Contents
- 1. Institutions shall reflect in their calculations of the ec…
- 10. In assessing the risk of interest rate-sensitive products…
- 2. Institutions shall include the following in their calculat…
- 3. All CET1 instruments and other perpetual own funds without…
- 4. Institutions with a non-performing exposures ratio of 2 %…
- 5. Commercial margins and other spread components in interest…
- 6. The change in economic value of equity shall be computed w…
- 7. A maturity-dependent post-shock interest rate floor shall…
- 8. When calculating the aggregate change for each interest ra…
- 9. For discounting, an appropriate general ‘risk-free’ yield…
8.When calculating the aggregate change for each interest rate shock scenario, institutions shall add together any negative and positive changes occurring in each currency. Currencies other than the reporting currency shall be converted to the reporting currency at the European Central Bank spot FX rate on the reference date. Positive changes shall be weighted by a factor of 50 % or a factor of 80 % in the case of Exchange Rate Mechanism – ERM II currencies with a formally agreed fluctuation band narrower than the standard band of +/– 15 %. Weighted gains shall be recognised up to the greater of (a) the absolute value of negative changes in EUR or ERM II currencies and (b) the result of applying a factor of 50 % to the positive changes of ERM II currencies or EUR, respectively.
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