Article 9
Documentation of extensions and changes to the use of the alternative internal models and changes to the institution’s choice of the subset of modellable risk factors
1. Institutions shall, when they ask their competent authority for a permission as referred to in Article 325az(7), first subparagraph, of Regulation (EU) No 575/2013, provide their competent authority, with all of the following documentation:
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(a) |
a description of the extension or change to the use of their alternative internal models, or of the change to their choice of the subset of modellable risk factors, and a description of the rationale and objective of that extension or change; |
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(b) |
the implementation date of such extension or change; |
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(c) |
the scope of trading desks affected by the extension or change to the use of the alternative internal model or the change to the institution’s choice of the subset of modellable risk factors including information on the trading volume of those desks; |
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(d) |
technical and process documents; |
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(e) |
reports of the institutions’ independent review or validation; |
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(f) |
a confirmation that the competent body of the institution has, through the institution’s approval processes, approved the extension or change to the use of the alternative internal model or the change to the institution’s choice of the subset of modellable risk factors, and the date of that approval; |
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(g) |
where applicable, any relevant one of the following, together with a justification of representativeness of the period of 15 consecutive business days selected for the quantitative impact:
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(h) |
information about the potential impact on trading desks that do not fulfil all the requirements of Article 325az(2) of Regulation (EU) No 575/2013 when the institution asks its competent authority for a permission as referred to in Article 325az(7), first subparagraph, of Regulation (EU) No 575/2013, or notifies its competent authority in accordance with Article 325az(7), second subparagraph, of that Regulation, including an estimate of the quantitative impact on the relevant risk numbers Rn i referred to in Article 2(4) of this Regulation; |
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(i) |
records of the current and previous version number of the institution’s alternative internal models concerned. |
2. For non-material extensions or changes to be notified with additional information, as referred to in Article 1(2), point (a), and Article 4(2), point (a), institutions shall submit, together with the notification, all the documentation referred to in paragraph 1, points (a) to (i), of this Article.
3. For non-material extensions or changes to be notified with basic information, as referred to in Article 1(2), point (b), and Article 4(2), point (b), institutions shall submit, together with the notification, the documentation referred to in paragraph 1, points (a), (b) and (c) and points (f) to (i), of this Article.
4. The reports of the institutions’ independent review or validation referred to in paragraph 1, point (e), of this Article shall contain all the following:
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(a) |
a verification of the materiality assessment and of the representativeness of the period of 15 consecutive business days used; |
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(b) |
a critical review of the characteristics of the extension or change to the use of the alternative internal model, or change to the institution’s choice of the subset of modellable risk factors, performed in accordance with Article 325bi(2) and Article 325bj of Regulation (EU) No 575/2013; |
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(c) |
a plan for a timely implementation of necessary corrective measures suggested as part of the independent review or validation process. |