1. Institutions shall categorise changes to the institution’s choice of the subset of modellable risk factors referred to in Article 325bc of Regulation (EU) No 575/2013 as material, in accordance with Article 4(1), point (a), of this Regulation, where that change results in both of the following:
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 to the institution’s choice of the subset of modellable risk factors, of the risk numberRn1referred to in Article 2(4), point (a);
any of the following:(i)an increase equal to or higher than 15 %, in absolute terms, of the sumSIMAreferred to in Article 2(1), point (b)(i);(ii)a decrease equal to or higher than 10 %, in absolute terms, of the sumSIMAreferred to in Article 2(1), point (b)(i);(iii)an increase equal to or higher than 20 %, in absolute terms, of the risk numberRn1referred to in Article 2(4), point (a);(iv)a decrease equal to or higher than 15 %, in absolute terms, of the risk numberRn1referred to in Article 2(4), point (a);(v)a decrease of the ratio set out in paragraph 4, which leads to the following condition being met:whereRchangeis the ratio set out in paragraph 4 with the implementation of the change to the choice of the subset of modellable risk factors.
an increase equal to or higher than 15 %, in absolute terms, of the sumSIMAreferred to in Article 2(1), point (b)(i);
a decrease equal to or higher than 10 %, in absolute terms, of the sumSIMAreferred to in Article 2(1), point (b)(i);
an increase equal to or higher than 20 %, in absolute terms, of the risk numberRn1referred to in Article 2(4), point (a);
a decrease equal to or higher than 15 %, in absolute terms, of the risk numberRn1referred to in Article 2(4), point (a);
a decrease of the ratio set out in paragraph 4, which leads to the following condition being met:whereRchangeis the ratio set out in paragraph 4 with the implementation of the change to the choice of the subset of modellable risk factors.
R_{\mathrm{change}} 80\%
2. By way of derogation from paragraph 1, institutions shall not consider as material changes to their choice of subset of modellable risk factors that were requested by their competent authority.
3. By way of derogation from paragraph 1, institutions shall consider changes to their choice of the subset of modellable risk factors that follow from a failure to meet the requirement set out in Article 325bc(2), point (a), of Regulation (EU) No 575/2013 as non-material changes to be notified with basic information.
4. For the purposes of paragraph 1, point (b)(v), institutions shall calculate the ratio R change in accordance with the following formula:
R_{\mathrm{change}} = \frac{1}{15} \times \sum_{k=0}^{14} \frac{\mathrm{PES}_{t+k}^{\mathrm{RC}}}{\mathrm{PES}_{t+k}^{\mathrm{FC}}}
where institutions shall calculate PESt+k RC and PESt+k FC in accordance with Article 325bc(3) and (4) of Regulation (EU) No 575/2013, and where t shall be the first business day of the testing of the impact of the change to the institution’s choice of the subset of modellable risk factors, and where the sum shall be taken over the 15 consecutive business days period referred to in Article 2(9) of this Regulation.
5. To assess whether the conditions referred to in in paragraph 1, points (b)(i) or (b)(iii) are fulfilled, institutions shall determine the impact of the change to their choice of subset of modellable risk factors by taking the highest increase, in absolute terms over the period referred to in Article 2(9), of the ratios referred to in Article 2(7) or (8), respectively. To assess whether the conditions referred to in paragraph 1, points (b)(ii) or (b)(iv) are fulfilled, institutions shall determine the impact of the change to their choice of subset of modellable risk factors by taking the highest decrease, in absolute terms over the period referred to in Article 2(9), of the ratios referred to in Article 2(7) or (8), respectively.