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
|
(1) |
Institutions shall first calculate the daily average interest rate by collecting a 16-year time series of daily ‘risk-free’ interest rates, without instrument-specific or entity-specific credit spreads or liquidity spreads, for each currency for the maturities 3M, 6M, 1Y, 2Y, 5Y, 7Y, 10Y, 15Y and 20Y and then calculate the arithmetic average interest rate for each currency c across all observations in the time series and for all maturities. The result shall be a single measure per currency. |
|
(2) |
Where the average interest rate calculated in accordance with point (1) for the first seven years is greater than 700 basis points, the data from the most recent 10 years shall be used, subject to data availability. Where the average interest rate calculated in accordance with point (1) for the first seven years is equal to or less than 700 basis points, the full 16-year time series of data shall be used. |
|
(3) |
The parallel, short and long interest rate shock by currency shall be derived from applying the relevant global shock parameter from Table 1 to the average interest rate calculated in accordance with point (1) and (2).
Table 1 Baseline global interest rate shock parameters
|
|
(4) |
Institutions shall apply a floor of 100 basis points as well as variable caps of 500 basis points for the short-term shock, 400 basis points for the parallel shock and 300 basis points for the long-term shock, respectively. |
|
(5) |
The set of interest rate shocks by currency shall then be rounded to the nearest 50 basis points. |
ELI: http://data.europa.eu/eli/reg_del/2024/856/oj
ISSN 1977-0677 (electronic edition)