Commission Delegated Regulation (EU) 2024/856 on regulatory technical standards for supervisory shock scenarios and large decline thresholds

The European Commission establishes regulatory technical standards specifying six supervisory shock scenarios for interest rate risk in the non-trading book and defining a large decline as a net interest income drop exceeding 5% of Tier 1 capital. Institutions must apply common modelling assumptions, including a constant balance sheet for net interest income calculations and a run-off balance sheet for economic value of equity. The regulation mandates the use of currency-specific interest rate shocks from the Annex and requires recalibration of shocks for unspecified currencies every five years. These rules supplement Directive 2013/36/EU and apply directly to credit institutions across the European Union.

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Source: European Commission — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works