Metrics

Metrics are calculated from the list of cash flows generated for the 8 scenarios. They are always aggregated by currency (in the currency of the cash flows), by scenario and by origin (a contractual view and a behavioural view); the regulatory templates further break them down by FINREP classification of the transaction. A transaction without a FINREP classification is left out of every metric, totals included, so that each total remains the sum of its breakdown; the reporting says so in one warning (Reporting-specific warnings).

These rules are those of the engine and of the regulatory templates. A generation’s Metrics tab, a management view, reads the cash flows differently: in the pivot currency, deals without FINREP included (§3.9).

In the formulas, the sum \(\sum_{f}\) runs over the cash flows \(f\) of the currency, scenario \(\sigma\) and origin considered; \(CF_f\) is the signed amount of the cash flow, \(t_f\) its payment date, \(t^{adj}_f\) its repricing date (§1.9).

Metrics at a glance

Each metric is a sum over the cash flows of the currency, scenario and view (contractual or behavioural). What sets them apart is which cash flows they keep and what they count for each.

Metric On screen Cash flows kept Value of a cash flow Details
EVE EVE Certain cash flows, excluding constant balance sheet rolls Discounted at its repricing date §3.2
EVE1Y EVE 1Y The same, due within one year Discounted at its repricing date §3.2
NIM1Y (12-month NII) NIM 1Y Interest cash flows, rolls included Part accrued over the 12 months after the evaluation date, undiscounted §3.3
NIM NIM Interest cash flows, rolls included Part accrued after the evaluation date, undiscounted §3.3
MV MV All cash flows, excluding constant balance sheet rolls Discounted at its payment date §3.1
MV1Y MV 1Y The same, due within one year Discounted at its payment date §3.1
NOMINAL Nominal None: the transaction’s contractual nominal, with no scenario or view The nominal amount §3.8

The other figures follow from those or from the ledger balance:

Metric Rule Details
ΔEVE, ΔNII, ΔMV Scenario minus BASELINE §3.4
Worst change and Tier 1 ratio Largest fall across the supervisory shocks; over capitalAmount §3.4
Carrying amount Ledger balances classified on the row, or the transactions’ notionals with no balance §3.5
Modified duration −EV01 / (EVE × 0.0001) §3.5
Notional, average yield and maturity, repricing schedule BASELINE notional repricing cash flows, per fixed or floating block §3.6
Liquidity and interest rate gaps Capital cash flows in the pivot currency, per slot §3.7

The calculation of each cell of the regulatory templates is in the J template cell details.

3.1 Market value (MV)

Present value of all cash flows, certain and uncertain, principal and interest, discounted at their payment date on the scenario curve:

\[MV_\sigma = \sum_f CF_f \cdot DF_\sigma(t_f)\]

MV includes the future coupons of floating-rate transactions, projected at the scenario forward; it does not include the rolled-over transactions of the constant balance sheet, which enter NII only. MV1Y variant: cash flows paid no later than one year after the reporting date (\(t_f \le t_0 + 1\) year).

3.2 Economic value of equity (EVE)

Present value of certain cash flows only, discounted at their repricing date on the scenario curve:

\[EVE_\sigma = \sum_{f\,:\,\text{CERTAIN}} CF_f \cdot DF_\sigma\big(t^{adj}_f\big)\]

What this definition implies:

  • Fixed-rate transaction: all its cash flows are certain and remain at their date; its EVE is the present value of the full schedule. The shock acts through discounting.
  • Floating-rate transaction: only the current coupon (already fixed) and the principal, moved to the end of that coupon, enter EVE. Future coupons, which will be refixed, are excluded. The leg is therefore worth roughly par at the next refixing, which gives it a duration of a few months.
  • New production: rolled-over transactions of the constant balance sheet do not enter EVE (run-off view); all their cash flows are in any case uncertain.
  • Shock: a certain cash flow is not repriced in a scenario (it is always calculated on the BASELINE curve); only its discounting changes.

EVE1Y variant: the same cash flows restricted to \(t_f \le t_0 + 1\) year.

3.3 Net interest income (NII)

Undiscounted sum of interest accrued over the 12 months following the reporting date (accrual basis, not cash basis). Each interest cash flow for period \([t_{k-1}, t_k]\) counts for the portion of its period falling within the horizon \([t_0, t_0 + 1\text{ year}]\), in calendar days:

\[NII^{12m}_\sigma = \sum_{f\,:\,\text{INTEREST}} CF_f \cdot \frac{\text{days}\big([t_{k-1}, t_k] \cap [t_0,\ t_0 + 1\text{ year}]\big)}{\text{days}(t_{k-1}, t_k)}\]

  • Principal cash flows do not contribute.
  • Interest received (assets) is positive, interest paid (liabilities) is negative: the sum is the margin.
  • The scenario acts on amounts: uncertain coupons (floating-rate transactions to be refixed, new production of the constant balance sheet) are calculated on the shocked curve; certain coupons do not move. A fully fixed-rate portfolio with no roll-over therefore has the same NII in all scenarios.
  • The portion of a current coupon accrued before the reporting date is excluded; a coupon that straddles the end of the horizon is included for its days falling within the year. A cash flow without an interest period keeps the payment date rule (included in full if paid within the horizon, otherwise not at all).
  • Exported cash flows keep their full amount: only the metric is prorated.

The NIM metric (no horizon end) sums all interest accrued after the reporting date; the EBA templates use NIM1Y, the 12-month NII. Neither is the cash amount the Metrics tab calls “Total interest over the whole life” (§3.9).

3.4 Sensitivities and supervisory outlier test

Changes are always scenario minus baseline:

\[\Delta EVE_\sigma = EVE_\sigma - EVE_{BASELINE} \qquad \Delta NII_\sigma = NII_\sigma - NII_{BASELINE} \qquad \Delta MV_\sigma = MV_\sigma - MV_{BASELINE}\]

The supervisory outlier test (SOT) of template J 01.00 retains the worst change, on the behavioural view, among the prescribed supervisory shock scenarios (Commission Delegated Regulation (EU) 2024/856):

\[\Delta EVE^{worst} = \min_{\sigma \in \mathcal S_{EVE}} \Delta EVE_\sigma \qquad \Delta NII^{worst} = \min_{\sigma \in \mathcal S_{NII}} \Delta NII_\sigma\]

with \(\mathcal S_{EVE}\) = the six shocks (parallel up and down, steepener, flattener, short up and down) and \(\mathcal S_{NII}\) = the two parallel shocks. The UP_1_BP probe is never retained.

and its ratios to the Tier 1 capital declared in the situation (capitalAmount, additional data):

\[\text{ratio}_{EVE} = \frac{\Delta EVE^{worst}}{\text{Tier 1}} \qquad \text{ratio}_{NII} = \frac{\Delta NII^{worst}}{\text{Tier 1}}\]

(cell left empty if no Tier 1 capital is declared, with a warning). The regulatory thresholds (15% of Tier 1 for EVE, 5% for NII) are not applied by the engine: the ratio is reported, and the assessment is left to the user.

Without a baseline value, or without any of these supervisory scenarios computed for the currency, the worst change is not computed: rows 0010 / 0100 and their ratios 0020 / 0110 are left empty, not 0, with the warning RPT-066.

3.5 Carrying amount and modified duration

Carrying amount (column 0010 of templates J 02.00 to J 04.00), by currency and FINREP classification, at the reporting date, not from cash flows, and therefore identical in both views. Annex XXIX refers to FINREP Annex V §27: “‘the carrying amount’ means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet.”

The source is chosen with the carryingAmountSource key of the situation’s additional data:

  • BALANCE, the default when the situation carries an accounting balance and a classification: the carrying amount is the sum of the balances of the accounts the classification files on the row, each account once — principal, attached receivables and payables (accrued interest), discount and premium, soultes. A balance account takes the row of the mapping_compta account that is the longest prefix of its number.

    \[CA_{c} = s_c \sum_{a \in c,\ a \notin HB} \text{balance}_a \qquad s_c = +1 \text{ (asset row)},\ -1 \text{ (liability row)}\]

    Assets and liabilities are thus positive, and a contra account (depreciation, impairment, discount on a liability) reduces its row. The accounts of an off-balance category (HB) do not count: a hedging swap, off balance sheet under French GAAP, is carried by its on-balance accounts only (soultes, accrued interest, CAP/PAR), on the row the classification files them on — zero otherwise.

  • DEAL, the default without a balance: \(CA_{c} = \sum_{i \in c} \big|\text{carryingAmount}_i\big|\) over the balance-sheet transactions (excluding roll-overs), i.e. their notional: leg-1 nominal of a swap, face value of a security. No accrued interest, no discount, and the notional of an off-balance derivative; a warning says so in every report.

Reconciliation (BALANCE source). Each row is compared with the transactions classified on it: the sum of their notionals against the row’s balance, off-balance accounts included (a swap’s notional thus meets its class 9 commitment). A gap above 5% (and above 1,000) raises a warning quoting both amounts: a transaction missing from the extracts, an account filed on another row than the transactions, or an unmodelled balance. A balance account that no classification line covers, or whose category has no FINREP row, is reported with its balance: it is in no row.

Accounts outside the balance sheet. The client configuration’s accountingMapping (Client configuration) says which accounts are on the balance sheet: an account it types PNL, OBS or DERIVATIVE contributes nothing to the carrying amount, even when the classification files it on a row (a warning then reports it with its balance; a notional filed in an off-balance category stays in the reconciliation). Such an account left unclassified is only counted. Every other account (ASSET, LIABILITY or covered by no key) is a balance-sheet account and goes through the classification. No chart of accounts is built into the calculation: without an accountingMapping, every unclassified account is reported with its balance.

Modified duration (column 0020 of templates J 02.00 to J 04.00), by currency and row:

\[D^{mod}_c = -\frac{EV01_c}{EVE_c \times 0.0001} \qquad EV01_c = EVE_c^{\,+1\,bp} - EVE_c^{\,baseline}\]

This is the definition of Annex XXIX (Implementing Regulation (EU) 2024/855), Part III, column 0020: “Modified duration (‘Dmod’), including automatically optionality, where: Dmod = - EV01 / (Economic Value * 0.0001). EV01 equals to a +1 bps sensitivity (parallel shock) of the Economic value.” The EVE is the one of column 0030 (run-off balance sheet, behavioural view) and EV01 its change under the UP_1_BP scenario, a +1 basis point parallel shock the engine runs alongside the six supervisory shocks. A parent row takes the duration of its summed EVE, i.e. the average of its child rows’ durations weighted by their EVE; an “of which: fixed rate” row the one of the EVE of its fixed rate flows only, under the one-year rule of §3.6.

  • The ratio does not depend on the sign: a liability (negative EVE in the engine) has a positive duration, like the mirror asset.
  • A row without economic value (zero EVE, no flows) or a run without the UP_1_BP scenario has no duration: the cell is left empty.
  • A derivative only has a small net value (the difference of its two legs): its duration can be large, or negative.
  • Automatic options (caps, floors, prepayment options) are not modelled; the duration therefore does not include them.

3.6 Notionals and repricing schedules (J 05.00 to J 07.00)

These templates have no scenario dimension: they are calculated on the BASELINE cash flows of the balance sheet at the reporting date (excluding roll-overs), separately for the fixed-rate block and the floating-rate block, by currency and classification. The rules follow Annex XXIX (Implementing Regulation (EU) 2024/855), Parts I and IV, and the definition of notional repricing cash flows of Delegated Regulation (EU) 2024/857, Art. 1(1).

Cash flows slotted: the notional repricing cash flows. Art. 1(1) of the RTS on SA defines them as the repayment or repricing of principal and “an interest payment on that part of the principal that has not yet been repaid or repriced”. Only the certain cash flows are therefore slotted: the principal (that of a floating-rate instrument at its next refixing, §1.9) and the coupons already fixed. Floating coupons projected after the next refixing (uncertain cash flows) do not enter the schedule: these are the same cash flows as the EVE’s.

Repricing schedule: sum of the slotted cash flows by repricing time bucket (§1.12):

\[\text{Repricing}_{c,b} = \sum_{f \in c,\; \text{bucket}(t^{adj}_f) = b} CF_f\]

Fixed or floating (Annex XXIX, Part I, §3): a fixed rate instrument is one “whose cash flows of interest payments are fixed from the inception and until the maturity of the instrument, or where the contractual repricing is above 1 year”; a floating rate instrument one “where its contractual repricing is below or equal to 1 year”. A floating leg whose rate names a refixing period of one month to one year is in the floating block; a floating leg with no refixing period, or refixed at maturity only, whose coupon period exceeds one year, is in the fixed block, with all its cash flows. The floating block has only eight buckets (up to 2 years): with this rule no floating cash flow should go beyond them; should one do so (a floating leg with no coupon left to refix its principal), a FloatingBeyondTwoYears warning gives the amount not reported by currency. The “of which: fixed rate” rows of J 02.00 follow the same rule: a floating leg repricing beyond one year enters them with all its cash flows, in their EVE, NII and duration; J 01.00 and the parent rows of J 02.00 do not change, as they take every cash flow whatever its rate.

Non-maturity deposit, contractual view. Annex XXIX, Part IV, §1.3(a): “The cash flow profile of non-maturity products (including NMDs) shall be treated as short-term variable positions (shortest time bucket)”. On the contractual sheet .a, all the principal of a non-maturity deposit is slotted in the overnight bucket (column 0070 or 0320 depending on its rate), whatever the configured contractual run-off law, and its interest is not slotted. The behavioural sheet .b keeps the law. An accounting balance keeps its law in both views: it aggregates transactions whose maturity the import does not carry, not demand deposits.

A cash flow carries the rate of its transaction: the principal tranches of a non-maturity deposit are in the block of its rate. A deposit without a rate is treated as a non-interest-bearing deposit at a fixed 0% (fixed-rate block) and flagged by a warning.

Notional (columns 0010 / 0260, behavioural view only, as the ITS prohibits these columns in the contractual view): “Institutions shall report the outstanding principal amount of instruments. In the case of derivatives the outstanding principal amount of the asset (receiver) leg shall be reported (i.e., no netted amounts of receiver/payer legs).” It is the principal still to be repaid, the principal cash flows only, in absolute value (Annex Part I, §5.3, asks for positive notionals for assets and liabilities alike); for a swap, the principal of the receiver leg: the last principal cash flow of each leg counts if it is received (positive), and no other:

\[\text{Notional}_c = \Big|\sum_{f \in c,\; f \text{ principal, excl. derivatives}} CF_f\Big| + \sum_{\text{receiver legs}} P_{leg}\]

The notional therefore no longer reconciles with the schedule, which also carries the interest.

Average yield and maturity:

\[\bar y_c = \frac{\sum_{p \in Y_c} P_p \cdot y_p}{\sum_{p \in Y_c} P_p} \qquad \bar M_c = \frac{\sum_{f \in F^M_c} P_f \cdot M_{i(f)}}{\sum_{f \in F^M_c} P_f}\]

where \(P_p\) is the outstanding principal of position \(p\) (a transaction; a leg for a swap), the sum of the \(P_f\) of its cash flows, \(y_p\) its annual rate, \(P_f\) the principal the cash flow stands for and \(M_{i(f)}\) the contractual maturity of the cash flow’s transaction (in years, 365 basis): Annex XXIX (columns 0060 / 0310) asks for the “average contractual maturity measured in years, weighted by notional”. An amortising loan enters it at its final maturity (start date + number of instalments × period); its amortisation goes through the notional of each of its principal tranches, which serves as the weight. \(P_f\) is the absolute value of a principal cash flow, 0 for an interest cash flow and, for a swap, the principal of the receiver leg.

Annex XXIX (columns 0050 / 0300) asks for the “average yield on an annual basis weighted by the notional amount”: the weight is the same principal as column 0010, a coupon weighs nothing and a derivative weighs through its receiver leg only (its yield is therefore that leg’s rate). The rate \(y_p\) is the all-in rate of the position’s running interest period, its first interest cash flow — commercial margin and spread included; for a floating instrument, the rate fixed at the last reset, not the coupons projected beyond it. A position with no interest cash flow in the block takes the rate its principal cash flows carry; a position with no rate at all is left out, weight included (\(Y_c\)). A parent row (and the total row) weights each classification’s yield by its notional, leaving out, weight included, a classification with no yield: its notional is not counted at 0% (RPT-065).

The average \(\bar M_c\) only covers the cash flows whose contractual maturity is known (\(F^M_c\)):

  • Non-maturity deposit: \(M = 1/365\) (one day), the shortest bucket of Annex XXIX, Part IV, §1.3(a).
  • Unknown maturity (accounting balance with a bucket law, cash flow whose transaction is missing from the portfolio): the cash flow is left out of the average, rather than counted at a zero maturity. A single warning per report gives the number of excluded transactions and their principal by currency.
  • Accounting balance with a linear law: maturity at its law’s horizon (timeHorizon), reporting date + horizon, the date the law runs off its last tranche. The horizon is a business choice the model file sets account by account (10Y, 6Y, 1M…): a balance run off over 10 years enters the average at 10 years, one run off over a month at one month (§6.5).

A parent row (and the total row) weights the maturity of each classification by its notional, leaving out the classifications without a maturity. A partly covered classification weighs with its whole notional: limit described in §6.5. The rates of embedded options and the behavioural modelling rate are not calculated and are left blank.

Signs: the schedule of liability rows is reported positive, see §5.3.

3.7 Liquidity and interest rate gaps

Gaps are calculated on the persisted cash flows of a generation, for a given scenario and origin.

  • Cash flows included: principal cash flows only, in the pivot currency.
  • Allocation date:
    • liquidity gap: contractual payment date \(t_f\) (“when cash moves”);
    • interest rate gap: repricing date \(t^{adj}_f\) (“when the rate is refixed”) — the two views coincide for fixed rate and differ for floating rate.
  • Axis: calendar buckets (week, month, quarter) over the data range, or the 19 IRRBB buckets measured from the scenario’s reporting date.
  • Optional “rate-sensitive only” filter: cash flows carrying a rate type.

For each bucket \(b\):

\[\text{Inflows}_b = \sum_{f \in b,\ CF^{pivot}_f > 0} CF^{pivot}_f \qquad \text{Outflows}_b = \sum_{f \in b,\ CF^{pivot}_f < 0} CF^{pivot}_f \qquad \text{Gap}_b = \text{Inflows}_b + \text{Outflows}_b\]

Cumulative totals, as selected:

\[\text{FORWARD} : \sum_{b' \le b} \text{Gap}_{b'} \quad \text{(cumulative position)} \qquad \text{BACKWARD} : \sum_{b' \ge b} \text{Gap}_{b'} \quad \text{(remaining outstanding)}\]

A cash flow with a zero amount is counted neither as an inflow nor as an outflow.

3.8 Transaction-level metrics

For exploration and export, the engine calculates the same MV, EVE, NII (and their 1-year variants) per transaction, by origin, currency and scenario, plus a NOMINAL row (contractual notional, with no scenario or origin). These rows feed the reporting synthesis: deals without FINREP are left out of them, but neither the run-off nor the classification scope is applied. The sum over transactions therefore gives back the synthesis figure, not the template figure (§3.9).

3.9 Why the Metrics tab, the synthesis and the templates can differ

Three screens give an EVE, an MV and an NII for the same calculation: a generation’s Metrics tab (with the deal page and the situation comparison), the reporting synthesis (Synthesis & Metrics tab) and the IRRBB templates. They start from the same cash flows, but keep neither the same deals nor the same currency.

The IRRBB templates are the reference: they alone are regulatory figures. The Metrics tab and the synthesis are management views, and each says so in its label. For NII, all three read the same measure, the engine’s NIM1Y (§3.3); only the deals kept and the currency change.

Metrics tab Reporting synthesis IRRBB templates
Status Management view Management view Regulatory
Source The generation’s stored cash flows; for NII, the engine’s decision on each flow The engine’s per-deal metrics (§3.8) The engine’s metrics, after run-off and scope
Currency Pivot currency Flow currency Flow currency
Deals without FINREP Included Left out Left out
Constant balance sheet rolls Included Included Left out of EVE and MV, included in NII
Classification scope Not applied Not applied Applied when on
Origin One at a time, behavioural by default A field of the table One tab per view

To compare two screens, take the same origin and the same scenario, and in the synthesis the NIM1Y metric (shown as “NIM 1Y”), not NIM.

The causes of a difference

Deals without a FINREP classification. They stay in the Metrics tab. The synthesis and the templates leave them out, with the warning RPT-004.

Constant balance sheet rolls. Their cash flows are stored with the generation: the Metrics tab and the synthesis count them. The templates take them out of EVE and MV (run-off view, §3.1 and §3.2) and keep them in NII. All their cash flows being uncertain, their EVE is zero; their MV is not, and the MV difference can be large.

Classification scope. When the additional data carry "classificationScope": true, the templates apply the columns of the classification measure by measure. A deal outside a measure’s scope stays counted in the Metrics tab and in the synthesis. Without that key, this cause plays no part.

Cash and accrual, one year and whole life (NII). The “NII (12 months)” column counts the interest accrued over the 12 months following the reporting date, each coupon pro rata to its days within the horizon. The two other interest measures are on a cash basis, each coupon counted in full, and are not NIIs:

  • “Total interest over the whole life” adds up all the deal’s interest flows, the current coupon included, even its part accrued before the reporting date;
  • “Interest paid within one year”, on the deal page, keeps only the coupons whose period ends at most one year after the reporting date.

The synthesis’s NIM metric is not the whole-life total either: it counts interest accrued after the reporting date, with no horizon end, without the part accrued before the reporting date.

Currency. The Metrics tab converts each cash flow into the pivot currency, at its own fixing. The synthesis and the templates keep the flow currency, as every regulatory metric does. The difference only touches deals outside the pivot currency. The templates give one figure per currency; to reconcile them with the Metrics tab, compare currency by currency.

The differences chain as follows, per origin, scenario and currency:

  • Metrics tab − deals without FINREP − FX effect = synthesis (for NII, the synthesis in NIM1Y);
  • synthesis − out-of-scope deals − rolls = templates, for EVE and MV;
  • synthesis − out-of-scope deals = templates, for NII.

For a template figure, the calculation detail names these deals under Deals left out, with their reason.

An example on an illustrative portfolio

This portfolio is illustrative: it is no client’s, and its exchange rate is made up too. The figures, however, are the engine’s real output on this portfolio, reporting date 30/06/2025, BASELINE scenario, behavioural view, classification scope on, pivot currency EUR. They are rounded to the unit: a total can differ by one from the sum of its rows. Each deal is a term deposit that illustrates one cause:

  • A has no particularity;
  • B matures one month after the reporting date;
  • C is the roll of B created by the constant balance sheet;
  • D has no FINREP classification;
  • E is outside the classification scope;
  • F is in USD.

EVE. A deal that a screen does not count is marked “left out”.

Deal Metrics tab (EUR) Synthesis IRRBB templates
A, no particularity 74,023,043 74,023,043 74,023,043
B, near maturity 50,403,245 50,403,245 50,403,245
C, roll 0 0 left out
D, no FINREP 56,494,069 left out left out
E, out of scope 21,149,753 21,149,753 left out
F, in USD 67,421,466 73,869,018 USD 73,869,018 USD
Total 269,491,576 145,576,041 EUR and 73,869,018 USD 124,426,288 EUR and 73,869,018 USD

MV. On these deals, MV equals EVE, except for the roll C: −4,036,099 in the Metrics tab and the synthesis, left out of the templates. It pays out 50,000,000 one month after the reporting date and is repaid only seven years later, which makes its present value negative. Totals: 265,455,478 in the Metrics tab, 141,539,942 EUR and 73,869,018 USD in the synthesis, 124,426,288 EUR and 73,869,018 USD in the templates.

Interest and NII.

Deal Total interest over the whole life (EUR) Interest paid within one year (EUR) NII (12 months), Metrics tab (EUR) NII, synthesis NII, IRRBB templates
A, no particularity 1,957,500 652,500 652,500 652,500 652,500
B, near maturity 482,500 482,500 39,658 39,658 39,658
C, roll 3,410,253 0 447,137 447,137 447,137
D, no FINREP 8,505,822 0 2,125,000 left out left out
E, out of scope 2,139,000 713,000 713,000 713,000 left out
F, in USD 1,669,687 568,129 557,022 600,000 USD 600,000 USD
Total 18,164,762 2,416,129 4,534,317 1,852,294 EUR and 600,000 USD 1,139,294 EUR and 600,000 USD

What to read, cause by cause:

  • No FINREP (D): 56,494,069 of EVE in the Metrics tab, nothing elsewhere.
  • Roll (C): its MV of −4,036,099 is not in the templates, but its 447,137 of NII stays there.
  • Scope (E): 21,149,753 of EVE and 713,000 of NII in the Metrics tab and the synthesis, nothing in the templates.
  • Cash and accrual (B): the 482,500 coupon is paid one month after the reporting date. It counts in full on a cash basis, but for only 39,658 in the NII, because the rest accrued before the reporting date.
  • One year and whole life (A): 1,957,500 of whole-life interest, 652,500 of NII.
  • Currency (F): 73,869,018 USD is 67,421,466 EUR in the Metrics tab, each flow at its fixing.