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New version applies from 24/04/2024.
44 provisions change.
Later versions: 14/05/2024, 17/07/2025.
Commission Delegated Regulation (EU) 2024/857
14/05/2024 → 17/07/2025: 0 inserted · 0 removed · 25 amended · 0 moved · 0 renamed · 19 unchanged
Position-only shifts inside the same heading are not changes. Amended = the printed text changed.
Preamble
Preamble · 1 unchanged
Recitals
Recitals · 15 unchanged
Recital 1 · Recital 2 · Recital 3 · Recital 4 · Recital 5 · Recital 6 · Recital 7 · Recital 8 · Recital 9 · Recital 10 · Recital 11 · Recital 12 · Recital 13 · Recital 14 · Recital 15
Chapter I - GENERAL PROVISIONS
- amended Article 1 - Definitions Chapter I
- amended Article 2 - Non-trading book positions included in the evaluation Chapter I
- amended Article 3 - Materiality of non-trading book positions Chapter I
- amended Article 4 - Classification of the scenarios Chapter I
Chapter II - STANDARDISED METHODOLOGY FOR EVALUATING THE RISKS FOR THE ECONOMIC VALUE OF EQUITY OF AN INSTITUTION’S NON-TRADING BOOK ACTIVITIES
- amended Article 5 - General requirements for allocating notional repricing cash flows Chapter II
- amended Article 6 - Fixed rate instruments Chapter II
- amended Article 7 - Floating rate instruments Chapter II
- amended Article 8 - Non-maturity deposits Chapter II
- amended Article 9 - Fixed rate loans that are subject to the risk of early repayment Chapter II
- amended Article 10 - Fixed rate term deposits that are subject to the risk of early redemption Chapter II
- amended Article 11 - Derivative instruments without optionality Chapter II
- amended Article 12 - Non-performing exposures and fixed rate loan commitments to retail counterparties Chapter II
- amended Article 13 - Economic value of equity add-on for automatic interest rate options Chapter II
Chapter III - STANDARDISED METHODOLOGY FOR EVALUATING THE RISKS FOR THE NET INTEREST INCOME OF AN INSTITUTION’S NON-TRADING BOOK ACTIVITIES
- amended Article 14 - Requirements for allocating notional repricing cash flows Chapter III
- amended Article 15 - Net interest income add-on for automatic interest rate options up to the net interest income time horizon Chapter III
Chapter III · 1 unchanged
Chapter IV - CALCULATION OF THE STANDARDISED ECONOMIC VALUE OF EQUITY RISK MEASURE
Chapter V - CALCULATION OF THE STANDARDISED NET INTEREST INCOME RISK MEASURE
- amended Article 19 - Calculation of the contribution of the projected risk-free interest rate on the reinvestment or refinancing of notional repricing cash flows Chapter V
- amended Article 20 - Calculation of the contribution of the projected commercial margin on the reinvestment or refinancing of notional repricing cash flows Chapter V
- amended Article 21 - Calculation of interest payments or part of interest payments that occur up to and including their reset date Chapter V
- amended Article 22 - Market value changes for instruments held at fair value maturing beyond the net interest income time horizon Chapter V
- amended Article 23 - Net interest income add-on for basis risk Chapter V
- amended Article 24 - Calculation of the net interest income and changes in the net interest income Chapter V
Chapter V · 1 unchanged
Chapter VI - SIMPLIFIED STANDARDISED METHODOLOGY FOR THE CALCULATION OF THE ECONOMIC VALUE OF EQUITY AND THE NET INTEREST INCOME
- amended Article 25 - Simplified standardised methodology for the calculation of the economic value of equity and changes in the economic value of equity Chapter VI
- amended Article 26 - Simplified standardised methodology for the calculation of the net interest income and changes in the net interest income Chapter VI
Chapter VII - FINAL PROVISION
Chapter VII · 1 unchanged
Annexes
- amended Annex 1