Article 1(6).

'ANNEX III Extensions and changes to the IMA

PART I EXTENSIONS TO THE IMA

Section 1 Extensions requiring competent authorities' approval ("material")

1. Extension of the market risk model to an additional location in another jurisdiction, including extending the market risk model to the positions of a desk located in a different time zone, or for which different front office or IT systems are used.

2. Integration in the scope of an IMA model of product classes, for which the VaR number, computed according to Article 364(1)(a)(i) of Regulation (EU) No 575/2013, exceeds 5 % of the VaR number, computed according to Article 364(1)(a)(i) of Regulation (EU) No 575/2013, of the total portfolio forming the scope of that IMA model before the integration.

3. Any reverse extensions such as cases where the institutions aim at applying the standardized method to risk categories for which they are granted permission to use an internal market risk model.

Section 2 Extensions requiring ex ante notification to competent authorities

The inclusion in the scope of an IMA model of product classes requiring other risk modelling techniques than those forming part of the permission to use that IMA model, such as path-dependent products, or multi-underlying positions, according to Article 367 of Regulation (EU) No 575/2013.

PART II CHANGES TO THE IMA

Section 1 Changes requiring competent authorities' approval ("material")

1. Changes between historical simulation, parametric or Monte Carlo VaR.