(a)

over an observation period of 12 months ending at the previous reporting reference date referred to in Article 2(1), point (b), of Commission Implementing Regulation (EU) 2021/451 (3), both of the following conditions are met:

(b)

over the observation period of 12 months referred to in point (a), the institution has identified for that risk factor the existence of at least 100 prices which are verifiable in accordance with Article 2 of this Regulation, which have distinct observation dates and which are considered representative of that risk factor in accordance with Article 3 of this Regulation.

(a)

the institution applies that shifted period consistently across all risk factors of the same type as the risk factor concerned;

(b)

the institution applies that shifted period consistently over time;

(c)

the institution provides the competent authority with a detailed description of the application of that shifted period.

(a)

the price is obtained from a transaction to which the institution was one of the parties and which was entered into at arm’s length;

(b)

the price is obtained from a transaction which was entered into by third parties at arm’s length and that meets all the conditions set out in paragraph 5;

(c)

the price is obtained from actual bona fide competitive bid and offer quotations provided at arm’s length by the institution itself or by third parties, the values at which the institution or the third parties have committed to execute a transaction in accordance with trade custom and that meets all the conditions set out in paragraph 5.

(a)

the price is obtained from a transaction or bid and offer quotations between two entities of the same group;

(b)

the price is obtained from a transaction or bid and offer quotations of a negligible volume as compared to usual volume of transactions or quotations reflective of current market conditions;

(c)

the price is obtained from quotations with a bid-offer spread that deviates substantially from bid-offer spreads reflective of current market conditions;

(d)

the price is obtained from a transaction that has been conducted with the sole purpose of identifying a sufficient number of verifiable prices that meet the criteria set out in Article 1 of this Regulation;

(e)

the price is obtained from quotations that have been committed with the sole purpose of identifying a sufficient number of verifiable prices that meet the criteria set out in Article 1 of this Regulation.

(a)

the transaction or quotations have been processed through, or collected by, a third-party vendor;

(b)

the third-party vendor or the institution has agreed to provide to the institution’s competent authority, where requested, evidence of the transaction or the quotations and evidence of the verifiability of the price obtained from that transaction or those quotations;

(c)

the third-party vendor has communicated to the institution the date on which the transaction or the quotations have been observed, and a minimum set of information on the transaction or the quotations to enable the institution to map the verifiable price to the risk factors for which that price obtained from that transaction or those quotations is representative in accordance with Article 3 of this Regulation;

(d)

the institution has verified that the third-party vendor is subject, at least annually, to an independent audit by a third-party undertaking, within the meaning of Article 325bi(1), second subparagraph, of Regulation (EU) No 575/2013, regarding the validity of its price information, governance and processes, and has access to audit results and reports, in order to be able to communicate to its competent authority, where requested, those results and reports.

(a)

whether the third-party vendor possesses the information necessary to check that the price is verifiable and to map the verifiable price to the risk factors for which that price is representative in accordance with Article 3 of this Regulation;

(b)

whether the third-party vendor is able to demonstrate the integrity of the information referred to in point (a);

(c)

whether the third-party vendor has in place internal processes and a sufficient number of staff with a level of skills appropriate for the management of the information referred to in point (a);

(d)

whether, where a third-party vendor does not provide the institution with the information necessary to check the verifiability of the price, the third-party vendor is contractually obliged to have checked the verifiability of the price.

(a)

there is a close relationship between the risk factor and the verifiable price;

(b)

the institution has specified a conceptually sound methodology to extract the value of the risk factor from the value of the verifiable price.

(a)

for each curve, surface or cube, the institution determines the relevant buckets of risk factors in accordance with Article 5 of this Regulation;

(b)

the institution determines the modellability of the relevant buckets referred to in point (a) in accordance with paragraph 2;

(c)

the institution considers as modellable any risk factor that belongs to a bucket that has been considered modellable in accordance with paragraph 2.

(a)

over an observation period of 12 months ending at the previous reporting reference date referred to in Article 2(1), point (b), of Implementing Regulation (EU) 2021/451:

(b)

over the observation period of 12 months referred to in point (a), the institution has identified for that bucket the existence of at least 100 prices which are verifiable in accordance with Article 2 of this Regulation, which have distinct observation dates and which are allocated to that bucket.

(a)

the institution applies that shifted period consistently across all the buckets of a curve, a surface or a cube;

(b)

the institution applies that shifted period consistently over time;

(c)

the institution provides its competent authority with a detailed description of the application of that shifted period.

(a)

the nine buckets referred to in row i of Table 1 of paragraph 3 for risk factors with one maturity dimension ‘t’ , expressed in years, which have been assigned to the following broad risk factor categories:

(b)

the six buckets referred to in row ii of Table 1 of paragraph 3 for each maturity dimension ‘t’ of risk factors with more than one maturity dimension, expressed in years, which have been assigned to the following broad risk factor categories:

(c)

the five buckets referred to in row iii of Table 1 of paragraph 3 for each maturity dimension ‘t’ for risk factors with one or several maturity dimensions, expressed in years, which have been assigned to the following broad risk factor categories:

(d)

the five buckets referred to in row iv of Table 1 of paragraph 3 for any risk factors with one or several moneyness dimensions, as expressed using the options’ delta (‘δ ’ );

(e)

the five buckets referred to in row iii of Table 1 of paragraph 3 and the five buckets referred to in row iv of Table 1 of paragraph 3 for risk factors which have been assigned to the following broad risk factor categories:

(f)

the six buckets referred to in row ii of Table 1 of paragraph 3, the five buckets referred to in row iii of Table 1 of paragraph 3 and the five buckets referred to in row iv of Table 1 of paragraph 3 for risk factors assigned to the broad risk factor category ‘interest rate’ and to the broad risk factor subcategory ‘volatility’ with a maturity, expiry and moneyness dimension.

(a)

the buckets cover the whole curve, surface or cube;

(b)

the buckets are non-overlapping;

(c)

each bucket contains exactly one risk factor that is part of the calculation of the theoretical changes in the portfolio’s value of one of the trading desks of the institution to assess compliance with the profit and loss attribution requirements laid down in Article 325bg of Regulation (EU) No 575/2013.

(a)

the institution does not have exposure to any risk factor belonging to the bucket corresponding to the longer maturities and hence does not use any of these risk factors within its risk-management model;

(b)

any verifiable price is only counted in a single maturity bucket;

(c)

any verifiable price is only reallocated once.

(a)

those institutions identify the set of points of the curve, the surface or the cube that were used to calibrate the parametric function;

(b)

those institutions apply the bucketing approach set out in Article 5(2) as if the risk factors in their risk-measurement model were the points identified pursuant to point (a);

(c)

those institutions assess, in accordance with Article 4, paragraphs 2 and 3, the modellability of the buckets resulting from the application of the bucketing approach set out in Article 5(2), as if the risk factors in their risk-measurement model were the points identified in accordance with point (a).

(a)

the set and description of the risk factors in their internal risk-measurement model subject to the modellability assessment;

(b)

the sources of verifiable price information used to assess the modellability of risk factors;

(c)

the criteria for a price to be considered verifiable in accordance with Article 2, including an outline of how the institution assesses whether the volume of a transaction or of a committed quote is non-negligible as referred to in Article 2(2), point (b), and whether the bid-offer spread of a quote is reasonable as referred to in Article 2(2), point (c);

(d)

the mapping process and the criteria used to determine the representativeness of verifiable prices for risk factors as referred to in Article 3, including an outline of the methodology specified for the extraction of the value of the risk factor from the verifiable prices and any additional input the methodology potentially requires;

(e)

the modellability assessment for parametric curves, surfaces or cubes as referred to in Article 6;

(f)

the use of the bucketing approaches referred to in Article 5, also specifying whether and how the institution applies Article 5(5);

(g)

the use of the 12-month shifted period in accordance with Article 1(2) or with Article 4(3).