BAKGRUNN (fra kommisjonsforordningen)

(1) The supervisory shock scenarios have been specified by the Basel Committee on Banking Supervision (BCBS)2 and are reflected in the European Banking Authority Guidelines on the management of interest rate risk arising from non-trading book activities3 that apply from 30 June 2019. It is appropriate that the supervisory shock scenarios set out in this Regulation build on that specification and methodology.
 

(2) For the purposes of calculating the economic value of equity and the net interest income, it is necessary to specify common modelling and parametric assumptions that the institutions should use. To that end, for the calculation of the net interest income, a constant balance sheet assumption over a one-year period should be used, while, for the calculation of the economic value of equity, a run-off balance sheet assumption where maturing positions are not replaced should be used. These assumptions aim to provide a good balance in terms of calculation accuracy, reliability of estimates and operational complexity.
 

(3) To strike the right balance between ensuring comparability of the results and providing the flexibility necessary due to the long term horizon and the inherent operational complexity, commercial margins and spread components should be included in the calculation of the net interest income, but for the calculation of the economic value of equity, institutions should proceed in accordance with their internal management and measurement approach for interest rate risk in the non-trading book.
 

(4) According to the BCBS standards, any outlier test mandated in addition to the test on the economic value of equity should use a threshold to identify outlier banks that is at least as stringent as the one applied to the test on the economic value of equity (15%of Tier 1 capital). That threshold should actually reflect the current environment in a prudentially sound and proportionate manner, thereby contributing to legal certainty and achieving harmonisation across the Union, having also regard to the fact that exceeding the thresholds for economic value of equity and net interest income outlier tests will neither necessarily require institutions to recalibrate their internal arrangements, processes or mechanisms and corresponding models and approaches, nor entail the automatic exercise of supervisory powers, where the institution’s management of the interest rate risk arising from non-trading book activities is adequate, proportionate to the business model and the institution is not excessively exposed to such a risk.
 

(5) To ensure harmonised methodologies for the supervisory outlier test on what constitutes a large decline on net interest income as a result of a sudden and unexpected change in interest rates, a reference threshold at least as stringent as the threshold for the supervisory outlier test on the economic value of equity as well as a specification of the calculation of the net interest income should be introduced.
(6) This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Banking Authority.
 

(7) The European Banking Authority has conducted an open public consultation on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council,