RegAlert

Rule · EBA · 31 Jul 2023

Annex XXIX: Reporting Instructions for Interest Rate Risk in the Banking Book

disclosure

This annex establishes reporting instructions for Interest Rate Risk in the Banking Book (IRRBB) templates, requiring institutions to report data in the reporting currency converted at the ECB FX reference rate. Institutions must calculate and report Economic Value of Equity (EVE), Net Interest Income (NII), and Market Value (MV) changes under supervisory shock scenarios, including specific parallel, steepener, flattener, and short-rate shocks. The document mandates the breakdown of sensitivity estimates by asset and liability categories, such as central bank assets, interbank positions, loans, and debt securities, while defining fixed and floating rate instruments and the treatment of embedded and standalone options.

European UnionEuropean Banking Authority

ANNEX XXIX

REPORTING INSTRUCTIONS FOR THE PURPOSE OF INTEREST RATING RISK IN THE BANKING BOOK

Table of Contents

PART I: GENERAL INSTRUCTIONS 2

1. Structure 2

2. Scope of reporting 2

3. Treatment of fixed/floating rate instruments 3

4. Treatment of options 3

5. Sign convention 4

6. Abbreviations 4

7. Other conventions 5

PART II: EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES (J 01.00) 6

8. General remarks 6

9. Instructions concerning specific positions 6

PART III: BREAKDOWN OF SENSITIVITY ESTIMATES (J 02.00, J 03.00 and J 04.00) 10

10. General remarks 10

11. Instructions concerning specific positions 10

PART IV: REPRICING CASH FLOWS (J 05.00, J 06.00 and J 07.00) 19

12. General remarks 19

13. Instructions concerning specific positions: 20

PART V: RELEVANT PARAMETERS (J 08.00 and J 09.00) 23

14. General remarks 23

15. Instructions concerning specific positions 23

PART VI: QUALITATIVE INFORMATION (J 10.00 and J 11.00) 27

16. General remarks 27

17. Instructions concerning specific positions 27

PART I: GENERAL INSTRUCTIONS

  1. Structure
  2. This annex contains the instructions for the reporting of the Interest Rate Risk in the Banking Book (IRRBB) templates.
  3. Annex XXVIII consists of five different sets of templates:
    1. 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)
    2. Breakdown of IRRBB sensitivity estimates (J 02.00, J 03.00 and J 04.00)
    3. IRRBB repricing cash flows (J 05.00, J 06.00 and J 07.00)
    4. Relevant parameters on behavioural modelling (J 08.00 and J 09.00)
    5. Qualitative information (J 10.00 and J 11.00)
  4. 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 part of the ITS.
  5. 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 EBA/RTS/2022/10[1] (’the EBA RTS on SOT’).
  6. In accordance with Article 4(d) of the EBA RTS on SOT, institutions shall reflect automatic and behavioural options in their calculations, where applicable, except in cases where otherwise specified.
  7. Scope of reporting
  8. For the purpose of this Annex, 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 (Article 4 and 5 of the EBA RTS on SOT). In particular, institutions shall consider all instruments in accordance with Article 4, points a) to i) of the EBA RTS on SOT.
  9. Treatment of fixed/floating rate instruments
  10. For the purpose of this Annex, and where separate information is requested for fixed and/or floating rate instruments, the following definitions apply:
    1. Fixed rate instrument according to Article 1(1), point (4) of the EBA/RTS/2022/09 (the ‘EBA RTS on SA’)[2]. Specifically:
      1. Instruments without a specific contractual maturity (i.e., non-maturity products), whose cash flows of interest payments are not contractually/ 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.
      2. 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.
    2. ‘Floating rate instrument according to Article 1(1), point (5) of the EBA RTS on SA. Specifically:
      1. 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/legally linked to movements of an external benchmark or institution’s internally managed index.
      2. 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.
  11. Treatment of options
  12. For the purpose of this Annex, and where separate information on options is requested, the following treatment shall apply:
    1. Embedded options shall be reported together with their relevant host instrument.
    2. Explicit/standalone options shall be reported separately to any other kind of balance sheet items as derivative instruments (i.e. they shall not be reported together with the hedged item).
  13. Sign convention
  14. Generally, values shall be reported 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 : it is the case when the NII level is negative if the interest expenses are bigger than the interest incomes in the baseline scenario, or the case of derivatives where netted values of the derivative legs need to be reported.
  15. . The changes (Δ) of EVE, NII and MV shall be reported with positive or negative values, depending on the variation. The Δ shall be calculated 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.
  16. In data points related to notional exposures or carrying amounts, the same rule applies, values shall be reported positively for assets and liabilities.
  17. Parameters shall be reported positively irrespective of whether they refer to an asset or liability, and irrespective of whether they increase or decrease the value of the IRRBB metrics. There might be some exceptional cases where institutions report negative figures for parameters, such as the average yield of assets/liabilities if the last interest rate reset was based on a negative market interest rate environment.
  18. Abbreviations
  19. For the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the Council[3] is referred to as ‘CRR’, Directive 2013/36/EU of the European Parliament and of the Council[4] is referred to as ‘CRD’ and the Commission Implementing Regulation (EU) 2021/451[5] as ‘ITS on supervisory reporting’.
  20. Moreover, 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’.
  21. Other conventions
  22. Throughout this Annex, references are made to the EBA RTS on SOT and the EBA RTS on SA’. In the case where the text refers to definitions in the EBA RTS on SA, this definition shall be applied to all reporting institutions (and not only the ones applying SA).
  23. The definitions provided in Article 1 of the EBA RTS on SA shall be applicable to this Annex.

PART II: EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES (J 01.00)

  1. General remarks
  2. Template J 01.00 contains the levels and changes of EVE (ΔEVE) and levels and changes of NII (ΔNII), calculated as described in the EBA RTS on SOT, 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 in Annex I of EBA RTS on SOT and ratios of ΔEVE and ΔNII to Tier 1 Capital according to Article 25 of CRR, the ΔEVE and ΔNII under the worst scenarios and the level of EVE and NII under baseline scenario as well as ΔEVE, ΔNII and ΔMV under certain regulatory interest rate shock scenarios.
  3. This template shall be reported separately for each currency included in the calculation of the SOT in accordance with Article 1(3) of the EBA RTS on SOT, as well as for the aggregate of all currencies for which Article 1(3) of the EBA RTS on SOT applies. When calculating the aggregate changes (for all currencies) for each interest rate shock scenario, Article 4(l) of the EBA RTS on SOT shall be considered.
  4. Instructions concerning specific positions
RowLegal references and instructions
0010-0090Economic value of equity EVE estimates calculated in accordance with Article 98 (5), point (a) of CRD and Article 1 to 4 of EBA RTS on SOT. With regard to the modelling and parametric assumptions that are not specified in Article 4 of EBA RTS on SOT, institutions shall use those that they employ in their IRRBB measurement and management, i.e. their internal measurement methodologies, the standardised approach or the simplified standardised approach, whatever is applicable.
0010∆ EVE under worst scenario The change of the EVE under the supervisory shock scenarios from Article 1(1) of EBA RTS on SOT causing the largest decline of EVE. The worst outcome from the values in rows 0040 to 0090 shall be reported in this row.
0020∆ EVE ratio under worst scenario The ratio of the value reported in row 0010, to the Tier 1 capital determined according to Article 25 of CRR.
0030- 0090EVE 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 according to Article 1(1) of EBA RTS on SOT.
0030Level of EVE under baseline scenario EVE level under the baseline interest rate scenarios of the reference date.
0040∆ EVE under parallel shock up The change of the EVE under the “parallel shock up” scenario specified in Articles 1, paragraph 1(a) and 3 of the EBA RTS on SOT.
0050∆ EVE under parallel shock down The change of the EVE under the “parallel shock down” scenario specified in Articles 1, paragraph 1(b) and 3 of the EBA RTS on SOT.
0060∆ EVE under steepener shock The change of the EVE under the “steepener shock” scenario specified in Articles 1, paragraph 1(c) and 3 of the EBA RTS on SOT.
0070∆ EVE under flattener shock The change of the EVE under the “flattener shock” scenario specified in Articles 1, paragraph 1(d) and 3 of the EBA RTS on SOT.
0080∆ EVE under short rates shock up The change of the EVE under the “short rates shock up” scenario specified in Articles 1, paragraph 1(e) and 3 of the EBA RTS on SOT.
0090∆ EVE short rates shock down The change of the EVE under the “short rates shock down” scenario specified in Articles 1, paragraph 1(f) and 3 of the EBA RTS on SOT.
0100- 0140Net interest income NII as defined in Article 98 (5), point (b) of the CRD and specified in Article 5 of EBA RTS on SOT. With regard to the modelling and parametric assumptions that are not specified in Article 5 of EBA RTS on SOT, institutions shall use those that they employ in their IRRBB measurement and management, i.e. their internal measurement methodologies, the standardised approach or the simplified standardised approach, whatever is applicable. Institutions shall consider the accounting treatment of hedges (i.e hedge accounting) and shall not include the effects of items specified in Article 33, point 1(a) of the CRR.
0100∆ NII under worst scenario The change of the one-year NII under the supervisory shock scenarios from Article 1(2) of EBA RTS on SOT causing the largest decline of NII. The worst outcome from the values in rows 0130 to 0140 shall be reported in this row.
0110∆ NII ratio under worst scenario The ratio of the value reported in row 0100 to Tier 1 capital determined according to Article 25 of CRR.
0120- 0140NII under baseline and supervisory shock scenarios NII level under the baseline scenario and Δ NII under supervisory shock scenarios from Article 1(2) of EBA RTS on SOT.
0120Level of NII under baseline scenario NII level under the baseline interest rate scenario as of the reference date
0130∆NII under parallel shock up The change of the NII under the “parallel shock up” scenario specified in Articles 1, paragraph 2(a) and 3 of the EBA RTS on SOT.
0140∆NII under parallel shock down The change of the NII under the “parallel shock down” scenario specified under Articles 1, paragraph 2(b) and 3 of the EBA RTS on SOT.
0150- 0170IMS Market value changes MV under baseline and supervisory shock scenarios Forecasts of the MV changes (**∆**MV)of the carrying amount over a one year horizon under the ∆MV can either be shown in the profit and loss account or directly in equity (such as via other comprehensive income). Institutions shall report the ∆MV net of the effect of accounting hedges (i.e., hedge accounting) and shall disregard the effects of items specified in Article 33, point 1(a) of the CRR (effective component of cash-flow hedge accounting derivatives hedging amortized cost items). Institutions shall use the forecasts of the ∆MV according to the institution's IRRBB IMS or, where applicable, Articles 15 and 20 of EBA RTS on SA, for the supervisory shock scenarios according to Article 1(2) of EBA RTS on SOT. The total size and composition of the amount of which the value is sensitive to ∆MV shall be maintained by replacing maturing instruments with new instruments that have comparable features (such as 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.
0150Level of MV value under baseline scenario MV level under the baseline interest rate scenario as of the reference date.
0160∆MV under parallel shock up The change of MV under the “parallel shock up” scenario specified in Articles 1, paragraph 2(a) and 3 of the EBA RTS on SOT.
0170∆MV under parallel shock down The change of MV under the “parallel shock down” scenario specified in Articles 1, paragraph 2(b) and 3 of the EBA RTS on SOT.
0180-0200Other currencies: Size of interest rate shocks Article 2 of EBA RTS on SOT. Interest rate shocks for currencies calibrated according to Article 2 and 3 of EBA RTS on SOT. The size of the interest rate shocks shall be reported in basis points and in absolute value. The shock size represents the difference (Δ𝑅) to the risk free interest rate. These rows shall not be reported for currencies referred to in Annex I of EBA RTS on SOT. They shall only be reported for the currencies considered in the SOT, in accordance with Article 1(3) of the EBA RTS on SOT.
0180Parallel Shock Size of parallel shock of interest rates in basis points calibrated according to Article 2(1) and Article 3(a) of EBA RTS on SOT.
0190Short rate shock Size of short shock of interest rates in basis points calibrated according to the short shock defined in Article 2(1) and Article 3(b) of EBA RTS on SOT.
0200Long rate shock Size of long shock of interest rates in basis points calibrated according to the long shock defined in Article 2(1) and Article 3(c) of EBA RTS on SOT.
ColumnsLegal references and instructions
0010Amount The specified size of interest rate shocks shall be reported in bps, the ∆EVE’s and ∆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
  2. Templates J 02.00, J 03.00 and J 04.00 provide further breakdowns of bank estimates of the SOT IRRBB sensitivities (EBA RTS on SOT) 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.
  3. 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% 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.
  4. Instructions concerning specific positions
RowLegal references and instructions
0010Total Assets Total interest rate-sensitive assets in the scope of the SOT (EBA RTS on SOT) irrespective of their accounting treatment. This row shall include: - Assets vis a 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 according to Chapter 2 of Title 1, Part 2 of CRR and excluding tangible assets such as real estate, as well as equity exposures in the banking book as defined in Article 133 and Article 147(2), point (e) of the CRR. These exposures shall be assigned to counterparty sectors according to the nature of the immediate counterparty.
0020of which: due to automatic optionality Contribution of embedded and explicit automatic optionality to the total interest rate-sensitive assets in the scope of the SOT (EBA RTS on SOT) irrespective of their accounting treatment.
0030Central bank Assets vis a vis central banks, including cash balances and demand deposits, as defined in paragraph 42(a) of Part 1 of Annex V of the ITS on supervisory reporting.
0040Interbank All assets whose counterparty is a credit institution as defined in paragraph 42(c) of Part 1 of Annex V of the ITS on supervisory reporting, excluding securities and derivative exposures.
0050Loans and advances Debt instruments held by institutions that are not securities, as defined in paragraph 32 of Part 1 of Annex V of the ITS on supervisory reporting. This row shall not include exposures included in rows 0030 and 0040.
0060, 0130, 0150, 0250, 0280, 0320, 0360, 0400, 0430, 0480of which: fixed rate Institutions shall report figures related to fixed rate instruments, according to the convention specified in section 3 of Part I of this document.
0070Of which: non-performing Non-performing loans and advances in accordance with Article 4(g) of the EBA RTS on SOT and with Article 47a(3) of the CRR.
0080Retail Loans and advances to a natural person or a SME, where the exposure toward small and medium-sized enterprise (‘SME’) shall qualify for the retail exposure class under the Standardised or Internal Ratings Based (‘IRB’) approaches for credit risk as defined in Chapters 2 and 3 of the CRR, or a company which is eligible for the treatment set out in Article 153(4) of the CRR 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.
0090Of which: secured by residential real estate Retail loans formally secured by residential immovable property collateral, regardless of their loan/collateral ratio (commonly referred as ‘loan-to-value’) and the legal form of the collateral.
0100Wholesale non-financial Loans and advances to general governments and non-financial corporations in accordance to points (b) and (e) of paragraph 42 of Part 1 of Annex V of the ITS on supervisory reporting. This row shall not include exposures included in row 0080.
0110Wholesale financial Loans and advances to other financial corporations in accordance with point (d) of paragraph 42 of Part 1, Annex V of the ITS on supervisory reporting.
0120Debt securities Debt instruments held by the institution issued as securities that are not loans, as defined in paragraph 31 of Part 1 of Annex V of the ITS on supervisory reporting, including covered bonds and securitisation exposures.
0140Derivatives hedging assets Derivatives in accordance with point (29) of Article 2(1) of Regulation (EU) No 600/2014 of the European Parliament and of the Council. Institutions shall report derivatives held under hedge accounting regime, under the applicable accounting framework, being the hedged item an interest rate sensitive asset.
0160Hedging debt securities Hedge accounting derivatives hedging assets which are debt securities.
0170Hedging other assets Hedge accounting derivatives hedging assets which are not debt securities.
0180Other Other on-balance interest rate-sensitive assets that do not fall under the rows above shall be reported in this row.
0190Off-balance sheet assets: contingent assets Off-balance sheet assets listed in Annex I to CRR which are sensitive to the interest rate and which are in the scope of the EBA RTS on SOT. Fixed rate loan commitments with prospective borrowers shall be also included in this section. 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 bank 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. Long positions shall be reported as assets while short position shall be reported as liabilities. Only the contingent instruments qualifying as assets shall be reported in this row.
0200Total liabilities Total interest rate-sensitive liabilities in the scope of the SOT (EBA RTS on SOT) and irrespective of their accounting treatment. This row shall include: - Liabilities vis a vis Central Banks ; - Interbank liabilities; - Debt securities issued; - Non-maturity deposits; - Term deposits; - Derivatives hedging liabilities; - Other.
0210of which: due to automatic optionality Contribution of embedded and explicit automatic optionality to the total interest rate-sensitive liabilities in the scope of the SOT (EBA RTS on SOT) irrespective of their accounting treatment.
0220Central bank Liabilities vis a vis central banks as defined in paragraph 42(a) of Part 1 of Annex V of the ITS on supervisory reporting.
0230Interbank All liabilities whose counterparty is a credit institution as defined in paragraph 42(c) of Part 1 of Annex V of the ITS on supervisory reporting, excluding securities and derivative exposures.
0240Debt securities issued Debt instruments issued as securities by the institution that are not deposits, as defined in Part 1 Article 37 of Annex V of the ITS on supervisory reporting.
0260Of which: AT1 or T2 Debt securities issued in accordance with Articles 61 or 71 of the CRR, excluding perpetual own funds without any call dates (Article 4 of EBA RTS on SOT).
0270NMDs: Retail transactional Retail non-maturity deposits held in a transactional account as defined in Article 1, point 1 (11) of the EBA RTS on SA. 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, 0370Of which: core component Core component of non-maturity deposits as defined in Article 1, point 1 (16) of the EBA RTS on SA. NMDs which are stable and unlikely to reprice even under significant changes in interest rate environment, and/or other deposits whose limited elasticity to interest rate changes shall be modelled by institutions
0300, 0340, 0380Of which: exempted from 5Y cap Regulated savings exposures according to Article 428f(2), paragraph (a) of the CRR, but not limited to the centralised part, or those with material economic or fiscal constraints in case of withdrawal, for which the institution is not constraining the maximum weighted average repricing date to 5 years.
0310NMDs: Retail non-transactional Retail non-maturity deposits held in a non-transactional account as defined in Article 1, point 1 (12) of the EBA RTS on SA. 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.
0350NMDs: Wholesale non-financial Wholesale deposits as defined in Article 1, point 1 (13) of the EBA RTS on SA which are NMDs from general governments and non-financial corporations (NFCs) as defined in paragraph 42, points (b) and (e) of Part 1 of Annex V of the ITS on supervisory reporting.
0390NMDs: Wholesale financial Wholesale deposits as defined in Article 1, point 1 (13) of the EBA RTS on SA which are NMDs from counterparties according to paragraph 42(d), of Part 1 of Annex V of the ITS on supervisory reporting.
0410Of which: operational deposits NMDs that classify as operational deposits according to Article 27(1)(a) of the Commission Delegated Regulation (EU) 2015/61[6] (LCR Delegated Regulation).
0420Term 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, these features shall not be considered to be relevant for classification purposes. This row shall not include exposures in rows 0220 and 0230.
0440Retail This row shall include term deposits from retail customers**.**
0450Wholesale non-financial Term deposits from wholesale non-financial clients. Wholesale deposits as defined in Article 1, point 1 (13) of the EBA RTS on SA which are deposits other than NMDs from general governments and NFCs as defined in paragraph 42, points (b) and (e) of Part 1 of Annex V of the ITS on supervisory reporting.
0460Wholesale financial Term deposits from wholesale financial clients. Wholesale deposits as defined in Article 1, point 1 (13) of the EBA RTS on SA which are deposits other than NMDs from counterparties according to paragraph 42(d), of Part 1 of Annex V of the ITS on supervisory reporting.
0470Derivatives hedging liabilities Derivatives in accordance with Article 2(1), point (29) of Regulation (EU) No 600/2014 of the European Parliament and of the Council. Institutions shall report derivatives held under hedge accounting regime, under the applicable accounting framework, being the hedged item an interest rate sensitive liability.
0490Hedging debt securities Hedge accounting derivatives hedging liabilities which are debt securities.
0500Hedging other liabilities Hedge accounting derivatives hedging liabilities which are not debt securities.
0510Other Other on-balance interest rate sensitive-liabilities that were not classified in the rows above shall be reported in this row.
0520Off-balance sheet liabilities: Contingent liabilities Off-balance sheet items shall include products such as interest rate sensitive loan commitments. Contingent liabilities shall be seen as a combination of a short and a long position. Specifically, in case the bank has a credit line with other institutions, the bank 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.
0530Other 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.
0540-0640Memorandum Items
0540Net Derivatives Net contribution of all interest rate derivatives in the banking book, considering those interest rate derivatives hedging assets (row 0140) and/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.
0550Net 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.
0560Net interest rate position with derivatives All assets and liabilities, including off-balance sheet exposures and interest rate derivatives.
0570Total 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 No. 1606/2002, 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 amortized cost items in accordance with Article 33(1)(a) of the CRR.
0580Debt 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 amortized cost subject to a fair value accounting hedge.
0590Derivatives Derivatives in accordance with Article 2(1), point (29) of Regulation (EU) No 600/2014 of the European Parliament and of the Council. Derivatives hedging assets under a hedge accounting regime shall be reported in this row, excluding those derivatives designed as cash flow hedges hedging amortized cost items.
0600Other Other assets at fair value, together with other assets at amortized cost subject to a fair value hedge accounting.
0610Total 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 amortized 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 amortized cost items in accordance with Article 33(1)(a) of the CRR.
0620Debt securities issued Debt securities issued as securities by the institution that are not deposits, as defined in Part 1 Article 37 of Annex V of the ITS on supervisory reporting that are accounted where MV changes are relevant for profit or loss or equity.
0630Derivatives Derivatives in accordance with Article 2(1), point (29) of Regulation (EU) No 600/2014 of the European Parliament and of the Council. Institutions shall report under this section the derivatives hedging liabilities under a hedge accounting regime, excluding those derivatives designed as cash flow hedges hedging amortized cost items.
0640Other Other liabilities at fair value, together with other liabilities at amortized cost subject to a fair value hedge accounting
ColumnsLegal references and instructions
0010Carrying amount Paragraph 27 of Part 1, Annex V of the ITS on Supervisory Reporting.
0020Duration Modified duration (‘Dmod’), including automatically optionality, where: Dmod = - EV01 / (Economic Value * 0.0001) EV01 equals to a +1 bps sensitivity (parallel shock) of the Economic value.
0030-0090Economic value of equity Institutions shall follow the same instructions as described in {J 01.00; r0010-r0090}.
0030Level of EVE - Baseline scenario Institutions shall follow the same instructions as described in {J 01.00; r0030}.
0040∆EVE - Parallel shock up Institutions shall follow the same instructions as described in {J 01.00; r0040}.
0050∆EVE - Parallel shock down Institutions shall follow the same instructions as described in {J 01.00; r0050}.
0060∆EVE - Steepener shock Institutions shall follow the same instructions as described in {J 01.00; r0060}.
0070∆EVE - Flattener shock Institutions shall follow the same instructions as described in {J 01.00; r0070}.
0080∆EVE - Short rates shock up Institutions shall follow the same instructions as described in {J 01.00; r0080}.
0090∆EVE - Short rates shock down Institutions shall follow the same instructions as described in {J 01.00; r0090}.
0100-0120Net Interest Income Institutions shall follow the same instructions as described in {J 01.00; r0100-r0140}.
0100Level of NII - Baseline scenario Institutions shall follow the same instructions as described in {J 01.00; r0120}.
0110∆NII - Parallel shock up Institutions shall follow the same instructions as described in {J 01.00; r0130}.
0120∆NII - Parallel shock down Institutions shall follow the same instructions as described in {J 01.00; r0140}.
0130-0150Market Value Institutions shall follow the same instructions as described in {J 01.00; r0150-r0170}.
0130Level of MV - Baseline scenario Institutions shall follow the same instructions as described in {J 01.00; r0150}.
0140∆MV - Parallel shock up Institutions shall follow the same instructions as described in {J 01.00; r0160}.
0150∆MV - 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
  2. 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. This information shall be reported under an EVE perspective, considering the requirements and modelling assumptions specified in Article 4 of the EBA RTS SOT 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 I, section 11 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.
  3. The templates shall be reported 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% 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.
  4. Moreover, the templates shall be reported separately according to contractual and behavioural conditions (Modelling: contractual or behavioural):
  5. Contractual: according to the contractual repricing date as defined in Article 1, point 1 (12) of the EBA RTS on SA 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;
  6. Behavioural modelling in the baseline scenario: according to the modelled repricing cash flows which accounts, where applicable, for behavioural assumptions under the baseline scenario.
  7. 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 this 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). 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) with a positive sign when computing the net repricing cashflows.
  8. 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.
  9. Instructions concerning specific positions:
ColumnsLegal references and instructions
0010-0250Fixed rate Institutions shall report estimates related to fixed rate instruments, according to the convention specified in section 3 of Part I of this document.
0260-0390Floating rate Institutions shall report estimates related to floating rate instruments, according to the convention specified in section 3 of Part I of this document**.**
0010Notional 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 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. In case of fixed rate positions, they shall include: (i) fixed rate debt security assets with a prepayment option for the bank (embedded bought swaption payer); (ii) fixed rate debt securities issued liabilities with a prepayment option for the bank (embedded bought swaption receiver). Explicit automatic bought options are derivatives which shall include, (i) explicit bought floors; (ii) explicit bought swaption payers (bank has the right to enter into an Interest Rate Swap paying fixed receiving variable); (iii) explicit bought caps; (iv) explicit bought swaption receivers (bank 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 regards 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 its 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 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, they 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 (iv) 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 (bank has the obligation to enter into an Interest Rate Swaps paying fixed receiving variable); (iii) explicit sold floors; (iv) explicit sold swaption payers (bank 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 regards 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 0300Weighted average yield Average yield on an annual basis weighted by the notional amount.
0060 and 0310Weighted average maturity (contractual) Average contractual maturity measured in years weighted by the notional amount.
0070-0250 and 0320 - 0390Repricing 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 the SOT (EBA RTS on SOT) onto the predefined time buckets (into which they fall according to their repricing dates. The definition of ‘repricing date’ and ‘notional repricing cash flows’ follow Article 1.1(1) and 1.1(2) of the EBA RTS on SA. 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 paragraph 24 with regards derivatives.

PART V: RELEVANT PARAMETERS (J 08.00 and J 09.00)

  1. General remarks
  2. 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 4 of the EBA RTS on SOT, and disregarding automatic optionality, except for rows 0120 to 0150.
  3. 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% 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.
  4. Instructions concerning specific positions
RowLegal references and instructions
0010-0110NMDs - Behavioural modelling - Average repricing dates before and after modelling Average repricing dates shall be calculated per NMD category according to the breakdown specified in Part II, section 11 of this Annex, with a further breakdown of i) the part deemed to be the ‘core’ volume (for those NMD’s different to wholesale financial, and according to the definition of ‘core’ in Article 1.1(16) of the EBA RTS on SA, ii) the perimeter of regulated savings referred to in Article 428f(2), paragraph (a) of the CRR - not limited to the centralised part - or any other with material economic or fiscal constraints in case of 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 ii) and the perimeter of operational deposits as defined in Article 27(1)(a) LCR Delegated Regulation. The average repricing dates shall be calculated as a weighted average of the ‘repricing dates’ and the ‘notional repricing cash flows’ of the positions in each relevant NMD category/breakdown (definition of ‘repricing date’ and ‘notional repricing cash flows’ according to Article 1.1(1) and 1.1(2) of the EBA RTS on SA).
0120-0150NMDs - Behavioural modelling – PTR Over 1 year horizon The Pass-through rate (PTR) as defined in Article 1 point 1 (15) of the EBA RTS on SA shall be reported per NMD category according to the breakdown specified in Part I, section 11 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 EBA RTS on SOT.
0160-0220Fixed Rate - Prepayment risk - Average repricing dates before and after modelling Average repricing dates shall be calculated per relevant category as specified in Part I, section 11 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 ‘notional repricing cash flows’ of positions in each relevant fixed rate ‘loans and advances’ and fixed rate ‘debt securities’ category/breakdown (definition of ‘repricing date’ and ‘notional repricing cash flows’ according to Article 1.1(1) and 1.1(2) of the EBA RTS on SA).
0230-0290Fixed Rate - Prepayment risk – Conditional prepayment rates (annualised average) Theannualisedaverage conditional prepayment rate shall be reported in annualized terms, per relevant category as specified in Part I, section 11 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.
0300-0330Fixed Rate – Early redemption risk - Average repricing dates before and after modelling Average repricing dates shall be calculated per relevant category, as specified in Part I, section 11 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 ‘notional repricing cash flows’ of aggregated positions in each relevant category/breakdown (definition of ‘repricing date’ and ‘notional repricing cash flows’ according to Article 1.1(1) and 1.1(2) of the EBA RTS on SA). Institutions shall consider as positions subject to early redemption risk only those positions for which the customer does not bear with 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.
0340-0370Fixed Rate – Early redemption risk - Early redemption rates (cumulative average) Thecumulativeaverage conditional early redemption rate shall be reported per relevant category, as specified in Part I, section 11 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).
ColumnsLegal references and instructions
0010Notional amount Institutions shall follow the same instructions as described in {J 05.00; c0010}.
0020Subject to behavioural modelling (%) Institutions shall follow the same instructions as described in {J 05.00; c0040}.
0030Baseline 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 considering the specifications defined in Article 98(5)(a) of CRD and specified under Article 4 of the EBA RTS on SOT. Behavioural models and/or conditional models (as specified in Article 4(d) of the EBA RTS on SOT), shall not be considered for the purposes of deriving the parameters.
0040Baseline 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 considering the specifications defined in Article 98(5)(a) of CRD and specified under Article 4 of the EBA RTS on SOT.
0050Parallel shock up Institutions shall follow the same instructions as described in {J 01.00; r0040}.
0060Parallel shock down Institutions shall follow the same instructions as described in {J 01.00; r0050}.
0070Steepener shock Institutions shall follow the same instructions as described in {J 01.00; r0060}.
0080Flattener shock Institutions shall follow the same instructions as described in {J 01.00; r0070}.
0090Short rates shock up Institutions shall follow the same instructions as described in {J 01.00; r0080}.
0100Short 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
  2. Templates J 10.00 and J 11.00 contain qualitative data on methodologies used in the assessment of the IRRBB.
  3. Institutions shall report the relevant information based on a predefined 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.
  4. Instructions concerning specific positions
RowLegal references and instructions
0010Approach 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
0020Requirement from the Competent Authority (NII/EVE) Article 84(3) and (4) of the CRD. In case 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
0030Methodology (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
0040Conditional 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.
0050Option Risk (NII) Institutions shall indicate whether option risk has been considered in the computation of the NII SOT. - Considered - Not considered.
0060Basis Risk (NII) Institutions shall indicate whether basis risk has been considered in the computation of the NII SOT. - Considered - Not considered.
0070Methodology (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.
0080Conditional 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.
0090Option Risk (EVE) Institutions shall indicate whether option risk has been considered in the computation of the EVE SOT. - Considered - Not considered.
0100Basis Risk (EVE) Institutions shall indicate whether basis risk has been considered in the computation of the EVE SOT. - Considered - Not considered.
0110Commercial 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
0120Penalty 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
0130Pension 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
0140Non-performing exposures Institutions shall indicate whether non-performing exposures have been included in the EVE/NII SOT: - Included - Excluded
0150Fixed rate loan commitments Institutions shall indicate whether fixed rate loan commitments been included in the EVE/NII SOT: - Included - Excluded
0160Risk of prepayment Institutions shall indicate whether the risk of retail prepayment has been included in the EVE/NII SOT calculations: - Included - Excluded
0170Risk of early redemption Institutions shall indicate whether the risk of retail early redemption has been included in the EVE/NII SOT calculations: - Included - Excluded
0180General 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 - Economical models (modelling financial wealth allocation to NMDs or alternative investments according to different market scenarios/economic factors) - Expert judgement - Other
0190Identification of core component NMD balances Institution shall indicate whether they face challenges in identifying NMD core balances unconditional to the IR scenario: - Yes - No - Not applicable
0200Relevant drivers for NMD balances Institutions shall list the name/s of the relevant driver/s used to identify core balances.
0210NMD 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.
02205-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
0230Exemptions 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
0240Modelling of operational NMDs from financial customers Institutions shall indicate whether NMDs from financial customers classified as operational deposits, for which Article 27(1)(a) of the LCR Delegated Regulation applies, are subject to behavioural modelling: - Yes - No - Not applicable
0250Changes 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.
0260IRRBB 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 the EBA RTS on SOT for EVE: - Parallel shock up. - Parallel shock down. - Steepener shock. - Flattener shock. - Short rates shock up. - Short rates shock down.
0270IRRBB 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 the EBA RTS on SOT for NII: - Parallel shock up. - Parallel shock down.
0280SOT 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
0290SOT 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
0300Basis risk Institutions shall indicate whether they consider basis risk to be material: - Yes - No - Not applicable
0310CSRBB Institutions shall refer whether they considered a different perimeter of instruments subject to the CSRBB for the NII and EVE metrics: - Yes - No - Not applicable
0320Risk-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 4(m) of the EBA RTS on SOT: - Interbank secured. - Interbank unsecured overnight. - Interbank unsecured term. - Sovereign curve. - Product specific curve. - Entity specific curve. - Other.
0330Risk-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.
0340Change 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
0350Change 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
0360Post-shock interest rate floor (NII/EVE) Considering the specification of Article 4(k) of the EBA RTS on SOT, institutions shall indicate if the maturity-dependent post-shock interest rate floor is binding for any of the specific currencies reported: - Yes - No - Not applicable
  1. Draft Regulatory Technical Standards specifying supervisory shock scenarios, common modelling and parametric assumptions and what constitutes a large decline for the calculation of the economic value of equity and of the net interest income in accordance with Article 98(5a) of Directive 2013/36/EU (EBA/RTS/2022/10). ↑
  2. Draft Regulatory Technical Standards specifying standardised and simplified standardised methodologies 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 in accordance with 84(5) of Directive 2013/36/EU (EBA/RTS/2022/14). ↑
  3. Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1). ↑
  4. Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338). ↑
  5. Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 ↑
  6. 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 Text with EEA relevance ↑

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