Article 4
Criteria for the assessment of the modellability of risk factors that belong to a curve, a surface or a cube
1. Risk factors for the positions referred to in Article 325be(1) of Regulation (EU) No 575/2013 that belong to a curve, surface or cube shall be assessed as modellable by applying the following steps in the following order:
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(a) |
for each curve, surface or cube, the institution determines the relevant buckets of risk factors in accordance with Article 5 of this Regulation; |
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(b) |
the institution determines the modellability of the relevant buckets referred to in point (a) in accordance with paragraph 2; |
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(c) |
the institution considers as modellable any risk factor that belongs to a bucket that has been considered modellable in accordance with paragraph 2. |
2. The criteria for assessing whether a bucket is modellable shall be either of the following:
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(a) |
over an observation period of 12 months ending at the previous reporting reference date referred to in Article 2(1), point (b), of Implementing Regulation (EU) 2021/451:
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(b) |
over the observation period of 12 months referred to in point (a), the institution has identified for that bucket the existence of at least 100 prices which are verifiable in accordance with Article 2 of this Regulation, which have distinct observation dates and which are allocated to that bucket. |
3. An institution may replace the 12-month period referred to in paragraph 2 by a 12-month period ending no earlier than one month before the previous reporting reference date referred to in Article 2(1), point (b), of Implementing Regulation (EU) 2021/451, (‘shifted period’) where all of the following conditions are met:
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(a) |
the institution applies that shifted period consistently across all the buckets of a curve, a surface or a cube; |
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(b) |
the institution applies that shifted period consistently over time; |
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(c) |
the institution provides its competent authority with a detailed description of the application of that shifted period. |
4. A verifiable price shall be allocated to a bucket where it is representative in accordance with Article 3 of this Regulation for a risk factor that belongs to that bucket.
5. For the purposes of paragraph 4, an institution may consider as a risk factor any point of the curve, surface or cube belonging to the bucket, regardless of whether such point is a risk factor included in its risk-measurement model.