Article 26
Simplified standardised methodology for the calculation of the net interest income and changes in the net interest income
1.
For the calculation of the net interest income and the changes in the net interest income under the simplified standardised methodology, institutions shall apply Articles 14 to 16, subject to the derogations set out in paragraphs 2 to 7 of this Article.
2.
Article 25 shall also apply to the calculation referred to in paragraph 1.
3.
Article 14(4) shall not apply to the calculation referred to in paragraph 1. Institutions shall, for each product type referred to in Article 20(3), calculate:
(a)
an average reference term for all fixed rate interest rate sensitive non-trading book assets;
(b)
an average reference term for all fixed rate interest rate sensitive non-trading book liabilities.
4.
By way of derogation from Article 19, institutions shall apply the calculated average reference terms instead of the midpoints of the reference term time buckets laid down in point 3 of the Annex.
5.
By way of derogation from Article 20(2), institutions shall separate, when applying Article 20(3), third subparagraph, the non-trading book positions referred to in Article 20(2) only by product types and not by geographical location.
6.
By way of derogation from Article 21, institutions shall calculate interest payments or part of interest payments occurring up to the repricing date, including that date, by multiplying the following:
(a)
the amount of principal of all instruments outstanding;
(b)
the institutions’ estimates of average interest rates on instruments on the asset or liability side, as applicable;
(c)
the net interest income time horizon, or, in case an instrument is repricing before the net interest income time horizon, the midpoint of the applicable repricing time buckets laid down in point 1 of the Annex applicable to the outstanding instrument.
7.
Institutions shall calculate the change in value referred to in Article 15 as the difference between the sum of the pay-outs in the baseline scenario and the sum of the pay-outs in the applicable scenario, discounted by the applicable risk-free interest rates. Institutions shall disregard any effect of increased volatility and multiply the pay-outs under the applicable scenario by 1,10.