 4 weeks before they implement a non-material change to their choice of the subset of modellable risk factors.
Institutions shall, however, notify any changes to their choice of subset of the modellable risk factors that follow from a failure to meet the requirement set out in Article 325bc(2), point (a), of that Regulation before they implement such a change.
3. To assess whether the conditions referred to in paragraph 1, points (b)(i) or (b)(iii), are fulfilled, institutions shall determine the impact of the change to the their choice of the subset of modellable risk factors by taking the highest increase, in absolute terms over the period referred to in Article 2(9), of the ratios referred to in Article 2(7) or (8), respectively.
To assess whether the conditions referred to in paragraph 1, points (b)(ii) or (b)(iv) are fulfilled, institutions shall determine the impact of the change to their choice of subset of modellable risk factors by taking the highest decrease, in absolute terms over the period referred to in Article 2(9), of the ratios referred to in Article 2(7) or (8), respectively.
Source: EUR-Lex (Publications Office of the EU), © European Union, reuse permitted under Commission Decision 2011/833/EU.
