Contents
- 1. Risk factors for the positions referred to in Article 325b…
- 2. The criteria for assessing whether a bucket is modellable…
- 3. An institution may replace the 12-month period referred to…
- 4. A verifiable price shall be allocated to a bucket where it…
- 5. For the purposes of paragraph 4, an institution may consid…
3.An institution may replace the 12-month period referred to in paragraph 2 by a 12-month period ending no earlier than one month before the previous reporting reference date referred to in Article 2(1), point (b), of Implementing Regulation (EU) 2021/451, (‘shifted period’) where all of the following conditions are met:
(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.
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