Article 15 | Delegated Regulation 2022/439

Article 15 - Management reporting

Article 15

Management reporting

When assessing the adequacy of the management reporting as referred to in Article 189 of Regulation (EU) No 575/2013, competent authorities shall verify that:

(a)

the management reporting includes information about all of the following:

(i)	the risk profile of the obligors or exposures, by grade;

(ii)	the migration across grades;

(iii)

an estimation of the relevant risk parameters per grade;

(iv)	a comparison of realised default rates, and, where own estimates are used, of realised LGDs and realised conversion factors against expectations;

(v)	stress test assumptions and results;

(vi)	the performance of the rating process, areas needing improvement and the status of efforts to improve previously identified deficiencies of the rating systems;

(vii)

validation reports;

(b)	the form and the frequency of management reporting are adequate having regard to the significance and the type of the information and to the level the recipient occupies in the hierarchy, taking into account the institution’s organisational structure;

(c)	the management reporting facilitates the senior management’s monitoring of the credit risk in the overall portfolio of exposures covered by the IRB Approach;

(d)	the management reporting is proportionate to the nature, size, and degree of complexity of the institution’s business and organisational structure.

Recitals

CHAPTER 1 - GENERAL PROVISIONS ON THE ASSESSMENT METHODOLOGY (Article 1-5)

CHAPTER 2 - ASSESSMENT METHODOLOGY FOR SEQUENTIAL IMPLEMENTATION PLANS AND PERMANENT PARTIAL USE OF THE STANDARDISED APPROACH (Article 6-8)

CHAPTER 3 - ASSESSMENT METHODOLOGY FOR THE FUNCTION OF VALIDATION OF INTERNAL ESTIMATES AND OF THE INTERNAL GOVERNANCE AND OVERSIGHT OF AN INSTITUTION (Article 9-17)

SECTION 1 - General provisions (Article 9)

SECTION 2 - Methodology for assessing the validation function (Article 10-13)

SECTION 3 - Methodology for assessing internal governance and oversight (Article 14-17)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 - ASSESSMENT METHODOLOGY FOR USE TEST AND EXPERIENCE TEST (Article 18-22)

CHAPTER 5 - ASSESSMENT METHODOLOGY FOR ASSIGNMENT OF EXPOSURES TO GRADES OR POOLS (Article 23-25)

CHAPTER 6 - ASSESSMENT METHODOLOGY FOR IDENTIFICATION OF DEFAULTS (Article 26-29)

CHAPTER 7 - ASSESSMENT METHODOLOGY FOR RATING SYSTEMS DESIGN, OPERATIONAL DETAILS AND DOCUMENTATION (Article 30-40)

CHAPTER 8 - ASSESSMENT METHODOLOGY FOR RISK QUANTIFICATION (Article 41-58)

CHAPTER 9 - ASSESSMENT METHODOLOGY FOR ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES (Article 59-62)

CHAPTER 10 - ASSESSMENT METHODOLOGY FOR STRESS TEST USED IN ASSESSMENT OF CAPITAL ADEQUACY (Article 63-66)

CHAPTER 11 - ASSESSMENT METHODOLOGY FOR THE CALCULATION OF OWN FUNDS REQUIREMENTS (Article 67-71)

CHAPTER 12 - ASSESSMENT METHODOLOGY FOR DATA MAINTENANCE (Article 72-75)

CHAPTER 13 - ASSESSMENT METHODOLOGY OF INTERNAL MODELS FOR EQUITY EXPOSURES (Article 76-82)

CHAPTER 14 - ASSESSMENT METHODOLOGY FOR MANAGEMENT OF CHANGES TO RATING SYSTEMS (Article 83-84)

CHAPTER 15 - FINAL PROVISION (Article 85)

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Article 15 - Management reporting

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