ANNEX XXVIII

Updated 16/09/2024

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CRR Tool Implementing Regulation 2021/451

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:

		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
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:

		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:

		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	% 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		Bought	Sold	% 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
		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
			Bought	Sold	% 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		Bought	Sold	% 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
		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
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 07.00 – REPRICING CASH FLOWS (SIMPLIFIED FOR SNCIS)

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	% 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		Bought	Sold	% 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
		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
Other	0180
Off-balance sheet assets: contingent assets	0190.
TOTAL LIABILITIES	0200
Central bank	0220
Interbank	0230
Debt securities issued	0240
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
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 08.00 – RELEVANT PARAMETERS

Currency:

		Notional amount		Baseline scenario (contractual)	Baseline scenario (behavioural)	Parallel shock up	Parallel shock down	Steepener shock	Flattener shock	Short rates shock up	Short rates shock down
		Notional amount	Subject to behavioural modelling (%)	Baseline scenario (contractual)	Baseline scenario (behavioural)	Parallel shock up	Parallel shock down	Steepener shock	Flattener shock	Short rates shock up	Short rates shock down
		0010	0020	0030	0040	0050	0060	0070	0080	0090	0100
NMDs - Behavioural modelling
Average repricing dates before and after modelling
NMDs: Retail transactional	0010
of which: core component	0020
of which: exempted from 5Y cap	0030
NMDs: Retail non-transactional	0040
of which: core component	0050
of which: exempted from 5Y cap	0060
NMDs: Wholesale non-financial	0070
of which: core component	0080
of which: exempted from 5Y cap	0090
NMDs: Wholesale financial	0100
of which: operational deposits	0110
PTR over 1 year horizon
NMDs: Retail transactional	0120
NMDs: Retail non-transactional	0130
NMDs: Wholesale non-financial	0140
NMDs: Wholesale financial	0150
Fixed Rate - Prepayment risk
Average repricing dates before and after modelling
Loans and advances	0160
of which: non-performing	0170
Retail	0180
of which: secured by residential real estate	0190
Wholesale non-financial	0200
Wholesale financial	0210
Debt securities	0220
Conditional prepayment rates (annualised average)
Loans and advances	0230
of which: non-performing	0240
Retail	0250
of which: secured by residential real estate	0260
Wholesale non-financial	0270
Wholesale financial	0280
Debt securities	0290
Fixed Rate - early redemption
Average repricing dates before and after modelling
Term deposits	0300
Retail	0310
Wholesale non-financial	0320
Wholesale financial	0330
Early redemtpion rates (cumulative average)
Term deposits	0340
Retail	0350
Wholesale non-financial	0360
Wholesale financial	0370

J 09.00 – RELEVANT PARAMETERS (SIMPLIFIED FOR SNCIS AND ‘OTHER’ INSTITUTIONS)

Currency:

		Notional amount		Baseline scenario (contractual)	Baseline scenario (behavioural)	Parallel shock up	Parallel shock down	Steepener shock	Flattener shock	Short rates shock up	Short rates shock down
		Notional amount	Subject to behavioural modelling (%)	Baseline scenario (contractual)	Baseline scenario (behavioural)	Parallel shock up	Parallel shock down	Steepener shock	Flattener shock	Short rates shock up	Short rates shock down
		0010	0020	0030	0040	0050	0060	0070	0080	0090	0100
NMDs - Behavioural modelling
Average repricing dates before and after modelling
NMDs: Retail transactional	0010
of which: core component	0020
of which: exempted from 5Y cap	0030
NMDs: Retail non-transactional	0040
of which: core component	0050
of which: exempted from 5Y cap	0060
NMDs: Wholesale non-financial	0070
of which: core component	0080
of which: exempted from 5Y cap	0090
NMDs: Wholesale financial	0100
of which: operational deposits	0110
Fixed Rate - Prepayment risk
Average repricing dates before and after modelling
Loans and advances	0160
Debt securities	0220
Conditional Prepayment Rates (average)
Loans and advances	0230
Debt securities	0290
Fixed Rate - Early Redemption
Average repricing dates before and after modelling
Term deposits	0300
Early redemtpion rates (average)
Term deposits	0340

J 10.00 – QUALITATIVE INFORMATION

10.1 General qualitative information

Approach NII and EVE SOT estimates
Approach used for the purpose of the SOT (NII/EVE)	0010
Requirement from the Competent Authority (NII/EVE)	0020
NII methodology
Methodology (NII)	0030
Conditional Cash Flows (NII)	0040
Option Risk (NII)	0050
Basis Risk (NII)	0060
EVE methodology
Methodology (EVE)	0070
Conditional Cash Flows (EVE)	0080
Option Risk (EVE)	0090
Basis Risk (EVE)	0100
Commercial margins/other spread components (EVE)	0110
Scope/Materiality Thresholds (NII/EVE)
Penalty fees from loan prepayments	0120
Pension obligations/pension plan assets	0130
Non-performing exposures	0140
Fixed rate loan committments	0150
Risk of prepayment	0160
Risk of early redemption	0170
Additional qualitative information
General approach for NMD modelling	0180
Identification of core component NMD balances	0190
Relevant drivers for NMD balances	0200
NMD core component balances (slotting of core component balances)	0210
5-year NMD repricing cap on IRRBB risk management	0220
Exemptions to the 5-year NMD repricing cap	0230
Modelling of operational NMDs from financial customers	0240
Changes in balance sheet structure due to interest rates	0250
IRRBB mitigation and hedging strategies (EVE)	0260
IRRBB mitigation and hedging strategies (NII)	0270
SOT on NII risk measure under the IMS Approach – PTR of Retail Term deposits	0280
SOT on NII risk measure under the IMS Approach – PTR of Fixed Retail Loans	0290
Basis risk	0300
CSRBB	0310

10.2 Qualitative information ‘currency by currency’

Currency:

Risk-free yield curve (discounting in EVE SOT)	0320
Risk-free yield curve (internal risk measures of EVE)	0330
Change of material assumptions (EVE)	0340
Change of material assumptions (NII)	0350
Post-shock interest rate floor (NII/EVE)	0360

J 11.00 – QUALITATIVE INFORMATION (SIMPLIFIED FOR SNCIS AND ‘OTHER’ INSTITUTIONS)

11.1 General qualitative information (Simplified)

Approach NII and EVE SOT estimates
Approach used for the purpose of the SOT (NII/EVE)	0010
Requirement from the Competent Authority (NII/EVE)	0020
NII methodology
Methodology (NII)	0030
Conditional Cash Flows (NII)	0040
Option Risk (NII)	0050
Basis Risk (NII)	0060
EVE methodology
Methodology (EVE)	0070
Conditional Cash Flows (EVE)	0080
Option Risk (EVE)	0090
Basis Risk (EVE)	0100
Commercial margins/other spread components (EVE)	0110
Scope/Materiality Thresholds (NII/EVE)
Penalty fees from loan prepayments	0120
Pension obligations/pension plan assets	0130
Non-performing exposures	0140
Fixed rate loan committments	0150
Risk of prepayment	0160
Risk of early redemption	0170
Additional qualitative information
General approach for NMD modelling	0180
Identification of core component NMD balances	0190
Relevant drivers for NMD balances	0200
NMD core component balances (slotting of core component balances)	0210
5-year NMD repricing cap on IRRBB risk management	0220
Exemptions to the 5-year NMD repricing cap	0230
Modelling of operational NMDs from financial customers	0240
IRRBB mitigation and hedging strategies (EVE)	0260
IRRBB mitigation and hedging strategies (NII)	0270
SOT on NII risk measure under the IMS Approach – PTR of Retail Term deposits	0280
SOT on NII risk measure under the IMS Approach – PTR of Fixed Retail Loans	0290
Basis risk	0300
CSRBB	0310

11.2 Qualitative information ‘currency by currency’ (Simplified)

Currency:

Risk-free yield curve (discounting in EVE SOT)	0320
Risk-free yield curve (internal risk measures of EVE)	0330
Post-shock interest rate floor (NII/EVE)	0360

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