Article 1
Supervisory shock scenarios
1. The six supervisory shock scenarios referred to in Article 98(5), second subparagraph, point (a), of Directive 2013/36/EU shall be the following:
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(a) |
parallel shock up, where there is a parallel upward shift of the yield curve with the same positive interest rate shock for all maturities; |
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(b) |
parallel shock down, where there is a parallel downward shift of the yield curve with the same negative interest rate shock for all maturities; |
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(c) |
steepener shock, where there is a steepening shift of the yield curve, with negative interest rate shocks for shorter maturities and positive interest rate shocks for longer maturities; |
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(d) |
flattener shock, where there is a flattening shift of the yield curve, with positive interest rate shocks for shorter maturities and negative interest rate shocks for longer maturities; |
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(e) |
short rates shock up, with larger positive interest rate shocks for shorter maturities to converge with the baseline for longer maturities; |
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(f) |
short rates shock down, with larger negative interest rate shocks for shorter maturities to converge with the baseline for longer maturities. |
2. The two supervisory shock scenarios referred to in Article 98(5), second subparagraph, point (b), of Directive 2013/36/EU shall be the following:
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(a) |
parallel shock up, where there is a parallel upwards shift of the yield curve with the same positive interest rate shocks for all maturities; |
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(b) |
parallel shock down, where there is a parallel downwards shift of the yield curve with the same negative interest rate shocks for all maturities. |
3. Institutions shall determine the supervisory shock scenarios referred to in paragraphs 1 and 2 on the basis of the currency-specific interest rate shocks set out in Part A of the Annex or, for the currencies not specified therein, on the basis of interest rate shocks calibrated in accordance with Part B of the Annex.
Institutions shall perform the calibration of interest rate shocks in accordance with Part B of the Annex at least every five years.
4. Τhe supervisory shock scenarios referred to in paragraphs 1 and 2 shall apply to the exposure of institutions to the interest rate risk arising from non-trading book activities denominated in each currency separately for which the institution has relevant positions, i.e. where the accounting value of financial assets or liabilities denominated in that currency amounts to either of the following:
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(a) |
5 % or more of the total non-trading book financial assets or liabilities; |
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(b) |
less than 5 % of the total non-trading book financial assets or liabilities if the sum of financial assets or liabilities included in the calculation is lower than 90 % of total non-trading book financial assets, excluding tangible assets, or liabilities. |