This document is an excerpt from the EUR-Lex website
Document 32024R0855
Commission Implementing Regulation (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book
Commission Implementing Regulation (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book
Commission Implementing Regulation (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book
C/2024/1620
OJ L, 2024/855, 24.4.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj (BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)
In force
|
Official Journal |
EN L series |
|
2024/855 |
24.4.2024 |
COMMISSION IMPLEMENTING REGULATION (EU) 2024/855
of 15 March 2024
amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 (1) and in particular Article 430(7), fifth subparagraph, thereof,
Whereas:
|
(1) |
Commission Implementing Regulation (EU) 2021/451 (2) specifies the uniform reporting formats and templates, the instructions and methodology on how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting referred to in Article 430(1) to (4) of Regulation (EU) No 575/2013. Regulation (EU) No 575/2013 has been amended by Regulation (EU) 2019/876 of the European Parliament and of the Council (3). In addition, Directive (EU) 2019/878 of the European Parliament and of the Council (4) introduced certain new prudential requirements into Directive 2013/36/EU of the European Parliament and of the Council (5). Those amendments should be reflected into Implementing Regulation (EU) 2021/451. |
|
(2) |
For that reason, it is necessary to lay down the reporting templates that should be used to provide supervisors with the data they need to monitor Interest Rate Risks in the Banking Book (IRRBB), and the impact on institutions caused by changes in policy rates, including the interaction of the IRRBB with the management of interest rate risks by institutions, and the identification of outliers within both the Supervisory Outlier Test (SOT) on economic value of equity, and the SOT on net interest income. |
|
(3) |
Pursuant to Article 430(8), point (e), of Regulation (EU) No 575/2013 the European Banking Authority (EBA) is to make recommendations on how to reduce reporting requirements for at least small and non-complex institutions, so that these are reflected in the reporting framework. The EBA published in 2021 the Study of the cost of compliance with supervisory reporting requirements (6) setting out recommendations for further improving proportionality in supervisory reporting. Taking into account those recommendations and to limit the reporting burden, small and non-complex institutions should report a set of reduced templates. |
|
(4) |
Implementing Regulation (EU) 2021/451 should therefore be amended accordingly. |
|
(5) |
To give clarity and sufficient time to prepare for the implementation of the reporting requirements introduced by this Regulation, institutions should start reporting in accordance with this Regulation not earlier than 6 months after its date of entry into force, in accordance with Article 430(7), second subparagraph, of Regulation (EU) No 575/2013. As a result, and to allow for further time for the implementation of the amendments introduced by this Regulation by the institutions, institutions should start reporting the amended set of information no earlier than for the reference date of 30 September 2024. |
|
(6) |
This Regulation is based on the draft implementing technical standards submitted to the Commission by the EBA. |
|
(7) |
The EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (7), |
HAS ADOPTED THIS REGULATION:
Article 1
Implementing Regulation (EU) 2021/451 is amended as follows:
|
(1) |
the following Article 20a is inserted: ‘Article 20a Reporting of interest rate risk in the banking book In order to report information on their interest rate risk in the banking book in accordance with Article 430(1) of Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex XXVIII on an individual and a consolidated basis, in accordance with the instructions laid down in Annex XXIX, with the following frequencies, depending on the nature of the reporting institutions:
|
|
(2) |
the text in Annex I to this Regulation is added as Annex XXVIII; |
|
(3) |
the text in Annex II to this Regulation is added as Annex XXIX. |
Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 1 September 2024.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 15 March 2024.
For the Commission
The President
Ursula VON DER LEYEN
(1) OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj.
(2) Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1, ELI: http://data.europa.eu/eli/reg_impl/2021/451/oj).
(3) Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/876/oj).
(4) Directive (EU) 2019/878 of the European Parliament and of the Council of 20 May 2019 amending Directive 2013/36/EU as regards exempted entities, financial holding companies, mixed financial holding companies, remuneration, supervisory measures and powers and capital conservation measures (OJ L 150, 7.6.2019, p. 253, ELI: http://data.europa.eu/eli/dir/2019/878/oj).
(5) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338, ELI: http://data.europa.eu/eli/dir/2013/36/oj).
(6) EBA Study of the cost of compliance with supervisory reporting requirements of 7 June 2021 (EBA/Rep/2021/15).
(7) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12, ELI: http://data.europa.eu/eli/reg/2010/1093/oj).
ANNEX I
‘ANNEX XXVIII
REPORTING ON INTEREST RATE RISK IN THE BANKING BOOK
|
IRRBB TEMPLATES |
|||
|
Template number |
Template code |
Adressees |
Name of the template /group of templates |
|
EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES [QUARTERLY] |
|||
|
1 |
J 01.00 |
All institutions |
EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES |
|
BREAKDOWN OF SENSITIVITY ESTIMATES [QUARTERLY] |
|||
|
2 |
J 02.00 |
Large institutions |
BREAKDOWN OF SENSITIVITY ESTIMATES |
|
3 |
J 03.00 |
“Other” institutions |
BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR “OTHER” INSTITUTIONS) |
|
4 |
J 04.00 |
SNCIs |
BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR SNCIS) |
|
REPRICING CASH FLOWS [QUARTERLY] |
|||
|
5 |
J 05.00 |
Large institutions |
REPRICING CASH FLOWS |
|
6 |
J 06.00 |
“Other” institutions |
REPRICING CASH FLOWS (SIMPLIFIED FOR “OTHER” INSTITUTIONS) |
|
7 |
J 07.00 |
SNCIs |
REPRICING CASH FLOWS (SIMPLIFIED FOR SNCIS) |
|
RELEVANT PARAMETERS [QUARTERLY] |
|||
|
8 |
J 08.00 |
Large institutions |
RELEVANT PARAMETERS |
|
9 |
J 09.00 |
“Other” institutions and SNCIs |
RELEVANT PARAMETERS (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITUTIONS) |
|
QUALITATIVE INFORMATION [ANNUALLY] |
|||
|
10,1 |
J 10.01 |
Large institutions |
GENERAL QUALITATIVE INFORMATION |
|
10,2 |
J 10.02 |
Large institutions |
QUALITATIVE INFORMATION “CURRENCY BY CURRENCY” |
|
11,1 |
J 11.01 |
“Other” institutions and SNCIs |
GENERAL QUALITATIVE INFORMATION (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITUTIONS) |
|
11,2 |
J 11.02 |
“Other” institutions and SNCIs |
QUALITATIVE INFORMATION “CURRENCY BY CURRENCY” (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITUTIONS) |
|
J 01.00 – EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES |
|
Currency: |
|
|
|
|
Amount |
|
|
|
0010 |
|
Economic value of equity |
||
|
Δ EVE under worst scenario |
0010 |
|
|
Δ EVE ratio under worst scenario |
0020 |
|
|
EVE under baseline and supervisory shock scenarios |
||
|
Level of EVE under baseline scenario |
0030 |
|
|
Δ EVE under parallel shock up |
0040 |
|
|
Δ EVE under parallel shock down |
0050 |
|
|
Δ EVE under steepener shock |
0060 |
|
|
Δ EVE under flattener shock |
0070 |
|
|
Δ EVE under short rates shock up |
0080 |
|
|
Δ EVE under short rates shock down |
0090 |
|
|
Net interest income |
||
|
Δ NII under worst scenario |
0100 |
|
|
Δ NII ratio under worst scenario |
0110 |
|
|
NII under baseline and supervisory shock scenarios |
||
|
Level of NII under baseline scenario |
0120 |
|
|
Δ NII under parallel shock up |
0130 |
|
|
Δ NII under parallel shock down |
0140 |
|
|
IMS Market value changes |
||
|
MV under baseline and supervisory shock scenarios |
||
|
Level of market value under baseline scenario |
0150 |
|
|
Δ MV under parallel shock up |
0160 |
|
|
Δ MV under parallel shock down |
0170 |
|
|
Other currencies: Size of interest rate shocks |
||
|
Parallel shock |
0180 |
|
|
Short rate shock |
0190 |
|
|
Long rate shock |
0200 |
|
|
J 02.00 – BREAKDOWN OF SENSITIVITY ESTIMATES |
|
Currency: |
|
|
|
Carrying amount |
Duration |
Bank estimate of IRRBB sensivitities including behavioural, conditional and automatic optionality |
|||||||||||||
|
Economic value of equity |
Net interest income |
Market value |
||||||||||||||
|
Level of EVE – Baseline scenario |
Δ EVE – Parallel shock up |
ΔEVE – Parallel shock down |
ΔEVE – Steepener shock |
ΔEVE – Flattener shock |
ΔEVE – Short rates shock up |
ΔEVE – Short rates shock down |
Level of NII – Baseline scenario |
ΔNII – Parallel shock up |
ΔNII – Parallel shock down |
Level of MV – Baseline scenario |
ΔMV – Parallel shock up |
ΔMV – Parallel shock down |
||||
|
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
||
|
TOTAL ASSETS |
0010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: due to automatic optionality |
0020 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central bank |
0030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interbank |
0040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans and advances |
0050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: fixed rate |
0060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: non-performing |
0070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
0080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: secured by residential real estate |
0090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale non-financial |
0100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale financial |
0110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities |
0120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: fixed rate |
0130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives hedging assets |
0140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: fixed rate |
0150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging debt securities |
0160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging other assets |
0170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Off-balance sheet assets: contingent assets |
0190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL LIABILITIES |
0200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: due to automatic optionality |
0210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central bank |
0220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interbank |
0230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities issued |
0240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: fixed rate |
0250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: AT1 or T2 |
0260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMDs: Retail transactional |
0270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: fixed rate |
0280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: core component |
0290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: exempted from the 5Y cap |
0300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMDs: Retail non-transactional |
0310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: fixed rate |
0320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: core component |
0330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: exempted from the 5Y cap |
0340 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMDs: Wholesale non-financial |
0350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: fixed rate |
0360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: core component |
0370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: exempted from the 5Y cap |
0380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMDs: Wholesale financial |
0390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: fixed rate |
0400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: operational deposits |
0410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Term deposits |
0420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: fixed rate |
0430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
0440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale non-financial |
0450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale financial |
0460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives hedging liabilities |
0470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: fixed rate |
0480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging debt securities |
0490 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging other liabilities |
0500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Off-balance sheet liabilities: Contingent liabilities |
0520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other derivatives (Net asset/liability) |
0530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MEMORANDUM ITEMS |
||||||||||||||||
|
Net derivatives |
0540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest rate position without derivatives |
0550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest rate position with derivatives |
0560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Assets with MV impact |
0570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities |
0580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
0590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Liabilities with MV impact |
0610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities issued |
0620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
0630 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
J 03.00 – BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR “OTHER” INSTITUTIONS) |
|
Currency: |
|
|
|
Carrying amount |
Duration |
Bank estimate of IRRBB sensivitities including behavioural, conditional and automatic optionality |
|||||||||||||
|
Economic value of equity |
Net interest income |
Market value |
||||||||||||||
|
Level of EVE – Baseline scenario |
Δ EVE – Parallel shock up |
ΔEVE – Parallel shock down |
ΔEVE – Steepener shock |
ΔEVE – Flattener shock |
ΔEVE – Short rates shock up |
ΔEVE – Short rates shock down |
Level of NII – Baseline scenario |
ΔNII – Parallel shock up |
ΔNII – Parallel shock down |
Level of MV - Baseline scenario |
ΔMV – Parallel shock up |
ΔMV – Parallel shock down |
||||
|
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
||
|
TOTAL ASSETS |
0010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central bank |
0030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interbank |
0040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans and advances |
0050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities |
0120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives hedging assets |
0140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging debt securities |
0160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging other assets |
0170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Off-balance sheet assets: contingent assets |
0190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL LIABILITIES |
0200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central bank |
0220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interbank |
0230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities issued |
0240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMDs: Retail transactional |
0270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMDs: Retail non-transactional |
0310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMDs: Wholesale non-financial |
0350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMDs: Wholesale financial |
0390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Term deposits |
0420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives hedging liabilities |
0470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging debt securities |
0490 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging other liabilities |
0500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Off-balance sheet liabilities: Contingent liabilities |
0520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other derivatives (Net asset/liability) |
0530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MEMORANDUM ITEMS |
||||||||||||||||
|
Net derivatives |
0540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest rate position without derivatives |
0550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest rate position with derivatives |
0560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Assets with MV impact |
0570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities |
0580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
0590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Liabilities with MV impact |
0610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities issued |
0620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
0630 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
J 04.00 – BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR SNCIS) |
|
Currency: |
|
|
|
Carrying amount |
Duration |
Bank estimate of IRRBB sensivitities including behavioural, conditional and automatic optionality |
|||||||||||||
|
Economic value of equity |
Net interest income |
Market value |
||||||||||||||
|
Level of EVE – Baseline scenario |
Δ EVE – Parallel shock up |
ΔEVE – Parallel shock down |
ΔEVE – Steepener shock |
ΔEVE – Flattener shock |
ΔEVE – Short rates shock up |
ΔEVE – Short rates shock down |
Level of NII – Baseline scenario |
ΔNII – Parallel shock up |
ΔNII – Parallel shock down |
Level of MV – Baseline scenario |
ΔMV – Parallel shock up |
ΔMV – Parallel shock down |
||||
|
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
||
|
TOTAL ASSETS |
0010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Off-balance sheet assets: contingent assets |
0190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL LIABILITIES |
0200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Off-balance sheet liabilities: contingent liabilities |
0520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MEMORANDUM ITEMS |
||||||||||||||||
|
Total Assets with MV impact |
0570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities |
0580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
0590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Liabilities with MV impact |
0610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities issued |
0620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
0630 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
J 05.00 – REPRICING CASH FLOWS |
|
Currency: |
|
|
Modelling: |
|
|
|
Fixed rate |
Floating rate |
||||||||||||||||||||||||||||||||||||||
|
Notional amount |
|
|
|
Weighted average yield |
Weighted average maturity (contractual) |
Repricing schedule for all notional repricing cash flows |
Notional amount |
|
|
|
Weighted average yield |
Weighted average maturity (contractual) |
Repricing schedule for all notional repricing cash flows |
|||||||||||||||||||||||||||
|
% With embedded or explicity automatic optionality |
% Subject to behavioural modelling |
Overnight |
Greater than overnight up to 1 month |
Greater than 1 month up to 3 months |
Greater than 3 months up to 6 months |
Greater than 6 months up to 9 months |
Greater than 9 months up to 12 months |
Greater than 12 months up to 1,5 years |
Greater than 1,5 years up to 2 years |
Greater than 2 years up to 3 years |
Greater than 3 years up to 4 years |
Greater than 4 years up to 5 years |
Greater than 5 years up to 6 years |
Greater than 6 years up to 7 years |
Greater than 7 years up to 8 years |
Greater than 8 years up to 9 years |
Greater than 9 years up to 10 years |
Greater than 10 years up to 15 years |
Greater than 15 years up to 20 years |
Greater than 20 years |
% With embedded or explicity automatic optionality |
% Subject to behavioural modelling |
Overnight |
Greater than overnight up to 1 month |
Greater than 1 month up to 3 months |
Greater than 3 months up to 6 months |
Greater than 6 months up to 9 months |
Greater than 9 months up to 12 months |
Greater than 12 months up to 1,5 years |
Greater than 1,5 years up to 2 years |
||||||||||
|
Bought |
Sold |
Bought |
Sold |
|||||||||||||||||||||||||||||||||||||
|
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
0160 |
0170 |
0180 |
0190 |
0200 |
0210 |
0220 |
0230 |
0240 |
0250 |
0260 |
0270 |
0280 |
0290 |
0300 |
0310 |
0320 |
0330 |
0340 |
0350 |
0360 |
0370 |
0380 |
0390 |
||
|
TOTAL ASSETS |
0010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central bank |
0030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interbank |
0040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans and advances |
0050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: non-performing |
0070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
0080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: secured by residential real estate |
0090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale non-financial |
0100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale financial |
0110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities |
0120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives hedging assets |
0140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging debt securities |
0160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging other assets |
0170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Off-balance sheet assets: contingent assets |
0190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL LIABILITIES |
0200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central bank |
0220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interbank |
0230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities issued |
0240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: AT1 or T2 |
0260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMD: Retail transactional |
0270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: core component |
0290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: exempted from the 5Y cap |
0300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMDs: Retail non-transactional |
0310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: core component |
0330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: exempted from the 5Y cap |
0340 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMDs: Wholesale non-financial |
0350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: core component |
0370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: exempted from the 5Y cap |
0380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMDs: Wholesale financial |
0390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: operational deposits |
0410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Term deposits |
0420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
0440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale non-financial |
0450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale financial |
0460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives hedging liabilities |
0470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging debt securities |
0490 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedging other liabilities |
0500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Off-balance sheet liabilities: contingent liabilities |
0520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other derivatives (Net asset/liability) |
0530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MEMORANDUM ITEMS |
||||||||||||||||||||||||||||||||||||||||
|
Total Assets with MV impact |
0570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities |
0580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
0590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Liabilities with MV impact |
0610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities issued |
0620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
0630 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|