European Commission 1 December 2023, Commission Delegated Regulation (EU) 2024/856 of 1 December 2023 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards specifying the supervisory shock scenarios, the common modelling and parametric assumptions and what constitutes a large decline

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Commission Delegated Regulation (EU) 2024/856, adopted on 1 December 2023 pursuant to Article 98(5a) of Directive 2013/36/EU, establishes binding regulatory technical standards specifying six supervisory shock scenarios for interest rate risk in the non-trading book, including parallel, steepener, flattener, and short-rate shocks, together with currency-specific interest rate shock parameters set out in the Annex. The Regulation prescribes common modelling and parametric assumptions for calculating changes in economic value of equity (using a run-off balance sheet) and net interest income (using a constant balance sheet over a one-year horizon), including treatment of commercial margins, post-shock interest rate floors, and non-performing exposures. A large decline in net interest income for the purposes of the supervisory outlier test is defined as a decline exceeding 5% of an institution's Tier 1 capital resulting from either of the two parallel supervisory shock scenarios, with the Regulation directly applicable in all Member States from the twentieth day following its publication on 24 April 2024.AI