Europejski Urząd Nadzoru Bankowego, Raport końcowy - Projekt regulacyjnych standardów technicznych określających nadzorcze scenariusze wstrząsów, wspólne modelowanie i założenia parametryczne oraz co stanowi duży spadek przy obliczaniu wartości ekonomicznej kapitału własnego i wyniku z tytułu odsetek zgodnie z art. 98 ust. 5a dyrektywy 2013/36/UE

EBA/RTS/2022/10

20 October 2022

Final report

Draft Regulatory Technical Standards specifying supervisory shock scenarios, common modelling and parametric assumptions and what constitutes a large decline for the calculation of the economic value of equity and of the net interest income in accordance with Article 98(5a) of Directive 2013/36/EU

1. Executive Summary

In the context of the Supervisory Review and Evaluation Process (SREP), Article 98 of the Directive 2013/36/EU (CRD) envisages a review and evaluation to be performed by competent authorities on the exposure of institutions to the interest rate risk arising from non-trading book activities (IRRBB). A supervisory outlier test (SOT) is envisaged to identify institutions of which, in the context of a shock scenario, their economic value of equity (EVE) declines by more than 15% of their Tier 1 capital or their net interest income (NII) experiences a large decline. If any of those limits are breached, competent authorities, unless they...