What changed, Commission Delegated Regulation (EU) No 529/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013

+ ### Article 1 — Subject matter
− ### art_1
+ 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 not…
− Article 1
+ ### Article 2 — Categories of extensions and changes
− This Regulation lays down the conditions for assessing the materiality of extensions and changes to the Internal Rating Based approaches and the Advanced Measurement Approaches permitted in accordance with Regulation (EU) No 575/2013, including the modalities of the notifications of such changes and…
+ **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 mate…
− ### art_2
+ **2.** The extensions and changes referred to in point (b) of paragraph 1 shall further be classified into:(a) extensions and changes that require notification before their implementation;(b) extensions and changes that require notification after their implementation.
− Article 2
+ ### Article 3 — Principles of classification of extensions and changes
− 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 of the exten…
− 
− | (a) | material extensions and changes, which, according to Articles 143(3) and 312(2) of Regulation (EU) No 575/2013, require permission from the competent authorities; |
− | --- | --- |
+ **1.** The classification of changes in the IRB approach shall be carried out in accordance with this Article and Articles 4 and 5.
− | (b) | other extensions and changes, which require notification to the competent authorities. |
− | --- | --- |
− 2. The extensions and changes referred to in point (b) of paragraph 1 shall further be classified into:
− 
− | (a) | extensions and changes that require notification before their implementation; |
− | --- | --- |
− 
− | (b) | extensions and changes that require notification after their implementation. |
− | --- | --- |
− 
− ### art_3
− 
− Article 3
− 
− 1. The classification of changes in the IRB approach shall be carried out in accordance with this Article and Articles 4 and 5.
− 
+ The classification of extensions and changes in the IMA shall be carried out in accordance with this Article and Articles 7a and 7b.
− 2. Where institutions are required to calculate the quantitative impact of any extension or change on own funds requirements or, where applicable, on risk-weighted exposure amounts, they shall apply the following methodology:
+ **2.** Where institutions are required to calculate the quantitative impact of any extension or change on own funds requirements or, where applicable, on risk-weighted exposure amounts, they shall apply the following methodology:(a) for the purpose of the assessment of the quantitative impact instit…
− | (a) | for the purpose of the assessment of the quantitative impact institutions shall use the most recent data available; |
− | --- | --- |
+ **3.** One material extension or change shall not be split into several changes or extensions of lower materiality.
− | (b) | where a precise assessment of the quantitative impact is not feasible, institutions shall instead perform an assessment of the impact based on a representative sample or other reliable inference methodologies; |
− | --- | --- |
+ **4.** In case of doubt, institutions shall assign extensions and changes to the category of the highest potential materiality.
− | (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 shall be calculated. |
− | --- | --- |
+ **5.** Where competent authorities have provided their permission in relation to a material extension or change, institutions shall calculate the own funds requirements based on the approved extension or change from the date specified in the new permission which shall replace the prior one. The non-…
− 3. One material extension or change shall not be split into several changes or extensions of lower materiality.
+ **6.** In case of delay of the implementation of an extension or change for which permission from the competent authority has been granted, the institution shall notify the competent authority and present to the competent authority a plan for a timely implementation of the approved extension or chan…
− 4. In case of doubt, institutions shall assign extensions and changes to the category of the highest potential materiality.
+ **7.** Where an extension or change is classified as one requiring prior notification to competent authorities, and where, subsequently to the notification, institutions decide not to implement the extension or change, institutions shall notify without undue delay the competent authorities of this d…
− 5. Where competent authorities have provided their permission in relation to a material extension or change, institutions shall calculate the own funds requirements based on the approved extension or change from the date specified in the new permission which shall replace the prior one. The non-impl…
− 
− 6. In case of delay of the implementation of an extension or change for which permission from the competent authority has been granted, the institution shall notify the competent authority and present to the competent authority a plan for a timely implementation of the approved extension or change, …
+ ### Article 4 — Material changes to the IRB approach
− 7. Where an extension or change is classified as one requiring prior notification to competent authorities, and where, subsequently to the notification, institutions decide not to implement the extension or change, institutions shall notify without undue delay the competent authorities of this decis…
+ **1.** Changes to the IRB approach shall be considered material if they fulfil any of the following conditions:(a) they fall under any of the changes to the range of application of a rating system or internal models approach to equity exposures described in Annex I, Part I, Section 1;(b) they fall u…
− ### art_4
+ **2.** For the purposes of paragraph (1)(c)(i) of this Article, and in accordance with Article 3(2), the impact of the change shall be assessed as a ratio calculated as follows:(a) in the numerator, the difference in the risk-weighted exposure amounts for credit and dilution risk associated with the…
− Article 4
− 
− 1. Changes to the IRB approach shall be considered material if they fulfil any of the following conditions:
− 
− | (a) | they fall under any of the changes to the range of application of a rating system or internal models approach to equity exposures described in Annex I, Part I, Section 1; |
− | --- | --- |
− 
− | (b) | they fall under any changes to the rating systems or internal models approach to equity exposures described in Annex I, Part II, Section 1; |
− | --- | --- |
− 
− | (c) | they result in either of the following:(i)a decrease of 1,5 % of either of the following:—the overall EU parent institution's consolidated risk-weighted exposure amounts for credit and dilution risk,—the overall risk-weighted exposure amounts for credit and dilution risk in the case of an in…
− | --- | --- |
− | (i) | a decrease of 1,5 % of either of the following:—the overall EU parent institution's consolidated risk-weighted exposure amounts for credit and dilution risk,—the overall risk-weighted exposure amounts for credit and dilution risk in the case of an institution which is neither a parent instit…
− | — | the overall EU parent institution's consolidated risk-weighted exposure amounts for credit and dilution risk, |
− | — | the overall risk-weighted exposure amounts for credit and dilution risk in the case of an institution which is neither a parent institution, nor a subsidiary; |
− | (ii) | a decrease of 15 % or more of the risk-weighted exposure amounts for credit and dilution risk associated with the range of application of the internal rating system or internal models approach to equity exposures. |
− 
− 2. For the purposes of paragraph (1)(c)(i) of this Article, and in accordance with Article 3(2), the impact of the change shall be assessed as a ratio calculated as follows:
− 
− | (a) | in the numerator, the difference in the risk-weighted exposure amounts for credit and dilution risk associated with the range of application of the internal rating system or the internal models approach to equity exposures before and after the change at the EU parent institution's consolidat…
− | --- | --- |
− 
− | (b) | in the denominator the overall risk-weighted exposure amounts for credit and dilution risk before the change at the EU parent institution's consolidated level or, respectively, at the institution level which is neither a parent institution, nor a subsidiary. |
− | --- | --- |
+ **3.** For the purposes of paragraph (1)(c)(ii) of this Article, and in accordance with Article 3(2), the impact of the change shall be assessed as a ratio calculated as follows:(a) in the numerator, the difference in the risk-weighted exposure amounts for credit and dilution risk associated with th…
− 3. For the purposes of paragraph (1)(c)(ii) of this Article, and in accordance with Article 3(2), the impact of the change shall be assessed as a ratio calculated as follows:
− | (a) | in the numerator, the difference in the risk-weighted exposure amounts for credit and dilution risk associated with the range of application of the internal rating system or the internal models approach to equity exposures before and after the change; |
− | --- | --- |
− 
− | (b) | in the denominator, the risk-weighted exposure amounts for credit and dilution risk before the change associated with the range of application of the rating system or the internal models approach to equity exposures. |
− | --- | --- |
− 
+ ### Article 5 — Changes to the IRB approach not considered material
− ### art_5
+ **1.** Changes to the IRB approach, which are not material but are to be notified to competent authorities according to Article 143(4) of Regulation (EU) No 575/2013, shall be notified in the following manner:(a) changes which fulfil any of the following conditions shall be notified to competent aut…
− Article 5
+ **2.** For the purposes of paragraph (1)(a)(iii) of this Article, and in accordance with Article 3(2), the impact of the change shall be assessed as a ratio calculated as follows:(a) in the numerator, the difference in the risk-weighted exposure amounts for credit and dilution risk associated with t…
− 1. Changes to the IRB approach, which are not material but are to be notified to competent authorities according to Article 143(4) of Regulation (EU) No 575/2013, shall be notified in the following manner:
− 
− | (a) | changes which fulfil any of the following conditions shall be notified to competent authorities at least two months before their implementation:(i)changes described in Annex I, Part I, Section 2;(ii)changes described in Annex I, Part II, Section 2;(iii)changes which result in a decrease of a…
− | --- | --- |
− | (i) | changes described in Annex I, Part I, Section 2; |
− | (ii) | changes described in Annex I, Part II, Section 2; |
− | (iii) | changes which result in a decrease of at least 5 % of the risk-weighted exposure amounts for credit and dilution risk associated with the range of application of the internal rating system or internal models approach to equity exposures. |
− 
− | (b) | all other changes shall be notified to the competent authorities after their implementation at least on an annual basis. |
− | --- | --- |
− 
− 2. For the purposes of paragraph (1)(a)(iii) of this Article, and in accordance with Article 3(2), the impact of the change shall be assessed as a ratio calculated as follows:
− 
− | (a) | in the numerator, the difference in the risk-weighted exposure amounts for credit and dilution risk associated with the range of application of the internal rating system or the internal models approach to equity exposures before and after the change; |
− | --- | --- |
− 
− | (b) | in the denominator, the risk-weighted exposure amounts for credit and dilution risk before the change associated with the range of application of the rating system or the internal models approach to equity exposures. |
− | --- | --- |
− 
− ### art_6
+ ### Article 6 — Material extensions and changes to the AMA
− Article 6
+ **1.** Extensions and changes to the AMA shall be considered material, if they fulfil any of the following conditions:(a) they fall under any extensions described in Annex II, Part I, Section 1;(b) they fall under any changes described in Annex II, Part II, Section 1;(c) they result in either of the…
− 1. Extensions and changes to the AMA shall be considered material, if they fulfil any of the following conditions:
+ **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 a ratio calculated as follows:(a) in the numerator, the difference in the own funds requirements for operational risk associated with the scope of applicati…
− | (a) | they fall under any extensions described in Annex II, Part I, Section 1; |
− | --- | --- |
− 
− | (b) | they fall under any changes described in Annex II, Part II, Section 1; |
− | --- | --- |
− 
− | (c) | they result in either of the following:(i)in a decrease of 10 % or more of either of the following:—the overall EU parent institution's consolidated own funds requirements for operational risk,—the overall own funds requirements for operational risk in the case of an institution which is nei…
− | --- | --- |
− | (i) | in a decrease of 10 % or more of either of the following:—the overall EU parent institution's consolidated own funds requirements for operational risk,—the overall own funds requirements for operational risk in the case of an institution which is neither a parent institution, nor a subsidiar…
− | — | the overall EU parent institution's consolidated own funds requirements for operational risk, |
− | — | the overall own funds requirements for operational risk in the case of an institution which is neither a parent institution, nor a subsidiary; |
− | (ii) | in a decrease of 10 % or more of either of the following:—the overall own funds requirements for operational risk at the consolidated level of a parent institution which is not an EU parent institution,—the overall own funds requirements for operational risk of a subsidiary where the parent…
− | — | the overall own funds requirements for operational risk at the consolidated level of a parent institution which is not an EU parent institution, |
− | — | the overall own funds requirements for operational risk of a subsidiary where the parent institution has not received the permission to use the AMA. |
− 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 a ratio calculated as follows:
− 
− | (a) | in the numerator, the difference in the own funds requirements for operational risk associated with the scope of application of the AMA model before and after the extension or change at the EU parent institution's consolidated level or at the institution level which is neither a parent insti…
− | --- | --- |
− 
− | (b) | in the denominator, the overall own funds requirements for operational risk before the extension or change at the EU parent institution's consolidated level or, respectively, at the institution level which is neither a parent institution, nor a subsidiary. |
− | --- | --- |
− 
+ **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 a ratio calculated as follows:(a) in the numerator, the difference in the own funds requirements for operational risk associated with the scope of applicat…
− 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 a ratio calculated as follows:
− | (a) | in the numerator, the difference in the own funds requirements for operational risk associated with the scope of application of the model before and after the extension or change at the consolidated level of a parent institution which is not an EU parent institution or at the subsidiary leve…
− | --- | --- |
− 
− | (b) | in the denominator, the overall own funds requirements for operational risk before the extension or change at the consolidated level of a parent institution which is not an EU parent institution or, respectively, at the subsidiary level where the parent institution has not received the permi…
− | --- | --- |
− 
+ ### Article 7 — Extensions and changes to the AMA not considered material
− ### art_7
− 
− Article 7
+ (a) extensions and changes falling under Annex II, Part I, Section 2 and Part II, Section 2, shall be notified to competent authorities at least two months before their implementation;
− | (a) | extensions and changes falling under Annex II, Part I, Section 2 and Part II, Section 2, shall be notified to competent authorities at least two months before their implementation; |
− | --- | --- |
+ (b) all other extensions and changes shall be notified to the competent authorities after their implementation at least on an annual basis.
− | (b) | all other extensions and changes shall be notified to the competent authorities after their implementation at least on an annual basis. |
− | --- | --- |
+ ### Article 7a — Material extensions and changes to the IMA
− ### art_8
+ **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 ch…
− Article 8
+ **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 betw…
− 1. For extensions and changes to the IRB approach or to the AMA classified as requiring competent authorities' approval, institutions shall submit, together with the application, the following documentation:
+ **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…
− | (a) | description of the extension or change, its rationale and objective; |
− | --- | --- |
+ **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 test…
− | (b) | implementation date; |
− | --- | --- |
+ ### Article 7b — Extensions and changes to the IMA not considered material
− | (c) | scope of application affected by the model extension or change, with volume characteristics; |
− | --- | --- |
+ 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:
− | (d) | technical and process document(s); |
− | --- | --- |
+ (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;
− | (e) | reports of the institutions' independent review or validation; |
− | --- | --- |
+ (b) all other extensions and changes shall be notified to the competent authorities after implementation at least on an annual basis.
− | (f) | confirmation that the extension or change has been approved through the institution's approval processes by the competent bodies and date of approval; |
− | --- | --- |
+ ### Article 8 — Documentation of extensions and changes
− | (g) | where applicable, the quantitative impact of the change or extension on the risk weighted exposure amounts or the own funds requirements; |
− | --- | --- |
+ **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…
− | (h) | records of the institution's current and previous version number of internal models which are subject to approval. |
− | --- | --- |
+ **2.** For extensions and changes classified as requiring notification either before or after implementation, institutions shall submit, together with the notification, the documentation referred to in points (a), (b), (c), (f) and (g) of paragraph 1.
− 2. For extensions and changes classified as requiring notification either before or after implementation, institutions shall submit, together with the notification, the documentation referred to in points (a), (b), (c), (f) and (g) of paragraph 1.
+ ### Article 9 — Entry into force
− ### art_9
+ This Regulation shall enter into force on the twentieth day following that of its publication in the *Official Journal of the European Union*.
− Article 9
− 
− This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.