𝐉𝐮𝐬𝐭 𝐢𝐧 𝐓𝐢𝐦𝐞 "𝟐𝟎𝟐𝟐 𝐄𝐁𝐀 𝐅𝐢𝐧𝐚𝐥 𝐃𝐫𝐚𝐟𝐭 𝐨𝐧 𝐑𝐓𝐒 𝐟𝐨𝐫 𝐒𝐮𝐩𝐞𝐫𝐯𝐢𝐬𝐨𝐫𝐲 𝐎𝐮𝐭𝐥𝐢𝐞𝐫𝐬 𝐓𝐞𝐬𝐭𝐬 (𝐒𝐎𝐓𝐬) 𝐟𝐨𝐫 𝐈𝐑𝐑𝐁𝐁" EBA, in compliance with Art. 98 of the Directive 2013/36/EU, is in charge of specifying the supervisory #shockscenarios as well as the modelling and parametric assumptions for the exercise of the supervisory outlier tests (SOTs) on the economic value of equity (EVE) and net interest income (NII) related to the interest rate risk arising from institutions’ banking book activities (IRRBB). For the first time, the 2022 final draft #RTS specifies the interest rate shock scenarios as well as the modelling and parametric requirements relating to the SOT on NII, providing a metric for quantifying a “large decline” in NII as set out in Article 98(a) of the Directive 2013/36/EU. For both the SOT on EVE and on NII, the 2022 final draft RTS outlines a re-calibration of the post-shock #interestrate floor to be applied under each scenario. The new lower bound with gradual and moderate increases finds its rationale in the inconsistency with respect to 2020 observed interest rates. Authors: Alessandra Carnaroli and Luca Capitanio #IRRBB #SOT #EVE #NII #EBA
