Annex I

Row number

Qualitative information - free format

Legal basis

(a)

A description of how the institution defines IRRBB for purposes of risk control and measurement

Article 448(1), point (e)

(b)

A description of the institution's overall IRRBB management and mitigation strategies

Article 448(1), point (f)

(c)

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

Article 448(1), points (e) (i) and (v); Article 448(2)

(d)

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)

Article 448(1), point (e) (iii); Article 448(2)

(e)

A description of the key modelling and parametric assumptions different from those used for disclosure of template EU IRRBB1 (if applicable)

Article 448(1), point (e) (ii); Article 448(2)

(f)

A high-level description of how the Institution hedges its IRRBB, as well as the associated accounting treatment (if applicable)

Article 448(1), point (e) (iv); Article 448(2)

(g)

A description of key modelling and parametric assumptions used for the IRRBB measures in template EU IRRBB1 (if applicable)

Article 448(1), point (c); Article 448(2)

(h)

Explanation of the significance of the IRRBB measures and of their significant variations since previous disclosures

Article 448(1), point (d)

(i)

Any other relevant information regarding the IRRBB measures disclosed in template EU IRRBB1 (optional)

(1) (2)

Disclosure of the average and longest repricing maturity assigned to non-maturity deposits

Article 448(1), point (g)

Supervisory shock scenarios

a

b

c

d

Changes of the economic value of equity

Changes of the net interest income

Current period

Last period

Current period

Last period

1

Parallel up

2

Parallel down

3

Steepener

4

Flattener

5

Short rates up

6

Short rates down