Where institutions calculate a stress scenario risk measure for more than one non-modellable risk factor, they shall determine the extreme scenario of future shock for the non-modellable standardised bucket to which those risk factors belong in accordance with Delegated Regulation (EU) 2022/2060 by applying either of the following methods:
the direct method set out in Article 5, provided that all of the following conditions are met:
institutions have defined criteria to determine whether to use the direct method referred to in Article 5 or the stepwise method referred to in Article 6, and those criteria are consistent over time;
for the purposes of point (a)(i), institutions document any change from the direct method to the stepwise method, and vice versa, including a justification of such change;
in addition to use of the direct method, institutions complementarily identify the extreme scenario of future shock in accordance with the stepwise method referred to in point (b) on a daily basis for 20 business days preceding each date for which the own funds requirements for market risk are reported;
the number of losses in the time series of losses referred to in Article 5(1), point (a)(iv), is equal to or greater than 200;
the stepwise method set out in Article 6.