Article 1 Supervisory shock scenarios

(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;

(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;

(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;

(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;

(e)

short rates shock up, with larger positive interest rate shocks for shorter maturities to converge with the baseline for longer maturities;

(f)

short rates shock down, with larger negative interest rate shocks for shorter maturities to converge with the baseline for longer maturities.

(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;

(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.

(a)

5 % or more of the total non-trading book financial assets or liabilities;

(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.