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Commission Delegated Regulation (EU) 2018/990 of 10 April 2018 amending and supplementing Regulation (EU) 2017/1131 of the European Parliament and of the Council with regard to simple, transparent and standardised (STS) securitisations and asset-backed commercial papers (ABCPs), requirements for assets received as part of reverse repurchase agreements and credit quality assessment methodologies (Text with EEA relevance.)
Article 8

Article 8 — Material change as referred to in Article 19(4)(d) of Regulation (EU) 2017/1131

  1. There will be a material change as referred to in Article 19(4)(d) of Regulation (EU) 2017/1131 whenever:
    1. there is a material change with respect to any of the following:
      1. bond pricing information, including credit spreads and the pricing of comparable fixed income instruments and related securities;
      2. credit default-swap pricing information, including credit default-swap spreads for comparable instruments;
      3. default statistics relating to the issuer or instrument;
      4. financial indices relating to the geographic location, industry sector or asset class of the issuer or instrument;
      5. analysis of underlying assets, in particular for structured instruments;
      6. analysis of the relevant market(s), including their volume and liquidity;
      7. analysis of the structural aspects of the relevant instruments;
      8. securities-related research;
      9. financial situation of the issuer;
      10. sources of liquidity of the issuer;
      11. ability of the issuer to react to future market-wide or issuer-specific events, including the ability to repay debt in a highly adverse situation;
      12. strength of the issuer's industry within the economy relative to economic trends and the issuer's competitive positon in its industry;
      13. analysis of the credit ratings or rating outlook given to the issuer or instrument by a credit rating agency or agencies selected by the manager of the MMF as being suited to the specific investment portfolio of the MMF.
    2. a money market instrument, securitisation or ABCP is downgraded below the two highest short-term credit ratings provided by any credit rating agency regulated and certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council(1).
  2. Managers of MMFs shall assess the material change in the criteria referred to in paragraph 1(a) by considering risk factors and the results of the stress test scenarios referred to in Article 28 of Regulation (EU) 2017/1131.
  3. For the purpose of paragraph 1(b), managers of MMFs shall establish an internal procedure for the selection of credit rating agencies suited to the specific investment portfolio of the MMF concerned and for the determination of the frequency with which the MMF shall monitor the ratings of those agencies.
  4. Managers of MMFs shall take into account a downgrading as referred to in paragraph 1(b) and thereupon carry out their own assessment according to their internal credit quality assessment methodology.
  5. The revision of the internal credit quality assessment methodology shall constitute a material change as referred to in Article 19(4)(d) of Regulation (EU) 2017/1131, except if managers of MMFs can substantiate that the change is not material.