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Row number
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Qualitative information - free format
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Legal basis
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(a)
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A description of how the institution defines IRRBB for purposes of risk control and measurement
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Article 448(1), point (e)
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(b)
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A description of the institution's overall IRRBB management and mitigation strategies
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Article 448(1), point (f)
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(c)
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The periodicity of the calculation of the institution's IRRBB measures, and a description of the specific measures that the institution uses to gauge its sensitivity to IRRBB
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Article 448(1), points (e) (i) and (v); Article 448(2)
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(d)
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A description of the interest rate shock and stress scenarios that the institution uses to estimate changes in the economic value and in net interest income (if applicable)
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Article 448(1), point (e) (iii); Article 448(2)
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(e )
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A description of the key modelling and parametric assumptions different from those used for disclosure of template EU IRRBB1 (if applicable)
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Article 448(1), point (e) (ii); Article 448(2)
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(f)
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A high-level description of how the Institution hedges its IRRBB, as well as the associated accounting treatment (if applicable)
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Article 448(1), point (e) (iv); Article 448(2)
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(g)
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A description of key modelling and parametric assumptions used for the IRRBB measures in template EU IRRBB1 (if applicable)
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Article 448(1), point (c); Article 448(2)
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(h)
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Explanation of the significance of the IRRBB measures and of their significant variations since previous disclosures
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Article 448(1), point (d)
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(i)
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Any other relevant information regarding the IRRBB measures disclosed in template EU IRRBB1 (optional)
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(1) (2)
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Disclosure of the average and longest repricing maturity assigned to non-maturity deposits
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Article 448(1), point (g)
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