Version in force , Inserted +1,996 −0§
Amended by Regulation (EU) 2026/1221 32026R1221 on EUR-Lex (external, EUR-Lex)
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A new Article 495j has been added, permitting institutions, by derogation from Articles 1(1) and 4(2) of Delegated Regulation (EU) 2022/2060 and until 31 December 2029, to treat as modellable a risk factor for which at least two verifiable prices have been identified over the specified observation periods.
The new article also sets out how a liquidity horizon is assigned to such risk factors, based on the number of verifiable prices identified, with a floor equal to the liquidity horizon that would otherwise apply, and states how these risk factors and other non-modellable risk factors are to be included in the calculations under Articles 325bb and 325bk.
Cited: Art. 495j, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex
Inserted in this version 02013R0575-20270101
Article 495j Transitional operational relief measure on own funds requirements for non-modellable risk factors 1. By way of derogation from Articles 1(1) and Article 4(2) of Commission Delegated Regulation (EU) 2022/2060 Commission Delegated Regulation (EU) 2022/2060 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the criteria for assessing the modellability of risk factors under the internal model approach (IMA) and specifying the frequency of that assessment under Article 325be(3) of that Regulation (OJ L 276, 26.10.2022, p. 60, ELI: http://data.europa.eu/eli/reg_del/2022/2060/oj). and until 31 December 2029, institutions may assess as modellable for the purposes of Article 325be of this Regulation a risk factor for which the institution has identified at least two verifiable prices over the observation periods referred to in Article 1(1) and (2) and Article 4(2) and (3) of Delegated Regulation (EU) 2022/2060. 2. Institutions shall assign to the risk factors referred to in paragraph 1 a liquidity horizon equal to 250 divided by the number of verifiable prices identified in accordance with Delegated Regulation (EU) 2022/2060, rounded to the nearest longer liquidity horizon set out in Table 2 of Article 325bd of this Regulation. The liquidity horizon assigned in accordance with the first subparagraph shall not be shorter than the liquidity horizon that would be assigned to the risk factor, if the number of verifiable prices was sufficient to assess the risk factor as modellable in accordance with Article 1(1) and (2) and Article 4(2) and (3) of Delegated Regulation (EU) 2022/2060. 3. Institutions shall include in the calculation referred to Article 325bb all those risk factors that are considered modellable pursuant to paragraph 1. Institutions shall include other non-modellable risk factors in the scope of the calculations laid down in Article 325bk.