1. A large decline for the purpose of Article 98(5), second subparagraph, point (b), of Directive 2013/36/EU shall be a decline of an institution’s one-year net interest income by more than 5 % of its Tier 1 capital, resulting from a sudden and unexpected change in interest rates as set out in any of the two supervisory shock scenarios set out in Article 1(2).
2. A large decline referred to in paragraph 1 shall be calculated based on the following formula:
\frac{\mathrm{NII}_{\mathrm{shock}} - \mathrm{NII}_{\mathrm{baseline}}}{\mathrm{Tier\ 1\ Capital}} < -5\%