Article 69
Data quality
1. When assessing the data quality used for the calculation of own funds requirements referred to in Article 144(1)(g) of Regulation (EU) No 575/2013, in addition to the requirements in Article 73, competent authorities shall verify the mechanisms and procedures implemented by the institution for identifying the exposure values with all relevant characteristics, including data relating to risk parameters and credit risk mitigation techniques. Competent authorities shall verify that:
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(a) |
the risk parameters are complete, including in cases where missing parameters are substituted by default values, and that where such a substitution has taken place, it is conservative, justified and documented; |
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(b) |
the range of the parameter values complies with the regulatory and minimum values specified in Articles 160 to 164 of Regulation (EU) No 575/2013; |
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(c) |
the data used in the calculation of own funds requirements is consistent with the data used in other internal processes; |
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(d) |
the application of risk parameters is in accordance with the exposure characteristics, and in particular that the LGD assigned is accurate and consistent with the type of exposure and collateral used to secure the exposure in accordance with Article 164 and Article 230(2) of Regulation (EU) No 575/2013; |
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(e) |
the calculation of the exposure value is correct, and in particular the netting agreements and the classification of off-balance sheet items are used in accordance with Article 166 of Regulation (EU) No 575/2013; |
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(f) |
where the PD/LGD method is applied for equity exposures, the classification of the exposures and the application of risk parameters is correct in accordance with Article 165 of Regulation (EU) No 575/2013. |
2. When assessing the coherence of the data used for the calculation of own funds requirements with the data used for internal purposes in accordance with Articles 18 to 22 on assessment methodology for use test and experience test, competent authorities shall verify that:
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(a) |
there are adequate control and reconciliation mechanisms in place to ensure that the values of risk parameters used in the calculation of own funds requirements are consistent with the value of parameters used for internal purposes; |
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(b) |
there are adequate control and reconciliation mechanisms in place to ensure that the value of exposures for which the own funds requirements are calculated is consistent with the accounting data; |
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(c) |
the calculation of own funds requirements for all exposures included in the general ledger of the institution is complete, and that the split between the exposures under the IRB Approach and the Standardised Approach complies with Articles 148 and 150 of Regulation (EU) No 575/2013. |