Classification of the scenarios
Article 4
For the purposes of the identification, evaluation, management and mitigation of the risks arising from potential changes in interest rates that affect both the economic value of equity and the net interest income of an institution’s non-trading book activities, institutions shall classify the scenarios, including the supervisory shock scenarios referred to in Article 1 of Commission Delegated Regulation (EU) 2024/856 ( 7 ) into one of the following types based on the movement of the interest rate: (a) parallel shocks, which shall be either of the following: (i) a shock of increased interest rates in parallel across all maturities; (ii) a shock of decreased interest rates in parallel across all maturities; (b) shocks involving rotations to the term structure, which shall be either of the following: (i) a decrease of the interest rate at long-term maturities and increase of the interest rate at short-term maturities, leading to a flattening of the interest rate curve; (ii) an increase of the interest rate at long-term maturities and decrease of the interest rate at short-term maturities, leading to a steepening of the interest rate curve; (c) uneven shocks, which shall be either of the following: (i) a shock of increased interest rates that is greater at short-term maturities; (ii) a shock of decreased interest rates that is greater at short-term maturities.