LegalizeCommission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)
PART 5: CALCULATIONS
1. Calculations
1.1. General remarks
- 1.This is a summary template which contains information about calculations for the purpose of reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by institutions are coloured grey.
1.2. Specific remarks
- 2.Cell references are given in the format: template; row; column. For example, {C 72.00; r0130; c0040} refers to Liquid Assets template; row 0130; column 0040.
1.3. Calculations sub template – Instructions concerning specific rows
| Row | Legal references and instructions |
|---|---|
| CALCULATIONS | CALCULATIONS |
| Numerator, Denominator, Ratio Article 4 of Delegated Regulation (EU) 2015/61 The Liquidity Coverage Ratio numerator, denominator and ratio. Enter all below data into column 0010 of given row. | Numerator, Denominator, Ratio Article 4 of Delegated Regulation (EU) 2015/61 The Liquidity Coverage Ratio numerator, denominator and ratio. Enter all below data into column 0010 of given row. |
| 0010 | 1. Liquidity Buffer Institutions shall report figure from {C 76.00; r0290; c0010}. |
| 0020 | 2. Net Liquidity Outflow Institutions shall report figure from {C 76.00; r0370; c0010}. |
| 0030 | 3. Liquidity Coverage Ratio (%) Institutions shall report the liquidity coverage ratio calculated as specified in Article 4(1) of Delegated Regulation (EU) 2015/61. The liquidity coverage ratio shall be equal to the ratio of a credit institution’s liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage. If {C 76.00; r0020; c0010} is zero (causing a ratio of infinity) then report the value 999 999 . |
| Numerator calculations Article 17 and Annex I of Delegated Regulation (EU) 2015/61 Formula for the calculation of the Liquidity Buffer. Enter all below data into column 0010 of given row. | Numerator calculations Article 17 and Annex I of Delegated Regulation (EU) 2015/61 Formula for the calculation of the Liquidity Buffer. Enter all below data into column 0010 of given row. |
| 0040 | 4. L1 excl. EHQCB liquidity buffer (value in accordance with Article 9): unadjusted Institutions shall report figure from {C 72.00; r0030; c0040}. |
| 0050 | 5. L1 excl. EHQCB collateral 30 day outflows Institutions shall report outflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0060 | 6. L1 excl. EHQCB collateral 30 day inflows Institutions shall report inflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0070 | 7. Secured cash outflows Institutions shall report outflows of cash (a Level 1 asset) upon the unwind of any secured funding or secured lending transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0080 | 8. Secured cash inflows Institutions shall report inflows of cash (a Level 1 asset) upon the unwind of any secured funding or secured lending transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0091 | 9. L1 excl. EHQCB ‘adjusted amount’ This is referred to in subparagraph (a) of Annex I (3) Institutions shall report the adjusted non-covered bond level 1 asset amount before cap application. The adjusted amount shall take into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0100 | 10. L1 EHQCB value in accordance with Article 9: unadjusted Institutions shall report figure from {C 72.00; r0180; c0040}. |
| 0110 | 11. L1 EHQCB collateral 30 day outflows Institutions shall report outflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0120 | 12. L1 EHQCB collateral 30 day inflows Institutions shall report inflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0131 | 13. L1 EHQCB ‘adjusted amount’ This is referred to by subparagraph (b) of Annex I (3) Institutions shall report the adjusted covered bond level 1 asset amount before cap application. The adjusted amount shall take into account the unwind of secured funding, secured lending, or collateral swap transactions that mature within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0160 | 14. L2A value in accordance with Article 9: unadjusted Institutions shall report figure from {C 72.00; r0230; c0040}. |
| 0170 | 15. L2A collateral 30 day outflows Institutions shall report outflows of Level 2A liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0180 | 16. L2A collateral 30 day inflows Institutions shall report inflows of Level 2A liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0191 | 17. L2A ‘adjusted amount’ This is referred to by subparagraph (c) in Annex I (3). Institutions shall report the adjusted level 2A asset amount before cap application. The adjusted amount shall take into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0220 | 18. L2B value in accordance with Article 9: unadjusted Institutions shall report figure from {C 72.00; r0310; c0040}. |
| 0230 | 19. L2B collateral 30 day outflows Institutions shall report outflows of Level 2B liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0240 | 20. L2B collateral 30 day inflows Institutions shall report inflows of Level 2B liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0251 | 21. L2B ‘adjusted amount’ This is referred to by subparagraph (d) in Annex I (3). Institutions shall report the adjusted level 2B asset amount before cap application. The adjusted amount shall take into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61. |
| 0280 | 22. Excess liquid asset amount Annex I(4) Institutions shall report the ‘excess liquid assets amount’: this amount shall be equal to: (a) the adjusted non-covered bond level 1 asset amount; plus (b) the adjusted level 1 covered bond amount; plus (c) the adjusted level 2A asset amount; plus (d) the adjusted level 2B asset amount; minus the lesser of: (e) the sum of (a),(b),(c) and (d); (f) 100/30 times (a); (g) 100/60 times the sum of (a) and (b); (h) 100/85 times the sum of (a), (b) and (c). |
| 0290 | 23. LIQUIDITY BUFFER Annex I (2) Institutions shall report the liquidity buffer which shall be equal to: (a) the level 1 asset amount; plus (b) the level 2A asset amount; plus (c) the level 2B asset amount; minus the lesser of: (d) the sum of (a), (b), and (c); or (e) the ‘excess liquid assets amount’. |
| Denominator calculations Annex II of Delegated Regulation (EU) 2015/61 Formula for the calculation of the net liquidity outflow Where, NLO = Net liquidity outflow TO = Total outflows TI = Total inflows FEI = Fully exempted inflows IHC = Inflows subject to higher cap of 90 % outflows IC = Inflows subject to cap of 75 % of outflows Institutions shall enter all below data in to column 0010 of a given row. | Denominator calculations Annex II of Delegated Regulation (EU) 2015/61 Formula for the calculation of the net liquidity outflow Where, NLO = Net liquidity outflow TO = Total outflows TI = Total inflows FEI = Fully exempted inflows IHC = Inflows subject to higher cap of 90 % outflows IC = Inflows subject to cap of 75 % of outflows Institutions shall enter all below data in to column 0010 of a given row. |
| 0300 | 24. Total Outflows TO = from Outflow sheet Institutions shall report figure from {C 73.00; r0010; c0060}. |
| 0310 | 25. Fully Exempt Inflows FEI = from Inflows sheet Institutions shall report figure from {C 74.00; r0010; c0160}. |
| 0320 | 26. Inflows Subject to 90 % Cap IHC = from Inflows sheet Institutions shall report figure from {C 74.00; r0010; c0150}. |
| 0330 | 27. Inflows Subject to 75 % Cap IC = from Inflows sheet Institutions shall report figure from {C 74.00; r0010; c0140}. |
| 0340 | 28. Reduction for Fully Exempt Inflows Institutions shall report the following part of the NLO calculation: = MIN (FEI, TO). |
| 0350 | 29. Reduction for Inflows Subject to 90 % Cap Institutions shall report the following part of the NLO calculation: = MIN (IHC, 0.9*MAX(TO-FEI, 0)). |
| 0360 | 30. Reduction for Inflows Subject to 75 % Cap Institutions shall report the following part of the NLO calculation: = MIN (IC, 0.75*MAX(TO-FEI-IHC/0.9, 0)). |
| 0370 | 31. NET LIQUIDITY OUTFLOW Institutions shall report the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90 % cap less the reduction for inflows subject to the 75 % cap. NLO = TO – MIN(FEI, TO) – MIN(IHC, 0.9MAX(TO-FEI, 0)) – MIN(IC, 0.75MAX(T0-FEI-IHC/0.9,0)) |
| Pillar 2 | Pillar 2 |
| 0380 | 32. PILLAR 2 REQUIREMENT Article 105 CRD Institutions shall report the Pillar 2 requirement. |
PART 6: PERIMETER OF CONSOLIDATION
1. Perimeter of consolidation
1.1. General remarks
- 1.This is a template that, for the only purposes of LCR at a consolidated level, identifies the entities to which the information reported in templates C 72.00, C 73.00, C 74.00, C 75.01 and C 76.00 refers. This template identifies all the entities that form part of the perimeter of consolidation of the LCR in accordance with Articles 8 and 10, Article 11(3) and (5) of Regulation (EU) No 575/2013, as applicable. This template shall have as many rows as entities are in the perimeter of consolidation.
1.2. Instructions concerning specific columns
| Column | Legal references and instructions |
|---|---|
| 0005 | Parent or subsidiary ‘Parent’ shall be reported in the case the entity in the row is: — the EU parent institution, EU parent financial holding company or EU parent mixed financial holding company as envisaged in Article 11(3) of Regulation (EU) No 575/2013; — the parent institution or subsidiary institution that need to comply with the LCR on a consolidated basis or in a sub-consolidated basis, respectively, in the context of a single liquidity subgroup as per Article 8 of Regulation (EU) No 575/2013; — the relevant institution required to comply with the LCR on a sub-consolidated basis as per Article 11(5) of Regulation (EU) No 575/2013; — the EU central institution. ‘Subsidiary’ shall be reported in the rest of the rows. |
| 0010 | Name The name of each entity in the perimeter of consolidation shall be reported in column 0010. |
| 0020 | Code The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. |
| 0021 | Type of code The institutions shall identify the type of code reported in column 0020 as a ‘LEI code’ or ‘Non-LEI code’. The type of code shall always be reported. |
| 0022 | National code Institutions may additionally report the national code when they report LEI code as identifier as in the ‘Code’ column. |
| 0040 | Country code ISO code 3166-1-alpha-2 of the country of incorporation of each entity in the perimeter of consolidation shall be reported in column 0020. |
| 0050 | Type of entity Entities reported in column 0010 shall be assigned an entity type corresponding to its legal form as per the following list: ‘Credit institution’; ‘Investment firm’; ‘Other’. |
ANNEX XXVI
SUPPLEMENTARY REPORTING FOR THE PURPOSE OF IDENTIFYING AND ASSIGNING G-SII BUFFER RATES
| TEMPLATES | TEMPLATES | TEMPLATES | TEMPLATES |
| Template number | Template code | Name of the template /group of templates | Short name |
| G-SII INDICATORS AND EBU ITEMS | |||
| 1 | G 01.00 | G-SII INDICATORS AND EBU ITEMS | GSII |
G 01.00 - G-SII indicators and EBU items
| Rows | Item | Amount |
|---|---|---|
| G-SII indicators | G-SII indicators | |
| 0010 | Total exposures, including insurance subsidiaries | |
| 0020 | Intra-financial system assets, including insurance subsidiaries | |
| 0030 | Intra-financial system liabilities, including insurance subsidiaries | |
| 0040 | Securities outstanding, including securities issued by insurance subsidiaries | |
| 0050 | Payments activity | |
| 0060 | Assets under custody | |
| 0070 | Underwriting activity | |
| 0081 | Trading volume - fixed income | |
| 0085 | Trading volume - equities and other securities | |
| 0090 | Notional amount of OTC derivatives, including insurance subsidiaries | |
| 0100 | Trading and AFS securities | |
| 0110 | Level 3 assets, including insurance subsidiaries | |
| 0120 | Cross-jurisdictional claims | |
| 0130 | Cross-jurisdictional liabilities | |
| Items considering the European Banking Union as a single jurisdiction | Items considering the European Banking Union as a single jurisdiction | |
| 0140 | Total foreign claims on an ultimate risk basis | |
| 0150 | Foreign derivatives claims on an ultimate risk basis | |
| 0160 | Foreign liabilities on an immediate risk basis, including derivatives |
ANNEX XXVII
REPORTING INSTRUCTIONS FOR THE PURPOSE OF IDENTIFYING G-SIIs AND ASSIGNING G-SII BUFFER RATES
| Table of Contents | Table of Contents |
| PART I: GENERAL INSTRUCTIONS | |
| 1. | STRUCTURE AND CONVENTIONS |
| 1.1. | STRUCTURE |
| 1.2. | NUMBERING CONVENTION |
| 1.3. | SIGN CONVENTION |
| PART II: TEMPLATE RELATED INSTRUCTIONS | |
| 1. | GENERAL REMARKS |
| 2. | INSTRUCTIONS CONCERNING SPECIFIC POSITIONS |
PART I: GENERAL INSTRUCTIONS
1. Structure and conventions
1.1. Structure
- 1.This reporting requirements aiming to support the identification of globally systemically important institutions (G-SIIs) and assigning corresponding G-SII buffer rates consist of one template capturing information on indicators of global systemic importance and particular items needed for the application of the Union’s methodology for identifying G-SIIs and assigning corresponding G-SII buffer rates.
1.2. Numbering convention
- 2.The document follows the labelling convention set in points 3 to 5, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.
- 3.The following general notation is followed in the instructions: {Template; Row; Column}.
- 4.Where references are made inside a template, and therefore only data points of that template are used, the notation does not include a template: {Row; Column}. Where templates have only one column, only rows are referred to {Template; Row}.
- 5.An asterisk sign is used to express that the reference captures the rows or columns specified before.
1.3. Sign convention
- 6.Any amount that increases the value of the indicator, the assets, liabilities or exposures shall be reported as a positive figure. Any amount that reduces the the value of the indicator, the assets, liabilities or exposures shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item.
PART II: TEMPLATE RELATED INSTRUCTIONS
1. General remarks
- 8.The template is divided into two sections. The upper section on G-SII indicators includes the indicators for identifying globally systemically important institutions as defined in the methodology developed by the Basel Committee on Banking Supervision. The lower section contains a number of items needed to calculate the relevant indicators in accordance with the methodology defined on the basis of Article 131(18) of Directive 2013/36/EU ([^E0031]).
- 9.Where relevant, the information provided in this template shall be consistent with the information provided to relevant authorities for the purposes of the collection of the indicator values by relevant authorities as set out in Article 3(2) of Commission Delegated Regulation (EU) No 1222/2014 ([^E0032]).
2. Instructions concerning specific positions
| Row | Legal references and instructions |
|---|---|
| 0010 – 0130 | G-SII indicators The definition of the indicators shall be the same as the definition applied for the purposes of determining the information listed in the Annex to Commission Delegated Regulation (EU) No 1222/2014. In case of changes to the definitions in that methodolgy, those amended definitions in the methodology applicable for determing the indicators values as of the end of the financial year (‘year-end methodology’) shall be used for the purposes of reporting information as of the end of the first, second and third quarter of that same financial year. Where the template of Annex XXVI is subject to amendments in the course of the financial year in question, the year-end methodology shall be applied from the first applicable reference dates after the entry into force of the amending Regulation. Indicators that are flow measures shall be reported on a cumulative basis since the beginning of the calendar or financial year, as applicable. |
| 0010 | Total exposures, including insurance subsidiaries |
| 0020 | Intra-financial system assets, including insurance subsidiaries |
| 0030 | Intra-financial system liabilities, including insurance subsidiaries |
| 0040 | Securities outstanding, including securities issued by insurance subsidiaries |
| 0050 | Payments activity |
| 0060 | Assets under custody |
| 0070 | Underwriting activity |
| 0081 | Trading volume – fixed income |
| 0085 | Trading volume – equities and other securities |
| 0090 | Notional amount of OTC derivatives, including insurance subsidiaries |
| 0100 | Trading and AFS securities |
| 0110 | Level 3 assets, including insurance subsidiaries |
| 0120 | Cross-jurisdictional claims |
| 0130 | Cross-jurisdictional liabilities |
| 0140 – 0160 | Items considering the European Banking Union as a single jurisdiction For the purposes of determining the items specified below and in the absence of specifications in the instructions below, the definitions and concepts applied shall be aligned, to the extent possible, with the definitions and concepts defined in the Guidelines for reporting the BIS international banking statistics. By derogation from that, the reporting entities’ activities across participating Member States as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council [^E0033] shall be excluded, i.e. the Participating Member States shall be considered as one single jurisdiction. |
| 0140 | Total foreign claims on an ultimate risk basis Total foreign claims shall be the sum of cross-border claims and local claims of foreign affiliates in local or foreign currency. Claims from positions in derivative contracts shall be excluded. ‘Claims’, ‘cross-border claims’, ‘local claims of foreign affiliates in foreign and local currency’ shall have the same meaning as defined in the Guidelines for reporting the BIS international banking statistics. ‘On an ultimate risk basis’ shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to a third party that has contracted to assume the debts or obligations of the primary counterparty if that party fails to perform, where such a third party exists. This allocation shall be made in accordance with the provisions on risk transfers provided in the Guidelines for reporting the BIS international banking statistics. |
| 0150 | Foreign derivatives claims on an ultimate risk basis The positive fair value of all derivative claims that are cross-border claims, or local claims of foreign affiliates in local or foreign currency. Derivatives include forwards, swaps, and options related to foreign exchange, interest rate, equity, commodity, and credit instruments. This includes purchased credit derivatives that hedge or offset credit protection sold or are held for trading purposes. In case of such purchased credit derivatives, the value shall not be capped at the value of the immediate claim it was purchased to guarantee. The positive fair values of derivative contracts may be offset against negative fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Only netting sets with a positive value shall be included in this item. The derivative claims shall be reported gross of any cash collateral. For the purposes of reporting information on an ultimate risk basis, the following shall apply: a) When the final risk lies with the counterparty, a derivative is considered foreign if the counterparty is not in the reporting entities’ home jurisdiction. b) When the final risk lies with the guarantor, a derivative is considered foreign if the guarantor is not in the reporting entities’ home jurisdiction. |
| 0160 | Foreign liabilities on an immediate risk basis, including derivatives Foreign liabilities, including derivatives, shall be the sum of foreign liabilities and foreign liabilities arising from derivatives. Securities liabilities that are tradable financial assets issued by the reporting institution shall be excluded from this item. The definition of derivatives shall be the same as applied for row 0150. The negative fair values of derivative contracts may be offset against positive fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Derivatives liabilities shall be reported gross of any collateral (cash and non-cash). ‘On an immediate risk basis’ shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to the direct counterparty of the contract. |
Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).
ANNEX XXVIII
REPORTING ON INTEREST RATE RISK IN THE BANKING BOOK
| IRRBB TEMPLATES | IRRBB TEMPLATES | IRRBB TEMPLATES | 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] | EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES [QUARTERLY] | EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES [QUARTERLY] | 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] | BREAKDOWN OF SENSITIVITY ESTIMATES [QUARTERLY] | BREAKDOWN OF SENSITIVITY ESTIMATES [QUARTERLY] | 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] | REPRICING CASH FLOWS [QUARTERLY] | REPRICING CASH FLOWS [QUARTERLY] | 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] | RELEVANT PARAMETERS [QUARTERLY] | RELEVANT PARAMETERS [QUARTERLY] | 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] | QUALITATIVE INFORMATION [ANNUALLY] | QUALITATIVE INFORMATION [ANNUALLY] | 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 omitted; see official source |
| --- | --- |
| Economic value of equity | Economic value of equity |
| Δ EVE under worst scenario | 0010 |
| Δ EVE ratio under worst scenario | 0020 |
| EVE under baseline and supervisory shock scenarios | 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 | Net interest income |
| Δ NII under worst scenario | 0100 |
| Δ NII ratio under worst scenario | 0110 |
| NII under baseline and supervisory shock scenarios | 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 | IMS Market value changes |
| MV under baseline and supervisory shock scenarios | 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 | 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 omitted; see official source |
| --- | --- |
| 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 | 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 omitted; see official source |
| --- | --- |
| 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 | 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 omitted; see official source |
| --- | --- |
| TOTAL ASSETS | 0010 |
| Off-balance sheet assets: contingent assets | 0190 |
| TOTAL LIABILITIES | 0200 |
| Off-balance sheet liabilities: contingent liabilities | 0520 |
| MEMORANDUM ITEMS | 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 omitted; see official source |
| Modelling: | Image omitted; see official source |
| --- | --- |
| 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 | 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) |
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