Article 46
Assessment of the scope of positions subject to default risk
1. When assessing whether an institution’s internal model is implemented with integrity in relation to the scope of positions subject to the own funds requirement for default risk referred to in Article 325bl of Regulation (EU) No 575/2013, competent authorities shall:
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(a) |
verify whether the institution’s internal systems ensure that all positions containing at least one risk factor mapped to the broad categories of risk factors ‘equity’ or ‘credit spread’, as referred to in Article 325bd(1) of Regulation (EU) No 575/2013, are included in the scope of the additional own funds requirement for default risk; |
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(b) |
obtain an overview of the default risk in the institution’s portfolio, by requiring the institution to provide an inventory of positions aggregated by one or more dimensions and the corresponding aggregated jump-to-default exposures. |
For the purposes of point (a), competent authorities shall verify the consistency between the mapping and the inventories referred to in Articles 33(1), 48(1) and Article 49(1).
For the purposes of point (b), competent authorities may, depending on the portfolio, require the institution to aggregate the positions by different dimensions, including by:
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(a) |
positions having the same rating; |
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(b) |
positions falling within the same exposure class; |
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(c) |
positions sharing the same systematic risk factors as those referred to in Article 325bp(1) of Regulation (EU) No 575/2013. |
2. For the purposes of paragraph 1, point (a), competent authorities may:
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(a) |
require the institution to provide the list of positions assigned to trading desks for which the institution has been granted the permission to use internal models referred to in Article 325az of Regulation (EU) No 575/2013 or is in the process of being granted such permission; |
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(b) |
require the institution to identify those positions containing a risk factor mapped to the broad category of risk factors ‘equity’ or the broad category of risk factors ‘credit spread’, as referred to in Article 325bd(1) of Regulation (EU) No 575/2013, and the corresponding traded debt or equity instrument in accordance with Article 325bi of that Regulation; |
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(c) |
verify the accuracy of the list referred to in point (a) and of the identification referred to in point (b); |
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(d) |
verify, on a sample of instruments identified in point (b), whether those instruments are in the scope of instruments included in the calculation of the own funds requirement for default risk. |