+Article 1 1
|
Article 1 1
1. The six supervisory shock scenarios referred to in Article 98(5), second subparagraph, point (a), of Directive 2013/36/EU shall be the following:
|
(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.
|
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- Builddate: 24.04.2024 00:00:00 -Doknr: CELEX:32024R0856
- EULAW -
EN: Legal acts of the European Union from EUR-Lex, https://eur-lex.europa.eu/. © European Union. Re-use is authorised by Decision 2011/833/EU, provided the source is acknowledged; the consolidated texts are licensed under CC BY 4.0 (EUR-Lex legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the legislation published in the Official Journal of the European Union is deemed authentic.
DE: Rechtsakte der Europäischen Union aus EUR-Lex, https://eur-lex.europa.eu/. © Europäische Union. Weiterverwendung nach Beschluss 2011/833/EU mit Quellenangabe gestattet; die konsolidierten Fassungen stehen unter CC BY 4.0 (Rechtlicher Hinweis von EUR-Lex). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Verbindlich sind allein die im Amtsblatt der Europäischen Union veröffentlichten Rechtsakte.
|