113. Institutions should regularly, at least quarterly, calculate the impact on their EVE of a sudden parallel +/-200 basis points shift of the yield curve. Institutions should report regularly, at least annually, to the competent authority the change in EVE that results from the calculation. Where the decline in EVE is greater than 20% of the institution’s own funds, the institution should inform the competent authority immediately.

114. Institutions should regularly, at least quarterly, calculate the impact on their EVE of interest rate shocks, applying scenarios 1 to 6 as set out in Annex III. Institutions should report regularly, at least annually through the ICAAP report, to the competent authority the change in EVE that results from the calculation. Where the decline in EVE is greater than 15% of the institution’s Tier 1 capital under any of the six scenarios, the institution should inform the competent authority.

115. When calculating the change in EVE for the purpose of paragraphs 113 and 114, institutions should in particular apply the following principles:

(a) All positions from interest rate sensitive instruments should be taken into account.

(b) Small trading book business should be included unless its interest rate risk is captured in another risk measure.

(c) All CET1 instruments and other perpetual own funds without any call dates should be excluded from the calculation of the standard EVE outlier test.