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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

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)

Legal status of the document In force

ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj

European flag

Official Journal
of the European Union

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:

(a)

template 1 with a quarterly frequency by all institutions;

(b)

templates 2, 5 and 8 with a quarterly frequency by large institutions;

(c)

templates 3 and 6 with quarterly frequency by institutions that are neither large institutions nor small and non-complex institutions;

(d)

templates 4 and 7 with a quarterly frequency by small and non-complex institutions;

(e)

template 9 with quarterly frequency by institutions that are neither large institutions nor small and non-complex institutions and by small and non-complex institutions;

(f)

template 10 with an annual frequency by large institutions;

(g)

template 11 with annual frequency by institutions that are neither large institutions nor small and non-complex institutions and by small and non-complex 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:

Image 1


 

 

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:

Image 2


 

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:

Image 3


 

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:

Image 4


 

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:

Image 5

Modelling:

Image 6


 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other

0640

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


J 06.00 – REPRICING CASH FLOWS (SIMPLIFIED FOR “OTHER” INSTITUTIONS)


Currency:

Image 7

Modelling: