(a) the technical specification of the final model structure including final model specifications, input components including type and format of selected variables, weights applied for variables and output components including type and format of output data;
(b) references to the computer codes and tools used in terms of IT languages and programs allowing a third party to reproduce the final results.
For the purposes of point (b), the third party may be the vendor in the case of vendor models.
7. For the purposes of the verification under paragraph 1(f), competent authorities shall verify that the documentation includes a description of the weaknesses and limitations of the model, an assessment of whether the key assumptions of the model are met and an anticipation of situations where the model may perform below expectations or become inadequate, as well as an assessment of the significance of model weaknesses and possible mitigating factors thereof.
8. For the purposes of the verification under paragraph 1(g), competent authorities shall verify that:
(a) the documentation specifies the process to be followed when a new or changed model is implemented in the production environment;
(b) the documentation covers the results of the tests of the implementation of the rating models in the IT systems, including the confirmation that the rating model implemented in the production system is the same as the one described in the documentation and is operating as intended.
9. For the purposes of the verification under paragraph 1(h), competent authorities shall verify that the institution’s self-assessment of compliance with regulatory requirements for the IRB Approach is performed separately for each rating system and is reviewed by the internal audit or another comparable independent auditing unit.
Article 32
Register of rating systems
1. When assessing the documentation system and procedures for gathering and storing the information on the rating systems as referred to in Articles 144(1)(e) and 175 of Regulation (EU) No 575/2013, competent authorities shall verify that the institution has implemented and maintains a register of all current and past versions of the rating systems for at least the last three years (‘register of rating systems’).
2. For the purposes of paragraph 1, competent authorities shall verify that the procedures for maintaining the register of rating systems include a recording of the following information in respect of each version:
(a) the range of application of the rating system, specifying which type of exposures is to be rated by each rating model;
(b) the management responsible for the approval and date of internal approval, the date of notifying to the competent authorities, the date of the approval by the competent authorities, where applicable, and the date of implementation of the version;
(c) a brief description of any changes relative to the previous version that has been considered in the register, including a description of the aspects of the rating system which have been changed and a reference to the model documentation;
(d) the change category assigned in accordance with Delegated Regulation (EU) No 529/2014 and a reference to the criteria for assignment to a change category.
SECTION 3
Methodology for assessing the structure of rating systems
Article 33
Risk drivers and rating criteria
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