ANNEX XXVIII
REPORTING ON INTEREST RATE RISK IN THE BANKING BOOK
IRRBB TEMPLATES |
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Template number |
Template code |
Adressees |
Name of the template /group of templates |
EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES [QUARTERLY] |
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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 |
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of which: due to automatic optionality |
0020 |
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Central bank |
0030 |
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Interbank |
0040 |
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Loans and advances |
0050 |
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of which: fixed rate |
0060 |
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of which: non-performing |
0070 |
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Retail |
0080 |
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of which: secured by residential real estate |
0090 |
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Wholesale non-financial |
0100 |
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Wholesale financial |
0110 |
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Debt securities |
0120 |
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of which: fixed rate |
0130 |
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Derivatives hedging assets |
0140 |
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of which: fixed rate |
0150 |
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Hedging debt securities |
0160 |
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Hedging other assets |
0170 |
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Other |
0180 |
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Off-balance sheet assets: contingent assets |
0190 |
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TOTAL LIABILITIES |
0200 |
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of which: due to automatic optionality |
0210 |
|
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Central bank |
0220 |
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Interbank |
0230 |
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Debt securities issued |
0240 |
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of which: fixed rate |
0250 |
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of which: AT1 or T2 |
0260 |
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NMDs: Retail transactional |
0270 |
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of which: fixed rate |
0280 |
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of which: core component |
0290 |
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of which: exempted from the 5Y cap |
0300 |
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NMDs: Retail non-transactional |
0310 |
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of which: fixed rate |
0320 |
|
|
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|
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|
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|
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of which: core component |
0330 |
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|
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of which: exempted from the 5Y cap |
0340 |
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NMDs: Wholesale non-financial |
0350 |
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of which: fixed rate |
0360 |
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|
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of which: core component |
0370 |
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of which: exempted from the 5Y cap |
0380 |
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NMDs: Wholesale financial |
0390 |
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of which: fixed rate |
0400 |
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of which: operational deposits |
0410 |
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Term deposits |
0420 |
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of which: fixed rate |
0430 |
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Retail |
0440 |
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Wholesale non-financial |
0450 |
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Wholesale financial |
0460 |
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Derivatives hedging liabilities |
0470 |
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of which: fixed rate |
0480 |
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|
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Hedging debt securities |
0490 |
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Hedging other liabilities |
0500 |
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Other |
0510 |
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Off-balance sheet liabilities: Contingent liabilities |
0520 |
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Other derivatives (Net asset/liability) |
0530 |
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MEMORANDUM ITEMS |
||||||||||||||||
Net derivatives |
0540 |
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Net interest rate position without derivatives |
0550 |
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Net interest rate position with derivatives |
0560 |
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Total Assets with MV impact |
0570 |
|
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Debt securities |
0580 |
|
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Derivatives |
0590 |
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Other |
0600 |
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Total Liabilities with MV impact |
0610 |
|
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Debt securities issued |
0620 |
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Derivatives |
0630 |
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Other |
0640 |
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|
|
|
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|
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 |
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
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 |
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
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|
|
|
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|
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|
|
|
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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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
0640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
J 06.00 – REPRICING CASH FLOWS (SIMPLIFIED FOR ‘OTHER’ INSTITUTIONS) |
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 |
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Bought |
Sold |
Bought |
Sold |
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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 |
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TOTAL ASSETS |
0010 |
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Central bank |
0030 |
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Interbank |
0040 |
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Loans and advances |
0050 |
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Debt securities |
0120 |
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Derivatives hedging assets |
0140 |
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Hedging debt securities |
0160 |
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Hedging other assets |
0170 |
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Other |
0180 |
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Off-balance sheet assets: contingent assets |
0190 |
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TOTAL LIABILITIES |
0200 |
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Central bank |
0220 |
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Interbank |
0230 |
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Debt securities issued |
0240 |
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of which: AT1 or T2 |
0260 |
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NMD: Retail transactional |
0270 |
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of which: core component |
0290 |
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of which: exempted from the 5Y cap |
0300 |
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NMDs: Retail non-transactional |
0310 |
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of which: core component |
0330 |
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of which: exempted from the 5Y cap |
0340 |
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NMDs: Wholesale non-financial |
0350 |
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of which: core component |
0370 |
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of which: exempted from the 5Y cap |
0380 |
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NMDs: Wholesale financial |
0390 |
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of which: operational deposits |
0410 |
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Term deposits |
0420 |
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Retail |
0440 |
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Wholesale non-financial |
0450 |
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Wholesale financial |
0460 |
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|
Derivatives hedging liabilities |
0470 |
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|
Hedging debt securities |
0490 |
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Hedging other liabilities |
0500 |
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Other |
0510 |
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Off-balance sheet liabilities: contingent liabilities |
0520 |
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Other derivatives (Net asset/liability) |
0530 |
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