J template cell details
This page gives, template by template, the calculation of each row and each column: a cell is its column’s calculation applied to its row’s population. The EBA IRRBB templates chapter explains the principles (views, empty cells, signs) and the Metrics chapter the formulas.
Reading this page
- Labels are taken as they are from the EBA workbooks, so that the row can be found on screen.
- Columns are those the EBA’s DPM declares for the row; the other boxes of the grid do not exist in the filing.
- Population: a row carries its FINREP classification, and a parent row adds those of all its child rows, whether or not they appear on the template. A transaction has only one classification, so no cash flow is counted twice.
- Currency: each template is filled per currency, in the currency of the cash flows, except J 10.01 and J 11.01, filled once for the institution.
- Empty cell: the cell is not calculated, which is not a 0 (uncalculated cells, RPT-025).
- Actual figure: for a given figure of a report, a double-click opens its calculation details.
J 01.00 Evaluation of the IRRBB: EVE/NII SOT and MV changes
Behavioural view, a single column (0010). The level is the net of the balance sheet, assets less liabilities: no sign is reversed. σ is the row’s scenario. Empty worst changes and ratios are reported by RPT-066.
| Row | EBA label | Calculation |
|---|---|---|
| 0010 | EVE under worst scenario | min (EVE σ − EVE BASELINE) over the six supervisory shocks. Empty with no baseline or none of these shocks. |
| 0020 | EVE ratio under worst scenario | Row 0010 / capitalAmount (Tier 1). Empty if capitalAmount is missing (RPT-005) or 0, or without row 0010. |
| 0030 | Level of EVE under baseline scenario | BASELINE EVE (§3.2). |
| 0040 | EVE under parallel shock up | EVE PARALLEL_UP − EVE BASELINE. |
| 0050 | EVE under parallel shock down | EVE PARALLEL_DOWN − EVE BASELINE. |
| 0060 | EVE under steepener shock | EVE STEEPENER − EVE BASELINE. |
| 0070 | EVE under flattener shock | EVE FLATTENER − EVE BASELINE. |
| 0080 | EVE under short rates shock up | EVE SHORT_UP − EVE BASELINE. |
| 0090 | EVE under short rates shock down | EVE SHORT_DOWN − EVE BASELINE. |
| 0100 | NII under worst scenario | min (NII σ − NII BASELINE) over the two parallel shocks. Empty with no baseline or none of these shocks. |
| 0110 | NII ratio under worst scenario | Row 0100 / capitalAmount (Tier 1). Empty if capitalAmount is missing or 0, or without row 0100. |
| 0120 | Level of NII under baseline scenario | BASELINE 12-month NII (§3.3). |
| 0130 | NII under parallel shock up | NII PARALLEL_UP − NII BASELINE. |
| 0140 | NII under parallel shock down | NII PARALLEL_DOWN − NII BASELINE. |
| 0150 | Level of market value under baseline scenario | BASELINE MV (§3.1). |
| 0160 | MV under parallel shock up | MV PARALLEL_UP − MV BASELINE. |
| 0170 | MV under parallel shock down | MV PARALLEL_DOWN − MV BASELINE. |
| 0180 | Parallel shock | Regulatory size of the parallel shock for the currency (§1.2). Uncalibrated currency: that of EUR, with RPT-056. |
| 0190 | Short rate shock | Regulatory size of the short rate shock, same rule. |
| 0200 | Long rate shock | Regulatory size of the long rate shock, same rule. |
J 02.00 Breakdown of sensitivity estimates
Behavioural view. The sign is that of §5.3: rows 0200 to 0520 are reversed on columns 0030 to 0120, rows 0610 to 0640 on columns 0130 to 0150.
Columns
| Column | EBA label | Calculation |
|---|---|---|
| 0010 | Carrying amount | Carrying amount of the population (§3.5). 0 for a row with no position, empty if the currency has no carrying amount. |
| 0020 | Duration | Modified duration of the row’s EVE: −EV01 / (EVE × 0.0001), where EV01 = EVE(UP_1_BP) − EVE(BASELINE) (§3.5). Empty without EVE or without the UP_1_BP scenario. |
| 0030 | Level of EVE - Baseline scenario | BASELINE EVE of the population (§3.2). |
| 0040 | EVE - Parallel shock up | EVE PARALLEL_UP − EVE BASELINE. |
| 0050 | EVE - Parallel shock down | EVE PARALLEL_DOWN − EVE BASELINE. |
| 0060 | EVE - Steepener shock | EVE STEEPENER − EVE BASELINE. |
| 0070 | EVE - Flattener shock | EVE FLATTENER − EVE BASELINE. |
| 0080 | EVE - Short rates shock up | EVE SHORT_UP − EVE BASELINE. |
| 0090 | EVE - Short rates shock down | EVE SHORT_DOWN − EVE BASELINE. |
| 0100 | Level of NII - Baseline scenario | BASELINE 12-month NII of the population (§3.3). |
| 0110 | NII - Parallel shock up | NII PARALLEL_UP − NII BASELINE. |
| 0120 | EVE - Parallel shock down | NII PARALLEL_DOWN − NII BASELINE. The EBA workbook writes “EVE” in this label, under the NII heading: it is the NII. |
| 0130 | Level of MV - Baseline scenario | BASELINE MV of the population (§3.1). |
| 0140 | MV - Parallel shock up | MV PARALLEL_UP − MV BASELINE. |
| 0150 | MV - Parallel shock down | MV PARALLEL_DOWN − MV BASELINE. |
Rows
| Row | EBA label | Columns | Calculation |
|---|---|---|---|
| 0010 | Total assets | 0010–0120 | Roll-up: the row’s classification + 0030 + 0040 + 0050 + 0120 + 0140 + 0180. |
| 0020 | Of which: due to automatic optionality | 0030–0090 | Not calculated, nothing models this part: empty cells. |
| 0030 | Central bank | 0010–0120 | The row’s classification. |
| 0040 | Interbank | 0010–0120 | The row’s classification. |
| 0050 | Loans and advances | 0010–0120 | Roll-up: the row’s classification + 0070 + 0080 + 0100 + 0110. |
| 0060 | Of which: fixed rate | 0020–0120 | Fixed-rate cash flows of row 0050 and its child rows (one-year rule of §3.6). |
| 0070 | Of which: non-performing | 0020–0120 | The row’s classification. |
| 0080 | Retail | 0020–0120 | Roll-up: the row’s classification + 0090. |
| 0090 | Of which: secured by residential real estate | 0020–0120 | The row’s classification. |
| 0100 | Wholesale non-financial | 0020–0120 | The row’s classification. |
| 0110 | Wholesale financial | 0020–0120 | The row’s classification. |
| 0120 | Debt securities | 0010–0120 | The row’s classification. |
| 0130 | Of which: fixed rate | 0020–0120 | Fixed-rate cash flows of row 0120 and its child rows (one-year rule of §3.6). |
| 0140 | Derivatives hedging assets | 0010–0120 | Roll-up: the row’s classification + 0160 + 0170. |
| 0150 | Of which: fixed rate | 0020–0120 | Fixed-rate cash flows of row 0140 and its child rows (one-year rule of §3.6). |
| 0160 | Hedging debt securities | 0020–0120 | The row’s classification. |
| 0170 | Hedging other assets | 0020–0120 | The row’s classification. |
| 0180 | Other | 0010–0120 | The row’s classification. |
| 0190 | Off-balance sheet assets: contingent assets | 0020–0120 | The row’s classification. Outside total assets and total liabilities. |
| 0200 | Total liabilities | 0010–0120 | Roll-up: the row’s classification + 0220 + 0230 + 0240 + 0270 + 0310 + 0350 + 0390 + 0420 + 0470 + 0510. |
| 0210 | Of which: due to automatic optionality | 0030–0090 | Not calculated, nothing models this part: empty cells. |
| 0220 | Central bank | 0010–0120 | The row’s classification. |
| 0230 | Interbank | 0010–0120 | The row’s classification. |
| 0240 | Debt securities issued | 0010–0120 | The row’s classification. |
| 0250 | Of which: fixed rate | 0020–0120 | Fixed-rate cash flows of row 0240 and its child rows (one-year rule of §3.6). |
| 0260 | Of which: AT1 or T2 | 0020–0120 | Not calculated, nothing models this part: empty cells. |
| 0270 | NMDs: Retail transactional | 0010–0120 | Roll-up: the row’s classification + 0290 + 0300. |
| 0280 | Of which: fixed rate | 0020–0120 | Fixed-rate cash flows of row 0270 and its child rows (one-year rule of §3.6). |
| 0290 | Of which: core component | 0020–0120 | The row’s classification. |
| 0300 | Of which: exempted from the 5Y cap | 0020–0120 | The row’s classification. |
| 0310 | NMDs: Retail non-transactional | 0010–0120 | Roll-up: the row’s classification + 0330 + 0340. |
| 0320 | Of which: fixed rate | 0020–0120 | Fixed-rate cash flows of row 0310 and its child rows (one-year rule of §3.6). |
| 0330 | Of which: core component | 0020–0120 | The row’s classification. |
| 0340 | Of which: exempted from the 5Y cap | 0020–0120 | The row’s classification. |
| 0350 | NMDs: Wholesale non-financial | 0010–0120 | Roll-up: the row’s classification + 0370 + 0380. |
| 0360 | Of which: fixed rate | 0020–0120 | Fixed-rate cash flows of row 0350 and its child rows (one-year rule of §3.6). |
| 0370 | Of which: core component | 0020–0120 | The row’s classification. |
| 0380 | Of which: exempted from the 5Y cap | 0020–0120 | The row’s classification. |
| 0390 | NMDs: Wholesale financial | 0010–0120 | Roll-up: the row’s classification + 0410. |
| 0400 | Of which: fixed rate | 0020–0120 | Fixed-rate cash flows of row 0390 and its child rows (one-year rule of §3.6). |
| 0410 | Of which: operational deposits | 0020–0120 | The row’s classification. |
| 0420 | Term deposits | 0010–0120 | Roll-up: the row’s classification + 0440 + 0450 + 0460. |
| 0430 | Of which: fixed rate | 0020–0120 | Fixed-rate cash flows of row 0420 and its child rows (one-year rule of §3.6). |
| 0440 | Retail | 0020–0120 | The row’s classification. |
| 0450 | Wholesale non-financial | 0020–0120 | The row’s classification. |
| 0460 | Wholesale financial | 0020–0120 | The row’s classification. |
| 0470 | Derivatives hedging liabilities | 0010–0120 | Roll-up: the row’s classification + 0490 + 0500. |
| 0480 | Of which: fixed rate | 0020–0120 | Fixed-rate cash flows of row 0470 and its child rows (one-year rule of §3.6). |
| 0490 | Hedging debt securities | 0020–0120 | The row’s classification. |
| 0500 | Hedging other liabilities | 0020–0120 | The row’s classification. |
| 0510 | Other | 0010–0120 | The row’s classification. |
| 0520 | Off-balance sheet liabilities: Contingent liabilities | 0020–0120 | The row’s classification. Outside total assets and total liabilities. |
| 0530 | Other derivatives (Net asset/liability) | 0010–0150 | The row’s classification. Outside total assets and total liabilities. |
| 0540 | Net derivatives | 0030–0120 | Signed sum of the derivatives: 0140 + 0470 + 0530 with their child rows, before signs are reversed. |
| 0550 | Net interest rate position without derivatives | 0030–0120 | Signed sum of all positions (rows 0010 to 0530) excluding derivatives. |
| 0560 | Net interest rate position with derivatives | 0030–0120 | Signed sum of all positions (rows 0010 to 0530), derivatives included. |
| 0570 | Total Assets with MV impact | 0130–0150 | Roll-up: the row’s classification + 0580 + 0590 + 0600. |
| 0580 | Debt securities | 0130–0150 | The row’s classification. |
| 0590 | Derivatives | 0130–0150 | The row’s classification. |
| 0600 | Other | 0130–0150 | The row’s classification. |
| 0610 | Total Liabilities with MV impact | 0130–0150 | Roll-up: the row’s classification + 0620 + 0630 + 0640. |
| 0620 | Debt securities issued | 0130–0150 | The row’s classification. |
| 0630 | Derivatives | 0130–0150 | The row’s classification. |
| 0640 | Other | 0130–0150 | The row’s classification. |
Memorandum rows 0570–0640: no calculation derives them from the other rows. They only carry the transactions the classification files directly on them, and those transactions then leave the asset and liability rows and the net positions. Without such a classification, they are 0.
J 03.00 Breakdown of sensitivity estimates (simplified for ‘other’ institutions)
Behavioural view. The sign is that of §5.3: rows 0200 to 0520 are reversed on columns 0030 to 0120, rows 0610 to 0640 on columns 0130 to 0150.
Columns
| Column | EBA label | Calculation |
|---|---|---|
| 0010 | Carrying amount | Carrying amount of the population (§3.5). 0 for a row with no position, empty if the currency has no carrying amount. |
| 0020 | Duration | Modified duration of the row’s EVE: −EV01 / (EVE × 0.0001), where EV01 = EVE(UP_1_BP) − EVE(BASELINE) (§3.5). Empty without EVE or without the UP_1_BP scenario. |
| 0030 | Level of EVE - Baseline scenario | BASELINE EVE of the population (§3.2). |
| 0040 | EVE - Parallel shock up | EVE PARALLEL_UP − EVE BASELINE. |
| 0050 | EVE - Parallel shock down | EVE PARALLEL_DOWN − EVE BASELINE. |
| 0060 | EVE - Steepener shock | EVE STEEPENER − EVE BASELINE. |
| 0070 | EVE - Flattener shock | EVE FLATTENER − EVE BASELINE. |
| 0080 | EVE - Short rates shock up | EVE SHORT_UP − EVE BASELINE. |
| 0090 | EVE - Short rates shock down | EVE SHORT_DOWN − EVE BASELINE. |
| 0100 | Level of NII - Baseline scenario | BASELINE 12-month NII of the population (§3.3). |
| 0110 | NII - Parallel shock up | NII PARALLEL_UP − NII BASELINE. |
| 0120 | EVE - Parallel shock down | NII PARALLEL_DOWN − NII BASELINE. The EBA workbook writes “EVE” in this label, under the NII heading: it is the NII. |
| 0130 | Level of MV - Baseline scenario | BASELINE MV of the population (§3.1). |
| 0140 | MV - Parallel shock up | MV PARALLEL_UP − MV BASELINE. |
| 0150 | MV - Parallel shock down | MV PARALLEL_DOWN − MV BASELINE. |
Rows
| Row | EBA label | Columns | Calculation |
|---|---|---|---|
| 0010 | Total assets | 0010–0120 | Roll-up: the row’s classification + 0030 + 0040 + 0050 + 0120 + 0140 + 0180. |
| 0030 | Central bank | 0010–0120 | The row’s classification. |
| 0040 | Interbank | 0010–0120 | The row’s classification. |
| 0050 | Loans and advances | 0010–0120 | Roll-up: the row’s classification + “Of which: non-performing” + “Retail” + “Wholesale non-financial” + “Wholesale financial”. |
| 0120 | Debt securities | 0010–0120 | The row’s classification. |
| 0140 | Derivatives hedging assets | 0010–0120 | Roll-up: the row’s classification + 0160 + 0170. |
| 0160 | Hedging debt securities | 0020–0120 | The row’s classification. |
| 0170 | Hedging other assets | 0020–0120 | The row’s classification. |
| 0180 | Other | 0010–0120 | The row’s classification. |
| 0190 | Off-balance sheet assets: contingent assets | 0020–0120 | The row’s classification. Outside total assets and total liabilities. |
| 0200 | Total liabilities | 0010–0120 | Roll-up: the row’s classification + 0220 + 0230 + 0240 + 0270 + 0310 + 0350 + 0390 + 0420 + 0470 + 0510. |
| 0220 | Central bank | 0010–0120 | The row’s classification. |
| 0230 | Interbank | 0010–0120 | The row’s classification. |
| 0240 | Debt securities issued | 0010–0120 | The row’s classification. |
| 0270 | NMDs: Retail transactional | 0010–0120 | Roll-up: the row’s classification + “Of which: core component” + “Of which: exempted from the 5Y cap”. |
| 0310 | NMDs: Retail non-transactional | 0010–0120 | Roll-up: the row’s classification + “Of which: core component” + “Of which: exempted from the 5Y cap”. |
| 0350 | NMDs: Wholesale non-financial | 0010–0120 | Roll-up: the row’s classification + “Of which: core component” + “Of which: exempted from the 5Y cap”. |
| 0390 | NMDs: Wholesale financial | 0010–0120 | Roll-up: the row’s classification + “Of which: operational deposits”. |
| 0420 | Term deposits | 0010–0120 | Roll-up: the row’s classification + “Retail” + “Wholesale non-financial” + “Wholesale financial”. |
| 0470 | Derivatives hedging liabilities | 0010–0120 | Roll-up: the row’s classification + 0490 + 0500. |
| 0490 | Hedging debt securities | 0020–0120 | The row’s classification. |
| 0500 | Hedging other liabilities | 0020–0120 | The row’s classification. |
| 0510 | Other | 0010–0120 | The row’s classification. |
| 0520 | Off-balance sheet liabilities: Contingent liabilities | 0020–0120 | The row’s classification. Outside total assets and total liabilities. |
| 0530 | Other derivatives (Net asset/liability) | 0010–0150 | The row’s classification. Outside total assets and total liabilities. |
| 0540 | Net derivatives | 0030–0120 | Signed sum of the derivatives: 0140 + 0470 + 0530 with their child rows, before signs are reversed. |
| 0550 | Net interest rate position without derivatives | 0030–0120 | Signed sum of all positions (rows 0010 to 0530) excluding derivatives. |
| 0560 | Net interest rate position with derivatives | 0030–0120 | Signed sum of all positions (rows 0010 to 0530), derivatives included. |
| 0570 | Total Assets with MV impact | 0130–0150 | Roll-up: the row’s classification + 0580 + 0590 + 0600. |
| 0580 | Debt securities | 0130–0150 | The row’s classification. |
| 0590 | Derivatives | 0130–0150 | The row’s classification. |
| 0600 | Other | 0130–0150 | The row’s classification. |
| 0610 | Total Liabilities with MV impact | 0130–0150 | Roll-up: the row’s classification + 0620 + 0630 + 0640. |
| 0620 | Debt securities issued | 0130–0150 | The row’s classification. |
| 0630 | Derivatives | 0130–0150 | The row’s classification. |
| 0640 | Other | 0130–0150 | The row’s classification. |
Memorandum rows 0570–0640: no calculation derives them from the other rows. They only carry the transactions the classification files directly on them, and those transactions then leave the asset and liability rows and the net positions. Without such a classification, they are 0.
J 04.00 Breakdown of sensitivity estimates (simplified for SNCIS)
Behavioural view. The sign is that of §5.3: rows 0200 to 0520 are reversed on columns 0030 to 0120, rows 0610 to 0640 on columns 0130 to 0150.
Columns
| Column | EBA label | Calculation |
|---|---|---|
| 0010 | Carrying amount | Carrying amount of the population (§3.5). 0 for a row with no position, empty if the currency has no carrying amount. |
| 0020 | Duration | Modified duration of the row’s EVE: −EV01 / (EVE × 0.0001), where EV01 = EVE(UP_1_BP) − EVE(BASELINE) (§3.5). Empty without EVE or without the UP_1_BP scenario. |
| 0030 | Level of EVE - Baseline scenario | BASELINE EVE of the population (§3.2). |
| 0040 | EVE - Parallel shock up | EVE PARALLEL_UP − EVE BASELINE. |
| 0050 | EVE - Parallel shock down | EVE PARALLEL_DOWN − EVE BASELINE. |
| 0060 | EVE - Steepener shock | EVE STEEPENER − EVE BASELINE. |
| 0070 | EVE - Flattener shock | EVE FLATTENER − EVE BASELINE. |
| 0080 | EVE - Short rates shock up | EVE SHORT_UP − EVE BASELINE. |
| 0090 | EVE - Short rates shock down | EVE SHORT_DOWN − EVE BASELINE. |
| 0100 | Level of NII - Baseline scenario | BASELINE 12-month NII of the population (§3.3). |
| 0110 | NII - Parallel shock up | NII PARALLEL_UP − NII BASELINE. |
| 0120 | EVE - Parallel shock down | NII PARALLEL_DOWN − NII BASELINE. The EBA workbook writes “EVE” in this label, under the NII heading: it is the NII. |
| 0130 | Level of MV - Baseline scenario | BASELINE MV of the population (§3.1). |
| 0140 | MV - Parallel shock up | MV PARALLEL_UP − MV BASELINE. |
| 0150 | MV - Parallel shock down | MV PARALLEL_DOWN − MV BASELINE. |
Rows
| Row | EBA label | Columns | Calculation |
|---|---|---|---|
| 0010 | Total assets | 0010–0120 | Roll-up: the row’s classification + “Central bank” + “Interbank” + “Loans and advances” + “Debt securities” + “Derivatives hedging assets” + “Other”. |
| 0190 | Off-balance sheet assets: contingent assets | 0020–0120 | The row’s classification. Outside total assets and total liabilities. |
| 0200 | Total liabilities | 0010–0120 | Roll-up: the row’s classification + “Central bank” + “Interbank” + “Debt securities issued” + “NMDs: Retail transactional” + “NMDs: Retail non-transactional” + “NMDs: Wholesale non-financial” + “NMDs: Wholesale financial” + “Term deposits” + “Derivatives hedging liabilities” + “Other”. |
| 0520 | Off-balance sheet liabilities: Contingent liabilities | 0020–0120 | The row’s classification. Outside total assets and total liabilities. |
| 0570 | Total Assets with MV impact | 0130–0150 | Roll-up: the row’s classification + 0580 + 0590 + 0600. |
| 0580 | Debt securities | 0130–0150 | The row’s classification. |
| 0590 | Derivatives | 0130–0150 | The row’s classification. |
| 0600 | Other | 0130–0150 | The row’s classification. |
| 0610 | Total Liabilities with MV impact | 0130–0150 | Roll-up: the row’s classification + 0620 + 0630 + 0640. |
| 0620 | Debt securities issued | 0130–0150 | The row’s classification. |
| 0630 | Derivatives | 0130–0150 | The row’s classification. |
| 0640 | Other | 0130–0150 | The row’s classification. |
Memorandum rows 0570–0640: no calculation derives them from the other rows. They only carry the transactions the classification files directly on them, and those transactions then leave the asset and liability rows and the net positions. Without such a classification, they are 0.
J 05.00 Repricing cash flows
Two sheets: .a under contractual conditions, .b under behavioural conditions. Everything is calculated on the BASELINE cash flows of the run-off balance sheet. Sheet .a declares the schedule columns only; the “Columns” column below is that of sheet .b. The sign is that of §5.3: rows 0200 to 0520 and 0610 to 0640 are reversed on the schedule columns.
The fixed-rate block takes columns 0010 to 0250, the floating-rate block columns 0260 to 0390; they never mix.
Columns
| Column | EBA label | Calculation |
|---|---|---|
| 0010 / 0260 | Notional amount | Outstanding principal of the population, positive; receiver leg for a derivative (§3.6). 0 for a row with no position. Sheet .b only. A currency with no notional detail reads 0 (RPT-053). |
| 0020 / 0270 | % With embedded or explicity automatic optionality: Bought | Not calculated: empty cell. |
| 0030 / 0280 | % With embedded or explicity automatic optionality: Sold | Not calculated: empty cell. |
| 0040 / 0290 | % Subject to behavioural modelling | Not calculated: empty cell. |
| 0050 / 0300 | Weighted average yield | Annual yield of the current period, weighted by notional; a classification with no yield leaves the average, weight included (RPT-065). Empty with no position. |
| 0060 / 0310 | Weighted average maturity (contractual) | Contractual maturity in years, weighted by notional, over the cash flows whose maturity is known (§3.6). Empty with no position. |
| 0070 / 0320 | Overnight | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0080 / 0330 | Greater than overnight up to 1 month | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0090 / 0340 | Greater than 1 month up to 3 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0100 / 0350 | Greater than 3 months up to 6 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0110 / 0360 | Greater than 6 months up to 9 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0120 / 0370 | Greater than 9 months up to 12 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0130 / 0380 | Greater than 12 months up to 1.5 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0140 / 0390 | Greater than 1.5 years up to 2 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0150 | Greater than 2 years up to 3 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0160 | Greater than 3 years up to 4 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0170 | Greater than 4 years up to 5 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0180 | Greater than 5 years up to 6 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0190 | Greater than 6 years up to 7 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0200 | Greater than 7 years up to 8 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0210 | Greater than 8 years up to 9 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0220 | Greater than 9 years up to 10 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0230 | Greater than 10 years up to 15 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0240 | Greater than 15 years up to 20 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0250 | Greater than 20 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
Rows
| Row | EBA label | Columns | Calculation |
|---|---|---|---|
| 0010 | Total assets | 0010–0390 | Roll-up: the row’s classification + 0030 + 0040 + 0050 + 0120 + 0140 + 0180. |
| 0030 | Central bank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0040 | Interbank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0050 | Loans and advances | 0010–0390 | Roll-up: the row’s classification + 0060 + 0070 + 0100 + 0110. |
| 0060 | Of which: non-performing | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0070 | Retail | 0010–0390 | Roll-up: the row’s classification + 0090. |
| 0090 | Of which: secured by residential real estate | 0010–0390 | The row’s classification. |
| 0100 | Wholesale non-financial | 0010–0390 | The row’s classification. |
| 0110 | Wholesale financial | 0010–0390 | The row’s classification. |
| 0120 | Debt securities | 0010–0390 | The row’s classification. |
| 0140 | Derivatives hedging assets | 0010–0030, 0050–0280, 0300–0390 | Roll-up: the row’s classification + 0160 + 0170. |
| 0160 | Hedging debt securities | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0170 | Hedging other assets | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0180 | Other | 0010–0390 | The row’s classification. |
| 0190 | Off-balance sheet assets: contingent assets | 0010–0390 | The row’s classification. Outside total assets and total liabilities. |
| 0200 | Total liabilities | 0010–0390 | Roll-up: the row’s classification + 0220 + 0230 + 0240 + 0270 + 0310 + 0350 + 0390 + 0420 + 0470 + 0510. |
| 0220 | Central bank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0230 | Interbank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0240 | Debt securities issued | 0010–0390 | The row’s classification. |
| 0260 | Of which: AT1 or T2 | 0010–0390 | Not calculated, nothing models this part: empty cells. |
| 0270 | NMD: Retail transactional | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0290 + 0300. |
| 0290 | Of which: core component | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0300 | Of which: exempted from the 5Y cap | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0310 | NMDs: Retail non-transactional | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0330 + 0340. |
| 0330 | Of which: core component | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0340 | Of which: exempted from the 5Y cap | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0350 | NMDs: Wholesale non-financial | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0370 + 0380. |
| 0370 | Of which: core component | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0380 | Of which: exempted from the 5Y cap | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0390 | NMDs: Wholesale financial | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0410. |
| 0410 | Of which: operational deposits | 0010–0050, 0070–0300, 0320–0390 | The row’s classification. |
| 0420 | Term deposits | 0010–0390 | Roll-up: the row’s classification + 0440 + 0450 + 0460. |
| 0440 | Retail | 0010–0390 | The row’s classification. |
| 0450 | Wholesale non-financial | 0010–0390 | The row’s classification. |
| 0460 | Wholesale financial | 0010–0390 | The row’s classification. |
| 0470 | Derivatives hedging liabilities | 0010–0030, 0050–0280, 0300–0390 | Roll-up: the row’s classification + 0490 + 0500. |
| 0490 | Hedging debt securities | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0500 | Hedging other liabilities | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0510 | Other | 0010–0390 | The row’s classification. |
| 0520 | Off-balance sheet liabilities: contingent liabilities | 0010–0390 | The row’s classification. Outside total assets and total liabilities. |
| 0530 | Other derivatives (Net asset/liability) | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. Outside total assets and total liabilities. |
| 0570 | Total Assets with MV impact | 0010, 0070–0260, 0320–0390 | Roll-up: the row’s classification + 0580 + 0590 + 0600. |
| 0580 | Debt securities | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0590 | Derivatives | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0600 | Other | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0610 | Total Liabilities with MV impact | 0010, 0070–0260, 0320–0390 | Roll-up: the row’s classification + 0620 + 0630 + 0640. |
| 0620 | Debt securities issued | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0630 | Derivatives | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0640 | Other | 0010, 0070–0260, 0320–0390 | The row’s classification. |
Memorandum rows 0570–0640: no calculation derives them from the other rows. They only carry the transactions the classification files directly on them, and those transactions then leave the asset and liability rows and the net positions. Without such a classification, they are 0.
J 06.00 Repricing cash flows (simplified for ‘other’ institutions)
Two sheets: .a under contractual conditions, .b under behavioural conditions. Everything is calculated on the BASELINE cash flows of the run-off balance sheet. Sheet .a declares the schedule columns only; the “Columns” column below is that of sheet .b. The sign is that of §5.3: rows 0200 to 0520 and 0610 to 0640 are reversed on the schedule columns.
The fixed-rate block takes columns 0010 to 0250, the floating-rate block columns 0260 to 0390; they never mix.
Columns
| Column | EBA label | Calculation |
|---|---|---|
| 0010 / 0260 | Notional amount | Outstanding principal of the population, positive; receiver leg for a derivative (§3.6). 0 for a row with no position. Sheet .b only. A currency with no notional detail reads 0 (RPT-053). |
| 0020 / 0270 | % With embedded or explicity automatic optionality: Bought | Not calculated: empty cell. |
| 0030 / 0280 | % With embedded or explicity automatic optionality: Sold | Not calculated: empty cell. |
| 0040 / 0290 | % Subject to behavioural modelling | Not calculated: empty cell. |
| 0050 / 0300 | Weighted average yield | Annual yield of the current period, weighted by notional; a classification with no yield leaves the average, weight included (RPT-065). Empty with no position. |
| 0060 / 0310 | Weighted average maturity (contractual) | Contractual maturity in years, weighted by notional, over the cash flows whose maturity is known (§3.6). Empty with no position. |
| 0070 / 0320 | Overnight | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0080 / 0330 | Greater than overnight up to 1 month | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0090 / 0340 | Greater than 1 month up to 3 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0100 / 0350 | Greater than 3 months up to 6 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0110 / 0360 | Greater than 6 months up to 9 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0120 / 0370 | Greater than 9 months up to 12 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0130 / 0380 | Greater than 12 months up to 1.5 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0140 / 0390 | Greater than 1.5 years up to 2 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0150 | Greater than 2 years up to 3 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0160 | Greater than 3 years up to 4 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0170 | Greater than 4 years up to 5 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0180 | Greater than 5 years up to 6 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0190 | Greater than 6 years up to 7 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0200 | Greater than 7 years up to 8 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0210 | Greater than 8 years up to 9 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0220 | Greater than 9 years up to 10 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0230 | Greater than 10 years up to 15 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0240 | Greater than 15 years up to 20 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0250 | Greater than 20 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
Rows
| Row | EBA label | Columns | Calculation |
|---|---|---|---|
| 0010 | Total assets | 0010–0390 | Roll-up: the row’s classification + 0030 + 0040 + 0050 + 0120 + 0140 + 0180. |
| 0030 | Central bank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0040 | Interbank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0050 | Loans and advances | 0010–0390 | Roll-up: the row’s classification + “Of which: non-performing” + “Retail” + “Wholesale non-financial” + “Wholesale financial”. |
| 0120 | Debt securities | 0010–0390 | The row’s classification. |
| 0140 | Derivatives hedging assets | 0010–0030, 0050–0280, 0300–0390 | Roll-up: the row’s classification + 0160 + 0170. |
| 0160 | Hedging debt securities | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0170 | Hedging other assets | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0180 | Other | 0010–0390 | The row’s classification. |
| 0190 | Off-balance sheet assets: contingent assets | 0010–0390 | The row’s classification. Outside total assets and total liabilities. |
| 0200 | Total liabilities | 0010–0390 | Roll-up: the row’s classification + 0220 + 0230 + 0240 + 0270 + 0310 + 0350 + 0390 + 0420 + 0470 + 0510. |
| 0220 | Central bank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0230 | Interbank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0240 | Debt securities issued | 0010–0390 | The row’s classification. |
| 0260 | Of which: AT1 or T2 | 0010–0390 | Not calculated, nothing models this part: empty cells. |
| 0270 | NMD: Retail transactional | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0290 + 0300. |
| 0290 | Of which: core component | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0300 | Of which: exempted from the 5Y cap | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0310 | NMDs: Retail non-transactional | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0330 + 0340. |
| 0330 | Of which: core component | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0340 | Of which: exempted from the 5Y cap | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0350 | NMDs: Wholesale non-financial | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0370 + 0380. |
| 0370 | Of which: core component | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0380 | Of which: exempted from the 5Y cap | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0390 | NMDs: Wholesale financial | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0410. |
| 0410 | Of which: operational deposits | 0010–0050, 0070–0300, 0320–0390 | The row’s classification. |
| 0420 | Term deposits | 0010–0390 | Roll-up: the row’s classification + 0440 + 0450 + 0460. |
| 0440 | Retail | 0010–0390 | The row’s classification. |
| 0450 | Wholesale non-financial | 0010–0390 | The row’s classification. |
| 0460 | Wholesale financial | 0010–0390 | The row’s classification. |
| 0470 | Derivatives hedging liabilities | 0010–0030, 0050–0280, 0300–0390 | Roll-up: the row’s classification + 0490 + 0500. |
| 0490 | Hedging debt securities | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0500 | Hedging other liabilities | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0510 | Other | 0010–0390 | The row’s classification. |
| 0520 | Off-balance sheet liabilities: contingent liabilities | 0010–0390 | The row’s classification. Outside total assets and total liabilities. |
| 0530 | Other derivatives (Net asset/liability) | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. Outside total assets and total liabilities. |
| 0570 | Total Assets with MV impact | 0010, 0070–0260, 0320–0390 | Roll-up: the row’s classification + 0580 + 0590 + 0600. |
| 0580 | Debt securities | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0590 | Derivatives | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0600 | Other | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0610 | Total Liabilities with MV impact | 0010, 0070–0260, 0320–0390 | Roll-up: the row’s classification + 0620 + 0630 + 0640. |
| 0620 | Debt securities issued | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0630 | Derivatives | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0640 | Other | 0010, 0070–0260, 0320–0390 | The row’s classification. |
Memorandum rows 0570–0640: no calculation derives them from the other rows. They only carry the transactions the classification files directly on them, and those transactions then leave the asset and liability rows and the net positions. Without such a classification, they are 0.
J 07.00 Repricing cash flows (simplified for SNCIS)
Two sheets: .a under contractual conditions, .b under behavioural conditions. Everything is calculated on the BASELINE cash flows of the run-off balance sheet. Sheet .a declares the schedule columns only; the “Columns” column below is that of sheet .b. The sign is that of §5.3: rows 0200 to 0520 and 0610 to 0640 are reversed on the schedule columns.
The fixed-rate block takes columns 0010 to 0250, the floating-rate block columns 0260 to 0390; they never mix.
Columns
| Column | EBA label | Calculation |
|---|---|---|
| 0010 / 0260 | Notional amount | Outstanding principal of the population, positive; receiver leg for a derivative (§3.6). 0 for a row with no position. Sheet .b only. A currency with no notional detail reads 0 (RPT-053). |
| 0020 / 0270 | % With embedded or explicity automatic optionality: Bought | Not calculated: empty cell. |
| 0030 / 0280 | % With embedded or explicity automatic optionality: Sold | Not calculated: empty cell. |
| 0040 / 0290 | % Subject to behavioural modelling | Not calculated: empty cell. |
| 0050 / 0300 | Weighted average yield | Annual yield of the current period, weighted by notional; a classification with no yield leaves the average, weight included (RPT-065). Empty with no position. |
| 0060 / 0310 | Weighted average maturity (contractual) | Contractual maturity in years, weighted by notional, over the cash flows whose maturity is known (§3.6). Empty with no position. |
| 0070 / 0320 | Overnight | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0080 / 0330 | Greater than overnight up to 1 month | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0090 / 0340 | Greater than 1 month up to 3 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0100 / 0350 | Greater than 3 months up to 6 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0110 / 0360 | Greater than 6 months up to 9 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0120 / 0370 | Greater than 9 months up to 12 months | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0130 / 0380 | Greater than 12 months up to 1.5 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0140 / 0390 | Greater than 1.5 years up to 2 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0150 | Greater than 2 years up to 3 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0160 | Greater than 3 years up to 4 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0170 | Greater than 4 years up to 5 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0180 | Greater than 5 years up to 6 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0190 | Greater than 6 years up to 7 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0200 | Greater than 7 years up to 8 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0210 | Greater than 8 years up to 9 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0220 | Greater than 9 years up to 10 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0230 | Greater than 10 years up to 15 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0240 | Greater than 15 years up to 20 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
| 0250 | Greater than 20 years | Sum of the population’s repricing cash flows whose repricing date falls in the slot. 0 with no cash flow. |
Rows
| Row | EBA label | Columns | Calculation |
|---|---|---|---|
| 0010 | Total assets | 0010–0390 | Roll-up: the row’s classification + 0030 + 0040 + 0050 + 0120 + 0140 + 0180. |
| 0030 | Central bank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0040 | Interbank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0050 | Loans and advances | 0010–0390 | Roll-up: the row’s classification + “Of which: non-performing” + “Retail” + “Wholesale non-financial” + “Wholesale financial”. |
| 0120 | Debt securities | 0010–0390 | The row’s classification. |
| 0140 | Derivatives hedging assets | 0010–0030, 0050–0280, 0300–0390 | Roll-up: the row’s classification + “Hedging debt securities” + “Hedging other assets”. |
| 0180 | Other | 0010–0390 | The row’s classification. |
| 0190 | Off-balance sheet assets: contingent assets | 0010–0390 | The row’s classification. Outside total assets and total liabilities. |
| 0200 | Total liabilities | 0010–0390 | Roll-up: the row’s classification + 0220 + 0230 + 0240 + 0270 + 0310 + 0350 + 0390 + 0420 + 0470 + 0510. |
| 0220 | Central bank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0230 | Interbank | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. |
| 0240 | Debt securities issued | 0010–0390 | The row’s classification. |
| 0270 | NMD: Retail transactional | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0290 + 0300. |
| 0290 | Of which: core component | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0300 | Of which: exempted from the 5Y cap | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0310 | NMDs: Retail non-transactional | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0330 + 0340. |
| 0330 | Of which: core component | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0340 | Of which: exempted from the 5Y cap | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0350 | NMDs: Wholesale non-financial | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0370 + 0380. |
| 0370 | Of which: core component | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0380 | Of which: exempted from the 5Y cap | 0010–0030, 0050, 0070–0280, 0300, 0320–0390 | The row’s classification. |
| 0390 | NMDs: Wholesale financial | 0010–0050, 0070–0300, 0320–0390 | Roll-up: the row’s classification + 0410. |
| 0410 | Of which: operational deposits | 0010–0050, 0070–0300, 0320–0390 | The row’s classification. |
| 0420 | Term deposits | 0010–0390 | Roll-up: the row’s classification + 0440 + 0450 + 0460. |
| 0440 | Retail | 0010–0390 | The row’s classification. |
| 0450 | Wholesale non-financial | 0010–0390 | The row’s classification. |
| 0460 | Wholesale financial | 0010–0390 | The row’s classification. |
| 0470 | Derivatives hedging liabilities | 0010–0030, 0050–0280, 0300–0390 | Roll-up: the row’s classification + “Hedging debt securities” + “Hedging other liabilities”. |
| 0510 | Other | 0010–0390 | The row’s classification. |
| 0520 | Off-balance sheet liabilities: contingent liabilities | 0010–0390 | The row’s classification. Outside total assets and total liabilities. |
| 0530 | Other derivatives (Net asset/liability) | 0010–0030, 0050–0280, 0300–0390 | The row’s classification. Outside total assets and total liabilities. |
| 0570 | Total Assets with MV impact | 0010, 0070–0260, 0320–0390 | Roll-up: the row’s classification + 0580 + 0590 + 0600. |
| 0580 | Debt securities | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0590 | Derivatives | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0600 | Other | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0610 | Total Liabilities with MV impact | 0010, 0070–0260, 0320–0390 | Roll-up: the row’s classification + 0620 + 0630 + 0640. |
| 0620 | Debt securities issued | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0630 | Derivatives | 0010, 0070–0260, 0320–0390 | The row’s classification. |
| 0640 | Other | 0010, 0070–0260, 0320–0390 | The row’s classification. |
Memorandum rows 0570–0640: no calculation derives them from the other rows. They only carry the transactions the classification files directly on them, and those transactions then leave the asset and liability rows and the net positions. Without such a classification, they are 0.
J 08.00 Relevant parameters
The notional of a non-maturity deposit category comes from the behavioural view. Every other figure calculated here follows from the parameters declared in nmdParameters, one entry per category: RETAIL_TRANSACTIONAL, RETAIL_NON_TRANSACTIONAL, WHOLESALE_NON_FINANCIAL, WHOLESALE_FINANCIAL. Without that key, a RPT-050 warning says so.
Sheet .a
| Row | EBA label | Columns | Calculation |
|---|---|---|---|
| 0010 | NMDs: Retail transactional | 0010–0020 | Column 0010: carrying amount of J 02.00 row 0270. 0 with no deposit, empty if the currency has no carrying amount. Column 0020: RETAIL_TRANSACTIONAL.behaviouralShare, as declared. |
| 0020 | Of which: core component | 0010–0020 | Column 0010: the category’s carrying amount × RETAIL_TRANSACTIONAL.coreShare. Empty without this parameter. Column 0020: empty. |
| 0030 | Of which: exempted from 5Y cap | 0010–0020 | Column 0010: the category’s carrying amount × RETAIL_TRANSACTIONAL.exemptedShare. Empty without this parameter. Column 0020: empty. |
| 0040 | NMDs: Retail non-transactional | 0010–0020 | Column 0010: carrying amount of J 02.00 row 0310. 0 with no deposit, empty if the currency has no carrying amount. Column 0020: RETAIL_NON_TRANSACTIONAL.behaviouralShare, as declared. |
| 0050 | Of which: core component | 0010–0020 | Column 0010: the category’s carrying amount × RETAIL_NON_TRANSACTIONAL.coreShare. Empty without this parameter. Column 0020: empty. |
| 0060 | Of which: exempted from 5Y cap | 0010–0020 | Column 0010: the category’s carrying amount × RETAIL_NON_TRANSACTIONAL.exemptedShare. Empty without this parameter. Column 0020: empty. |
| 0070 | NMDs: Wholesale non-financial | 0010–0020 | Column 0010: carrying amount of J 02.00 row 0350. 0 with no deposit, empty if the currency has no carrying amount. Column 0020: WHOLESALE_NON_FINANCIAL.behaviouralShare, as declared. |
| 0080 | Of which: core component | 0010–0020 | Column 0010: the category’s carrying amount × WHOLESALE_NON_FINANCIAL.coreShare. Empty without this parameter. Column 0020: empty. |
| 0090 | Of which: exempted from 5Y cap | 0010–0020 | Column 0010: the category’s carrying amount × WHOLESALE_NON_FINANCIAL.exemptedShare. Empty without this parameter. Column 0020: empty. |
| 0100 | NMDs: Wholesale financial | 0010–0020 | Column 0010: carrying amount of J 02.00 row 0390. 0 with no deposit, empty if the currency has no carrying amount. Column 0020: WHOLESALE_FINANCIAL.behaviouralShare, as declared. |
| 0110 | Of which: operational deposits | 0010–0020 | Column 0010: the category’s carrying amount × WHOLESALE_FINANCIAL.operationalShare. Empty without this parameter. Column 0020: empty. |
| 0160 | Loans and advances | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0170 | Of which: non-performing | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0180 | Retail | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0190 | Of which: secured by residential real estate | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0200 | Wholesale non-financial | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0210 | Wholesale financial | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0220 | Debt securities | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0300 | Term deposits | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0310 | Retail | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0320 | Wholesale non-financial | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0330 | Wholesale financial | 0010–0020 | Not calculated (average repricing date): empty cells. |
Sheet .b
| Row | EBA label | Columns | Calculation |
|---|---|---|---|
| 0010 | NMDs: Retail transactional | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0020 | Of which: core component | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0030 | Of which: exempted from 5Y cap | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0040 | NMDs: Retail non-transactional | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0050 | Of which: core component | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0060 | Of which: exempted from 5Y cap | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0070 | NMDs: Wholesale non-financial | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0080 | Of which: core component | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0090 | Of which: exempted from 5Y cap | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0100 | NMDs: Wholesale financial | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0110 | Of which: operational deposits | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0120 | NMDs: Retail transactional | 0050–0100 | Columns 0050 to 0100: declared pass-through rate RETAIL_TRANSACTIONAL.ptr.<scenario>, one per shock. |
| 0130 | NMDs: Retail non-transactional | 0050–0100 | Columns 0050 to 0100: declared pass-through rate RETAIL_NON_TRANSACTIONAL.ptr.<scenario>, one per shock. |
| 0140 | NMDs: Wholesale non-financial | 0050–0100 | Columns 0050 to 0100: declared pass-through rate WHOLESALE_NON_FINANCIAL.ptr.<scenario>, one per shock. |
| 0150 | NMDs: Wholesale financial | 0050–0100 | Columns 0050 to 0100: declared pass-through rate WHOLESALE_FINANCIAL.ptr.<scenario>, one per shock. |
| 0160 | Loans and advances | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0170 | Of which: non-performing | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0180 | Retail | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0190 | Of which: secured by residential real estate | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0200 | Wholesale non-financial | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0210 | Wholesale financial | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0220 | Debt securities | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0230 | Loans and advances | 0030–0100 | Not calculated (conditional prepayment rate): empty cells. |
| 0240 | Of which: non-performing | 0030–0100 | Not calculated (conditional prepayment rate): empty cells. |
| 0250 | Retail | 0030–0100 | Not calculated (conditional prepayment rate): empty cells. |
| 0260 | Of which: secured by residential real estate | 0030–0100 | Not calculated (conditional prepayment rate): empty cells. |
| 0270 | Wholesale non-financial | 0030–0100 | Not calculated (conditional prepayment rate): empty cells. |
| 0280 | Wholesale financial | 0030–0100 | Not calculated (conditional prepayment rate): empty cells. |
| 0290 | Debt securities | 0030–0100 | Not calculated (conditional prepayment rate): empty cells. |
| 0300 | Term deposits | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0310 | Retail | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0320 | Wholesale non-financial | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0330 | Wholesale financial | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0340 | Term deposits | 0030–0100 | Not calculated (early redemption rate): empty cells. |
| 0350 | Retail | 0030–0100 | Not calculated (early redemption rate): empty cells. |
| 0360 | Wholesale non-financial | 0030–0100 | Not calculated (early redemption rate): empty cells. |
| 0370 | Wholesale financial | 0030–0100 | Not calculated (early redemption rate): empty cells. |
J 09.00 Relevant parameters (simplified for SNCIS and ‘other’ institutions)
The notional of a non-maturity deposit category comes from the behavioural view. Every other figure calculated here follows from the parameters declared in nmdParameters, one entry per category: RETAIL_TRANSACTIONAL, RETAIL_NON_TRANSACTIONAL, WHOLESALE_NON_FINANCIAL, WHOLESALE_FINANCIAL. Without that key, a RPT-050 warning says so.
Sheet .a
| Row | EBA label | Columns | Calculation |
|---|---|---|---|
| 0010 | NMDs: Retail transactional | 0010 | Column 0010: carrying amount of J 02.00 row 0270. 0 with no deposit, empty if the currency has no carrying amount. |
| 0020 | Of which: core component | 0010 | Column 0010: the category’s carrying amount × RETAIL_TRANSACTIONAL.coreShare. Empty without this parameter. |
| 0030 | Of which: exempted from 5Y cap | 0010 | Column 0010: the category’s carrying amount × RETAIL_TRANSACTIONAL.exemptedShare. Empty without this parameter. |
| 0040 | NMDs: Retail non-transactional | 0010 | Column 0010: carrying amount of J 02.00 row 0310. 0 with no deposit, empty if the currency has no carrying amount. |
| 0050 | Of which: core component | 0010 | Column 0010: the category’s carrying amount × RETAIL_NON_TRANSACTIONAL.coreShare. Empty without this parameter. |
| 0060 | Of which: exempted from 5Y cap | 0010 | Column 0010: the category’s carrying amount × RETAIL_NON_TRANSACTIONAL.exemptedShare. Empty without this parameter. |
| 0070 | NMDs: Wholesale non-financial | 0010 | Column 0010: carrying amount of J 02.00 row 0350. 0 with no deposit, empty if the currency has no carrying amount. |
| 0080 | Of which: core component | 0010 | Column 0010: the category’s carrying amount × WHOLESALE_NON_FINANCIAL.coreShare. Empty without this parameter. |
| 0090 | Of which: exempted from 5Y cap | 0010 | Column 0010: the category’s carrying amount × WHOLESALE_NON_FINANCIAL.exemptedShare. Empty without this parameter. |
| 0100 | NMDs: Wholesale financial | 0010 | Column 0010: carrying amount of J 02.00 row 0390. 0 with no deposit, empty if the currency has no carrying amount. |
| 0110 | Of which: operational deposits | 0010 | Column 0010: the category’s carrying amount × WHOLESALE_FINANCIAL.operationalShare. Empty without this parameter. |
| 0160 | Loans and advances | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0220 | Debt securities | 0010–0020 | Not calculated (average repricing date): empty cells. |
| 0300 | Term deposits | 0010–0020 | Not calculated (average repricing date): empty cells. |
Sheet .b
| Row | EBA label | Columns | Calculation |
|---|---|---|---|
| 0010 | NMDs: Retail transactional | 0040–0100 | Not calculated (average repricing date): empty cells. |
| 0020 | of which: core component | 0040–0100 | Not calculated (average repricing date): empty cells. |
| 0030 | of which: exempted from 5Y cap | 0040–0100 | Not calculated (average repricing date): empty cells. |
| 0040 | NMDs: Retail non-transactional | 0040–0100 | Not calculated (average repricing date): empty cells. |
| 0050 | of which: core component | 0040–0100 | Not calculated (average repricing date): empty cells. |
| 0060 | of which: exempted from 5Y cap | 0040–0100 | Not calculated (average repricing date): empty cells. |
| 0070 | NMDs: Wholesale non-financial | 0040–0100 | Not calculated (average repricing date): empty cells. |
| 0080 | of which: core component | 0040–0100 | Not calculated (average repricing date): empty cells. |
| 0090 | of which: exempted from 5Y cap | 0040–0100 | Not calculated (average repricing date): empty cells. |
| 0100 | NMDs: Wholesale financial | 0040–0100 | Not calculated (average repricing date): empty cells. |
| 0110 | of which: operational deposits | 0040–0100 | Not calculated (average repricing date): empty cells. |
| 0160 | Loans and advances | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0220 | Debt securities | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0230 | Loans and advances | 0030–0100 | Not calculated (conditional prepayment rate): empty cells. |
| 0290 | Debt securities | 0030–0100 | Not calculated (conditional prepayment rate): empty cells. |
| 0300 | Term deposits | 0030–0100 | Not calculated (average repricing date): empty cells. |
| 0340 | Term deposits | 0030–0100 | Not calculated (early redemption rate): empty cells. |
J 10.01 General qualitative information
Nothing is calculated: each box takes the answer declared in the additional data, under the key irrbbDeclarations.general.<row>. An answer is a code from the box’s EBA list, written with its label; a code outside the list leaves the box empty (RPT-026). Row 0200, where the template has it, is free text. An unanswered question stays empty.
| Row | EBA label | Data read |
|---|---|---|
| 0010 | Approach used for the purpose of the SOT (NII/EVE) | irrbbDeclarations.general.0010 |
| 0020 | Requirement from the Competent Authority (NII/EVE) | irrbbDeclarations.general.0020 |
| 0030 | Methodology (NII) | irrbbDeclarations.general.0030 |
| 0040 | Conditional Cash Flows (NII) | irrbbDeclarations.general.0040 |
| 0050 | Option Risk (NII) | irrbbDeclarations.general.0050 |
| 0060 | Basis Risk (NII) | irrbbDeclarations.general.0060 |
| 0070 | Methodology (EVE) | irrbbDeclarations.general.0070 |
| 0080 | Conditional Cash Flows (EVE) | irrbbDeclarations.general.0080 |
| 0090 | Option Risk (EVE) | irrbbDeclarations.general.0090 |
| 0100 | Basis Risk (EVE) | irrbbDeclarations.general.0100 |
| 0110 | Commercial margins/other spread components (EVE) | irrbbDeclarations.general.0110 |
| 0120 | Penalty fees from loan prepayments | irrbbDeclarations.general.0120 |
| 0130 | Pension obligations/pension plan assets | irrbbDeclarations.general.0130 |
| 0140 | Non-performing exposures | irrbbDeclarations.general.0140 |
| 0150 | Fixed rate loan committments | irrbbDeclarations.general.0150 |
| 0160 | Risk of prepayment | irrbbDeclarations.general.0160 |
| 0170 | Risk of early redemption | irrbbDeclarations.general.0170 |
| 0180 | General approach for NMD modelling | irrbbDeclarations.general.0180 |
| 0190 | Identification of core component NMD balances | irrbbDeclarations.general.0190 |
| 0200 | Relevant drivers for NMD balances | irrbbDeclarations.general.0200 |
| 0210 | NMD core component balances (slotting of core component balances) | irrbbDeclarations.general.0210 |
| 0220 | 5-year NMD repricing cap on IRRBB risk management | irrbbDeclarations.general.0220 |
| 0230 | Exemptions to the 5-year NMD repricing cap | irrbbDeclarations.general.0230 |
| 0240 | Modelling of operational NMDs from financial customers | irrbbDeclarations.general.0240 |
| 0250 | Changes in balance sheet structure due to interest rates | irrbbDeclarations.general.0250 |
| 0260 | IRRBB mitigation and hedging strategies (EVE) | irrbbDeclarations.general.0260 |
| 0270 | IRRBB mitigation and hedging strategies (NII) | irrbbDeclarations.general.0270 |
| 0280 | SOT on NII risk measure under the IMS Approach - PTR of Retail Term deposits | irrbbDeclarations.general.0280 |
| 0290 | SOT on NII risk measure under the IMS Approach - PTR of Fixed Retail Loans | irrbbDeclarations.general.0290 |
| 0300 | Basis risk | irrbbDeclarations.general.0300 |
| 0310 | CSRBB | irrbbDeclarations.general.0310 |
J 10.02 Qualitative information “currency by currency”
Nothing is calculated: each box takes the answer declared in the additional data, under the key irrbbDeclarations.currencies.<currency>.<row>. An answer is a code from the box’s EBA list, written with its label; a code outside the list leaves the box empty (RPT-026). Row 0200, where the template has it, is free text. An unanswered question stays empty. A currency with no answers is reported by RPT-052.
| Row | EBA label | Data read |
|---|---|---|
| 0320 | Risk-free yield curve (discounting in EVE SOT) | irrbbDeclarations.currencies.<currency>.0320 |
| 0330 | Risk-free yield curve (internal risk measures of EVE) | irrbbDeclarations.currencies.<currency>.0330 |
| 0340 | Change of material assumptions (EVE) | irrbbDeclarations.currencies.<currency>.0340 |
| 0350 | Change of material assumptions (NII) | irrbbDeclarations.currencies.<currency>.0350 |
| 0360 | Post-shock interest rate floor (NII/EVE) | irrbbDeclarations.currencies.<currency>.0360 |
J 11.01 General qualitative information (simplified for SNCIS and ‘other’ institutions)
Nothing is calculated: each box takes the answer declared in the additional data, under the key irrbbDeclarations.general.<row>. An answer is a code from the box’s EBA list, written with its label; a code outside the list leaves the box empty (RPT-026). Row 0200, where the template has it, is free text. An unanswered question stays empty.
| Row | EBA label | Data read |
|---|---|---|
| 0010 | Approach used for the purpose of the SOT (NII/EVE) | irrbbDeclarations.general.0010 |
| 0020 | Requirement from the Competent Authority (NII/EVE) | irrbbDeclarations.general.0020 |
| 0030 | Methodology (NII) | irrbbDeclarations.general.0030 |
| 0040 | Conditional Cash Flows (NII) | irrbbDeclarations.general.0040 |
| 0050 | Option Risk (NII) | irrbbDeclarations.general.0050 |
| 0060 | Basis Risk (NII) | irrbbDeclarations.general.0060 |
| 0070 | Methodology (EVE) | irrbbDeclarations.general.0070 |
| 0080 | Conditional Cash Flows (EVE) | irrbbDeclarations.general.0080 |
| 0090 | Option Risk (EVE) | irrbbDeclarations.general.0090 |
| 0100 | Basis Risk (EVE) | irrbbDeclarations.general.0100 |
| 0110 | Commercial margins/other spread components (EVE) | irrbbDeclarations.general.0110 |
| 0120 | Penalty fees from loan prepayments | irrbbDeclarations.general.0120 |
| 0130 | Pension obligations/pension plan assets | irrbbDeclarations.general.0130 |
| 0140 | Non-performing exposures | irrbbDeclarations.general.0140 |
| 0150 | Fixed rate loan committments | irrbbDeclarations.general.0150 |
| 0160 | Risk of prepayment | irrbbDeclarations.general.0160 |
| 0170 | Risk of early redemption | irrbbDeclarations.general.0170 |
| 0180 | General approach for NMD modelling | irrbbDeclarations.general.0180 |
| 0190 | Identification of core component NMD balances | irrbbDeclarations.general.0190 |
| 0200 | Relevant drivers for NMD balances | irrbbDeclarations.general.0200 |
| 0210 | NMD core component balances (slotting of core component balances) | irrbbDeclarations.general.0210 |
| 0220 | 5-year NMD repricing cap on IRRBB risk management | irrbbDeclarations.general.0220 |
| 0230 | Exemptions to the 5-year NMD repricing cap | irrbbDeclarations.general.0230 |
| 0240 | Modelling of operational NMDs from financial customers | irrbbDeclarations.general.0240 |
| 0260 | IRRBB mitigation and hedging strategies (EVE) | irrbbDeclarations.general.0260 |
| 0270 | IRRBB mitigation and hedging strategies (NII) | irrbbDeclarations.general.0270 |
| 0280 | SOT on NII risk measure under the IMS Approach - PTR of Retail Term deposits | irrbbDeclarations.general.0280 |
| 0290 | SOT on NII risk measure under the IMS Approach - PTR of Fixed Retail Loans | irrbbDeclarations.general.0290 |
| 0300 | Basis risk | irrbbDeclarations.general.0300 |
| 0310 | CSRBB | irrbbDeclarations.general.0310 |
J 11.02 Qualitative information “currency by currency” (simplified for SNCIS and ‘other’ institutions)
Nothing is calculated: each box takes the answer declared in the additional data, under the key irrbbDeclarations.currencies.<currency>.<row>. An answer is a code from the box’s EBA list, written with its label; a code outside the list leaves the box empty (RPT-026). Row 0200, where the template has it, is free text. An unanswered question stays empty. A currency with no answers is reported by RPT-052.
| Row | EBA label | Data read |
|---|---|---|
| 0320 | Risk-free yield curve (discounting in EVE SOT) | irrbbDeclarations.currencies.<currency>.0320 |
| 0330 | Risk-free yield curve (internal risk measures of EVE) | irrbbDeclarations.currencies.<currency>.0330 |
| 0360 | Post-shock interest rate floor (NII/EVE) | irrbbDeclarations.currencies.<currency>.0360 |