8.7.100 IRRBB Table B

Table 8-94 IRRBB Table B

Report Name	IRRBB Table B Template - Standardized Approach, IRRBB Table B Template - Enhanced Approach Tier1 Capital Report
Description	A resident template to capture and report the required quantitative measures for the Basel Committee Standards on IRRBB Table B.
Dashboards Prompts	Prompt -Process Process Prompt - Shock Type Shock Type Prompt - As of Date As of Date 1 As of Date 2
Report Criteria	FILTER(case when (case when "Process Scenario"."IRRBB Scenario Code" in (1) then 'Parallel Up' else case when "Process Scenario"."IRRBB Scenario Code" in (2) then 'Parallel Down' else case when "Process Scenario"."IRRBB Scenario Code" in (3) then 'Short Rate Up' else case when "Process Scenario"."IRRBB Scenario Code" in (4) then 'Short Rate Down' else case when "Process Scenario"."IRRBB Scenario Code" in (5) then 'Flattener' else case when "Process Scenario"."IRRBB Scenario Code" in (6) then 'Steepener' else '' end end end end end end) in ('Parallel Up','Parallel Down') then "Standard Cash Flow Results"."Net Interest Income (Delta To Bench)" else NULL end USING((((date '@{Asofdate1}')<="Time Buckets"."End Date" and "Time Buckets"."End Date"<=TIMESTAMPADD(SQL_TSI_MONTH,12,(date '@{Asofdate1}'))) and "Calendar - ALM Results"."As-of-Date" in (date '@{Asofdate1}')) or (((date '@{Asofdate2}')<="Time Buckets"."End Date" and "Time Buckets"."End Date"<=(date '@{Asofdate1}')) and "Calendar - ALM Results"."As of Date 2" in (date '@{Asofdate2}')))) MAX(ABS(FILTER(case when (case when "Process Scenario"."IRRBB Scenario Code" in (1) then 'Parallel Up' else case when "Process Scenario"."IRRBB Scenario Code" in (2) then 'Parallel Down' else case when "Process Scenario"."IRRBB Scenario Code" in (3) then 'Short Rate Up' else case when "Process Scenario"."IRRBB Scenario Code" in (4) then 'Short Rate Down' else case when "Process Scenario"."IRRBB Scenario Code" in (5) then 'Flattener' else case when "Process Scenario"."IRRBB Scenario Code" in (6) then 'Steepener' else '' end end end end end end) in ('Parallel Up','Parallel Down') then "Standard Cash Flow Results"."Net Interest Income (Delta To Bench)" else NULL end USING((((date '@{Asofdate1}')<="Time Buckets"."End Date" and "Time Buckets"."End Date"<=TIMESTAMPADD(SQL_TSI_MONTH,12,(date '@{Asofdate1}'))) and "Calendar - ALM Results"."As-of-Date" in (date '@{Asofdate1}')) or (((date '@{Asofdate2}')<="Time Buckets"."End Date" and "Time Buckets"."End Date"<=(date '@{Asofdate1}')) and "Calendar - ALM Results"."As of Date 2" in (date '@{Asofdate2}'))))) by case when "Calendar - ALM Results"."As-of-Date"= @{Asofdate1}{ (date '2016-10-30')} then @{Asofdate1}{ (date '2016-10-30')} when "Calendar - ALM Results"."As of Date 2"=@{Asofdate2}{ (date '2016-10-24')} then @{Asofdate2}{ (date '2016-10-24')} end) MAX(ABS("Master Results"."Net Market Value (Delta to Bench)") by case when "Calendar - ALM Results"."As-of-Date"= @{Asofdate1}{ (date '2016-10-30')} then @{Asofdate1}{ (date '2016-10-30')} when "Calendar - ALM Results"."As of Date 2"=@{Asofdate2}{ (date '2016-10-24')} then @{Asofdate2}{ (date '2016-10-24')} end) Reg LE Capital Summary Fact."Amount Post Reg Adjustment" case when "Calendar - ALM Results"."As-of-Date"= @{Asofdate1}{ (date '2016-10-30')} then @{Asofdate1}{ (date '2016-10-30')} when "Calendar - ALM Results"."As of Date 2"=@{Asofdate2}{ (date '2015-10-30')} then @{Asofdate2}{ (date '2015-10-30')} end
	For Tier 1 Capital report, below is criteria: "Reg LE Capital Summary Fact"."Amount Post Reg Adjustment" (4:03:34 PM) [e-mail]: case when "Calendar - ALM Results"."As-of-Date"= @{Asofdate1}{ (date '2016-10-30')} then @{Asofdate1}{ (date '2016-10-30')} when "Calendar - ALM Results"."As of Date 2"=@{Asofdate2}{ (date '2015-10-30')} then @{Asofdate2}{ (date '2015-10-30')} end
Conditions	Rep Line."Rep Line Cd" = 8110000637 UPPER("Capital Comp Group"."Cap Comp Group Code") = 'OTH' UPPER("Scenario (IRRBB)"."Scenario Desc") = 'BASELINE' "Process Scenario"."IRRBB Scenario Code" IN (1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12) For Tier 1 Capital report, below are conditions: Rep Line."Rep Line Cd" = 8110000637 UPPER("Capital Comp Group"."Cap Comp Group Code") = 'OTH' UPPER("Scenario (IRRBB)"."Scenario Desc") = 'BASELINE'
Compound Layout	Title, Pivot Table