Article 33 | Delegated Regulation 2022/439

Article 33 - Risk drivers and rating criteria

Article 33

Risk drivers and rating criteria

1. When assessing the risk drivers and rating criteria used in the rating system for the purposes of Article 170(1), point (a), (c) and (e), (3), point (a), and (4) of Regulation (EU) No 575/2013, competent authorities shall verify all of the following:

(a)	the selection process of the relevant risk drivers and rating criteria, including the definition of potential risk drivers, criteria for selection of risk drivers and decisions taken on the relevant risk drivers;

(b)	the consistency of the selected risk drivers and rating criteria and their contribution to the risk assessment with the expectations of the business users of the rating system;

(c)	the consistency of the risk drivers and rating criteria selected on the basis of statistical methods with the statistical evidence on risk differentiation associated with each grade or pool.

2. The potential risk drivers and rating criteria to be analysed in accordance with paragraph 1(a) shall include the following, where available for the type of exposures:

(a)

obligor risk characteristics, including:

(i)	for exposures to corporates and institutions: financial statements, qualitative information, industry risk, country risk, support from parent entity;

(ii)	for retail exposures: financial statements or personal income information, qualitative information, behavioural information, socio- demographic information;

(b)	transaction risk characteristics, including type of product, type of collateral, seniority, loan-to-value ratio;

(c)	information on delinquency: internal information or information derived from external sources, such as credit bureaus.

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)

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)

SECTION 1 - General (Article 30)

SECTION 2 - Methodology for assessing the documentation on the rationale, design and operational details of rating systems (Article 31-32)

SECTION 3 - Methodology for assessing the structure of rating systems (Article 33-36)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

SECTION 4 - Methodology for assessing specific requirements for statistical models or other mechanical methods (Article 37-40)

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 33 - Risk drivers and rating criteria

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