Article 3 | Delegated Regulation 2022/439

Article 3 - Quality of documentation

Article 3

Quality of documentation

1. In order to verify the compliance of the institution with the documentation requirement set out in point (e) of Article 144(1) of Regulation (EU) No 575/2013, competent authorities shall verify that the documentation of the rating systems as defined in point (1) of Article 142(1) of Regulation (EU) No 575/2013 (‘rating systems’):

(a)	is sufficiently detailed and accurate for it to be efficiently used;

(b)	is approved at the appropriate management level of the institution;

(c)	contains, with regard to each document, at least a record of the type of document, the author, the reviewer, the authorising agent, the owner, the dates of development and of approval, the version number and the history of changes to the document;

(d)

allows third parties to examine and confirm the functioning of the rating systems and, in particular, to examine and confirm that:

(i)

the documentation of the rating system design is sufficiently detailed to allow third parties to understand the reasoning behind all aspects of the rating system, including the assumptions, the mathematical formulas and, where human judgement is involved, the decisions, as well as the procedures for the development of the rating system;

(ii)	the documentation of the rating system is sufficiently detailed to allow third parties to understand the operation, limitations and key assumptions of each rating model and each risk parameter and to replicate the model development;

(iii)

the documentation of the rating process is sufficiently detailed to allow third parties to understand the method of assigning exposures to grades or pools and their actual assignment to grades or pools and to replicate the assignment.

2. For the purposes of paragraph 1, the competent authority shall verify that the institution has in place policies outlining specific standards for documentation ensuring:

(a)	that the internal documentation is sufficiently detailed and accurate;

(b)	that specific persons or units are assigned responsibility to ensure that the documentation is complete, consistent, accurate, updated, approved as appropriate and secure;

(c)	that the institution adequately documents its policies, procedures and methodologies relating to the application of the IRB Approach.

Recitals

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

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 3 - Quality of documentation

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