What changed, Commission Delegated Regulation (EU) 2024/857 of 1 December 2023 supplementing Directive 2013/36/EU

+ ## CHAPTER I — GENERAL PROVISIONS
− ### art_1
+ ### Article 1 — Definitions
− Article 1
+ (1) ‘notional repricing cash flow’ means any of the following: (a) the amount of principal at the time of its repricing, whereby such repricing is deemed to occur on the earlier of the following dates: (i) the date on which the institution or its counterparty is entitled to unilaterally change the i…
− | (1) | ‘notional repricing cash flow’ means any of the following:(a)the amount of principal at the time of its repricing, whereby such repricing is deemed to occur on the earlier of the following dates:(i)the date on which the institution or its counterparty is entitled to unilaterally change the i…
− | --- | --- |
− | (a) | the amount of principal at the time of its repricing, whereby such repricing is deemed to occur on the earlier of the following dates:(i)the date on which the institution or its counterparty is entitled to unilaterally change the interest rate;(ii)the date on which the interest rate of a flo…
− | (i) | the date on which the institution or its counterparty is entitled to unilaterally change the interest rate; |
− | (ii) | the date on which the interest rate of a floating rate instrument changes automatically in response to a change in an interest rate benchmark as defined in Article 3(1), point (22), of Regulation (EU) 2016/1011 of the European Parliament and of the Council (5); |
− | (b) | in the absence of a repricing as referred to in point (a), the amount of principal at the time of repayment of the principal or part of it; |
− | (c) | an interest payment on that part of the principal that has not yet been repaid or repriced; |
+ (2) ‘repricing date’ means the date at which a notional repricing cash flow occurs;
− | (2) | ‘repricing date’ means the date at which a notional repricing cash flow occurs; |
− | --- | --- |
+ (3) ‘risk free interest rate’ means, for a given currency, the interest rate which corresponds to a maturity on a yield curve that does not include instrument-specific or entity-specific credit spreads or liquidity spreads;
− | (3) | ‘risk free interest rate’ means, for a given currency, the interest rate which corresponds to a maturity on a yield curve that does not include instrument-specific or entity-specific credit spreads or liquidity spreads; |
− | --- | --- |
+ (4) ‘fixed rate instrument’ means an instrument that generates cash flows of interest payments that are pre-determined based on a fixed interest rate until the point of its contractual maturity;
− | (4) | ‘fixed rate instrument’ means an instrument that generates cash flows of interest payments that are pre-determined based on a fixed interest rate until the point of its contractual maturity; |
− | --- | --- |
+ (5) ‘floating rate instrument’ means an instrument the interest rate of which is reset at pre-determined dates, either in response to a change in an interest rate benchmark as defined in Article 3(1), point (22), of Regulation (EU) 2016/1011, or in an institution’s internally managed index;
− | (5) | ‘floating rate instrument’ means an instrument the interest rate of which is reset at pre-determined dates, either in response to a change in an interest rate benchmark as defined in Article 3(1), point (22), of Regulation (EU) 2016/1011, or in an institution’s internally managed index; |
− | --- | --- |
+ (6) ‘automatic interest rate option’ means an explicit or implicit option as referred to in Article 325e(2), second subparagraph, of Regulation (EU) No 575/2013 of the European Parliament and of the Council (2), including an option under which the institution is likely to provide its counterparty wi…
− | (6) | ‘automatic interest rate option’ means an explicit or implicit option as referred to in Article 325e(2), second subparagraph, of Regulation (EU) No 575/2013 of the European Parliament and of the Council (6), including an option under which the institution is likely to provide its counterpart…
− | --- | --- |
− | (a) | the pay-out of the option is interest rate sensitive; |
− | (b) | the exercise of the option is purely driven by the monetary incentives of the option holder; |
+ (7) ‘behavioural interest rate option’ means an option as referred to in Article 325e(2), second subparagraph, of Regulation (EU) No 575/2013, including an option under which the institution is likely to provide its counterparty with a pay-out irrespective of a contractual obligation, and that compl…
− | (7) | ‘behavioural interest rate option’ means an option as referred to in Article 325e(2), second subparagraph, of Regulation (EU) No 575/2013, including an option under which the institution is likely to provide its counterparty with a pay-out irrespective of a contractual obligation, and that c…
− | --- | --- |
− | (a) | the pay-outs of the options are interest rate sensitive; |
− | (b) | the exercise of the option is not purely driven by the monetary incentive of the counterparty but is dependent on that counterparty’s behaviour; |
+ (8) ‘non-maturity deposit’ means a liability without a maturity date, in which the depositor is free to withdraw the deposit at any point in time;
− | (8) | ‘non-maturity deposit’ means a liability without a maturity date, in which the depositor is free to withdraw the deposit at any point in time; |
− | --- | --- |
+ (9) ‘retail deposit’ means a retail deposit as defined in Article 411, point (2), of Regulation (EU) No 575/2013;
− | (9) | ‘retail deposit’ means a retail deposit as defined in Article 411, point (2), of Regulation (EU) No 575/2013; |
− | --- | --- |
+ (10) ‘retail transactional deposit’ means either of the following: (a) a retail non-maturity deposit in a transactional account, which is an account in which salaries, income or expenses (‘transactions’) are regularly credited and debited; (b) a retail non-maturity deposit which bears no interest, e…
− | (10) | ‘retail transactional deposit’ means either of the following:(a)a retail non-maturity deposit in a transactional account, which is an account in which salaries, income or expenses (‘transactions’) are regularly credited and debited;(b)a retail non-maturity deposit which bears no interest, e…
− | --- | --- |
− | (a) | a retail non-maturity deposit in a transactional account, which is an account in which salaries, income or expenses (‘transactions’) are regularly credited and debited; |
− | (b) | a retail non-maturity deposit which bears no interest, even in a high interest rate environment; |
+ (11) ‘retail non-transactional deposit’ means a retail non-maturity deposit that is not held in a transactional account or that does bear interest;
− | (11) | ‘retail non-transactional deposit’ means a retail non-maturity deposit that is not held in a transactional account or that does bear interest; |
− | --- | --- |
+ (12) ‘wholesale deposit’ means a deposit which is not a retail deposit;
− | (12) | ‘wholesale deposit’ means a deposit which is not a retail deposit; |
− | --- | --- |
+ (13) ‘stable non-maturity deposit’ means the part of the non-maturity deposit that is likely to remain undrawn under the interest rates prevailing at the time of applying the standardised methodology for the slotting of the notional repricing cash flows;
− | (13) | ‘stable non-maturity deposit’ means the part of the non-maturity deposit that is likely to remain undrawn under the interest rates prevailing at the time of applying the standardised methodology for the slotting of the notional repricing cash flows; |
− | --- | --- |
+ (14) ‘pass-through rate’ means the percentage of change of the market interest rate that an institution assigns to a deposit to maintain the same level of stable deposits under the interest rates prevailing at the time of applying the standardised methodology for the slotting of the notional reprici…
− | (14) | ‘pass-through rate’ means the percentage of change of the market interest rate that an institution assigns to a deposit to maintain the same level of stable deposits under the interest rates prevailing at the time of applying the standardised methodology for the slotting of the notional rep…
− | --- | --- |
+ (15) ‘core component’ means the part of a stable non-maturity deposit that is unlikely to reprice, even under significant changes in the interest rate environment;
− | (15) | ‘core component’ means the part of a stable non-maturity deposit that is unlikely to reprice, even under significant changes in the interest rate environment; |
− | --- | --- |
+ (16) ‘non-core component’ means the part of the non-maturity deposit other than its core component;
− | (16) | ‘non-core component’ means the part of the non-maturity deposit other than its core component; |
− | --- | --- |
+ (17) ‘geographical location’ means the country of incorporation of those debtors or depositors that are legal persons, or the country of residence of those debtors or depositors that are natural persons;
− | (17) | ‘geographical location’ means the country of incorporation of those debtors or depositors that are legal persons, or the country of residence of those debtors or depositors that are natural persons; |
− | --- | --- |
+ (18) ‘reference term’ means the period in reference to which an instrument reprices.
− | (18) | ‘reference term’ means the period in reference to which an instrument reprices. |
− | --- | --- |
+ ### Article 2 — Non-trading book positions included in the evaluation
− ### art_2
+ **1.** Institutions shall, for the purposes of the standardised methodology and the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU, for each currency in which the institution has a position that is material as referred to in Article 3, evaluate all non-tradi…
− Article 2
− 
− 1. Institutions shall, for the purposes of the standardised methodology and the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU, for each currency in which the institution has a position that is material as referred to in Article 3, evaluate all non-trading b…
+ **2.** The non-trading book positions referred to in paragraph 1 shall include all of the following:(a) interest rate derivatives;(b) non-interest rate derivatives for which the cash flows are determined in total or in part by referencing an interest rate;(c) pension obligations and pension plan ass…
− | (a) | non-trading book positions in financial assets; |
− | --- | --- |
− 
− | (b) | non-trading book positions in liabilities; |
− | --- | --- |
− 
− | (c) | non-trading book positions in off-balance sheet items. |
− | --- | --- |
− 
− 2. The non-trading book positions referred to in paragraph 1 shall include all of the following:
− 
− | (a) | interest rate derivatives; |
− | --- | --- |
− 
− | (b) | non-interest rate derivatives for which the cash flows are determined in total or in part by referencing an interest rate; |
− | --- | --- |
− | (c) | pension obligations and pension plan assets, except where their interest rate risk is captured in another risk measure; |
− | --- | --- |
− 
− | (d) | interest rate-sensitive assets, other than those referred to in points (a), (b) and (c), and that are not deducted from Common Equity Tier 1 capital; |
− | --- | --- |
− 
− | (e) | interest rate-sensitive liabilities, other than those referred to in points (a), (b) and (c), that are neither Common Equity Tier 1 instruments as referred to in Article 28 of Regulation (EU) No 575/2013, nor other perpetual instruments without any call dates; |
− | --- | --- |
− 
− | (f) | interest rate sensitive off-balance sheet items, other than those referred to in points (a), (b) and (c); |
− | --- | --- |
− 
− | (g) | small trading book positions as referred to in Article 94 of Regulation (EU) No 575/2013, except where their interest rate risk is captured in another risk measure. |
− | --- | --- |
− 
+ ### Article 3 — Materiality of non-trading book positions
− ### art_3
− Article 3
− 
+ (a) the accounting value of assets or liabilities denominated in a currency amounts to at least 5 % of the total non-trading book financial assets or liabilities;
− | (a) | the accounting value of assets or liabilities denominated in a currency amounts to at least 5 % of the total non-trading book financial assets or liabilities; |
− | --- | --- |
+ (b) the accounting value of assets or liabilities denominated in a currency amounts to less than 5 % of the total non-trading book financial assets or liabilities where the sum of financial assets or liabilities included in the calculation is lower than 90 % of the total non-trading book financial a…
− | (b) | the accounting value of assets or liabilities denominated in a currency amounts to less than 5 % of the total non-trading book financial assets or liabilities where the sum of financial assets or liabilities included in the calculation is lower than 90 % of the total non-trading book financi…
− | --- | --- |
+ ### Article 4 — Classification of the scenarios
− ### art_4
+ For the purposes of the identification, evaluation, management and mitigation of the risks arising from potential changes in interest rates that affect both the economic value of equity and the net interest income of an institution’s non-trading book activities, institutions shall classify the scena…
− Article 4
+ (a) parallel shocks, which shall be either of the following: (i) a shock of increased interest rates in parallel across all maturities; (ii) a shock of decreased interest rates in parallel across all maturities;
− For the purposes of the identification, evaluation, management and mitigation of the risks arising from potential changes in interest rates that affect both the economic value of equity and the net interest income of an institution’s non-trading book activities, institutions shall classify the scena…
+ (b) shocks involving rotations to the term structure, which shall be either of the following: (i) a decrease of the interest rate at long-term maturities and increase of the interest rate at short-term maturities, leading to a flattening of the interest rate curve; (ii) an increase of the interest r…
− | (a) | parallel shocks, which shall be either of the following:(i)a shock of increased interest rates in parallel across all maturities;(ii)a shock of decreased interest rates in parallel across all maturities; |
− | --- | --- |
− | (i) | a shock of increased interest rates in parallel across all maturities; |
− | (ii) | a shock of decreased interest rates in parallel across all maturities; |
+ (c) uneven shocks, which shall be either of the following: (i) a shock of increased interest rates that is greater at short-term maturities; (ii) a shock of decreased interest rates that is greater at short-term maturities.
− | (b) | shocks involving rotations to the term structure, which shall be either of the following:(i)a decrease of the interest rate at long-term maturities and increase of the interest rate at short-term maturities, leading to a flattening of the interest rate curve;(ii)an increase of the interest r…
− | --- | --- |
− | (i) | a decrease of the interest rate at long-term maturities and increase of the interest rate at short-term maturities, leading to a flattening of the interest rate curve; |
− | (ii) | an increase of the interest rate at long-term maturities and decrease of the interest rate at short-term maturities, leading to a steepening of the interest rate curve; |
+ ## CHAPTER II — STANDARDISED METHODOLOGY FOR EVALUATING THE RISKS FOR THE ECONOMIC VALUE OF EQUITY OF AN INSTITUTION’S NON-TRADING BOOK ACTIVITIES
− | (c) | uneven shocks, which shall be either of the following:(i)a shock of increased interest rates that is greater at short-term maturities;(ii)a shock of decreased interest rates that is greater at short-term maturities. |
− | --- | --- |
− | (i) | a shock of increased interest rates that is greater at short-term maturities; |
− | (ii) | a shock of decreased interest rates that is greater at short-term maturities. |
+ ### Article 5 — General requirements for allocating notional repricing cash flows
− ### art_5
+ **1.** When using the standardised methodology for evaluating the risks arising from potential changes in interest rates that affect the economic value of equity of their non-trading book positions, institutions shall allocate the notional repricing cash flows of their non-trading book positions to …
− Article 5
+ **2.** Institutions shall treat commercial margins and other spread components in interest payments, in terms of their exclusion from or inclusion in the notional repricing cash flows, in accordance with their internal risk management and measurement approach for interest rate risk in the non-tradin…
− 1. When using the standardised methodology for evaluating the risks arising from potential changes in interest rates that affect the economic value of equity of their non-trading book positions, institutions shall allocate the notional repricing cash flows of their non-trading book positions to the …
− 
− | (a) | for fixed rate instruments, in accordance with Article 6; |
− | --- | --- |
− 
− | (b) | for floating rate instruments, in accordance with Article 7; |
− | --- | --- |
− 
− | (c) | for non-maturity deposits, in accordance with Article 8; |
− | --- | --- |
− 
− | (d) | for fixed rate loans subject to the risk of early repayment, in accordance with Article 9; |
− | --- | --- |
− 
− | (e) | for fixed rate term deposits subject to the risk of early redemption, in accordance with Article 10; |
− | --- | --- |
− 
− | (f) | for derivative instruments without optionality, in accordance with Article 11; |
− | --- | --- |
− | (g) | for instruments other than those referred to in points (a) to (f), in accordance with Article 12. |
− | --- | --- |
− 
− 2. Institutions shall treat commercial margins and other spread components in interest payments, in terms of their exclusion from or inclusion in the notional repricing cash flows, in accordance with their internal risk management and measurement approach for interest rate risk in the non-trading bo…
− 
+ (a) use a transparent methodology to identify the risk-free interest rate at origination of each instrument, and apply that methodology consistently across business units;
− | (a) | use a transparent methodology to identify the risk-free interest rate at origination of each instrument, and apply that methodology consistently across business units; |
− | --- | --- |
+ (b) ensure that the exclusion of commercial margins and other spread components from the notional repricing cash flows is consistent with how the institution manages and hedges interest rate risk in the non-trading book;
− | (b) | ensure that the exclusion of commercial margins and other spread components from the notional repricing cash flows is consistent with how the institution manages and hedges interest rate risk in the non-trading book; |
− | --- | --- |
+ (c) notify the exclusion of commercial margins and other spread components to the competent authority.
− | (c) | notify the exclusion of commercial margins and other spread components to the competent authority. |
− | --- | --- |
+ **3.** When allocating the notional repricing cash flows of their non-trading book positions as referred to in paragraph 1, institutions shall:(a) not take into account the impact of an embedded optionality of an automatic interest rate option on notional repricing cash flows;(b) take into account t…
− 3. When allocating the notional repricing cash flows of their non-trading book positions as referred to in paragraph 1, institutions shall:
+ ### Article 6 — Fixed rate instruments
− | (a) | not take into account the impact of an embedded optionality of an automatic interest rate option on notional repricing cash flows; |
− | --- | --- |
+ **1.** Institutions shall allocate the notional repricing cash flows deriving from interest payments of non-trading book positions in fixed rate instruments to the relevant repricing time buckets referred to in point 1 of the Annex by repricing date, thereby taking into account any of the exclusions…
− | (b) | take into account the impact of an embedded optionality of a behavioural interest rate option on notional repricing cash flows. |
− | --- | --- |
+ **2.** Institutions shall allocate cash flows deriving from the intermediate and final repayments of the principal of non-trading book positions in fixed rate instruments to the relevant repricing time buckets referred to in point 1 of the Annex by repricing date.
− ### art_6
+ ### Article 7 — Floating rate instruments
− Article 6
− 1. Institutions shall allocate the notional repricing cash flows deriving from interest payments of non-trading book positions in fixed rate instruments to the relevant repricing time buckets referred to in point 1 of the Annex by repricing date, thereby taking into account any of the exclusions ref…
− 
− 2. Institutions shall allocate cash flows deriving from the intermediate and final repayments of the principal of non-trading book positions in fixed rate instruments to the relevant repricing time buckets referred to in point 1 of the Annex by repricing date.
− 
− ### art_7
− 
− Article 7
− 
+ (a) cash flows deriving from interest payments other than payments of the spread component up to the next repricing date, as per the contractual agreement;
− | (a) | cash flows deriving from interest payments other than payments of the spread component up to the next repricing date, as per the contractual agreement; |
− | --- | --- |
+ (b) the remaining principal amount, as per the contractual agreement;
− | (b) | the remaining principal amount, as per the contractual agreement; |
− | --- | --- |
+ (c) spread components up to the final contractual maturity, irrespective of any repricing of the non-amortised principal, except where those spread components are excluded in accordance with Article 5(2), second subparagraph.
− | (c) | spread components up to the final contractual maturity, irrespective of any repricing of the non-amortised principal, except where those spread components are excluded in accordance with Article 5(2), second subparagraph. |
− | --- | --- |
+ ### Article 8 — Non-maturity deposits
− ### art_8
+ **1.** Institutions shall classify non-maturity deposits, depending on the type of counterparty, into the following categories:(a) retail non-maturity deposits, further classified into the following:(i) retail transactional deposits;(ii) retail non-transactional deposits;(b) wholesale non-maturity d…
− Article 8
− 
− 1. Institutions shall classify non-maturity deposits, depending on the type of counterparty, into the following categories:
+ **2.** Institutions shall distinguish:(a) the stable from the non-stable part of the deposits referred to in paragraph 1, points (a)(i), (a)(ii), and (b)(ii) using observed changes of the volume of the deposits due to upward and downward movements of the risk-free interest rate for a period of at le…
− | (a) | retail non-maturity deposits, further classified into the following:(i)retail transactional deposits;(ii)retail non-transactional deposits; |
− | --- | --- |
− | (i) | retail transactional deposits; |
− | (ii) | retail non-transactional deposits; |
− 
− | (b) | wholesale non-maturity deposits, further classified into the following:(i)wholesale deposits of financial customers;(ii)wholesale non-financial deposits. |
− | --- | --- |
− | (i) | wholesale deposits of financial customers; |
− | (ii) | wholesale non-financial deposits. |
− 
− 2. Institutions shall distinguish:
− 
− | (a) | the stable from the non-stable part of the deposits referred to in paragraph 1, points (a)(i), (a)(ii), and (b)(ii) using observed changes of the volume of the deposits due to upward and downward movements of the risk-free interest rate for a period of at least the preceding 10 years; |
− | --- | --- |
− 
− | (b) | the core and the non-core component of the stable part of the non-maturity deposits referred to in paragraph 1. |
− | --- | --- |
+ **3.** When assessing the pass-through rate referred to in paragraph 2, second subparagraph, institutions shall consider the following elements, having also regard to non-trading book positions with similar characteristics:(a) the current level of interest rates;(b) the spread between the institutio…
− 3. When assessing the pass-through rate referred to in paragraph 2, second subparagraph, institutions shall consider the following elements, having also regard to non-trading book positions with similar characteristics:
+ **4.** In shock scenarios prescribing an increase of short-term interest rates as referred to in Article 4, points (a)(i), (b)(i), and (c)(i), institutions shall multiply by 0,8 the core component of the stable part of the non-maturity deposits, calculated in accordance with paragraphs 2 and 3, and …
− | (a) | the current level of interest rates; |
− | --- | --- |
+ **5.** In shock scenarios prescribing a decrease of short-term interest rates as referred to in Article 4, points (a)(ii), (b)(ii), and (c)(ii), institutions shall multiply by 1,2 the core component of the stable part of the non-maturity deposits, calculated in accordance with paragraphs 2 and 3, an…
− | (b) | the spread between the institution’s offer rate and market rate; |
− | --- | --- |
+ **6.** When applying paragraphs 2 to 5, institutions shall apply the following caps on the proportion of the core component of the stable part of the non-maturity deposits, calculated in accordance with paragraphs 2 and 3:(a) 90 % for retail transactional deposits as referred to in paragraph 1, poin…
− | (c) | competition from other firms; |
− | --- | --- |
+ **7.** Institutions shall treat all wholesale deposits of financial customers, as referred to in paragraph 1, point (b)(i), as non-core non-maturity deposits.
− | (d) | the institution’s geographical location; |
− | --- | --- |
+ **8.** Institutions shall allocate the non-core component of the non-maturity deposits to the repricing time bucket referred to in point 1(a) of the Annex.
− | (e) | demographic and other relevant characteristics of the institution’s customer base; |
− | --- | --- |
+ **9.** Institutions shall allocate the core components of the non-maturity deposits consistently over time to the relevant repricing time buckets referred to in point 1 of the Annex, based on observed internal data and subject to the following maturity restrictions calculated on a weighted average b…
− | (f) | the unlikely repricing of the core component of the stable part of the non-maturity deposits, even under significant changes in the interest rate environment. |
− | --- | --- |
+ **10.** Institutions shall identify non-maturity deposits as non-core non-maturity deposits where the total of non-maturity deposits is smaller than 2 % of the non-trading book positions that are accounted for as a liability in accordance with the applicable accounting framework.
− 4. In shock scenarios prescribing an increase of short-term interest rates as referred to in Article 4, points (a)(i), (b)(i), and (c)(i), institutions shall multiply by 0,8 the core component of the stable part of the non-maturity deposits, calculated in accordance with paragraphs 2 and 3, and shal…
+ ### Article 9 — Fixed rate loans that are subject to the risk of early repayment
− 5. In shock scenarios prescribing a decrease of short-term interest rates as referred to in Article 4, points (a)(ii), (b)(ii), and (c)(ii), institutions shall multiply by 1,2 the core component of the stable part of the non-maturity deposits, calculated in accordance with paragraphs 2 and 3, and sh…
+ **1.** Institutions shall consider fixed rate loans to retail customers as subject to the risk of early repayment where the borrower is able to repay part or all of the outstanding principal before the contractually agreed repayment date or the contractual maturity date of the principal either:(a) w…
− 6. When applying paragraphs 2 to 5, institutions shall apply the following caps on the proportion of the core component of the stable part of the non-maturity deposits, calculated in accordance with paragraphs 2 and 3:
+ **2.** Institutions shall, for the non-trading book positions referred to in paragraphs 1 and 7, estimate the baseline annual conditional prepayment rate per currency, in a way that is consistent over time and appropriate for an average prepayment rate. Institutions shall estimate that average prepa…
− | (a) | 90 % for retail transactional deposits as referred to in paragraph 1, point (a)(i); |
− | --- | --- |
− 
− | (b) | 70 % for retail non-transactional deposits as referred to in paragraph 1, point (a)(ii); |
− | --- | --- |
− 
− | (c) | 50 % for wholesale non-financial deposits as referred to in paragraph 1, point (b)(ii). |
− | --- | --- |
− 
− 7. Institutions shall treat all wholesale deposits of financial customers, as referred to in paragraph 1, point (b)(i), as non-core non-maturity deposits.
− 
− 8. Institutions shall allocate the non-core component of the non-maturity deposits to the repricing time bucket referred to in point 1(a) of the Annex.
− 9. Institutions shall allocate the core components of the non-maturity deposits consistently over time to the relevant repricing time buckets referred to in point 1 of the Annex, based on observed internal data and subject to the following maturity restrictions calculated on a weighted average basis…
− 
− | (a) | 5 years, for the non-maturity deposits referred to in paragraph 1, point (a)(i); |
− | --- | --- |
− 
− | (b) | 4,5 years, for the non-maturity deposits referred to in paragraph 1, point (a)(ii); |
− | --- | --- |
− 
− | (c) | 4 years, for the non-maturity deposits referred to in paragraph 1, point (b)(ii). |
− | --- | --- |
− 
− 10. Institutions shall identify non-maturity deposits as non-core non-maturity deposits where the total of non-maturity deposits is smaller than 2 % of the non-trading book positions that are accounted for as a liability in accordance with the applicable accounting framework.
− 
− ### art_9
− 
− Article 9
− 
− 1. Institutions shall consider fixed rate loans to retail customers as subject to the risk of early repayment where the borrower is able to repay part or all of the outstanding principal before the contractually agreed repayment date or the contractual maturity date of the principal either:
− 
− | (a) | without bearing the economic costs for such repayment; or |
− | --- | --- |
− 
− | (b) | bearing the economic costs only above a prepayment threshold. |
− | --- | --- |
− 
− 2. Institutions shall, for the non-trading book positions referred to in paragraphs 1 and 7, estimate the baseline annual conditional prepayment rate per currency, in a way that is consistent over time and appropriate for an average prepayment rate. Institutions shall estimate that average prepaymen…
− 
+ **3.** Institutions shall adjust the conditional prepayment rate estimated in accordance with paragraph 2 as follows:(a) in scenarios that prescribe an increase in interest rates as referred to in Article 4, points (a)(i), (b)(ii), and (c)(i), institutions shall multiply the conditional prepayment r…
− 3. Institutions shall adjust the conditional prepayment rate estimated in accordance with paragraph 2 as follows:
+ **4.** For each repricing time bucket as referred to in point 1 of the Annex, institutions shall estimate the expected amount of prepaid loans per repricing time bucket as the product of:(a) the outstanding amount of the fixed rate loans referred to in paragraph 1 of a certain homogeneous product ty…
− | (a) | in scenarios that prescribe an increase in interest rates as referred to in Article 4, points (a)(i), (b)(ii), and (c)(i), institutions shall multiply the conditional prepayment rate by 0,8; |
− | --- | --- |
− 
− | (b) | in scenarios that prescribe a decrease in interest rates as referred to in Article 4, points (a)(ii), (b)(i), and (c)(ii), institutions shall multiply the conditional prepayment rate by 1,2. |
− | --- | --- |
− 4. For each repricing time bucket as referred to in point 1 of the Annex, institutions shall estimate the expected amount of prepaid loans per repricing time bucket as the product of:
− 
− | (a) | the outstanding amount of the fixed rate loans referred to in paragraph 1 of a certain homogeneous product type denominated in a certain currency; |
− | --- | --- |
− 
− | (b) | the conditional prepayment rate determined in accordance with paragraph 2, multiplied by the length of the applicable repricing time bucket referred to in point 2 of the Annex and adjusted in accordance with paragraph 3. |
− | --- | --- |
− 
+ **5.** Institutions shall allocate the prepaid amount of the fixed rate loans referred to in paragraph 1, including penalty fees on the prepaid amount that retail customers pay in the applicable scenario, to the relevant repricing time buckets referred to in point 1 of the Annex. Institutions shall …
− 5. Institutions shall allocate the prepaid amount of the fixed rate loans referred to in paragraph 1, including penalty fees on the prepaid amount that retail customers pay in the applicable scenario, to the relevant repricing time buckets referred to in point 1 of the Annex. Institutions shall allo…
+ **6.** Institutions shall treat fixed rate loans to wholesale customers, where the borrower is able to prepay part or all of the outstanding principal before the contractually agreed repayment date or the contractual maturity date of the principal, in accordance with Articles 6 and 13.
− 6. Institutions shall treat fixed rate loans to wholesale customers, where the borrower is able to prepay part or all of the outstanding principal before the contractually agreed repayment date or the contractual maturity date of the principal, in accordance with Articles 6 and 13.
+ **7.** Where the institution is exposed to assets in the form of securities with underlying instruments in the form of fixed rate loans as referred to in paragraph 1 (‘fixed rate assets’), and the issuer of those fixed rate assets has no obligation to replace the fixed rate loans in the case of thei…
− 7. Where the institution is exposed to assets in the form of securities with underlying instruments in the form of fixed rate loans as referred to in paragraph 1 (‘fixed rate assets’), and the issuer of those fixed rate assets has no obligation to replace the fixed rate loans in the case of their ea…
+ ### Article 10 — Fixed rate term deposits that are subject to the risk of early redemption
− ### art_10
+ **1.** Institutions shall consider fixed rate term deposits as fixed rate term deposits subject to the risk of early redemption where both of the following applies:(a) those fixed rate term deposits constitute retail deposits;(b) the depositor holds the option to redeem any outstanding amount of the…
− Article 10
+ **2.** By way of derogation from paragraph 1, institutions may treat fixed rate term deposits in accordance with Article 6 where the early withdrawal of those deposits would result in a penalty for the depositor compensating both for the loss of interest between the date of the deposit’s redemption …
− 1. Institutions shall consider fixed rate term deposits as fixed rate term deposits subject to the risk of early redemption where both of the following applies:
+ **3.** Institutions shall treat fixed rate term deposits that are wholesale deposits in accordance with Article 6.
− | (a) | those fixed rate term deposits constitute retail deposits; |
− | --- | --- |
− | (b) | the depositor holds the option to redeem any outstanding amount of the fixed rate term deposits before the contractual maturity date of the deposit. |
− | --- | --- |
− 
− 2. By way of derogation from paragraph 1, institutions may treat fixed rate term deposits in accordance with Article 6 where the early withdrawal of those deposits would result in a penalty for the depositor compensating both for the loss of interest between the date of the deposit’s redemption and …
− 
− 3. Institutions shall treat fixed rate term deposits that are wholesale deposits in accordance with Article 6.
− 
+ **4.** Institutions shall estimate the baseline cumulative term deposit redemption rate for the fixed rate term deposits referred to in paragraph 1 in a way that is consistent over time and which is suitable for an average early redemption rate. Institutions shall estimate that baseline cumulative t…
− 4. Institutions shall estimate the baseline cumulative term deposit redemption rate for the fixed rate term deposits referred to in paragraph 1 in a way that is consistent over time and which is suitable for an average early redemption rate. Institutions shall estimate that baseline cumulative term …
+ **5.** Institutions shall adjust the baseline cumulative term deposit redemption rate for the fixed rate term deposits estimated in accordance with paragraph 4 to the applicable scenarios as follows:(a) in scenarios that prescribe a decrease of the short-term interest rates as referred to in Article…
− 5. Institutions shall adjust the baseline cumulative term deposit redemption rate for the fixed rate term deposits estimated in accordance with paragraph 4 to the applicable scenarios as follows:
+ **6.** For each repricing time bucket as referred to in point 1 of the Annex, institutions shall obtain the expected amount of early redeemed fixed rate term deposits by multiplying the fixed rate term deposits referred to in paragraph 1 of a certain homogeneous product type denominated in a certain…
− | (a) | in scenarios that prescribe a decrease of the short-term interest rates as referred to in Article 4, points (a)(ii), (b)(ii), and (c)(ii), institutions shall multiply the redemption rate by 0,8; |
− | --- | --- |
+ **7.** Institutions shall, for all repricing time buckets and sets of homogeneous product types, obtain the total amount of the early redeemed fixed rate term deposits by aggregating the early redemption amounts referred to in paragraph 6. Institutions shall allocate the aggregated early redeemed am…
− | (b) | in scenarios that prescribe an increase of the short-term interest rates as referred to in Article 4, points (a)(i), (b)(i), and (c)(i), institutions shall multiply the redemption rate by 1,2. |
− | --- | --- |
+ ### Article 11 — Derivative instruments without optionality
− 6. For each repricing time bucket as referred to in point 1 of the Annex, institutions shall obtain the expected amount of early redeemed fixed rate term deposits by multiplying the fixed rate term deposits referred to in paragraph 1 of a certain homogeneous product type denominated in a certain cur…
+ **1.** Institutions shall separate derivative instruments without optionality into a paying and a receiving leg.
− 7. Institutions shall, for all repricing time buckets and sets of homogeneous product types, obtain the total amount of the early redeemed fixed rate term deposits by aggregating the early redemption amounts referred to in paragraph 6. Institutions shall allocate the aggregated early redeemed amount…
+ **2.** Institutions shall treat the receiving leg of a derivative instrument without optionality as an incoming cash flow and the paying leg as an outgoing cash flow.
− ### art_11
− Article 11
− 
− 1. Institutions shall separate derivative instruments without optionality into a paying and a receiving leg.
− 
− 2. Institutions shall treat the receiving leg of a derivative instrument without optionality as an incoming cash flow and the paying leg as an outgoing cash flow.
− 
+ **3.** Institutions shall treat cross-currency interest rate swaps involving swapping principal or interest in different currencies separately for each leg in each currency.
− 3. Institutions shall treat cross-currency interest rate swaps involving swapping principal or interest in different currencies separately for each leg in each currency.
+ **4.** Institutions shall treat the interest income and expenses of derivative instruments used for hedging separately from the income and expenses deriving from the hedged position.
− 4. Institutions shall treat the interest income and expenses of derivative instruments used for hedging separately from the income and expenses deriving from the hedged position.
+ ### Article 12 — Non-performing exposures and fixed rate loan commitments to retail counterparties
− ### art_12
+ **1.** Institutions with a non-performing exposure ratio of 2 % or more shall allocate the notional repricing cash flows of their non-performing exposures to the relevant repricing time buckets referred to in point 1 of the Annex. They shall allocate those expected cash flows net of provisions, taki…
− Article 12
− 1. Institutions with a non-performing exposure ratio of 2 % or more shall allocate the notional repricing cash flows of their non-performing exposures to the relevant repricing time buckets referred to in point 1 of the Annex. They shall allocate those expected cash flows net of provisions, taking i…
− 
+ **2.** Where the sum of notional amounts of fixed rate loan commitments to retail counterparties exceeds 2 % of the non-trading book positions that are accounted for as an asset in accordance with the applicable accounting framework, institutions shall estimate the drawn amount, in both the baseline…
− 2. Where the sum of notional amounts of fixed rate loan commitments to retail counterparties exceeds 2 % of the non-trading book positions that are accounted for as an asset in accordance with the applicable accounting framework, institutions shall estimate the drawn amount, in both the baseline sce…
− 
− | (a) | historical internal observations of drawings on fixed rate loan commitments by the type of the counterparty under similar conditions; |
− | --- | --- |
− 
− | (b) | the value of the contract for the counterparty in the baseline scenario; |
− | --- | --- |
− | (c) | the value of the contract for the counterparty in the shock scenario. |
− | --- | --- |
− 
+ ### Article 13 — Economic value of equity add-on for automatic interest rate options
− ### art_13
+ **1.** Institutions shall calculate the economic value of equity add-ons for automatic interest rate options of their non-trading book positions referred to in Article 5(3), point (a).
− Article 13
+ **2.** In the case of a bought automatic interest rate option, institutions shall calculate the change in the value of that option between its value in the applicable scenario, taking into account a relative increase in the implicit interest rate volatility of 25 %, and its value in the baseline sce…
− 1. Institutions shall calculate the economic value of equity add-ons for automatic interest rate options of their non-trading book positions referred to in Article 5(3), point (a).
+ **3.** In the case of a sold automatic interest rate option, institutions shall calculate the change in the value of that option between its value in the applicable scenario and its value in the baseline scenario.
− 2. In the case of a bought automatic interest rate option, institutions shall calculate the change in the value of that option between its value in the applicable scenario, taking into account a relative increase in the implicit interest rate volatility of 25 %, and its value in the baseline scenari…
− 3. In the case of a sold automatic interest rate option, institutions shall calculate the change in the value of that option between its value in the applicable scenario and its value in the baseline scenario.
− 
+ (a) an estimate of the value of the option for the option holder, given: (i) a risk-free yield curve in the applicable currency under the applicable scenario; (ii) a relative increase in the implicit interest rate volatility of 25 %;
− | (a) | an estimate of the value of the option for the option holder, given:(i)a risk-free yield curve in the applicable currency under the applicable scenario;(ii)a relative increase in the implicit interest rate volatility of 25 %; |
− | --- | --- |
− | (i) | a risk-free yield curve in the applicable currency under the applicable scenario; |
− | (ii) | a relative increase in the implicit interest rate volatility of 25 %; |
+ (b) the value of the interest rate option for the option holder, calculated using the non-shock yield curve and the implicit interest rate volatility in the applicable currency at the valuation date.
− | (b) | the value of the interest rate option for the option holder, calculated using the non-shock yield curve and the implicit interest rate volatility in the applicable currency at the valuation date. |
− | --- | --- |
+ **4.** Institutions shall calculate the economic value of equity add-on for automatic interest rate option risk as the difference between the values of all bought options calculated in accordance with paragraphs 2 and the values of all sold options calculated in accordance with paragraph 3, after ha…
− 4. Institutions shall calculate the economic value of equity add-on for automatic interest rate option risk as the difference between the values of all bought options calculated in accordance with paragraphs 2 and the values of all sold options calculated in accordance with paragraph 3, after having…
+ **5.** For the calculation referred to in paragraphs 2 and 3, institutions shall use their applicable internal valuation methods.
− 5. For the calculation referred to in paragraphs 2 and 3, institutions shall use their applicable internal valuation methods.
+ ## CHAPTER III — STANDARDISED METHODOLOGY FOR EVALUATING THE RISKS FOR THE NET INTEREST INCOME OF AN INSTITUTION’S NON-TRADING BOOK ACTIVITIES
− ### art_14
+ ### Article 14 — Requirements for allocating notional repricing cash flows
− Article 14
+ **1.** When using the standardised methodology for evaluating the risks arising from potential changes in interest rates that affect the net interest income of their non-trading book activities, institutions shall allocate the notional repricing cash flows of their non-trading book positions to the …
− 1. When using the standardised methodology for evaluating the risks arising from potential changes in interest rates that affect the net interest income of their non-trading book activities, institutions shall allocate the notional repricing cash flows of their non-trading book positions to the rele…
+ **2.** Articles 5 to 12 shall apply to the allocation of the notional repricing cash flows as referred to in paragraph 1, subject to the derogations set out in paragraphs 3 to 6 of this Article.
− 2. Articles 5 to 12 shall apply to the allocation of the notional repricing cash flows as referred to in paragraph 1, subject to the derogations set out in paragraphs 3 to 6 of this Article.
+ **3.** By way of derogation from Article 5(2), first subparagraph, institutions shall include the commercial margins and other spread components in interest payments in the notional repricing cash flows.
− 3. By way of derogation from Article 5(2), first subparagraph, institutions shall include the commercial margins and other spread components in interest payments in the notional repricing cash flows.
+ **4.** In addition to the allocation of the notional repricing cash flows referred to in Article 6, Article 9(5), Article 10(7) and Article 12 to the relevant repricing time buckets referred to in point 1 of the Annex, institutions shall allocate those notional repricing cash flows to the reference …
− 4. In addition to the allocation of the notional repricing cash flows referred to in Article 6, Article 9(5), Article 10(7) and Article 12 to the relevant repricing time buckets referred to in point 1 of the Annex, institutions shall allocate those notional repricing cash flows to the reference term…
+ **5.** In addition to the allocation of the notional repricing cash flows referred to in Article 7 and Article 8 to the relevant repricing time buckets referred to in point 1 of the Annex, institutions shall allocate those notional repricing cash flows to the reference term time bucket referred to i…
− 5. In addition to the allocation of the notional repricing cash flows referred to in Article 7 and Article 8 to the relevant repricing time buckets referred to in point 1 of the Annex, institutions shall allocate those notional repricing cash flows to the reference term time bucket referred to in po…
+ **6.** Institutions shall treat fixed legs of the derivative instruments referred to in Article 11 in accordance with paragraph 4 of this Article.
− 6. Institutions shall treat fixed legs of the derivative instruments referred to in Article 11 in accordance with paragraph 4 of this Article.
+ ### Article 15 — Net interest income add-on for automatic interest rate options up to the net interest income time horizon
− ### art_15
+ **1.** Institutions shall calculate the net interest income add-ons for automatic interest rate options of their non-trading book positions as referred to in Article 5(3), point (a), up to the net interest income time horizon.
− Article 15
− 
− 1. Institutions shall calculate the net interest income add-ons for automatic interest rate options of their non-trading book positions as referred to in Article 5(3), point (a), up to the net interest income time horizon.
+ **2.** For the purposes of paragraph 1, Article 13 shall apply *mutatis mutandis*, subject to the derogations set out in paragraphs 3 to 6 of this Article.
− 2. For the purposes of paragraph 1, Article 13 shall apply mutatis mutandis, subject to the derogations set out in paragraphs 3 to 6 of this Article.
+ **3.** Institutions shall exclude from the calculation of the net interest income add-ons referred to in paragraph 1 automatic interest rate options that can only be exercised beyond the net interest income time horizon.
− 3. Institutions shall exclude from the calculation of the net interest income add-ons referred to in paragraph 1 automatic interest rate options that can only be exercised beyond the net interest income time horizon.
+ **4.** When calculating the net interest income add-ons referred to in paragraph 1, institutions shall disregard the relative increase in implicit volatility.
− 4. When calculating the net interest income add-ons referred to in paragraph 1, institutions shall disregard the relative increase in implicit volatility.
+ **5.** Institutions shall calculate the value referred to in Article 13(2) and (3) on the basis of pay-outs expected in the baseline scenario and the applicable scenarios.
− 5. Institutions shall calculate the value referred to in Article 13(2) and (3) on the basis of pay-outs expected in the baseline scenario and the applicable scenarios.
+ **6.** Institutions shall assume that the instruments the optionality or non-linearity of which is automatically activated are rolled over with comparable characteristics up to the end of the net interest income time horizon.
− 6. Institutions shall assume that the instruments the optionality or non-linearity of which is automatically activated are rolled over with comparable characteristics up to the end of the net interest income time horizon.
− 
− ### art_16
+ ### Article 16 — Market value changes for automatic interest rate options held at fair value and maturing beyond the net interest income time horizon
− Article 16
+ ## CHAPTER IV — CALCULATION OF THE STANDARDISED ECONOMIC VALUE OF EQUITY RISK MEASURE
− ### art_17
+ ### Article 17 — Calculation of the economic value of equity and changes in the economic value of equity
− Article 17
+ **1.** Institutions shall calculate the economic value of equity for the baseline scenario and the applicable shock scenarios in each currency in accordance with paragraphs 2, 3 and 4. Institutions shall calculate the changes in the economic value of equity in accordance with paragraphs 5 and 6.
− 1. Institutions shall calculate the economic value of equity for the baseline scenario and the applicable shock scenarios in each currency in accordance with paragraphs 2, 3 and 4. Institutions shall calculate the changes in the economic value of equity in accordance with paragraphs 5 and 6.
+ **2.** Institutions shall allocate the notional repricing cash flows referred to in Articles 6, 7 and 8, Article 9(5), Article 10(7), Article 11(2), and Article 12, to the repricing time buckets referred to in those Articles in the following manner:(a) all positive and negative notional repricing ca…
− 2. Institutions shall allocate the notional repricing cash flows referred to in Articles 6, 7 and 8, Article 9(5), Article 10(7), Article 11(2), and Article 12, to the repricing time buckets referred to in those Articles in the following manner:
+ **3.** Institutions shall discount net notional repricing cash flows towards a present value by using a discount factor. Institutions shall calculate that discount factor from the spot zero interest rate at the bucket midpoint for the respective scenario *i* and currency *c* multiplied by the bucket…
− | (a) | all positive and negative notional repricing cash flows within a repricing time bucket shall be netted, forming a net long or net short position for each repricing time bucket; |
− | --- | --- |
+ **4.** Institutions shall sum up the discounted net repricing cash flows across all repricing time buckets to determine the economic value of equity for the baseline scenario and the applicable scenarios, for each currency.
− | (b) | incoming cash flows shall have a positive sign and outgoing cash flows shall have a negative sign. |
− | --- | --- |
+ **5.** Institutions shall calculate the change in the economic value of equity by subtracting the economic value of equity in the baseline scenario from the economic value of equity in the applicable scenario, and by adding the change of the value of the automatic interest rate option calculated in …
− 3. Institutions shall discount net notional repricing cash flows towards a present value by using a discount factor. Institutions shall calculate that discount factor from the spot zero interest rate at the bucket midpoint for the respective scenario i and currency c multiplied by the bucket midpoin…
+ **6.** When calculating the aggregate change for each scenario, institutions shall add together any negative and positive changes occurring in each currency. In that calculation, institutions shall convert currencies, other than the reporting currency, to the reporting currency at the ECB spot FX ra…
− 4. Institutions shall sum up the discounted net repricing cash flows across all repricing time buckets to determine the economic value of equity for the baseline scenario and the applicable scenarios, for each currency.
− 
− 5. Institutions shall calculate the change in the economic value of equity by subtracting the economic value of equity in the baseline scenario from the economic value of equity in the applicable scenario, and by adding the change of the value of the automatic interest rate option calculated in acco…
− 6. When calculating the aggregate change for each scenario, institutions shall add together any negative and positive changes occurring in each currency. In that calculation, institutions shall convert currencies, other than the reporting currency, to the reporting currency at the ECB spot FX rate o…
− 
+ (a) the absolute value of negative changes in EUR or ERM II currencies;
− | (a) | the absolute value of negative changes in EUR or ERM II currencies; |
− | --- | --- |
+ (b) the result of applying a factor of 50 % to the positive changes of ERM II currencies or EUR.
− | (b) | the result of applying a factor of 50 % to the positive changes of ERM II currencies or EUR. |
− | --- | --- |
+ ## CHAPTER V — CALCULATION OF THE STANDARDISED NET INTEREST INCOME RISK MEASURE
− ### art_18
+ ### Article 18 — Time horizon
− Article 18
+ ### Article 19 — Calculation of the contribution of the projected risk-free interest rate on the reinvestment or refinancing of notional repricing cash flows
− ### art_19
+ **1.** To calculate the contribution of the projected risk-free yield on the reinvestment or refinancing of notional repricing cash flows to the net interest income as referred to in paragraph 4, institutions shall, for each currency and each scenario, calculate forward rates that reflect the risk-f…
− Article 19
+ **2.** Institutions shall calculate the forward rates referred to in paragraph 1 in accordance with the following formula:▼C1▼Bwhere:*t**k* is the midpoint of repricing time bucket *k*;*REF**j* is the midpoint of reference term time bucket *j*; is the forward rate for the respective scenario *i* and…
− 1. To calculate the contribution of the projected risk-free yield on the reinvestment or refinancing of notional repricing cash flows to the net interest income as referred to in paragraph 4, institutions shall, for each currency and each scenario, calculate forward rates that reflect the risk-free …
+ **3.** Institutions shall calculate the applicable risk-free interest rate, for each combination of a repricing time bucket midpoint with a reference term time bucket midpoint, by multiplying the forward rates referred to in paragraph 1 with the remaining time horizon referred to in Article 18, seco…
− 2. Institutions shall calculate the forward rates referred to in paragraph 1 in accordance with the following formula:
+ **4.** Institutions shall calculate the contribution of the projected risk-free interest rate on the reinvestment or refinancing of notional repricing cash flows to the net interest income as the product of the following points (a) and (b):(a) the notional repricing cash flows referred to in Article…
− where:
+ ### Article 20 — Calculation of the contribution of the projected commercial margin on the reinvestment or refinancing of notional repricing cash flows
− tk is the midpoint of repricing time bucket k;
+ **1.** Institutions shall calculate the contribution of the projected commercial margin on the reinvestment or refinancing of notional repricing cash flows to the net interest income by multiplying the notional repricing cash flows calculated in accordance with paragraph 2 by the applicable commerci…
− REFj is the midpoint of reference term time bucket j;
+ **2.** For the purposes of the calculation referred to in paragraph 1, institutions shall:(a) allocate, at the reset of commercial margins, the notional repricing cash flows of the instruments referred to in Articles 6 to 12 to the repricing time buckets referred to in point 4 of the Annex;(b) estim…
− is the forward rate for the respective scenario i and for currency c for a risk-free loan starting at the midpoint of repricing time bucket k and maturing at the midpoint of reference term time bucket j;
+ For the purposes of point (a), Articles 6 to 12 shall apply *mutatis mutandis*. However, in the case of floating rate instruments, institutions shall allocate the part of notional repricing cash flows that constitutes a principal amount in accordance with the final contractual maturity date of those…
− is the discounting factor for the respective scenario i and for currency c and time tk as referred to Article 17(3).
+ **3.** For the purposes of paragraph 1, institutions shall allocate the non-trading book positions to the product types of financial assets and financial liabilities, divided by geographical location and currency denomination.
− 3. Institutions shall calculate the applicable risk-free interest rate, for each combination of a repricing time bucket midpoint with a reference term time bucket midpoint, by multiplying the forward rates referred to in paragraph 1 with the remaining time horizon referred to in Article 18, second s…
− 
− 4. Institutions shall calculate the contribution of the projected risk-free interest rate on the reinvestment or refinancing of notional repricing cash flows to the net interest income as the product of the following points (a) and (b):
− 
− | (a) | the notional repricing cash flows referred to in Articles 6, 7 and 8, Article 9(5), Article 10(7), Article 11(2), second subparagraph, and Article 12, allocated in accordance with Article 14(4) and (5); |
− | --- | --- |
− 
− | (b) | the contribution of the corresponding applicable risk-free interest rate calculated in accordance with paragraph 3 of this Article. |
− | --- | --- |
− 
− ### art_20
− 
− Article 20
− 
− 1. Institutions shall calculate the contribution of the projected commercial margin on the reinvestment or refinancing of notional repricing cash flows to the net interest income by multiplying the notional repricing cash flows calculated in accordance with paragraph 2 by the applicable commercial m…
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