On 1 December 2023, the European Commission published a draft Delegated Regulation supplementing the Capital Requirements Directive IV (CRD IV) with regard to regulatory technical standards (RTS) specifying the supervisory shock scenarios, the common modelling and parametric assumptions and what constitutes a large decline together with an annex.

The draft Delegated Regulation 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.

The draft Delegated Regulation follows an opinion that the European Banking Authority issued on 27 April 2023 which responded to a letter from the European Commission which notified the European Supervisory Authority that it would be adopting, with amendments, the final draft RTS.

The draft Delegated Regulation enters into force on the twentieth day following its publication in the Official Journal of the EU.