ANNEX II
‘ANNEX XXIX
REPORTING INSTRUCTIONS FOR THE PURPOSE OF INTEREST RATE RISK IN THE BANKING BOOK
Table of Contents
PART I
24
GENERAL INSTRUCTIONS
24
1.
Structure
24
2.
Scope of reporting
24
3.
Treatment of fixed/floating rate instruments
24
4.
Treatment of options
25
5.
Sign convention
25
6.
Abbreviations
25
7.
Other conventions
26
PART II
26
EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES (J 01.00)
26
1.
General remarks
26
2.
Instructions concerning specific positions
26
PART III
29
BREAKDOWN OF SENSITIVITY ESTIMATES (J 02.00, J 03.00 and J 04.00)
29
1.
General remarks
29
2.
Instructions concerning specific positions
29
PART IV
36
REPRICING CASH FLOWS (J 05.00, J 06.00 and J 07.00)
36
1.
General remarks
36
2.
Instructions concerning specific positions:
37
PART V
39
RELEVANT PARAMETERS (J 08.00 and J 09.00)
39
1.
General remarks
39
2.
Instructions concerning specific positions
39
PART VI
41
QUALITATIVE INFORMATION (J 10.00 and J 11.00)
41
1.
General remarks
41
2.
Instructions concerning specific positions
42
PART I
GENERAL INSTRUCTIONS
1. Structure
1.1.
This Annex contains the instructions for the reporting of the Interest Rate Risk in the Banking Book (IRRBB) templates.
1.2.
This Annex consists of five different sets of templates:
(a)
evaluation of the IRRBB: Economic Value of Equity (EVE) and Net Interest Income (NII) Supervisory Outlier Tests (SOT) and Market Value (MV) changes (J 01.00);
(b)
breakdown of IRRBB sensitivity estimates (J 02.00, J 03.00 and J 04.00);
(c)
IRRBB repricing cash flows (J 05.00, J 06.00 and J 07.00);
(d)
relevant parameters on behavioural modelling (J 08.00 and J 09.00);
(e)
qualitative information (J 10.00 and J 11.00).
1.3.
For each template, legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates and instructions concerning specific positions are included in this Annex.
1.4.
Institutions shall report the templates in the reporting currency, regardless of the actual denomination of assets, liabilities and off-balance sheet items. Currencies other than the reporting currency shall be converted to the reporting currency at the ECB FX reference rate on the reference date. Institutions shall separately report the templates broken down by the corresponding currencies in accordance with Commission Delegated Regulation (EU) 2024/856 ( 1 ) .
1.5.
In accordance with Article 3(2), point (c), of Delegated Regulation (EU) 2024/856, institutions shall reflect automatic and behavioural options in their calculations, where applicable, except in cases where otherwise specified.
2. Scope of reporting
Institutions shall project their IRRBB estimates and provide information on their interest rate exposures arising from the interest rate-sensitive positions in the banking book in scope of the SOTs (Articles 3 and 4 of Delegated Regulation (EU) 2024/856. In particular, institutions shall consider all instruments in accordance with Article 3(2), points (a) to (f), and Article 3(3), (4) and (5) of Delegated Regulation (EU) 2024/856.
3. Treatment of fixed/floating rate instruments
Where separate information is requested for fixed or floating rate instruments, the following definitions shall apply:
(a)
“fixed rate instrument” means “fixed rate instrument” as defined in Article 1, point (4), of Commission Delegated Regulation (EU) 2024/857 ( 2 ) . Specifically:
(i)
instruments without a specific contractual maturity (i.e. non-maturity products), whose cash flows of interest payments are not contractually or legally linked to movements on an external benchmark or an institution’s internally managed index, but instead, are at the discretion of the institution or a government agency;
(ii)
instruments with a specific contractual maturity, 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; or where changes in its remuneration – at any time during the life of the contract – are discretional to the institution or a government agency.
(b)
“floating rate instrument” means “floating rate instrument” as defined in Article 1, point (5) of Delegated Regulation (EU) 2024/857. Specifically:
(i)
instruments without a specific contractual maturity (i.e. non-maturity products), where the cash flows of interest payments are not discretional to the institution or a government agency, but instead contractually or legally linked to movements of an external benchmark or institution’s internally managed index;
(ii)
instruments with a specific contractual maturity, whose cash flows of interest payments are not fixed from the inception and until the maturity of the instrument, where its contractual repricing is below or equal to 1 year, and where changes in its remuneration during the life of the contract are not at the discretion of the institution or a government agency.
4. Treatment of options
Where separate information on options is requested, institutions shall report in the following way:
(a)
embedded options together with their relevant host instrument;
(b)
explicit/standalone options separately to any other kind of balance sheet items as derivative instruments (i.e. they shall report those options together with the hedged item).
5. Sign convention
5.1.
Generally, institutions shall report values positively across the templates. Figures expressed in monetary units referring to the level of EVE, level of NII and MV level shall in general be reported as a positive figure, irrespective of whether it refers to an asset or a liability, although exceptions shall be observed: that shall be the case where the NII level is negative if the interest expenses are bigger than the interest incomes in the baseline scenario, or in the case of derivatives where netted values of the derivative legs need to be reported.
5.2.
Institutions shall report the changes (Δ) of EVE, NII and MV with positive or negative values, depending on the variation. Institutions shall calculate the Δ as the difference between the EVE/NII/MV under the shock scenarios minus baseline scenario. EVE (and MV) sensitivities of a specific asset or liability shall be reported as positive if the EVE (and MV) of that asset or liability increases under a specific IR scenario. Similarly, NII sensitivities of a specific asset, or liability, shall be reported as positive when the interest income of that asset, or the interest expense of that liability, increases under a concrete IR scenario.
5.3.
In data points related to notional exposures or carrying amounts, the same rule applies, institutions shall report values positively for assets and liabilities.
5.4.
Institutions shall report parameters positively irrespective of whether these parameters refer to an asset or liability, and irrespective of whether these parameters increase or decrease the value of the IRRBB metrics. There might be some exceptional cases where institutions report negative figures for parameters, including the average yield of assets/liabilities if the last interest rate reset was based on a negative market interest rate environment.
6. Abbreviations
Economic Value of Equity is referred to as “EVE”, Net Interest Income as “NII”, Market Value as “MV”, Supervisory Outlier Test as “SOT”, Non-Maturity Deposits as “NMDs” and Internal Measurement System as “IMS”, standardised approach as “SA”.
7. Other conventions
7.1.
Throughout this Annex, references are made to Delegated Regulation (EU) 2024/856 or “RTS on SOT” and Delegated Regulation (EU) 2024/857 or “RTS on SA”. Where the text refers to definitions laid down in Delegated Regulation (EU) 2024/857, those definitions shall be applied to all reporting institutions (and not only the ones applying SA).
7.2.
The definitions laid down in Article 1 of Delegated Regulation (EU) 2024/857 shall apply to this Annex.
PART II
EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES (J 01.00)
1. General remarks
1.1.
Template J 01.00 contains the levels and changes of EVE (ΔΕVE) and levels and changes of NII (ΔΝII), calculated as set out in Delegated Regulation (EU) 2024/856, and also the level and changes of MV, computed according to the internal risk management criteria, considering a one-year horizon and a constant balance sheet assumption. It contains, among others, the specified size of interest rate shocks for currencies not referred to in Part A of the Annex to Delegated Regulation (EU) 2024/856 and ratios of ΔΕVE and ΔΝII to Tier 1 Capital according to Article 25 of Regulation (EU) No 575/2013, the ΔΕVE and ΔΝII under the worst scenarios and the level of EVE and NII under baseline scenario as well as ΔΕVE, ΔΝII and ΔΜV under certain regulatory interest rate shock scenarios.
1.2.
This template shall be reported separately for each currency included in the calculation of the SOT in accordance with Article 1(3) and (4) of Delegated Regulation (EU) 2024/856, as well as for the aggregate of all currencies for which Article 1(4) of that Delegated Regulation applies. When calculating the aggregate changes (for all currencies) for each interest rate shock scenario, Article 3(8) of Delegated Regulation (EU) 2024/856 shall apply.
2. Instructions concerning specific positions
Row
Legal references and instructions
0010-0090
Economic value of equity
EVE estimates calculated in accordance with Article 98(5), point (a), of Directive 2013/36/EU and Article 1 to 3 of Delegated Regulation (EU) 2024/856. With regard to the modelling and parametric assumptions that are not specified in Article 3 of that Delegated Regulation, institutions shall use those assumptions that they employ in their IRRBB measurement and management, i.e. their internal measurement methodologies, the standardised approach or the simplified standardised approach, as applicable.
0010
Δ EVE under worst scenario
The change of the EVE under the supervisory shock scenarios referred to in Article 1(1) of Delegated Regulation (EU) 2024/856 causing the largest decline of EVE. The worst outcome from the values in rows 0040 to 0090 shall be reported in this row.
0020
Δ EVE ratio under worst scenario
The ratio of the value reported in row 0010, to the Tier 1 capital determined in accordance with Article 25 of Regulation (EU) No 575/2013.
0030-0090
EVE under baseline and supervisory shock scenarios
EVE level under the baseline scenario and the changes of the EVE (i.e. Δ EVE) under supervisory shock scenarios referred to in Article 1(1) of Delegated Regulation (EU) 2024/856.
0030
Level of EVE under baseline scenario
EVE level under the baseline interest rate scenarios of the reference date.
0040
Δ EVE under parallel shock up
The change of the EVE under the “parallel shock up” scenario referred to in Article 1(1), point (a), and Article 2 of Delegated Regulation (EU) 2024/856.
0050
Δ EVE under parallel shock down
The change of the EVE under the “parallel shock down” scenario referred to in Article 1(1), point (b), and Article 2 of Delegated Regulation (EU) 2024/856.
0060
Δ EVE under steepener shock
The change of the EVE under the “steepener shock” scenario referred to in Article 1(1), point (c), and Article 2 of Delegated Regulation (EU) 2024/856.
0070
Δ EVE under flattener shock
The change of the EVE under the “flattener shock” scenario referred to in Article 1(1), point (d), and Article 2 of Delegated Regulation (EU) 2024/856.
0080
Δ EVE under short rates shock up
The change of the EVE under the “short rates shock up” scenario referred to in Article 1(1), point (e), and Article 2 of Delegated Regulation (EU) 2024/856.
0090
Δ EVE short rates shock down
The change of the EVE under the “short rates shock down” scenario referred to in Article 1(1), point (f), and Article 2 of Delegated Regulation (EU) 2024/856.
0100-0140
Net interest income
NII as referred to in Article 98(5), point (b), of Directive 2013/36/EU and specified in Article 4 of Delegated Regulation (EU) 2024/856. With regard to the modelling and parametric assumptions that are not specified in Article 4 of that Delegated Regulation, institutions shall use those assumptions that they employ in their IRRBB measurement and management, i.e. their internal measurement methodologies, the standardised approach or the simplified standardised approach, as applicable.
Institutions shall consider the accounting treatment of hedges (i.e. hedge accounting) and shall not include the effects of items referred to in Article 33(1), point (a), of Regulation (EU) No 575/2013.
0100
Δ NII under worst scenario
The change of the one-year NII under the supervisory shock scenarios referred to in Article 1(2) of Delegated Regulation (EU) 2024/856 causing the largest decline of NII. The worst outcome from the values in rows 0130 to 0140 shall be reported in this row.
0110
Δ NII ratio under worst scenario
The ratio of the value reported in row 0100 to Tier 1 capital determined in accordance with Article 25 of Regulation (EU) No 575/2013.
0120-0140
NII under baseline and supervisory shock scenarios
NII level under the baseline scenario and Δ NII under supervisory shock scenarios referred to in Article 1(2) of Delegated Regulation (EU) 2024/856.
0120
Level of NII under baseline scenario
NII level under the baseline interest rate scenario as of the reference date.
0130
ΔNII under parallel shock up
The change of the NII under the “parallel shock up” scenario referred to in Article 1(2), point (a), and Article 2 of Delegated Regulation (EU) 2024/856.
0140
ΔNII under parallel shock down
The change of the NII under the “parallel shock down” scenario referred to in Article 1(2), point (b), and Article 2 of Delegated Regulation (EU) 2024/856.
0150-0170
IMS Market value changes
MV under baseline and supervisory shock scenarios
Forecasts of the MV changes ( Δ MV) of the carrying amount over a one-year horizon under the baseline and supervisory shock scenarios shall be shown either in the profit and loss account or directly in equity (such as via other comprehensive income). Institutions shall report the Δ MV net of the effect of accounting hedges (i.e. hedge accounting) and shall disregard the effects of items referred to in Article 33(1), point (a), of Regulation (EU) No 575/2013 (effective component of cash-flow hedge accounting derivatives hedging amortised cost items).
Institutions shall use the forecasts of the ΔMV according to the institution’s IRRBB IMS or, where applicable, Article 22 of Delegated Regulation (EU) 2024/857, for the supervisory shock scenarios referred to in Article 1(2) of Delegated Regulation (EU) 2024/856.
The total size and composition of the amount of which the value is sensitive to ΔMV shall be maintained by replacing maturing instruments with new instruments that have comparable features (including currency and nominal amount of the instruments).
Risk estimates, from which relevant parameters are derived, shall be equivalent to those used for the SOT calculation, including, where applicable, behavioural modelling and automatic optionality.
0150
Level of MV value under baseline scenario
MV level under the baseline interest rate scenario as of the reference date.
0160
ΔMV under parallel shock up
The change of MV under the “parallel shock up” scenario referred to in Article 1(2), point (a), and Article 2 of Delegated Regulation (EU) 2024/856.
0170
ΔMV under parallel shock down
The change of MV under the “parallel shock down” scenario referred to in Article 1(2), point (b), and Article 2 of Delegated Regulation (EU) 2024/856.
0180-0200
Other currencies: Size of interest rate shocks
Part B of the Annex to Delegated Regulation (EU) 2024/856.
Interest rate shocks for currencies calibrated in accordance with Part B of the Annex to Delegated Regulation (EU) 2024/856 and Article 2 of that Delegated Regulation. The size of the interest rate shocks shall be reported in basis points and in absolute value. The shock size represents the difference (Δ R ) to the risk-free interest rate.
These rows shall not be reported for currencies referred to in Part A of the Annex to of Delegated Regulation (EU) 2024/856. They shall only be reported for the currencies considered in the SOT, in accordance with Article 1(4) of that Delegated Regulation.
0180
Parallel Shock
Size of parallel shock of interest rates in basis points calibrated in accordance with Part B of the Annex to Delegated Regulation (EU) 2024/856 and Article 2(1) of that Delegated Regulation.
0190
Short rate shock
Size of short shock of interest rates in basis points calibrated according to the short shock referred to in Part B of the Annex to Delegated Regulation (EU) 2024/856 and Article 2(2) of that Delegated Regulation.
0200
Long rate shock
Size of long shock of interest rates in basis points calibrated according to the long shock referred to in Part B of the Annex to Delegated Regulation (EU) 2024/856 and Article 2(3) of that Delegated Regulation.
Columns
Legal references and instructions
0010
Amount
The specified size of interest rate shocks shall be reported in basis points (bps), the Δ EVE’s and Δ NII’s shall be reported both as ratios and amounts (as specified in the instructions on rows). Amounts shall be reported in the reporting currency.
PART III
BREAKDOWN OF SENSITIVITY ESTIMATES (J 02.00, J 03.00 and J 04.00)
1. General remarks
1.1.
Templates J 02.00, J 03.00 and J 04.00 provide further breakdowns of an institution’s estimates of the SOT IRRBB sensitivities (Delegated Regulation (EU) 2024/856) and MV changes (Internal Risk management with a 1-year horizon and constant balance sheet assumption), including behavioural/conditional and automatic optionality for a specific breakdown of balance-sheet items.
1.2.
Institutions shall report the content of those templates for each currency separately for which the institution has positions where the accounting value of financial assets or liabilities denominated in a currency amounts to 5 % or more of the total banking book financial assets or liabilities, or less than 5 % if the sum of financial assets or liabilities included in the calculation is lower than 90 % of total banking book financial assets (excluding tangible assets) or liabilities.
2. Instructions concerning specific positions
Row
Legal references and instructions
0010
Total Assets
Total interest rate-sensitive assets in the scope of Delegated Regulation (EU) 2024/856 irrespective of their accounting treatment. This row shall include:
—
assets vis-à-vis Central Banks,
—
interbank assets,
—
loans and advances,
—
debt securities,
—
derivatives hedging assets,
—
other.
Institutions shall report IRRBB exposures of assets which are not deducted from Common Equity Tier 1 (CET1) capital determined in accordance with Part Two, Title I, Chapter 2, of Regulation (EU) No 575/2013 and excluding tangible assets such as real estate, as well as equity exposures in the banking book as referred to in Article 133 and Article 147(2), point (e), of Regulation (EU) No 575/2013. Those exposures shall be assigned to counterparty sectors according to the nature of the immediate counterparty.
0020
of which: due to automatic optionality
Contribution of embedded and explicit automatic optionality to the total interest rate-sensitive assets in the scope of Delegated Regulation (EU) 2024/856 irrespective of their accounting treatment.
0030
Central bank
Assets vis-à-vis central banks, including cash balances and demand deposits, as referred to in Part 1, point 42(a), of Annex V to this Regulation.
0040
Interbank
All assets whose counterparty is a credit institution as referred to in Part 1, point 42(c), of Annex V to this Regulation, excluding securities and derivative exposures.
0050
Loans and advances
Debt instruments held by institutions that are not securities, as referred to in Part 1, point 32, of Annex V to this Regulation. This row shall not include exposures included in rows 0030 and 0040.
0060, 0130, 0150, 0250, 0280, 0320, 0360, 0400, 0430, 0480
of which: fixed rate
Institutions shall report figures related to fixed rate instruments, according to the convention specified in Part I, Section 3, of this Annex.
0070
of which: non-performing
Non-performing loans and advances as referred to in Article 3(4) of Delegated Regulation (EU) 2024/856 and in Article 47a(3) of Regulation (EU) No 575/2013.
0080
Retail
Loans and advances to a natural person or an SME, where the exposure toward small and medium-sized enterprise (“SME”) is to qualify for the retail exposure class under the Standardised or Internal Ratings Based (“IRB”) approaches for credit risk as set out in Part one, Title II, Chapters 2 and 3 of Regulation (EU) No 575/2013, or a company which is eligible for the treatment set out in Article 153(4) of Regulation (EU) No 575/2013 and where the aggregate deposits by that SME or company on a group basis do not exceed EUR 1 million.
Both performing and non-performing retail loans and advances shall be reported in this row.
0090
of which: secured by residential real estate
Retail loans formally secured by residential immovable property collateral, regardless of their loan/collateral ratio (“loan-to-value”) and the legal form of the collateral.
0100
Wholesale non-financial
Loans and advances to general governments and non-financial corporations as referred to in Part 1, point 42(b) and (e), of Annex V to this Regulation. This row shall not include exposures included in row 0080.
0110
Wholesale financial
Loans and advances to other financial corporations as referred to in Part 1, point 42(d), of Annex V to this Regulation.
0120
Debt securities
Debt instruments held by the institution issued as securities that are not loans, as referred to in Part 1, point 31, of Annex V to this Regulation, including covered bonds and securitisation exposures.
0140
Derivatives hedging assets
Derivatives as defined in Article 2(1), point (29) of Regulation (EU) No 600/2014 of the European Parliament and of the Council ( 3 ) . Institutions shall report derivatives held under hedge accounting regime, under the applicable accounting framework, being the hedged item an interest rate sensitive asset.
0160
Hedging debt securities
Hedge accounting derivatives hedging assets which are debt securities.
0170
Hedging other assets
Hedge accounting derivatives hedging assets which are not debt securities.
0180
Other
Other on-balance interest rate-sensitive assets that do not fall under the rows above shall be reported in this row.
0190
Off-balance sheet assets: contingent assets
Off-balance sheet assets listed in Annex I to Regulation (EU) No 575/2013 which are sensitive to the interest rate, and which are in the scope of Delegated Regulation (EU) 2024/856.
Fixed rate loan commitments with prospective borrowers shall be also included in this row.
Loan commitment shall be reported as a combination of a short and a long position. It is the case of a fixed rate loan commitment the institution has a long position in the loan at the inception of the commitment and a short position when the loan is supposed to be drawn. Institutions shall report long positions as assets, and short position as liabilities. They shall only report contingent instruments qualifying as assets in this row.
0200
Total liabilities
Total interest rate-sensitive liabilities in the scope of Delegated Regulation (EU) 2024/856 and irrespective of their accounting treatment. This row shall include:
—
liabilities vis-à-vis Central Banks,
—
interbank liabilities,
—
debt securities issued,
—
non-maturity deposits,
—
term deposits,
—
derivatives hedging liabilities,
—
other.
0210
of which: due to automatic optionality
Contribution of embedded and explicit automatic optionality to the total interest rate-sensitive liabilities in the scope of Delegated Regulation (EU) 2024/856 irrespective of their accounting treatment.
0220
Central bank
Liabilities vis-à-vis central banks as referred to in Part 1, point 42(a), of Annex V to this Regulation.
0230
Interbank
All liabilities whose counterparty is a credit institution as referred to in Part1, point 42(c), of Annex V to this Regulation, excluding securities and derivative exposures.
0240
Debt securities issued
Debt instruments issued as securities by the institution that are not deposits, as referred to in Part 1 Article 37 of Annex V to this Regulation.
0260
of which: AT1 or T2
Debt securities issued in accordance with Articles 61 or 71 of Regulation (EU) No 575/2013, excluding perpetual own funds without any call dates (Article 3 of Delegated Regulation (EU) 2024/856).
0270
NMDs: Retail transactional
Retail non-maturity deposits held in a transactional account as defined in Article 1, point (10) of Delegated Regulation (EU) 2024/857. Retail transactional NMDs shall include non-interest-bearing and other retail accounts whose remuneration component is not relevant in the client’s decision to hold money in the account.
0290, 0330, 0370
of which: core component
Core component of non-maturity deposits as defined in Article 1, point (15) of Delegated Regulation (EU) 2024/857.
NMDs which are stable and unlikely to reprice even under significant changes in interest rate environment, or other deposits whose limited elasticity to interest rate changes shall be modelled by institutions
0300, 0340, 0380
of which: exempted from 5Y cap
Regulated savings exposures as referred to in Article 428f(2), point (a), of Regulation (EU) No 575/2013, but not limited to the centralised part, or those with material economic or fiscal constraints in case of a withdrawal, for which the institution is not constraining the maximum weighted average repricing date to 5 years.
0310
NMDs: Retail non-transactional
Retail non-maturity deposits held in a non-transactional account as defined in Article 1, point (11), of Delegated Regulation (EU) 2024/857.
Other retail deposits which are not considered “Non-Maturity Deposits: Retail Transactions” shall be considered as held in a non-transactional account.
In particular, retail non-transactional deposits shall include retail accounts (including regulated ones) whose remuneration component is relevant in the client’s decision to hold money in the account.
0350
NMDs: Wholesale non-financial
Wholesale deposits as defined in Article 1, point (12), of Delegated Regulation (EU) 2024/857 which are NMDs from general governments and non-financial corporations (NFCs) as referred to in Part 1, point 42(b) and (e), of Annex V to this Regulation.
0390
NMDs: Wholesale financial
Wholesale deposits as defined in Article 1, point (12), of Delegated Regulation (EU) 2024/857 which are NMDs from counterparties according to Part 1, point 42(d), of Annex V to this Regulation.
0410
of which: operational deposits
NMDs that classify as operational deposits according to Article 27(1)(a) of the Commission Delegated Regulation (EU) 2015/61 ( 4 ) .
0420
Term deposits
Non-transferable deposits which the depositor is not allowed to withdraw before an agreed maturity or that can be early withdrawn provided that the depositor is charged with early withdrawal (prepayment) costs and fees. This item shall include administratively regulated savings deposits where the maturity related criterion is not relevant. Although deposits with agreed maturity may feature the possibility of earlier redemption after prior notification or may be redeemable on demand subject to certain penalties, those features shall not be used for classification purposes. This row shall not include exposures in rows 0220 and 0230.
0440
Retail
This row shall include term deposits from retail customers.
0450
Wholesale non-financial
Term deposits from wholesale non-financial clients.
Wholesale deposits as defined in Article 1, point (12), of Delegated Regulation (EU) 2024/857 which are deposits other than NMDs from general governments and NFCs as referred to in Part 1, point 42(b) and (e), of Annex V to this Regulation.
0460
Wholesale financial
Term deposits from wholesale financial clients.
Wholesale deposits as defined in Article 1, point (12), of Delegated Regulation (EU) 2024/857 which are deposits other than NMDs from counterparties referred to in Part 1, point 42(d), of Annex V to this Regulation.
0470
Derivatives hedging liabilities
Derivatives as defined in Article 2(1), point (29), of Regulation (EU) No 600/2014. Institutions shall report derivatives held under hedge accounting regime, under the applicable accounting framework, being the hedged item an interest rate sensitive liability.
0490
Hedging debt securities
Hedge accounting derivatives hedging liabilities which are debt securities.
0500
Hedging other liabilities
Hedge accounting derivatives hedging liabilities which are not debt securities.
0510
Other
Other on-balance interest rate sensitive-liabilities that were not classified in the rows above shall be reported in this row.
0520
Off-balance sheet liabilities: Contingent liabilities
Off-balance sheet items shall include products such as interest rate sensitive loan commitments.
Contingent liabilities shall be considered as a combination of a short and a long position. Specifically, in case the institution has a credit line with other institutions, the institution will have a long position when the loan is supposed to be drawn and a short position at the opening date of the credit line.
Long positions shall be reported as assets while short positions shall be reported as a liability. Only the contingent instruments qualifying as liabilities shall be reported in this row.
0530
Other derivatives (Net asset/liability)
Interest rate derivatives not designed as accounting hedges such as economic interest rate hedges, which are intended to hedge the interest rate risk in the banking book but are not under an accounting hedge regime.
0540-0640
Memorandum Items
0540
Net Derivatives
Net contribution of all interest rate derivatives in the banking book, considering those interest rate derivatives hedging assets (row 0140) or liabilities (row 0470) under an accounting hedging regime in the banking book and economic interest rate hedges (row 0530) of other interest rate derivatives in the banking book not designed as accounting hedges.
0550
Net interest rate position without derivatives
All the interest rate exposures in the banking book, including off-balance sheet exposures and excluding interest rate derivatives. In particular, all the assets and liabilities excluding the effect of derivatives.
0560
Net interest rate position with derivatives
All assets and liabilities, including off-balance sheet exposures and interest rate derivatives.
0570
Total Assets with MV impact
Total assets where MV changes are relevant for profit or loss or equity, excluding non-accounting hedge derivatives reported under row 0530. For institutions applying IFRS under Regulation (EC) No 1606/2002 of the European Parliament and of the Council ( 5 ) , banking book assets that are recorded at fair value according to the applicable accounting framework (either through profit or loss or other comprehensive income), together with debt securities and other instruments recorded at amortized cost subject to a fair value hedge accounting. Derivatives hedging assets in the banking book under a hedge accounting regime shall be reported in this section except for the effective component of those accounting cash-flow hedge derivatives hedging amortised cost items referred to in Article 33(1), point (a), of Regulation (EU) No 575/2013.
0580
Debt securities
Debt securities where MV changes are relevant for profit or loss or equity. It includes debt securities at fair value together with debt securities recorded at amortised cost subject to a fair value accounting hedge.
0590
Derivatives
Derivatives as defined in Article 2(1), point (29), of Regulation (EU) No 600/2014.
Derivatives hedging assets under a hedge accounting regime shall be reported in this row, excluding those derivatives designed as cash flow hedges hedging amortised cost items.
0600
Other
Other assets at fair value, together with other assets at amortised cost subject to a fair value hedge accounting.
0610
Total Liabilities with MV impact
Total liabilities where MV changes are relevant for profit or loss or equity, excluding non-accounting hedge derivatives reported under row 0530.
Liabilities that are recorded at fair value according to the applicable accounting framework (either through profit or loss or other comprehensive income) together with debt securities issued and other liabilities recorded at amortised cost subject to a fair value hedge accounting. Derivatives hedging liabilities under a hedge accounting regime shall also be reported in this section except for the effective component of those accounting cash-flow hedge derivatives hedging amortised cost items in accordance with Article 33(1)(a) of Regulation (EU) No 575/2013.
0620
Debt securities issued
Debt securities issued as securities by the institution that are not deposits, as defined in Part 1 point 37 of Annex V to this Regulation that are accounted where MV changes are relevant for profit or loss or equity.
0630
Derivatives
Derivatives as defined in Article 2(1), point (29), of Regulation (EU) No 600/2014.
Institutions shall report under this section the derivatives hedging liabilities under a hedge accounting regime, excluding those derivatives designed as cash flow hedges hedging amortised cost items.
0640
Other
Other liabilities at fair value, together with other liabilities at amortised cost subject to a fair value hedge accounting.
Columns
Legal references and instructions
0010
Carrying amount
Part 1, point 27 of, Annex V to this Regulation.
0020
Duration
Modified duration (“Dmod”; reported in years), including automatically optionality, where: Dmod = EV01/(Economic Value * 0,0001)
EV01 equals to a +1 bps sensitivity (parallel shock) of the Economic value.
0030-0090
Economic value of equity
Institutions shall follow the same instructions as described in {J 01.00; r0010-r0090}.
0030
Level of EVE – Baseline scenario
Institutions shall follow the same instructions as described in {J 01.00; r0030}.
0040
ΔEVE – Parallel shock up
Institutions shall follow the same instructions as described in {J 01.00; r0040}.
0050
ΔEVE – Parallel shock down
Institutions shall follow the same instructions as described in {J 01.00; r0050}.
0060
ΔEVE – Steepener shock
Institutions shall follow the same instructions as described in {J 01.00; r0060}.
0070
ΔEVE – Flattener shock
Institutions shall follow the same instructions as described in {J 01.00; r0070}.
0080
ΔEVE – Short rates shock up
Institutions shall follow the same instructions as described in {J 01.00; r0080}.
0090
ΔEVE – Short rates shock down
Institutions shall follow the same instructions as described in {J 01.00; r0090}.
0100-0120
Net Interest Income
Institutions shall follow the same instructions as described in {J 01.00; r0100-r0140}.
0100
Level of NII – Baseline scenario
Institutions shall follow the same instructions as described in {J 01.00; r0120}.
0110
ΔNII – Parallel shock up
Institutions shall follow the same instructions as described in {J 01.00; r0130}.
0120
ΔNII – Parallel shock down
Institutions shall follow the same instructions as described in {J 01.00; r0140}.
0130-0150
Market Value
Institutions shall follow the same instructions as described in {J 01.00; r0150-r0170}.
0130
Level of MV – Baseline scenario
Institutions shall follow the same instructions as described in {J 01.00; r0150}.
0140
ΔMV – Parallel shock up
Institutions shall follow the same instructions as described in {J 01.00; r0160}.
0150
ΔMV – Parallel shock down
Institutions shall follow the same instructions as described in {J 01.00; r0170}.
PART IV
REPRICING CASH FLOWS (J 05.00, J 06.00 and J 07.00)
1. General remarks
1.1.
Templates J 05.00, J 06.00 and J 07.00 contain detailed information on the repricing cash flows for the balance-sheet items reported in templates J 02.00, J 03.00 and J 04.00. Institutions shall report that information under an EVE perspective, considering the requirements and modelling assumptions specified in Article 3 of Delegated Regulation (EU) 2024/856 and considering contractual and behavioural information, and in both cases disregarding automatic optionality. The instructions for the rows shall be the same as described in Part IV, Section 2 of this Annex. Moreover, institutions shall duly consider the reporting conventions specified in Part I, in particular those related to the definition of fixed/floating rate instruments and the treatment of options.
1.2.
Institutions shall report the content of these templates for each currency separately in which the institution has positions where the accounting value of financial assets or liabilities denominated in a currency amount to 5 % or more of the total banking book financial assets or liabilities, or less than 5 % where the sum of financial assets or liabilities included in the calculation is lower than 90 % of total banking book financial assets (excluding tangible assets) or liabilities.
1.3.
Institutions shall report the content of these templates separately according to contractual and behavioural conditions (Modelling: contractual or behavioural):
(a)
contractual: according to the contractual repricing date as defined in Article 1, point (2), of Delegated Regulation (EU) 2024/857, without taking into account behavioural assumptions. Only contractual and legal features (disregarding automatic options and legal caps/floors) shall be considered. The cash flow profile of non-maturity products (including NMDs) shall be treated as short-term variable positions (shortest time bucket). No behavioural early-termination and pre-payment shall be applied, equivalent to 0 % rates for conditional prepayment and early redemption;
(b)
behavioural modelling in the baseline scenario: according to the modelled repricing cash flows which account, where applicable, for behavioural assumptions under the baseline scenario.
1.4.
In the case of derivatives, institutions shall report the net amounts of repricing cash-flows (i.e. not broken down by receiver/payer legs). For derivatives hedging assets, the long leg (receiver/asset) of the derivative shall be considered with a positive sign while the short leg (payer/liability) shall be considered with a negative sign when computing the net amounts per time bucket. Exceptions to that rule shall apply for the case of receiver coupon’s fixed in negative interest rate environment, which shall be considered with a negative sign even if part of the long leg (receiver/asset) has been considered with a positive sign. The opposite applies to derivatives hedging liabilities: the long leg (receiver/asset) shall be considered with a negative sign, while the short leg (payer/liability) shall be considered with a positive sign when computing the net repricing cashflows.
1.5.
Institutions shall not report columns related to the notional amount, information on automatic options and behavioural modelling, the average yield and the contractual maturity in the sheets for contractual conditions.
2. Instructions concerning specific positions
Columns
Legal references and instructions
0010-0250
Fixed rate
Institutions shall report estimates related to fixed rate instruments, according to the convention specified in Part I, Section 3, of this Annex.
0260-0390
Floating rate
Institutions shall report estimates related to floating rate instruments, according to the convention specified in Part I, Section 3, of this Annex.
0010
Notional amount
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).
0020 and 0270
% With embedded or explicit automatic optionality – bought
Percentage of the notional amount reported in columns 0010 and 0260 subject to bought automatic interest rate options. The optionality can arise from standalone instruments bought by the institution (including floors, caps and swaptions ) or be “embedded” within the contractual terms of other standard banking products.
Embedded automatic interest rate options shall be reported together with its relevant host instrument (either asset or liability). Explicit automatic interest rate options shall be reported as derivative instruments.
Embedded automatic bought options shall include, in the case of floating rate positions: (i) bought floors over floating rate assets (loans or debt securities); (ii) bought caps over floating rate debt securities issued etc.
Embedded automatic bought options shall include, in the case of fixed rate positions: (i) fixed rate debt security assets with a prepayment option for the institution (embedded bought swaption payer); (ii) fixed rate debt securities issued liabilities with a prepayment option for the institution (embedded bought swaption receiver).
Explicit automatic bought options are derivatives which shall include: (i) explicit bought floors; (ii) explicit bought swaption payers (an institution has the right to enter into an Interest Rate Swap paying fixed receiving variable); (iii) explicit bought caps; (iv) explicit bought swaption receivers (an institution has the right to enter into an Interest Rate Swap receiving fixed paying variable).
When calculating the percentage exposure, institutions shall duly consider the conventions specified in Part I, Section 3 with regard to options.
0030 and 0280
% With embedded or explicit automatic optionality – sold
Percentage of the notional amount reported in columns 0010 and 0260 subject to sold automatic interest rate options. The optionality can arise from standalone instruments sold by the institution (including floors, caps and swaptions ) or be “embedded” within the contractual terms of other standard banking products.
Embedded automatic interest rate options shall be reported together with their relevant host instrument (either asset or liability). Explicit automatic interest rate options shall be reported as derivative instruments.
Embedded automatic sold interest rate options shall include, in the case of floating rate positions: (i) sold caps over floating rate assets (loans and debt securities); (ii) sold floors over floating rate debt securities issued etc.
For fixed rate positions, embedded automatic sold interest rate options shall include: (i) fixed rate debt securities with a prepayment option for the issuer (embedded sold swaption receiver); (ii) sold floors for NMDs and term deposits including legal and implied floors and (iii) fixed rate debt securities issued with a prepayment option for the investor (embedded sold swaption payer).
Explicit automatic sold options are derivatives which shall include, (i) explicit sold caps; (ii) explicit sold swaption receivers (an institution has the obligation to enter into an Interest Rate Swaps paying fixed receiving variable); (iii) explicit sold floors; (iv) explicit sold swaption payers (an institution has the obligation to enter into an Interest Rate Swaps receiving fixed paying variable).
When calculating the percentage amount, institutions shall duly consider the conventions specified in Part I, Section 3 with regard to options.
0040 and 0290
% Subject to behavioural modelling
Percentage of the notional amount reported in columns 0010 and 0260, subject to behavioural modelling, for which the timing or amount of the cash flows depend on the behaviour of customers.
0050 and 0300
Weighted average yield
Average yield on an annual basis weighted by the notional amount.
0060 and 0310
Weighted average maturity (contractual)
Average contractual maturity measured in years weighted by the notional amount.
0070-0250 and 0320-0390
Repricing schedule for all notional repricing cash flows
Institutions shall report all future notional repricing cash flows arising from the interest rate-sensitive positions in the scope of Delegated Regulation (EU) 2024/856 onto the predefined time buckets (into which they fall according to their repricing dates. (definition of “notional repricing cash flows” and “repricing date” as laid down in Article 1, points (1) and (2) of Delegated Regulation (EU) 2024/857.
Automatic interest rate options whether explicit or embedded shall be stripped out from their host contracts and ignored at the notional repricing cash flow slotting.
Derivatives which are not automatic interest rate options shall be converted into positions in the relevant underlying and split into paying and receiving positions (short and long positions) in the relevant underlying. The amounts considered shall be principal amounts of the underlying or of the notional underlying. Futures and forward contracts including forward rate agreements shall be treated as a combination of short and long positions.
When representing the repricing cash-flows of derivatives which are not automatic interest rate options, institutions shall duly consider the conventions specified in Part IV, Section 1, paragraph 1.4 with regard to derivatives.
PART V
RELEVANT PARAMETERS (J 08.00 and J 09.00)
1. General remarks
1.1.
Templates J 08.00 and J 09.00 contain information on the relevant parameters to monitor the modelling of the IRRBB. Most of the information in this template shall be derived from the information reported in templates J 02.00 to J 07.00. The information shall be reported considering an EVE perspective, including the requirements and modelling assumptions specified in Article 3 of Delegated Regulation (EU) 2024/856, and disregarding automatic optionality, except for rows 0120 to 0150.
1.2.
These templates shall be reported for each currency separately for which the institution has positions where the accounting value of financial assets or liabilities denominated in a currency amounts to 5 % or more of the total banking book financial assets or liabilities, or less than 5 % where the sum of financial assets or liabilities included in the calculation is lower than 90 % of total banking book financial assets (excluding tangible assets) or liabilities.
2. Instructions concerning specific positions
Row
Legal references and instructions
0010-0110
NMDs – Behavioural modelling – Average repricing dates before and after modelling
Average repricing dates, measured in years, shall be calculated per NMD category according to the breakdown specified in Part III, Section 2 of this Annex, with a further breakdown of: (a) the part deemed to be the “core” volume (for those NMDs different to wholesale financial, and according to the definition of “core” in Article 1, point (15) of Delegated Regulation (EU) 2024/857, (b) the perimeter of regulated savings referred to in Article 428f(2), point (a), of Regulation (EU) No 575/2013 – not limited to the centralised part – or any other with material economic or fiscal constraints in case of a withdrawal, on which the institution is not applying a cap on their repricing maturity (such as the 5Y cap), in its IRRBB internal risk management, and (c) the perimeter of operational deposits as defined in Article 27(1), point (a), of Delegated Regulation (EU) 2015/61.
The average repricing dates shall be calculated as a weighted average of the “repricing dates” and the assigned weight based on the “notional repricing cash flows” of the positions in each relevant NMD category/breakdown (definition of “notional repricing cash flows” and “repricing date” as laid down in Article 1, points (1) and (2) of Delegated Regulation (EU) 2024/857.
0120-0150
NMDs – Behavioural modelling – PTR Over 1 year horizon
The Pass-through rate (PTR) as defined in Article 1, point (14) of Delegated Regulation (EU) 2024/857 shall be reported per NMD category according to the breakdown specified in Part III, Section 2, of this Annex, and for a 1 year time horizon.
Institutions shall report as the PTR, the weighted average percentage of the interest rate shock that is assumed to be transferred to their NMDs, under the interest rate regulatory scenarios and NII metric specified in Delegated Regulation (EU) 2024/856.
0160-0220
Fixed Rate – Prepayment risk – Average repricing dates before and after modelling
Average repricing dates, measured in years, shall be calculated per relevant category as specified in Part III, Section 2, of this Annex for fixed rate “loans and advances” and fixed rate “debt securities” subject to prepayment risk.
Institutions shall consider as positions subject to prepayment risk only those positions for which the customer does not bear the full economic costs of the early prepayment. Positions for which the customer bears the full economic cost of the early prepayment shall not be considered to be subject to prepayment risk for the purposes of the calculation. The average repricing dates shall be calculated as a weighted average of the “repricing dates” and the assigned weight based on the “notional repricing cash flows” of positions in each relevant fixed rate “loans and advances” and fixed rate “debt securities” category/breakdown (definition of “notional repricing cash flows” and “repricing date” as laid down in Article 1, points (1) and (2) of Delegated Regulation (EU) 2024/857.
0230-0290
Fixed Rate – Prepayment risk – Conditional prepayment rates (annualised average)
The annualised average conditional prepayment rate shall be reported in annualised terms, per relevant category as specified in Part III, Section 2, of this Annex, as the weighted annual average prepayment rate, by the outstanding amount in each yearly period, until the portfolio run-off, of the fixed rate “loans and advances” and fixed rate “debt securities” portfolios subject to prepayment risk.
0300-0330
Fixed Rate – Early redemption risk – Average repricing dates before and after modelling
Average repricing dates, measured in years, shall be calculated per relevant category, as specified in Part III, Section 2, of this Annex for fixed rate “term deposits” subject to early redemption risk.
The average repricing dates shall be calculated as a weighted average of the “repricing dates” and the assigned weight based on the “notional repricing cash flows” of aggregated positions in each relevant category/breakdown (definition of “notional repricing cash flows” and “repricing date” as laid down in Article 1, points (1) and (2) of Delegated Regulation (EU) 2024/857.
Institutions shall consider as positions subject to early redemption risk only those positions for which the customer does not bear the full economic costs of the early redemption. Positions for which the customer bears the full economic cost of early redemption, shall not be considered to be subject to early redemption risk for the purposes of the calculation.
0340-0370
Fixed Rate – Early redemption risk – Early redemption rates (cumulative average)
The cumulative average conditional early redemption rate shall be reported per relevant category, as specified in Part III, Section 2, of this Annex, as the ratio between the early redeemed amount of fixed rate “term deposit” positions subject to early redemption risk (per relevant category), divided by the overall outstanding amount of fixed rate “Term deposits” subject to early redemption risk (per relevant category).
Columns
Legal references and instructions
0010
Notional amount
Institutions shall follow the same instructions as described in {J 05.00; c0010}.
0020
Subject to behavioural modelling (%)
Institutions shall follow the same instructions as described in {J 05.00; c0040}.
0030
Baseline scenario (contractual)
Institutions shall provide the relevant parameters (i.e. average repricing dates) according to the contractual conditions of the underlying instruments for exposures subject to contractual terms and features, under the baseline interest rate scenario.
Institutions shall report data based on the specifications laid down in Article 98(5), point (a), of Directive 2013/36/EU and laid down in Article 3 of Delegated Regulation (EU) 2024/856.
Behavioural models or conditional models (as specified in Article 3(2), point (c), of Delegated Regulation (EU) 2024/856, shall not be considered for the purposes of deriving the parameters.
0040
Baseline scenario (behavioural)
Institutions shall provide the relevant parameters (i.e. average repricing dates) used for exposures subject to behavioural modelling, for which the timing and amount of the cash flows depend on the behaviour of customers, under the baseline interest rate scenario.
Institutions shall report data based on the specifications laid down in Article 98(5), point (a), of Directive 2013/36/EU and laid down in Article 3 of Delegated Regulation (EU) 2024/856.
0050
Parallel shock up
Institutions shall follow the same instructions as described in {J 01.00; r0040}.
0060
Parallel shock down
Institutions shall follow the same instructions as described in {J 01.00; r0050}.
0070
Steepener shock
Institutions shall follow the same instructions as described in {J 01.00; r0060}.
0080
Flattener shock
Institutions shall follow the same instructions as described in {J 01.00; r0070}.
0090
Short rates shock up
Institutions shall follow the same instructions as described in {J 01.00; r0080}.
0100
Short rates shock down
Institutions shall follow the same instructions as described in {J 01.00; r0090}.
PART VI
QUALITATIVE INFORMATION (J 10.00 and J 11.00)
1. General remarks
1.1.
Templates J 10.00 and J 11.00 contain qualitative data on methodologies used in the assessment of the IRRBB.
1.2.
Institutions shall report the relevant information based on a predetermined list of options. Rows 0320 to 0360 shall be reported for each currency separately for which the institution has positions where the accounting value of financial assets or liabilities denominated in a currency amounts to 5 % or more of the total banking book financial assets or liabilities, or less than 5 % if the sum of financial assets or liabilities included in the calculation is lower than 90 % of total banking book financial assets (excluding tangible assets) or liabilities. The other rows (from 0010 to 0310) are not currency dependant.
2. Instructions concerning specific positions
Row
Legal references and instructions
0010
Approach used for the purpose of the SOT (NII/EVE)
Institutions shall indicate the approach used for the purpose of the SOT calculation (NII/EVE):
—
simplified SA,
—
SA,
—
IMS.
0020
Requirement from the Competent Authority (NII/EVE)
Article 84(3) and (4) of Directive 2013/36/EU. Where the institution’s method for calculating the EVE/NII is based on the SA, institutions shall report whether this was a requirement from the competent authority:
—
yes,
—
no,
—
not applicable.
0030
Methodology (NII)
Institutions shall indicate whether a repricing gap, a full revaluation or a mixed approach has been considered in the computation of the NII SOT:
—
repricing gap,
—
full revaluation,
—
mix,
—
other.
0040
Conditional Cash Flows (NII)
Institutions shall indicate whether conditional cash flows have been considered in the computation of the NII SOT:
—
all material items,
—
some material items,
—
not considered.
0050
Option Risk (NII)
Institutions shall indicate whether option risk has been considered in the computation of the NII SOT:
—
considered,
—
not considered.
0060
Basis Risk (NII)
Institutions shall indicate whether basis risk has been considered in the computation of the NII SOT:
— considered,
— not considered.
0070
Methodology (EVE)
Institutions shall indicate whether a duration gap or full revaluation approach has been considered in the computation of the EVE SOT:
—
duration gap,
—
full revaluation,
—
mix,
—
other.
0080
Conditional Cash Flows (EVE)
Institutions shall indicate whether conditional cash flows have been considered in the computation of the EVE SOT:
—
all material items,
—
some material items,
—
not considered.
0090
Option Risk (EVE)
Institutions shall indicate whether option risk has been considered in the computation of the EVE SOT.
—
considered,
—
not considered.
0100
Basis Risk (EVE)
Institutions shall indicate whether basis risk has been considered in the computation of the EVE SOT:
—
considered,
—
not considered.
0110
Commercial margins/other spread components (EVE)
Institutions shall indicate whether commercial margins and other spread components have been included in the computation of the EVE SOT risk measure:
— included,
— excluded.
0120
Penalty fees from loan prepayments
Institutions shall indicate whether penalty fees from loan prepayments have been included as part of the EVE/NII SOT:
—
included,
—
excluded.
0130
Pension obligations/pension plan assets
Institutions shall indicate whether pension obligations and pension plan assets have been included in the calculation of EVE/NII SOT:
—
included,
—
excluded.
0140
Non-performing exposures
Institutions shall indicate whether non-performing exposures have been included in the EVE/NII SOT:
—
included,
—
excluded.
0150
Fixed rate loan commitments
Institutions shall indicate whether fixed rate loan commitments been included in the EVE/NII SOT:
— included,
— excluded.
0160
Risk of prepayment
Institutions shall indicate whether the risk of retail prepayment has been included in the EVE/NII SOT calculations:
—
included,
—
excluded.
0170
Risk of early redemption
Institutions shall indicate whether the risk of retail early redemption has been included in the EVE/NII SOT calculations:
—
included,
—
excluded.
0180
General approach for NMD modelling
Institutions shall indicate the method used to determine the behavioural repricing time of the NMDs:
—
time series model (Basel/EBA Stable/non-stable/PTR approach),
—
replication portfolio,
—
economic models (modelling financial wealth allocation to NMDs or alternative investments according to different market scenarios/economic factors),
—
expert judgement,
—
other.
0190
Identification of core component NMD balances
Institutions shall indicate whether they face challenges in identifying NMD core balances unconditional to the IR scenario:
—
yes,
—
no,
—
not applicable.
0200
Relevant drivers for NMD balances
Institutions shall list the name/s of the relevant driver/s used to identify core balances.
0210
NMD core component balances (slotting of core component balances)
Institutions shall indicate how they allocate NMD core balances:
—
all core balances allocated in only one repricing tenor,
—
core balances allocated in different repricing tenors.
0220
5-year NMD repricing cap on IRRBB risk management
Institutions shall indicate whether any unintended impact is observed in terms of IRRBB risk management and hedging strategies, due to the 5-year repricing cap in the IRRBB IMS:
—
yes,
—
no,
—
not applicable.
0230
Exemptions to the 5-year NMD repricing cap
Institutions shall indicate whether they use the exemptions to the 5-year repricing cap for any of their IRRBB products:
—
yes,
—
no,
—
not applicable.
0240
Modelling of operational NMDs from financial customers
Institutions shall indicate whether NMDs from financial customers classified as operational deposits, for which Article 27(1), point (a), of Delegated Regulation (EU) 2015/61 applies, are subject to behavioural modelling:
—
yes,
—
no,
—
not applicable.
0250
Changes in balance sheet structure due to interest rates
Institutions shall indicate the changes performed in their balance sheet structure since the last reporting on IRRBB:
—
reduction of the duration gap between asset/liabilities by reducing the duration of the asset,
—
reduction of the duration gap between asset/liabilities by increasing the duration of liabilities,
—
reduction of the duration gap between asset/liabilities by reducing the duration of the asset and increasing the duration of liabilities,
—
increase of the duration gap by increasing the duration of assets,
—
increase of the duration gap by reducing the duration of liabilities,
—
increase of the duration gap by increasing the duration of assets and reducing the duration of liabilities.
0260
IRRBB mitigation and hedging strategies (EVE)
Institutions shall indicate whether they expect to develop changes in their IRR mitigation and hedging strategies in any of the scenarios foreseen in Delegated Regulation (EU) 2024/856 for EVE:
—
parallel shock up,
—
parallel shock down,
—
steepener shock,
—
flattener shock,
—
short rates shock up,
—
short rates shock down.
0270
IRRBB mitigation and hedging strategies (NII)
Institutions shall indicate whether they expect to develop changes in their IRR mitigation and hedging strategies in any of the scenarios foreseen in Delegated Regulation (EU) 2024/856 for NII:
—
parallel shock up,
—
parallel shock down.
0280
SOT on NII risk measure under the IMS Approach – PTR of Retail Term deposits
Institutions shall indicate whether they pass through 100 % of market interest rates changes to the retail term deposits repricing after their maturity under the parallel +200 IR scenario:
—
yes,
—
no,
—
not applicable.
0290
SOT on NII risk measure under the IMS Approach – PTR of Fixed Retail Loans
Institutions shall indicate whether they pass through 100 % of market interest rate changes to the retail fixed loans repricing after their maturity under the parallel +200 IR scenario:
—
yes,
—
no,
—
not applicable.
0300
Basis risk
Institutions shall indicate whether they consider basis risk to be material:
—
yes,
—
no,
—
not applicable.
0310
Credit Spread Risk in the Banking Book (CSRBB)
Institutions shall indicate whether they considered a different perimeter of instruments subject to the CSRBB, as referred in Article 84(2) of Directive 2013/36/EU, for the NII and EVE metrics:
—
yes,
—
no,
—
not applicable.
0320
Risk-free yield curve (discounting in EVE SOT)
Institutions shall report the risk-free yield curve that have been used for discounting in accordance with Article 3(10) of Delegated Regulation (EU) 2024/856:
—
interbank secured,
—
interbank unsecured overnight,
—
interbank unsecured term,
—
sovereign curve,
—
product specific curve,
—
entity specific curve,
—
other.
0330
Risk-free yield curve (internal risk measures of EVE)
Institutions shall report the risk-free yield curve that have been used for internal purposes for discounting the internal risk measure of EVE:
—
interbank secured,
—
interbank unsecured overnight,
—
interbank unsecured term,
—
sovereign curve,
—
product specific curve,
—
entity specific curve,
—
other.
0340
Change of material assumptions (EVE)
Institutions shall indicate whether any material assumptions underlying the calculation of the supervisory standard shock in EVE SOT metrics have changed since the last reporting:
—
yes,
—
no,
—
not applicable.
0350
Change of material assumptions (NII)
Institutions shall indicate whether any material assumptions underlying the calculation of the supervisory standard shock in NII SOT metrics have changed since the last reporting:
—
yes,
—
no,
—
not applicable.
0360
Post-shock interest rate floor (NII/EVE)
In accordance with Article 3(7) of Delegated Regulation (EU) 2024/856, institutions shall indicate whether the maturity-dependent post-shock interest rate floor is binding for any of the specific currencies reported:
—
yes,
—
no,
—
not applicable.
’
( 1 ) Commission Delegated Regulation (EU) 2024/856 of 1 December 2023 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards specifying the supervisory shock scenarios, the common modelling and parametric assumptions and what constitutes a large decline ( OJ L, 2024/856, 24.4.2024, ELI: http://data.europa.eu/eli/reg_del/2024/856/oj ).
( 2 ) Commission Delegated Regulation (EU) 2024/857 of 1 December 2023 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards specifying a standardised methodology and a simplified standardised methodology to evaluate 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 ( OJ L, 2024/857, 24.4.2024, ELI: http://data.europa.eu/eli/reg_del/2024/857/oj ).
( 3 ) Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012 ( OJ L 173, 12.6.2014, p. 84 , ELI: http://data.europa.eu/eli/reg/2014/600/oj ).
( 4 ) Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions ( OJ L 11, 17.1.2015, p. 1 , http://data.europa.eu/eli/reg_del/2015/61/oj ).
( 5 ) Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards ( OJ L 243, 11.9.2002, p. 1 , ELI: http://data.europa.eu/eli/reg/2002/1606/oj ).
