in force 2025-01-01 MODIFIED+2,959 −1,686§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
The provision was rewritten from a single unstructured list of disclosure items about internal models for calculating capital requirements under Article 363 into three numbered paragraphs tied to the internal models referred to in Article 325az.
Paragraph 1 now sets out disclosure items such as trading objectives, trading book inclusion policies, trading desk structures, coverage by internal models, governance of market risk, and modelling choices for expected shortfall, stress scenario risk measures and default risk charge, replacing the earlier items on sub-portfolio characteristics, methodologies, stress testing and back-testing descriptions.
Paragraph 2 introduces aggregate disclosure of specific quantitative measures such as expected shortfall values, stress scenario risk measures, default risk own funds requirements and back-testing overshootings, while paragraph 3 adds disclosure of the own funds requirements that would apply under Part Three Title IV Chapter 1a absent permission to use internal models, replacing the former items on scope of permission, compliance descriptions, value-at-risk statistics and liquidity horizon comparisons.
Cited: Art. 455, v1 · Art. 455, v2
text before / after
texts differ too much for an inline diff; shown separately
before (02013R0575-20240709)
Article 455 Use of internal market risk models Institutions calculating their capital requirements in accordance with Article 363 shall disclose the following information: (a) for each sub-portfolio covered: (i) the characteristics of the models used; (ii) where applicable, for the internal models for incremental default and migration risk and for correlation trading, the methodologies used and the risks measured through the use of an internal model including a description of the approach used by the institution to determine liquidity horizons, the methodologies used to achieve a capital assessment that is consistent with the required soundness standard and the approaches used in the validation of the model; (iii) a description of stress testing applied to the sub-portfolio; (iv) a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes; (b) the scope of permission by the competent authority; (c) a description of the extent and methodologies for compliance with the requirements set out in Articles 104 and 105; (d) the highest, the lowest and the mean of the following: (i) the daily value-at-risk measures over the reporting period and at the end of the reporting period; (ii) the stressed value-at-risk measures over the reporting period and at the end of the reporting period; (iii) the risk numbers for incremental default and migration risk and for the specific risk of the correlation trading portfolio over the reporting period and at the end of the reporting period; (e) the elements of the own funds requirement as specified in Article 364; (f) the weighted average liquidity horizon for each sub-portfolio covered by the internal models for incremental default and migration risk and for correlation trading; (g) a comparison of the daily end-of-day value-at-risk measures to the one-day changes of the portfolio's value by the end of the subsequent business day together with an analysis of any important overshooting during the reporting period.
after (02013R0575-20250101)
Article 455 Use of internal models for market risk 1. An institution using the internal models referred to in Article 325az for the calculation of the own funds requirements for market risk shall disclose: (a) its objectives in undertaking trading activities and the processes implemented to identify, measure, monitor and control the market risk; (b) the policies referred to in Article 104(1) for determining which position is to be included in the trading book; (c) a general description of the structure of the trading desks covered by the internal models, including for each desk a broad description of the desk’s business strategy, the instruments permitted therein and the main risk types in relation to that desk; (d) an overview of the trading book positions not covered by the internal models, including a general description of the desk structure and of types of instruments included in the desks or in the desk categories in accordance with Article 104b; (e) the structure and organisation of the market risk management function and governance; (f) the scope, the main characteristics and the key modelling choices of the different internal models used to calculate the risk exposure amounts for the main models used at the consolidated level, and a description of the extent to which those internal models represent the models used at the consolidated level, including, where applicable, a broad description of the following: (i) the modelling approach used to calculate the expected shortfall referred to in Article 325ba(1), point (a), including the frequency of data update; (ii) the methodology used to calculate the stress scenario risk measure referred to in Article 325ba(1), point (b), other than the specifications provided for in Article 325bk(3); (iii) the modelling approach used to calculate the default risk charge referred to in Article 325ba(2), including the frequency of data update. 2. Institutions shall disclose on an aggregate basis for all trading desks covered by the internal models referred to in Article 325az the following components, where applicable: (a) the most recent value as well as the highest, lowest and mean value for the previous 60 business days of: (i) the unconstrained expected shortfall measure referred to in Article 325bb(1); (ii) the unconstrained expected shortfall measure referred to in Article 325bb(1) for each regulatory broad risk factor category; (b) the most recent value as well as the mean value for the previous 60 business days of: (i) the expected shortfall risk measure referred to in Article 325bb(1); (ii) the stress scenario risk measure referred to in Article 325ba(1), point (b); (iii) the own funds requirement for default risk referred to in Article 325ba(2); (iv) the sum of the own funds requirements referred to in Article 325ba(3), including all components of the formula and the applicable multiplier factor; (c) the number of back-testing overshootings over the most recent 250 business days at the 99th percentile as referred to in Article 325bf(6). 3. Institutions shall disclose on an aggregate basis for all trading desks the own funds requirements for market risk that would be calculated in accordance with Part Three Title IV, Chapter 1a, had the institutions not been granted permission to use their internal models for those trading desks.