Commission Delegated Regulation (EU) 2024/857 of 1 December 2023 supplementing Di... (32024R0857)
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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
- 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
- (Text with EEA relevance)
- CHAPTER I
- GENERAL PROVISIONS
- Article 1
- Definitions
- Article 2
- Non-trading book positions included in the evaluation
- Article 3
- Materiality of non-trading book positions
- Article 4
- Classification of the scenarios
- CHAPTER II
- STANDARDISED METHODOLOGY FOR EVALUATING THE RISKS FOR THE ECONOMIC VALUE OF EQUITY OF AN INSTITUTION’S NON-TRADING BOOK ACTIVITIES
- Article 5
- General requirements for allocating notional repricing cash flows
- Article 6
- Fixed rate instruments
- Article 7
- Floating rate instruments
- Article 8
- Non-maturity deposits
- Article 9
- Fixed rate loans that are subject to the risk of early repayment
- Article 10
- Fixed rate term deposits that are subject to the risk of early redemption
- Article 11
- Derivative instruments without optionality
- Article 12
- Non-performing exposures and fixed rate loan commitments to retail counterparties
- Article 13
- Economic value of equity add-on for automatic interest rate options
- CHAPTER III
- STANDARDISED METHODOLOGY FOR EVALUATING THE RISKS FOR THE NET INTEREST INCOME OF AN INSTITUTION’S NON-TRADING BOOK ACTIVITIES
- Article 14
- Requirements for allocating notional repricing cash flows
- Article 15
- Net interest income add-on for automatic interest rate options up to the net interest income time horizon
- Article 16
- Market value changes for automatic interest rate options held at fair value and maturing beyond the net interest income time horizon
- CHAPTER IV
- CALCULATION OF THE STANDARDISED ECONOMIC VALUE OF EQUITY RISK MEASURE
- Article 17
- Calculation of the economic value of equity and changes in the economic value of equity
- CHAPTER V
- CALCULATION OF THE STANDARDISED NET INTEREST INCOME RISK MEASURE
- Article 18
- Time horizon
- Article 19
- Calculation of the contribution of the projected risk-free interest rate on the reinvestment or refinancing of notional repricing cash flows
- Article 20
- Calculation of the contribution of the projected commercial margin on the reinvestment or refinancing of notional repricing cash flows
- Article 21
- Calculation of interest payments or part of interest payments that occur up to and including their reset date
- Article 22
- Market value changes for instruments held at fair value maturing beyond the net interest income time horizon
- Article 23
- Net interest income add-on for basis risk
- Article 24
- Calculation of the net interest income and changes in the net interest income
- CHAPTER VI
- SIMPLIFIED STANDARDISED METHODOLOGY FOR THE CALCULATION OF THE ECONOMIC VALUE OF EQUITY AND THE NET INTEREST INCOME
- Article 25
- Simplified standardised methodology for the calculation of the economic value of equity and changes in the economic value of equity
- Article 26
- Simplified standardised methodology for the calculation of the net interest income and changes in the net interest income
- CHAPTER VII
- FINAL PROVISION
- Article 27
- Entry into force
- ANNEX
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