Commission Delegated Regulation (EU) 2022/439 of 20 October 2021 supplementing Re... (32022R0439)
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Commission Delegated Regulation (EU) 2022/439 of 20 October 2021 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the specification of the assessment methodology competent authorities are to follow when assessing the compliance of credit institutions and investment firms with the requirements to use the Internal Ratings Based Approach (Text with EEA relevance)
- COMMISSION DELEGATED REGULATION (EU) 2022/439
- of 20 October 2021
- supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the specification of the assessment methodology competent authorities are to follow when assessing the compliance of credit institutions and investment firms with the requirements to use the Internal Ratings Based Approach
- (Text with EEA relevance)
- CHAPTER 1
- Article 1
- Assessment of compliance with requirements to use the Internal Ratings Based Approach
- Article 2
- Methods to be applied by competent authorities
- Article 3
- Quality of documentation
- Article 4
- Third party involvement
- Article 5
- Temporary non-compliance with the requirements of the IRB Approach
- CHAPTER 2
- Article 6
- General
- Article 7
- Sequential implementation of the IRB Approach
- Article 8
- Conditions for permanent partial use
- CHAPTER 3
- Article 9
- General
- Article 10
- Independence of the validation function
- Article 11
- Completeness and frequency of the validation process
- Article 12
- Adequacy of the methods and procedures of the validation function
- Article 13
- Soundness of the reporting process and the process for addressing the validation conclusions, findings and recommendations
- Article 14
- The role of senior management and management body
- Article 15
- Management reporting
- Article 16
- Credit risk control unit
- Article 17
- Internal audit
- CHAPTER 4
- Article 18
- General
- Article 19
- Use test in risk management, decision-making and credit approval process
- Article 20
- Use test in the internal capital allocation
- Article 21
- Use test in corporate governance functions
- Article 22
- Experience test
- CHAPTER 5
- Article 23
- General
- Article 24
- Assignment definitions, processes and criteria
- Article 25
- Integrity of assignment process
- CHAPTER 6
- Article 26
- General
- Article 27
- Triggers for identification of the default of an obligor
- Article 28
- Robustness and effectiveness of the process of identifying the default of an obligor
- Article 29
- Reclassification to non-default status
- CHAPTER 7
- Article 30
- General
- Article 31
- Completeness of the documentation of rating systems
- Article 32
- Register of rating systems
- Article 33
- Risk drivers and rating criteria
- Article 34
- Distribution of obligors and exposures in the grades or pools
- Article 35
- Risk differentiation
- Article 36
- Homogeneity
- Article 37
- Data requirements
- Article 38
- Model design
- Article 39
- Human judgement
- Article 40
- Model performance
- CHAPTER 8
- Article 41
- General
- Article 42
- Data requirements
- Article 43
- Review of estimates
- Article 44
- Margin of conservatism
- Article 45
- Length of the historical observation period
- Article 46
- Method of PD estimation
- Article 47
- Length of the historical observation period
- Article 48
- Method of LGD estimation
- Article 49
- Treatment of multiple defaults
- Article 50
- Use of LGD estimates appropriate for economic downturn
- Article 51
- LGD, ELBE and UL estimation for exposures in-default
- Article 52
- Requirements on collateral management, legal certainty and risk management
- Article 53
- Length of the historical observation period
- Article 54
- Method of conversion factors estimation
- Article 55
- Use of conversion factor estimates appropriate for economic downturn
- Article 56
- Requirements on policies and strategies for account monitoring and payment processing
- Article 57
- Eligibility of guarantors and guarantees
- Article 58
- Risk parameter estimates for purchased corporate receivables
- CHAPTER 9
- Article 59
- General
- Article 60
- Assignment methodology and its implementation
- Article 61
- Assigning sequence
- Article 62
- Specific requirements for retail exposures
- CHAPTER 10
- Article 63
- General
- Article 64
- Adequacy of methods used in designing the stress tests
- Article 65
- Organisation of the stress testing process
- Article 66
- Integration of the stress tests in the risk and capital management processes
- CHAPTER 11
- Article 67
- General
- Article 68
- Reliability of the system used for the calculation of own funds requirements
- Article 69
- Data quality
- Article 70
- Correctness of the implementation of the methodology and procedures for different exposure classes
- Article 71
- Organisation of the process for the calculation of own funds requirements
- CHAPTER 12
- Article 72
- General
- Article 73
- Data quality
- Article 74
- Data documentation and reporting
- Article 75
- IT infrastructure
- CHAPTER 13
- Article 76
- General
- Article 77
- Adequacy of the data
- Article 78
- Adequacy of the models
- Article 79
- Comprehensiveness of the stress-testing programme
- Article 80
- Integrity of the model and modelling process
- Article 81
- Adequacy of assignment of exposures to the internal models approach
- Article 82
- Adequacy of the validation function
- CHAPTER 14
- Article 83
- General
- Article 84
- Change policy content
- CHAPTER 15
- Article 85
- Entry into force
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