European Commission 1 December 2023, Commission Delegated Regulation (EU) 2024/857 of 1 December 2023 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards specifying a standardised methodology and a simplified standardised methodology to evaluate the risks arising from potential changes in interest rates that affect both the economic value of equity and the net interest income of an institution’s non-trading book activities

Also known as

European Union · · · Cited by 27 · 01-12-2023

CHAPTER I. GENERAL PROVISIONS
Article 1. Definitions
Article 2. Non-trading book positions included in the evaluation
Article 3. Materiality of non-trading book positions
Article 4. Classification of the scenarios
CHAPTER II. STANDARDISED METHODOLOGY FOR EVALUATING THE RISKS FOR THE ECONOMIC VALUE OF EQUITY OF AN INSTITUTION’S NON-TRADING BOOK ACTIVITIES
Article 5. General requirements for allocating notional repricing cash flows
Article 6. Fixed rate instruments
Article 7. Floating rate instruments
Article 8. Non-maturity deposits
Article 9. Fixed rate loans that are subject to the risk of early repayment
Article 10. Fixed rate term deposits that are subject to the risk of early redemption
Article 11. Derivative instruments without optionality
Article 12. Non-performing exposures and fixed rate loan commitments to retail counterparties
Article 13. Economic value of equity add-on for automatic interest rate options
CHAPTER III. STANDARDISED METHODOLOGY FOR EVALUATING THE RISKS FOR THE NET INTEREST INCOME OF AN INSTITUTION’S NON-TRADING BOOK ACTIVITIES
Article 14. Requirements for allocating notional repricing cash flows
Article 15. Net interest income add-on for automatic interest rate options up to the net interest income time horizon
Article 16. Market value changes for automatic interest rate options held at fair value and maturing beyond the net interest income time horizon
CHAPTER IV. CALCULATION OF THE STANDARDISED ECONOMIC VALUE OF EQUITY RISK MEASURE
Article 17. Calculation of the economic value of equity and changes in the economic value of equity
CHAPTER V. CALCULATION OF THE STANDARDISED NET INTEREST INCOME RISK MEASURE
Article 18. Time horizon
Article 19. Calculation of the contribution of the projected risk-free interest rate on the reinvestment or refinancing of notional repricing cash flows
Article 20. Calculation of the contribution of the projected commercial margin on the reinvestment or refinancing of notional repricing cash flows
Article 21. Calculation of interest payments or part of interest payments that occur up to and including their reset date
Article 22. Market value changes for instruments held at fair value maturing beyond the net interest income time horizon
Article 23. Net interest income add-on for basis risk
Article 24. Calculation of the net interest income and changes in the net interest income
CHAPTER VI. SIMPLIFIED STANDARDISED METHODOLOGY FOR THE CALCULATION OF THE ECONOMIC VALUE OF EQUITY AND THE NET INTEREST INCOME
Article 25. Simplified standardised methodology for the calculation of the economic value of equity and changes in the economic value of equity
Article 26. Simplified standardised methodology for the calculation of the net interest income and changes in the net interest income
CHAPTER VII. FINAL PROVISION
Article 27. Entry into force

Official Journal
of the European Union

L series

2024/857

24.4.2024

COMMISSION DELEGATED REGULATION (EU) 2024/857

of 1 December 2023

supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards specifying a standardised methodology and a simplified standardised methodology to evaluate the risks

Read the full text

This document is published by eur-lex.europa.eu.

Moonlit adds the citation network (27 references), article-level links and cross-references, which are available to search for free.