Updated 04/10/2024
In force

Version from: 01/09/2024
Amendments (1)
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ANNEX XXVIII

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



 

 

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



 

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



 

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



 

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

Modelling:

image



 

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

Modelling:

image



 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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