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
(Text with EEA relevance)
Article 1
Supervisory shock scenarios
Article 2
Specification of supervisory shock scenarios
Article 3
Changes in the institution’s economic value of equity
Article 4
Changes in the institution’s net interest income
Article 5
Large decline
Article 6
Entry into force
ANNEX
Part A: Interest rate shocks
|
ARS |
AUD |
BGN |
BRL |
CAD |
CHF |
CNY |
CZK |
DKK |
EUR |
GBP |
Parallel |
400 |
300 |
250 |
400 |
200 |
100 |
250 |
200 |
200 |
200 |
250 |
Short |
500 |
450 |
350 |
500 |
300 |
150 |
300 |
250 |
250 |
250 |
300 |
Long |
300 |
200 |
150 |
300 |
150 |
100 |
150 |
100 |
150 |
100 |
150 |
|
HKD |
HUF |
IDR |
INR |
JPY |
KRW |
MXN |
PLN |
RON |
RUB |
SAR |
Parallel |
200 |
300 |
400 |
400 |
100 |
300 |
400 |
250 |
350 |
400 |
200 |
Short |
250 |
450 |
500 |
500 |
100 |
400 |
500 |
350 |
500 |
500 |
300 |
Long |
100 |
200 |
350 |
300 |
100 |
200 |
300 |
150 |
250 |
300 |
150 |
|
SEK |
SGD |
TRY |
USD |
ZAR |
Parallel |
200 |
150 |
400 |
200 |
400 |
Short |
300 |
200 |
500 |
300 |
500 |
Long |
150 |
100 |
300 |
150 |
300 |
ARS |
Argentine Peso |
INR |
Indian Rupee |
AUD |
Australian Dollar |
JPY |
Japanese Yen |
BGN |
Bulgarian Lev |
KRW |
South Korean Won |
BRL |
Brazilian Real |
MXN |
Mexican Peso |
CAD |
Canadian Dollar |
PLN |
Poland Zloty |
CHF |
Swiss Franc |
RON |
Romanian Leu |
CNY |
Chinese Yuan |
RUB |
Russian Rouble |
CZK |
Czech Koruna |
SAR |
Saudi Riyal |
DKK |
Danish Krone |
SEK |
Swedish Krona |
EUR |
Euro |
SGD |
Singapore Dollar |
GBP |
Pound sterling |
TRY |
Turkish Lira |
HKD |
Hong Kong Dollar |
USD |
United States Dollar |
HUF |
Hungarian Forint |
ZAR |
South African Rand |
IDR |
Indonesian Rupiah |
|
|
Part B: Calibration of interest rate shocks for currencies not referred to in Part A
Parallel |
|
60 % |
Short |
|
85 % |
Long |
|
40 % |