Article 24
Calculation of the net interest income and changes in the net interest income
1.
Institutions shall calculate the net interest income by adding all of the following, with the exclusion of automatic interest rate options, up to the net interest income time horizon:
(a)
the projected risk-free yields on the reinvestment or refinancing of notional repricing cash flows, calculated in accordance with Article 19;
(b)
the projected commercial margin on the reinvestment or refinancing of notional repricing cash flows of the instruments referred to in Articles 6 to 12, calculated in accordance with Article 20;
(c)
the sum of interest payments occurring up to the repricing date, including that date, calculated in accordance with Article 21, reduced by any material interest accrued at t = 0.
2.
For the purposes of the calculation referred to in paragraph 1, institutions shall assign a positive sign to incoming cash flows and a negative sign to outgoing cash flows.
3.
Institutions shall calculate the impact of a scenario on net interest income by adding all of the following:
(a)
the difference between:
(i)
the calculation referred to in paragraph 1 relating to the applicable scenario;
(ii)
the calculation referred to in paragraph 1 relating to the baseline scenario;
(b)
the net interest income add-on for automatic options within the net interest income time horizon, calculated in accordance with Article 15;
(c)
the net interest income add-on for basis risk referred to in Article 23.
For the purposes of the first subparagraph, points (a) and (b), institutions shall use the same scenarios.
For the purposes of the first subparagraph, point (c), institutions shall calculate the net interest income add-on for basis risk for the tightening or widening shocks, as referred to in Article 23(9), that has the largest negative impact on the net interest income.
4.
When calculating the aggregate change for each scenario, institutions shall add together any negative and positive changes occurring in each currency. In that calculation, institutions shall convert currencies, other than the reporting currency, to the reporting currency at the ECB spot FX rate on the reference date. Positive changes shall be weighted by a factor of 50 % or by a factor of 80 % in the case of ERMII currencies with a formally agreed fluctuation band narrower than the standard band of +/-15 %.
Institutions shall recognise weighted gains up to the greater of either of the following values:
(a)
the absolute value of negative changes in EUR or ERM II currencies;
(b)
the result of applying a factor of 50 % to the positive changes of ERM II currencies or EUR.