Chapter 1, Article 2, Paragraph 1. · Commission Delegated Regulation (EU) 2025/1311

Contents

1.Institutions shall categorise changes to the use of their alternative internal models as material, as referred to in Article 1(1), point (a), where those changes fulfil any of the following conditions:

(a)they meet any of the qualitative criteria set out in Part I of the Annex;

(b)they result in a change equal to or higher than 1 %, in absolute terms, calculated for the first business day of the testing of the impact of the change, of any of the risk numbers Rn_i as set out in paragraph 4 which are considered relevant pursuant to paragraph 5, and result in any of the following:

(i)an increase equal to or higher than 15 %, in absolute terms, of the following sum:SIMARn1 × mc + Rn2 + Rn3where Rn₁, Rn₂ and Rn₃ are the risk numbers referred to in paragraph 4 of this Article, respectively, and m_c is the multiplication factor referred to in Article 325ba(1), point (b)(i), of Regulation (EU) No 575/2013;

(ii)a decrease of 10 % or more, in absolute terms, of the sum S_IMA referred to in point (b)(i) of this paragraph;

(iii)an increase equal to or higher than 20 %, in absolute terms, of any of the risk numbers Rn_i referred to in paragraph 4 which are considered relevant pursuant to paragraph 5;

(iv)a decrease equal to or higher than 15 %, in absolute terms, of any of the risk numbers Rn_i referred to in point (b)(iii) of this paragraph.