detected 2026-08-13 MODIFIED+18 −6§
no amending act named
applies from: unchanged
In point (e) of paragraph 1, the phrase referring to the verification required by point (d) was changed to say the verification required under point (d), with no other change to that provision.
In paragraph 7, the abbreviation EEPE used for the institution's estimation was expanded to read Effective EPE, with the surrounding wording otherwise unchanged.
Cited: Art. 292, v1 · Art. 292, v2
text before / after
32013R0575 → 02013R0575-20130628
Article 292
Integrity of the modelling process
1. An institution shall ensure the integrity of modelling process as set out in Article 284 by adopting at least the following measures:
(a) the model shall reflect transaction terms and specifications in a timely, complete, and conservative fashion;
(b) those terms shall include at least contract notional amounts, maturity, reference assets, margining arrangements and netting arrangements;
(c) those terms and specifications shall be maintained in a database that is subject to formal and periodic audit;
(d) a process for recognising netting arrangements that requires legal staff to verify that netting under those arrangements is legally enforceable;
(e) the verification required by under point (d) shall be entered into the database mentioned in point (c) by an independent unit;
(f) the transmission of transaction terms and specification data to the EPE model shall be subject to internal audit;
(g) there shall be processes for formal … 449 unchanged words … underlying the model are inappropriate and may therefore result in an understatement of EPE;
(b) include a review of the comprehensiveness of the model.
7. An institution shall monitor the relevant risks and have processes in place to adjust its estimation of EEPE Effective EPE when those risks become significant. In complying with this paragraph, the institution shall:
(a) identify and manage its exposures to Specific Wrong-Way risk arising as specified in Article 291(1)(b) and exposures to General Wrong-Way risk arising as specified in Article 291(1)(a);
(b) for exposures with a rising risk profile after one year, compare on a regular basis the estimate of a relevant measure of exposure over one year with the same exposure measure over the life of the exposure;
(c) for exposures with a residual maturity below one year, compare on a regular basis the replacement cost (current exposure) and the realised exposure profile, and store data that would allow such a comparison.
8. An institution shall have internal procedures to verify that, prior to including a transaction in a netting set, the transaction is covered by a legally enforceable netting contract that meets the requirements set out in Section 7.
9. An institution that uses collateral to mitigate its CCR shall have internal procedures to verify that, prior to recognising the effect of collateral in its calculations, the collateral meets the legal certainty standards set out in Chapter 4.
10. EBA shall monitor the range of practices in this area and shall, in accordance with Article 16 of Regulation (EU) No 1093/2010, issue guidelines on the application of this Article.