(1) "notional repricing cash flow" means any of the following: (a) the amount of principal at the time of its repricing, whereby such repricing is deemed to occur on the earlier of the following dates: (i) the date on which the institution or its counterparty is entitled to unilaterally change the interest rate; (ii) the date on which the interest rate of a floating rate instrument changes automatically in response to a change in an interest rate benchmark as defined in Article 3(1), point (22), of Regulation (EU) 2016/1011 of the European Parliament and of the Council Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds and amending Directives 2008/48/EC and 2014/17/EU and Regulation (EU) No 596/2014 (OJ L 171, 29.6.2016, p. 1 ).
(b) in the absence of a repricing as referred to in point (a), the amount of principal at the time of repayment of the principal or part of it; (c) an interest payment on that part of the principal that has not yet been repaid or repriced;
(2) "repricing date" means the date at which a notional repricing cash flow occurs; (3) "risk free interest rate" means, for a given currency, the interest rate which corresponds to a maturity on a yield curve that does not include instrument-specific or entity-specific credit spreads or liquidity spreads; (4) "fixed rate instrument" means an instrument that generates cash flows of interest payments that are pre-determined based on a fixed interest rate until the point of its contractual maturity; (5) "floating rate instrument" means an instrument the interest rate of which is reset at pre-determined dates, either in response to a change in an interest rate benchmark as defined in Article 3(1), point (22), of Regulation (EU) 2016/1011, or in an institution’s internally managed index; (6) "automatic interest rate option" means an explicit or implicit option as referred to in Article 325e(2), second subparagraph, of Regulation (EU) No 575/2013 of the European Parliament and of the Council Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1 ).(a) the pay-out of the option is interest rate sensitive; (b) the exercise of the option is purely driven by the monetary incentives of the option holder;
(7) "behavioural interest rate option" means an option as referred to in Article 325e(2), second subparagraph, of Regulation (EU) No 575/2013, including an option under which the institution is likely to provide its counterparty with a pay-out irrespective of a contractual obligation, and that complies with all of the following: (a) the pay-outs of the options are interest rate sensitive; (b) the exercise of the option is not purely driven by the monetary incentive of the counterparty but is dependent on that counterparty’s behaviour;
(8) "non-maturity deposit" means a liability without a maturity date, in which the depositor is free to withdraw the deposit at any point in time; (9) "retail deposit" means a retail deposit as defined in Article 411, point (2), of Regulation (EU) No 575/2013; (10) "retail transactional deposit" means either of the following: (a) a retail non-maturity deposit in a transactional account, which is an account in which salaries, income or expenses ("transactions") are regularly credited and debited; (b) a retail non-maturity deposit which bears no interest, even in a high interest rate environment;
(11) "retail non-transactional deposit" means a retail non-maturity deposit that is not held in a transactional account or that does bear interest; (12) "wholesale deposit" means a deposit which is not a retail deposit; (13) "stable non-maturity deposit" means the part of the non-maturity deposit that is likely to remain undrawn under the interest rates prevailing at the time of applying the standardised methodology for the slotting of the notional repricing cash flows; (14) "pass-through rate" means the percentage of change of the market interest rate that an institution assigns to a deposit to maintain the same level of stable deposits under the interest rates prevailing at the time of applying the standardised methodology for the slotting of the notional repricing cash flows; (15) "core component" means the part of a stable non-maturity deposit that is unlikely to reprice, even under significant changes in the interest rate environment; (16) "non-core component" means the part of the non-maturity deposit other than its core component; (17) "geographical location" means the country of incorporation of those debtors or depositors that are legal persons, or the country of residence of those debtors or depositors that are natural persons; (18) "reference term" means the period in reference to which an instrument reprices.
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
Corrected by
- Corrigendum to 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, 32024R0857R(01), May 31, 2024
(a) non-trading book positions in financial assets; (b) non-trading book positions in liabilities; (c) non-trading book positions in off-balance sheet items.
(a) interest rate derivatives; (b) non-interest rate derivatives for which the cash flows are determined in total or in part by referencing an interest rate; (c) pension obligations and pension plan assets, except where their interest rate risk is captured in another risk measure; (d) interest rate-sensitive assets, other than those referred to in points (a), (b) and (c), and that are not deducted from Common Equity Tier 1 capital; (e) interest rate-sensitive liabilities, other than those referred to in points (a), (b) and (c), that are neither Common Equity Tier 1 instruments as referred to in Article 28 of Regulation (EU) No 575/2013, nor other perpetual instruments without any call dates; (f) interest rate sensitive off-balance sheet items, other than those referred to in points (a), (b) and (c); (g) small trading book positions as referred to in Article 94 of Regulation (EU) No 575/2013, except where their interest rate risk is captured in another risk measure.
(a) the accounting value of assets or liabilities denominated in a currency amounts to at least 5 % of the total non-trading book financial assets or liabilities; (b) the accounting value of assets or liabilities denominated in a currency amounts to less than 5 % of the total non-trading book financial assets or liabilities where the sum of financial assets or liabilities included in the calculation is lower than 90 % of the total non-trading book financial assets, excluding tangible assets, or liabilities.
(a) parallel shocks, which shall be either of the following: (i) a shock of increased interest rates in parallel across all maturities; (ii) a shock of decreased interest rates in parallel across all maturities;
(b) shocks involving rotations to the term structure, which shall be either of the following: (i) a decrease of the interest rate at long-term maturities and increase of the interest rate at short-term maturities, leading to a flattening of the interest rate curve; (ii) an increase of the interest rate at long-term maturities and decrease of the interest rate at short-term maturities, leading to a steepening of the interest rate curve;
(c) uneven shocks, which shall be either of the following: (i) a shock of increased interest rates that is greater at short-term maturities; (ii) a shock of decreased interest rates that is greater at short-term maturities.
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