Article 8
1.
Institutions shall classify non-maturity deposits, depending on the type of counterparty, into the following categories:
(a)
retail non-maturity deposits, further classified into the following:
(b)
wholesale non-maturity deposits, further classified into the following:
(i)
wholesale deposits of financial customers;
(ii)
wholesale non-financial deposits.
2.
Institutions shall distinguish:
(a)
the stable from the non-stable part of the deposits referred to in paragraph 1, points (a)(i), (a)(ii), and (b)(ii) using observed changes of the volume of the deposits due to upward and downward movements of the risk-free interest rate for a period of at least the preceding 10 years;
(b)
the core and the non-core component of the stable part of the non-maturity deposits referred to in paragraph 1.
To determine the amount of the non-core component of the stable part of the non-maturity deposits as referred to in point (b), institutions shall multiply the amount of all stable non-maturity deposits by the pass-through rate.
3.
When assessing the pass-through rate referred to in paragraph 2, second subparagraph, institutions shall consider the following elements, having also regard to non-trading book positions with similar characteristics:
(a)
the current level of interest rates;
(b)
the spread between the institution’s offer rate and market rate;
(c)
competition from other firms;
(d)
the institution’s geographical location;
(e)
demographic and other relevant characteristics of the institution’s customer base;
(f)
the unlikely repricing of the core component of the stable part of the non-maturity deposits, even under significant changes in the interest rate environment.
4.
In shock scenarios prescribing an increase of short-term interest rates as referred to in Article 4, points (a)(i), (b)(i), and (c)(i), institutions shall multiply by 0,8 the core component of the stable part of the non-maturity deposits, calculated in accordance with paragraphs 2 and 3, and shall increase the non-core component accordingly.
5.
In shock scenarios prescribing a decrease of short-term interest rates as referred to in Article 4, points (a)(ii), (b)(ii), and (c)(ii), institutions shall multiply by 1,2 the core component of the stable part of the non-maturity deposits, calculated in accordance with paragraphs 2 and 3, and shall decrease the non-core component accordingly.
6.
When applying paragraphs 2 to 5, institutions shall apply the following caps on the proportion of the core component of the stable part of the non-maturity deposits, calculated in accordance with paragraphs 2 and 3:
(a)
90 % for retail transactional deposits as referred to in paragraph 1, point (a)(i);
(b)
70 % for retail non-transactional deposits as referred to in paragraph 1, point (a)(ii);
(c)
50 % for wholesale non-financial deposits as referred to in paragraph 1, point (b)(ii).
7.
Institutions shall treat all wholesale deposits of financial customers, as referred to in paragraph 1, point (b)(i), as non-core non-maturity deposits.
8.
Institutions shall allocate the non-core component of the non-maturity deposits to the repricing time bucket referred to in point 1(a) of the Annex.
9.
Institutions shall allocate the core components of the non-maturity deposits consistently over time to the relevant repricing time buckets referred to in point 1 of the Annex, based on observed internal data and subject to the following maturity restrictions calculated on a weighted average basis:
(a)
5 years, for the non-maturity deposits referred to in paragraph 1, point (a)(i);
(b)
4,5 years, for the non-maturity deposits referred to in paragraph 1, point (a)(ii);
(c)
4 years, for the non-maturity deposits referred to in paragraph 1, point (b)(ii).
10.
Institutions shall identify non-maturity deposits as non-core non-maturity deposits where the total of non-maturity deposits is smaller than 2 % of the non-trading book positions that are accounted for as a liability in accordance with the applicable accounting framework.