+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. Visão geral

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Título Regulamentação

1.1 Referências

1.2 Requisitos identificados

1.3 Normas relacionadas

2. Requisitos identificados

Requisitos
Fonte Requisito

3. Normas relacionadas

Normas
Fonte Requisito