Commission Delegated Regulation (EU) 2024/856 of 1 December 2023 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards speci...

Official Journal of the European Union 2024/856 24.4.2024 COMMISSION DELEGATED REGULATION (EU) 2024/856 of 1 December 2023 EN L series supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards specifying the supervisory shock scenarios, the common modelling and parametric assumptions and what constitutes a large decline (Text with EEA relevance) THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (1), and in particular Article 98(5a), third subparagraph, thereof, Whereas: (1) The supervisory shock scenarios have been specified by the Basel Committee on Banking Supervision (BCBS) (2) and are reflected in the European Banking Authority Guidelines on the management of interest rate risk arising from non-trading book activities (3) that apply from 30 June 2019. It is appropriate that the supervisory shock scenarios set out in this Regulation build on that specification and methodology. (2) For the purposes of calculating the economic value of equity and the net interest income, it is necessary to specify common modelling and parametric assumptions that the institutions...