Updated 05/02/2025
In force since 14/05/2024

Version from: 24/04/2024
References (2)
eba.europa.eu/activities/single-rulebook/regulatory-activities/supervisory-review-and-evaluation-process-srep-1
24/04/2024
Delegated Regulation 2024/857 published in OJ
20/10/2022
EBA/RTS/2022/09
Final Draft published
02/12/2021
EBA/CP/2021/38
Consultation published
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CRD IV ToolDelegated Regulation 2024/857

Delegated Regulation 2024/857

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

Recitals
Article 5 - General requirements for allocating notional repricing cash flowsArticle 6 - Fixed rate instrumentsArticle 7 - Floating rate instrumentsArticle 8 - Non-maturity depositsArticle 9 - Fixed rate loans that are subject to the risk of early repaymentArticle 10 - Fixed rate term deposits that are subject to the risk of early redemptionArticle 11 - Derivative instruments without optionalityArticle 12 - Non-performing exposures and fixed rate loan commitments to retail counterpartiesArticle 13 - Economic value of equity add-on for automatic interest rate options
Article 18 - Time horizonArticle 19 - Calculation of the contribution of the projected risk-free interest rate on the reinvestment or refinancing of notional repricing cash flowsArticle 20 - Calculation of the contribution of the projected commercial margin on the reinvestment or refinancing of notional repricing cash flowsArticle 21 - Calculation of interest payments or part of interest payments that occur up to and including their reset dateArticle 22 - Market value changes for instruments held at fair value maturing beyond the net interest income time horizonArticle 23 - Net interest income add-on for basis riskArticle 24 - Calculation of the net interest income and changes in the net interest income
ANNEX