Commission Delegated Regulation (EU) 2024/1085 of 13 March 2024 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the assessment methodology under which competent authorities verify an institution’s compliance with the requirements to use internal models for market risk

(d) in relation to the requirement to have an internal default risk model that is consistent with internal risk-management as required by Article 325bp(9) of Regulation (EU) No 575/2013, verify whether the institution has documented the differences between the internal default risk model and the models that the institution uses for its internal risk management for the same scope of positions, and whether the institution is able to explain those differences.

For the purposes of point (a)(i), competent authorities shall assess the rationale provided in the institution’s internal policies for the choice of the systematic risk factors, and their economic interpretation.

For the purposes of point (a)(iii), competent authorities may, where appropriate, verify on a sample of similar issuers that the idiosyncratic risk factors differ.

For the purposes of point (a)(iv), competent authorities may, where appropriate, verify on a sample of issuers, that the mapping is correct.

For the purposes of point (a)(v), competent authorities may, where appropriate and where the analyses performed by the institution do not seem sufficient for the portfolio subject to default risk as it stands, require the institution on a sample of issuers to assess the power of the systematic risk factors chosen by the institution in explaining the drivers of the default of each issuer’s asset.

For the purposes of point (b), competent authorities may, where appropriate, perform statistical analyses on a sample of issuers, including hypothesis testing, to test the dependency of losses given defaults on the systematic risk factors.

CHAPTER 5

FINAL PROVISIONS

Article 53

Entry into force and application

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

Article 18 (1), point (a), as regards the environmental risk, Article 18(1), point (c)(vii), and Article 18(2), point (b)(v), shall apply from 1 January 2025.

Article 21 (1), point (b), shall apply from 1 January 2026.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 13 March 2024.

For the Commission The President Ursula VON DER LEYEN

(1) OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj.

(2) Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/876/oj).

(3) Commission Delegated Regulation (EU) 2022/2058 of 28 February 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on liquidity horizons for the alternative internal model approach, as referred to in Article 325bd(7) (OJ L 276, 26.10.2022, p. 40, ELI: http://data.europa.eu/eli/reg_del/2022/2058/oj).

(4) Commission Delegated Regulation (EU) 2022/2059 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the technical details of back-testing and profit and loss attribution requirements under Articles 325bf and 325bg of Regulation (EU) No 575/2013 (OJ L 276, 26.10.2022, p. 47, ELI: http://data.europa.eu/eli/reg_del/2022/2059/oj).

(5) Commission Delegated Regulation (EU) 2022/2060 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the criteria for assessing the modellability of risk factors under the internal model approach (IMA) and specifying the frequency of that assessment under Article 325be(3) of that Regulation (OJ L 276, 26.10.2022, p. 60, ELI: http://data.europa.eu/eli/reg_del/2022/2060/oj).

(6) Commission Delegated Regulation (EU) 2023/1577 of 20 April 2023 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the calculation of the own funds requirements for market risk for non-trading book positions subject to foreign exchange risk or commodity risk and the treatment of those positions for the purposes of the regulatory back-testing requirements and the profit and loss attribution requirement under the alternative internal model approach (OJ L 193, 1.8.2023, p. 1, ELI: http://data.europa.eu/eli/reg_del/2023/1577/oj

(7) Commission Delegated Regulation (EU) 2023/1578 of 20 April 2023 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the requirements for the internal methodology or external sources used under the internal default risk model for estimating default probabilities and losses given default (OJ L 193, 1.8.2023, p. 7, http://data.europa.eu/eli/reg_del/2023/1578/oj).

(8) Commission Delegated Regulation (EU) 2024/397 of 20 October 2023 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the calculation of the stress scenario risk measure (OJ L, 2024/397, 29.1.2024, ELI: http://data.europa.eu/eli/reg_del/2024/397/oj).

(9) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12, ELI: http://data.europa.eu/eli/reg/2010/1093/oj).

(10) Commission Delegated Regulation (EU) 2022/2059 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the technical details of back-testing and profit and loss attribution requirements under Articles 325bf and 325bg of Regulation (EU) No 575/2013 (OJ L 276, 26.10.2022, p. 47, ELI: http://data.europa.eu/eli/reg_del/2022/2059/oj).

(11) Commission Delegated Regulation (EU) 2022/2060 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the criteria for assessing the modellability of risk factors under the internal model approach (IMA) and specifying the frequency of that assessment under Article 325be(3) of that Regulation (OJ L 276, 26.10.2022, p. 60, ELI: http://data.europa.eu/eli/reg_del/2022/2060/oj).

(12) Commission Delegated Regulation (EU) 2022/2058 of 28 February 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on liquidity horizons for the alternative internal model approach, as referred to in Article 325bd(7) (OJ L 276, 26.10.2022, p. 40, ELI: http://data.europa.eu/eli/reg_del/2022/2058/oj).