On 24 April 2024, there was published in the Official Journal of the EU (OJ), Commission Delegated Regulation (EU) 2024/856 of 1 December 2023 supplementing the Capital Requirements Directive IV (CRD IV) with regard to regulatory technical standards specifying the supervisory shock scenarios, the common modelling and parametric assumptions and what constitutes a large decline.

Delegated Regulation 2024/856 has been prepared in accordance with Article 98(5a) of the CRD IV and sets out the supervisory shock scenarios, the common modelling and parametric assumptions, and the definition of a large decline, to enable the performance of supervisory outlier tests of institutions’ exposure to interest rate risk arising from non-trading book activities and their impact on net interest income and economic value of equity.

Next steps

Delegated Regulation 2024/856 enters into force on the twentieth day following its publication on the OJ (14 May 2024).