The manual’s acronyms and terms, what they mean and where to read them in detail. The terms on one line mean the same thing.
Indicators
| EVE |
economic value of equity |
Present value of the certain flows only, discounted at their repricing date on the scenario’s curve. |
3.2 Economic value of equity (EVE) |
| MV |
market value |
Present value of all flows, certain and uncertain, discounted at their payment date on the scenario’s curve. |
3.1 Market value (MV) |
| NII |
net interest income, net interest margin, MNI, NIM, interest margin |
Undiscounted sum of the interest accrued over the 12 months after the reporting date. |
3.3 Net interest income (NII) |
| ΔEVE, ΔNII |
sensitivity, variation |
Change in a metric: the scenario minus the base scenario (BASELINE). |
3.4 Sensitivities and supervisory outlier test |
| Modified duration |
|
Sensitivity of EVE to a rate shock, computed from the UP_1_BP scenario. |
3.5 Carrying amount and modified duration |
| Liquidity gap, rate gap |
|
Capital flows per time band, attached to their payment date (liquidity) or to their repricing date (rate). |
3.7 Liquidity and interest rate gaps |
Interest rate risk and scenarios
| IRRBB |
interest rate risk in the banking book |
The interest rate risk the application measures, under the EBA’s standard framework. |
IRRBB scenario |
| SOT |
supervisory outlier test |
Test of template J 01.00: it takes the worst variation of EVE and NII among the prescribed supervisory scenarios. |
3.4 Sensitivities and supervisory outlier test |
BASELINE |
base scenario |
The scenario with no shock, which the others are compared to. |
3.4 Sensitivities and supervisory outlier test |
| Rate shock |
shock scenario, parallel, steepener, flattener |
Deformation applied to each point of each rate curve, under the EBA and Basel Committee framework. |
1.2 Interest rate shock scenarios |
| Post-shock floor |
EBA floor |
Bound applied to each shocked rate: from −150 bp for immediate maturities up to 0% at 50 years. |
Post-shock floor |
| Constant balance sheet |
new production |
Assumption of the IRRBB scenario: positions reaching maturity within the horizon are renewed. |
4.1 Constant balance sheet |
| Repricing |
refixing, rate reset |
Date on which the rate of a floating-rate capital is set again. |
1.9 Repricing date of floating-rate principal |
| Certain flow, uncertain flow |
CERTAIN, UNCERTAIN |
Flow whose rate is already known, or still to be set. |
1.8 Certainty of a cash flow |
| Time band |
time bucket, repricing band |
One of the EBA’s 19 repricing bands each flow is attached to. |
1.12 Time buckets |
Regulation and reporting
| EBA |
European Banking Authority |
The authority whose guidelines and IRRBB templates frame the calculation. |
EBA IRRBB Templates |
| J 01.00 to J 09.00 |
IRRBB templates, EBA templates |
The IRRBB regulatory templates the application fills in. |
EBA IRRBB Templates |
| FINREP |
financial reporting |
The regulatory financial reporting; its classification is used to sort accounts and fill in the templates. |
Classification |
| ALCO pack |
ALCO, ALM committee |
The ALM committee’s document, produced from a finished reporting generation, as a PDF or a PowerPoint. |
ALCO pack |
Balance sheet, accounts and run-off