Commission Implementing Regulation (EU) 2024/855 amending supervisory reporting rules for interest rate risk in the banking book

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Commission Implementing Regulation (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book

Commission Implementing Regulation (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book

Commission Implementing Regulation (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book

C/2024/1620

OJ L, 2024/855, 24.4.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj (BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj

Language 1

Language 2

Language 3

Official Journal of the European Union

EN

L series

2024/855

24.4.2024

COMMISSION IMPLEMENTING REGULATION (EU) 2024/855

of 15 March 2024

amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 ( 1 ) and in particular Article 430(7), fifth subparagraph, thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) 2021/451 ( 2 ) specifies the uniform reporting formats and templates, the instructions and methodology on how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting referred to in Article 430(1) to (4) of Regulation (EU) No 575/2013. Regulation (EU) No 575/2013 has been amended by Regulation (EU) 2019/876 of the European Parliament and of the Council ( 3 ) . In addition, Directive (EU) 2019/878 of the European Parliament and of the Council ( 4 ) introduced certain new prudential requirements into Directive 2013/36/EU of the European Parliament and of the Council ( 5 ) . Those amendments should be reflected into Implementing Regulation (EU) 2021/451.

(2)

For that reason, it is necessary to lay down the reporting templates that should be used to provide supervisors with the data they need to monitor Interest Rate Risks in the Banking Book (IRRBB), and the impact on institutions caused by changes in policy rates, including the interaction of the IRRBB with the management of interest rate risks by institutions, and the identification of outliers within both the Supervisory Outlier Test (SOT) on economic value of equity, and the SOT on net interest income.

(3)

Pursuant to Article 430(8), point (e), of Regulation (EU) No 575/2013 the European Banking Authority (EBA) is to make recommendations on how to reduce reporting requirements for at least small and non-complex institutions, so that these are reflected in the reporting framework. The EBA published in 2021 the Study of the cost of compliance with supervisory reporting requirements ( 6 ) setting out recommendations for further improving proportionality in supervisory reporting. Taking into account those recommendations and to limit the reporting burden, small and non-complex institutions should report a set of reduced templates.

(4)

Implementing Regulation (EU) 2021/451 should therefore be amended accordingly.

(5)

To give clarity and sufficient time to prepare for the implementation of the reporting requirements introduced by this Regulation, institutions should start reporting in accordance with this Regulation not earlier than 6 months after its date of entry into force, in accordance with Article 430(7), second subparagraph, of Regulation (EU) No 575/2013. As a result, and to allow for further time for the implementation of the amendments introduced by this Regulation by the institutions, institutions should start reporting the amended set of information no earlier than for the reference date of 30 September 2024.

(6)

This Regulation is based on the draft implementing technical standards submitted to the Commission by the EBA.

(7)

The EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council ( 7 ) ,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) 2021/451 is amended as follows:

(1)

the following Article 20a is inserted:

‘Article 20a

Reporting of interest rate risk in the banking book

In order to report information on their interest rate risk in the banking book in accordance with Article 430(1) of Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex XXVIII on an individual and a consolidated basis, in accordance with the instructions laid down in Annex XXIX, with the following frequencies, depending on the nature of the reporting institutions:

(a)

template 1 with a quarterly frequency by all institutions;

(b)

templates 2, 5 and 8 with a quarterly frequency by large institutions;

(c)

templates 3 and 6 with quarterly frequency by institutions that are neither large institutions nor small and non-complex institutions;

(d)

templates 4 and 7 with a quarterly frequency by small and non-complex institutions;

(e)

template 9 with quarterly frequency by institutions that are neither large institutions nor small and non-complex institutions and by small and non-complex institutions;

(f)

template 10 with an annual frequency by large institutions;

(g)

template 11 with annual frequency by institutions that are neither large institutions nor small and non-complex institutions and by small and non-complex institutions.’;

(2)

the text in Annex I to this Regulation is added as Annex XXVIII;

(3)

the text in Annex II to this Regulation is added as Annex XXIX.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union .

It shall apply from 1 September 2024.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 15 March 2024.

For the Commission

The President

Ursula VON DER LEYEN

( 1 )

OJ L 176, 27.6.2013, p. 1 , ELI: http://data.europa.eu/eli/reg/2013/575/oj .

( 2 ) 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 ( OJ L 97, 19.3.2021, p. 1 , ELI: http://data.europa.eu/eli/reg_impl/2021/451/oj ).

( 3 ) Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 ( OJ L 150, 7.6.2019, p. 1 , ELI: http://data.europa.eu/eli/reg/2019/876/oj ).

( 4 ) Directive (EU) 2019/878 of the European Parliament and of the Council of 20 May 2019 amending Directive 2013/36/EU as regards exempted entities, financial holding companies, mixed financial holding companies, remuneration, supervisory measures and powers and capital conservation measures ( OJ L 150, 7.6.2019, p. 253 , ELI: http://data.europa.eu/eli/dir/2019/878/oj ).

( 5 ) 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 , ELI: http://data.europa.eu/eli/dir/2013/36/oj ).

( 6 ) EBA Study of the cost of compliance with supervisory reporting requirements of 7 June 2021 (EBA/Rep/2021/15).

( 7 ) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC ( OJ L 331, 15.12.2010, p. 12 , ELI: http://data.europa.eu/eli/reg/2010/1093/oj ).

ANNEX I

‘ANNEX XXVIII

REPORTING ON INTEREST RATE RISK IN THE BANKING BOOK

IRRBB TEMPLATES

Template number

Template code

Adressees

Name of the template /group of templates

EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES [QUARTERLY]

1

J 01.00

All institutions

EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES

BREAKDOWN OF SENSITIVITY ESTIMATES [QUARTERLY]

2

J 02.00

Large institutions

BREAKDOWN OF SENSITIVITY ESTIMATES

3

J 03.00

“Other” institutions

BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR “OTHER” INSTITUTIONS)

4

J 04.00

SNCIs

BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR SNCIS)

REPRICING CASH FLOWS [QUARTERLY]

5

J 05.00

Large institutions

REPRICING CASH FLOWS

6

J 06.00

“Other” institutions

REPRICING CASH FLOWS (SIMPLIFIED FOR “OTHER” INSTITUTIONS)

7

J 07.00

SNCIs

REPRICING CASH FLOWS (SIMPLIFIED FOR SNCIS)

RELEVANT PARAMETERS [QUARTERLY]

8

J 08.00

Large institutions

RELEVANT PARAMETERS

9

J 09.00

“Other” institutions and SNCIs

RELEVANT PARAMETERS (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITUTIONS)

QUALITATIVE INFORMATION [ANNUALLY]

10,1

J 10.01

Large institutions

GENERAL QUALITATIVE INFORMATION

10,2

J 10.02

Large institutions

QUALITATIVE INFORMATION “CURRENCY BY CURRENCY”

11,1

J 11.01

“Other” institutions and SNCIs

GENERAL QUALITATIVE INFORMATION (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITUTIONS)

11,2

J 11.02

“Other” institutions and SNCIs

QUALITATIVE INFORMATION “CURRENCY BY CURRENCY” (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITUTIONS)

J 01.00 – EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES

Currency:

Amount

0010

Economic value of equity

Δ EVE under worst scenario

0010

Δ EVE ratio under worst scenario

0020

EVE under baseline and supervisory shock scenarios

Level of EVE under baseline scenario

0030

Δ EVE under parallel shock up

0040

Δ EVE under parallel shock down

0050

Δ EVE under steepener shock

0060

Δ EVE under flattener shock

0070

Δ EVE under short rates shock up

0080

Δ EVE under short rates shock down

0090

Net interest income

Δ NII under worst scenario

0100

Δ NII ratio under worst scenario

0110

NII under baseline and supervisory shock scenarios

Level of NII under baseline scenario

0120

Δ NII under parallel shock up

0130

Δ NII under parallel shock down

0140

IMS Market value changes

MV under baseline and supervisory shock scenarios

Level of market value under baseline scenario

0150

Δ MV under parallel shock up

0160

Δ MV under parallel shock down

0170

Other currencies: Size of interest rate shocks

Parallel shock

0180

Short rate shock

0190

Long rate shock

0200

J 02.00 – BREAKDOWN OF SENSITIVITY ESTIMATES

Currency:

Carrying amount

Duration

Bank estimate of IRRBB sensivitities including behavioural, conditional and automatic optionality

Economic value of equity

Net interest income

Market value

Level of EVE – Baseline scenario

Δ EVE – Parallel shock up

ΔEVE – Parallel shock down

ΔEVE – Steepener shock

ΔEVE – Flattener shock

ΔEVE – Short rates shock up

ΔEVE – Short rates shock down

Level of NII – Baseline scenario

ΔNII – Parallel shock up

ΔNII – Parallel shock down

Level of MV – Baseline scenario

ΔMV – Parallel shock up

ΔMV – Parallel shock down

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

TOTAL ASSETS

0010

of which: due to automatic optionality

0020

Central bank

0030

Interbank

0040

Loans and advances

0050

of which: fixed rate

0060

of which: non-performing

0070

Retail

0080

of which: secured by residential real estate

0090

Wholesale non-financial

0100

Wholesale financial

0110

Debt securities

0120

of which: fixed rate

0130

Derivatives hedging assets

0140

of which: fixed rate

0150

Hedging debt securities

0160

Hedging other assets

0170

Other

0180

Off-balance sheet assets: contingent assets

0190

TOTAL LIABILITIES

0200

of which: due to automatic optionality

0210

Central bank

0220

Interbank

0230

Debt securities issued

0240

of which: fixed rate

0250

of which: AT1 or T2

0260

NMDs: Retail transactional

0270

of which: fixed rate

0280

of which: core component

0290

of which: exempted from the 5Y cap

0300

NMDs: Retail non-transactional

0310

of which: fixed rate

0320

of which: core component

0330

of which: exempted from the 5Y cap

0340

NMDs: Wholesale non-financial

0350

of which: fixed rate

0360

of which: core component

0370

of which: exempted from the 5Y cap

0380

NMDs: Wholesale financial

0390

of which: fixed rate

0400

of which: operational deposits

0410

Term deposits

0420

of which: fixed rate

0430

Retail

0440

Wholesale non-financial

0450

Wholesale financial

0460

Derivatives hedging liabilities

0470

of which: fixed rate

0480

Hedging debt securities

0490

Hedging other liabilities

0500

Other

0510

Off-balance sheet liabilities: Contingent liabilities

0520

Other derivatives (Net asset/liability)

0530

MEMORANDUM ITEMS

Net derivatives

0540

Net interest rate position without derivatives

0550

Net interest rate position with derivatives

0560

Total Assets with MV impact

0570

Debt securities

0580

Derivatives

0590

Other

0600

Total Liabilities with MV impact

0610

Debt securities issued

0620

Derivatives

0630

Other

0640

J 03.00 – BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR “OTHER” INSTITUTIONS)

Currency:

Carrying amount

Duration

Bank estimate of IRRBB sensivitities including behavioural, conditional and automatic optionality

Economic value of equity

Net interest income

Market value

Level of EVE – Baseline scenario

Δ EVE – Parallel shock up

ΔEVE – Parallel shock down

ΔEVE – Steepener shock

ΔEVE – Flattener shock

ΔEVE – Short rates shock up

ΔEVE – Short rates shock down

Level of NII – Baseline scenario

ΔNII – Parallel shock up

ΔNII – Parallel shock down

Level of MV - Baseline scenario

ΔMV – Parallel shock up

ΔMV – Parallel shock down

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

TOTAL ASSETS

0010

Central bank

0030

Interbank

0040

Loans and advances

0050

Debt securities

0120

Derivatives hedging assets

0140

Hedging debt securities

0160

Hedging other assets

0170

Other

0180

Off-balance sheet assets: contingent assets

0190

TOTAL LIABILITIES

0200

Central bank

0220

Interbank

0230

Debt securities issued

0240

NMDs: Retail transactional

0270

NMDs: Retail non-transactional

0310

NMDs: Wholesale non-financial

0350

NMDs: Wholesale financial

0390

Term deposits

0420

Derivatives hedging liabilities

0470

Hedging debt securities

0490

Hedging other liabilities

0500

Other

0510

Off-balance sheet liabilities: Contingent liabilities

0520

Other derivatives (Net asset/liability)

0530

MEMORANDUM ITEMS

Net derivatives

0540

Net interest rate position without derivatives

0550

Net interest rate position with derivatives

0560

Total Assets with MV impact

0570

Debt securities

0580

Derivatives

0590

Other

0600

Total Liabilities with MV impact

0610

Debt securities issued

0620

Derivatives

0630

Other

0640

J 04.00 – BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR SNCIS)

Currency:

Carrying amount

Duration

Bank estimate of IRRBB sensivitities including behavioural, conditional and automatic optionality

Economic value of equity

Net interest income

Market value

Level of EVE – Baseline scenario

Δ EVE – Parallel shock up

ΔEVE – Parallel shock down

ΔEVE – Steepener shock

ΔEVE – Flattener shock

ΔEVE – Short rates shock up

ΔEVE – Short rates shock down

Level of NII – Baseline scenario

ΔNII – Parallel shock up

ΔNII – Parallel shock down

Level of MV – Baseline scenario

ΔMV – Parallel shock up

ΔMV – Parallel shock down

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

TOTAL ASSETS

0010

Off-balance sheet assets: contingent assets

0190

TOTAL LIABILITIES

0200

Off-balance sheet liabilities: contingent liabilities

0520

MEMORANDUM ITEMS

Total Assets with MV impact

0570

Debt securities

0580

Derivatives

0590

Other

0600

Total Liabilities with MV impact

0610

Debt securities issued

0620

Derivatives

0630

Other

0640

J 05.00 – REPRICING CASH FLOWS

Currency:

Modelling:

Fixed rate

Floating rate

Notional amount

Weighted average yield

Weighted average maturity (contractual)

Repricing schedule for all notional repricing cash flows

Notional amount

Weighted average yield

Weighted average maturity (contractual)

Repricing schedule for all notional repricing cash flows

% With embedded or explicity automatic optionality

% Subject to behavioural modelling

Overnight

Greater than overnight up to 1 month

Greater than 1 month up to 3 months

Greater than 3 months up to 6 months

Greater than 6 months up to 9 months

Greater than 9 months up to 12 months

Greater than 12 months up to 1,5 years

Greater than 1,5 years up to 2 years

Greater than 2 years up to 3 years

Greater than 3 years up to 4 years

Greater than 4 years up to 5 years

Greater than 5 years up to 6 years

Greater than 6 years up to 7 years

Greater than 7 years up to 8 years

Greater than 8 years up to 9 years

Greater than 9 years up to 10 years

Greater than 10 years up to 15 years

Greater than 15 years up to 20 years

Greater than 20 years

% With embedded or explicity automatic optionality

% Subject to behavioural modelling

Overnight

Greater than overnight up to 1 month

Greater than 1 month up to 3 months

Greater than 3 months up to 6 months

Greater than 6 months up to 9 months

Greater than 9 months up to 12 months

Greater than 12 months up to 1,5 years

Greater than 1,5 years up to 2 years

Bought

Sold

Bought

Sold

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

TOTAL ASSETS

0010

Central bank

0030

Interbank

0040

Loans and advances

0050

of which: non-performing

0070

Retail

0080

of which: secured by residential real estate

0090

Wholesale non-financial

0100

Wholesale financial

0110

Debt securities

0120

Derivatives hedging assets

0140

Hedging debt securities

0160

Hedging other assets

0170

Other

0180

Off-balance sheet assets: contingent assets

0190

TOTAL LIABILITIES

0200

Central bank

0220

Interbank

0230

Debt securities issued

0240

of which: AT1 or T2

0260

NMD: Retail transactional

0270

of which: core component

0290

of which: exempted from the 5Y cap

0300

NMDs: Retail non-transactional

0310

of which: core component

0330

of which: exempted from the 5Y cap

0340

NMDs: Wholesale non-financial

0350

of which: core component

0370

of which: exempted from the 5Y cap

0380

NMDs: Wholesale financial

0390

of which: operational deposits

0410

Term deposits

0420

Retail

0440

Wholesale non-financial

0450

Wholesale financial

0460

Derivatives hedging liabilities

0470

Hedging debt securities

0490

Hedging other liabilities

0500

Other

0510

Off-balance sheet liabilities: contingent liabilities

0520

Other derivatives (Net asset/liability)

0530

MEMORANDUM ITEMS

Total Assets with MV impact

0570

Debt securities

0580

Derivatives

0590

Other

0600

Total Liabilities with MV impact

0610

Debt securities issued

0620

Derivatives

0630

Other

0640

J 06.00 – REPRICING CASH FLOWS (SIMPLIFIED FOR “OTHER” INSTITUTIONS)

Currency:

Modelling:

Fixed rate

Floating rate

Notional amount

Weighted average yield

Weighted average maturity (contractual)

Repricing schedule for all notional repricing cash flows

Notional amount

Weighted average yield

Weighted average maturity (contractual)

Repricing schedule for all notional repricing cash flows

% With embedded or explicity automatic optionality

% Subject to behavioural modelling

Overnight

Greater than overnight up to 1 month

Greater than 1 month up to 3 months

Greater than 3 months up to 6 months

Greater than 6 months up to 9 months

Greater than 9 months up to 12 months

Greater than 12 months up to 1,5 years

Greater than 1,5 years up to 2 years

Greater than 2 years up to 3 years

Greater than 3 years up to 4 years

Greater than 4 years up to 5 years

Greater than 5 years up to 6 years

Greater than 6 years up to 7 years

Greater than 7 years up to 8 years

Greater than 8 years up to 9 years

Greater than 9 years up to 10 years

Greater than 10 years up to 15 years

Greater than 15 years up to 20 years

Greater than 20 years

% With embedded or explicity automatic optionality

% Subject to behavioural modelling

Overnight

Greater than overnight up to 1 month

Greater than 1 month up to 3 months

Greater than 3 months up to 6 months

Greater than 6 months up to 9 months

Greater than 9 months up to 12 months

Greater than 12 months up to 1,5 years

Greater than 1,5 years up to 2 years

Bought

Sold

Bought

Sold

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

TOTAL ASSETS

0010

Central bank

0030

Interbank

0040

Loans and advances

0050

Debt securities

0120

Derivatives hedging assets

0140

Hedging debt securities

0160

Hedging other assets

0170

Other

0180

Off-balance sheet assets: contingent assets

0190

TOTAL LIABILITIES

0200

Central bank

0220

Interbank

0230

Debt securities issued

0240

of which: AT1 or T2

0260

NMD: Retail transactional

0270

of which: core component

0290

of which: exempted from the 5Y cap

0300

NMDs: Retail non-transactional

0310

of which: core component

0330

of which: exempted from the 5Y cap

0340

NMDs: Wholesale non-financial

0350

of which: core component

0370

of which: exempted from the 5Y cap

0380

NMDs: Wholesale financial

0390

of which: operational deposits

0410

Term deposits

0420

Retail

0440

Wholesale non-financial

0450

Wholesale financial

0460

Derivatives hedging liabilities

0470

Hedging debt securities

0490

Hedging other liabilities

0500

Other

0510

Off-balance sheet liabilities: contingent liabilities

0520

Other derivatives (Net asset/liability)

0530

MEMORANDUM ITEMS

Total Assets with MV impact

0570

Debt securities

0580

Derivatives

0590

Other

0600

Total Liabilities with MV impact

0610

Debt securities issued

0620

Derivatives

0630

Other

0640

J 07.00 – REPRICING CASH FLOWS (SIMPLIFIED FOR SNCIS)

Currency:

Modelling:

Fixed rate

Floating rate

Notional amount

Weighted average yield

Weighted average maturity (contractual)

Repricing schedule for all notional repricing cash flows

Notional amount

Weighted average yield

Weighted average maturity (contractual)

Repricing schedule for all notional repricing cash flows

% With embedded or explicity automatic optionality

% Subject to behavioural modelling

Overnight

Greater than overnight up to 1 month

Greater than 1 month up to 3 months

Greater than 3 months up to 6 months

Greater than 6 months up to 9 months

Greater than 9 months up to 12 months

Greater than 12 months up to 1,5 years

Greater than 1,5 years up to 2 years

Greater than 2 years up to 3 years

Greater than 3 years up to 4 years

Greater than 4 years up to 5 years

Greater than 5 years up to 6 years

Greater than 6 years up to 7 years

Greater than 7 years up to 8 years

Greater than 8 years up to 9 years

Greater than 9 years up to 10 years

Greater than 10 years up to 15 years

Greater than 15 years up to 20 years

Greater than 20 years

% With embedded or explicity automatic optionality

% Subject to behavioural modelling

Overnight

Greater than overnight up to 1 month

Greater than 1 month up to 3 months

Greater than 3 months up to 6 months

Greater than 6 months up to 9 months

Greater than 9 months up to 12 months

Greater than 12 months up to 1,5 years

Greater than 1,5 years up to 2 years

Bought

Sold

Bought

Sold

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

TOTAL ASSETS

0010

Central bank

0030

Interbank

0040

Loans and advances

0050

Debt securities

0120

Derivatives hedging assets

0140

Other

0180

Off-balance sheet assets: contingent assets

TOTAL LIABILITIES

0200

Central bank

0220

Interbank

0230

Debt securities issued

0240

NMD: Retail transactional

0270

of which: core component

0290

of which: exempted from the 5Y cap

0300

NMDs: Retail non-transactional

0310

of which: core component

0330

of which: exempted from the 5Y cap

0340

NMDs: Wholesale non-financial

0350

of which: core component

0370

of which: exempted from the 5Y cap

0380

NMDs: Wholesale financial

0390

of which: operational deposits

0410

Term deposits

0420

Retail

0440

Wholesale non-financial

0450

Wholesale financial

0460

Derivatives hedging liabilities

0470

Other

0510

Off-balance sheet liabilities: contingent liabilities

0520

Other derivatives (Net asset/liability)

0530

MEMORANDUM ITEMS

Total Assets with MV impact

0570

Debt securities

0580

Derivatives

0590

Other

0600

Total Liabilities with MV impact

0610

Debt securities issued

0620

Derivatives

0630

Other

0640

J 08.00 – RELEVANT PARAMETERS

Currency:

Notional amount

Baseline scenario (contractual)

Baseline scenario (behavioural)

Parallel shock up

Parallel shock down

Steepener shock

Flattener shock

Short rates shock up

Short rates shock down

Subject to behavioural modelling (%)

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

NMDs - Behavioural modelling

Average repricing dates before and after modelling

NMDs: Retail transactional

0010

of which: core component

0020

of which: exempted from 5Y cap

0030

NMDs: Retail non-transactional

0040

of which: core component

0050

of which: exempted from 5Y cap

0060

NMDs: Wholesale non-financial

0070

of which: core component

0080

of which: exempted from 5Y cap

0090

NMDs: Wholesale financial

0100

of which: operational deposits

0110

PTR over 1 year horizon

NMDs: Retail transactional

0120

NMDs: Retail non-transactional

0130

NMDs: Wholesale non-financial

0140

NMDs: Wholesale financial

0150

Fixed Rate - Prepayment risk

Average repricing dates before and after modelling

Loans and advances

0160

of which: non-performing

0170

Retail

0180

of which: secured by residential real estate

0190

Wholesale non-financial

0200

Wholesale financial

0210

Debt securities

0220

Conditional prepayment rates (annualised average)

Loans and advances

0230

of which: non-performing

0240

Retail

0250

of which: secured by residential real estate

0260

Wholesale non-financial

0270

Wholesale financial

0280

Debt securities

0290

Fixed Rate - early redemption

Average repricing dates before and after modelling

Term deposits

0300

Retail

0310

Wholesale non-financial

0320

Wholesale financial

0330

Early redemtpion rates (cumulative average)

Term deposits

0340

Retail

0350

Wholesale non-financial

0360

Wholesale financial

0370

J 09.00 – RELEVANT PARAMETERS (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITUTIONS)

Currency:

Notional amount

Baseline scenario (contractual)

Baseline scenario (behavioural)

Parallel shock up

Parallel shock down

Steepener shock

Flattener shock

Short rates shock up

Short rates shock down

Subject to behavioural modelling (%)

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

NMDs - Behavioural modelling

Average repricing dates before and after modelling

NMDs: Retail transactional

0010

of which: core component

0020

of which: exempted from 5Y cap

0030

NMDs: Retail non-transactional

0040

of which: core component

0050

of which: exempted from 5Y cap

0060

NMDs: Wholesale non-financial

0070

of which: core component

0080

of which: exempted from 5Y cap

0090

NMDs: Wholesale financial

0100

of which: operational deposits

0110

Fixed Rate - Prepayment risk

Average repricing dates before and after modelling

Loans and advances

0160

Debt securities

0220

Conditional Prepayment Rates (average)

Loans and advances

0230

Debt securities

0290

Fixed Rate - Early Redemption

Average repricing dates before and after modelling

Term deposits

0300

Early redemtpion rates (average)

Term deposits

0340

J 10.00 – QUALITATIVE INFORMATION

10.1 General qualitative information

Approach NII and EVE SOT estimates

Approach used for the purpose of the SOT (NII/EVE)

0010

Requirement from the Competent Authority (NII/EVE)

0020

NII methodology

Methodology (NII)

0030

Conditional Cash Flows (NII)

0040

Option Risk (NII)

0050

Basis Risk (NII)

0060

EVE methodology

Methodology (EVE)

0070

Conditional Cash Flows (EVE)

0080

Option Risk (EVE)

0090

Basis Risk (EVE)

0100

Commercial margins/other spread components (EVE)

0110

Scope/Materiality Thresholds (NII/EVE)

Penalty fees from loan prepayments

0120

Pension obligations/pension plan assets

0130

Non-performing exposures

0140

Fixed rate loan committments

0150

Risk of prepayment

0160

Risk of early redemption

0170

Additional qualitative information

General approach for NMD modelling

0180

Identification of core component NMD balances

0190

Relevant drivers for NMD balances

0200

NMD core component balances (slotting of core component balances)

0210

5-year NMD repricing cap on IRRBB risk management

0220

Exemptions to the 5-year NMD repricing cap

0230

Modelling of operational NMDs from financial customers

0240

Changes in balance sheet structure due to interest rates

0250

IRRBB mitigation and hedging strategies (EVE)

0260

IRRBB mitigation and hedging strategies (NII)

0270

SOT on NII risk measure under the IMS Approach – PTR of Retail Term deposits

0280

SOT on NII risk measure under the IMS Approach – PTR of Fixed Retail Loans

0290

Basis risk

0300

CSRBB

0310

10.2 Qualitative information “currency by currency”

Currency:

Risk-free yield curve (discounting in EVE SOT)

0320

Risk-free yield curve (internal risk measures of EVE)

0330

Change of material assumptions (EVE)

0340

Change of material assumptions (NII)

0350

Post-shock interest rate floor (NII/EVE)

0360

J 11.00 – QUALITATIVE INFORMATION (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITUTIONS)

11.1 General qualitative information (Simplified)

Approach NII and EVE SOT estimates

Approach used for the purpose of the SOT (NII/EVE)

0010

Requirement from the Competent Authority (NII/EVE)

0020

NII methodology

Methodology (NII)

0030

Conditional Cash Flows (NII)

0040

Option Risk (NII)

0050

Basis Risk (NII)

0060

EVE methodology

Methodology (EVE)

0070

Conditional Cash Flows (EVE)

0080

Option Risk (EVE)

0090

Basis Risk (EVE)

0100

Commercial margins/other spread components (EVE)

0110

Scope/Materiality Thresholds (NII/EVE)

Penalty fees from loan prepayments

0120

Pension obligations/pension plan assets

0130

Non-performing exposures

0140

Fixed rate loan committments

0150

Risk of prepayment

0160

Risk of early redemption

0170

Additional qualitative information

General approach for NMD modelling

0180

Identification of core component NMD balances

0190

Relevant drivers for NMD balances

0200

NMD core component balances (slotting of core component balances)

0210

5-year NMD repricing cap on IRRBB risk management

0220

Exemptions to the 5-year NMD repricing cap

0230

Modelling of operational NMDs from financial customers

0240

IRRBB mitigation and hedging strategies (EVE)

0260

IRRBB mitigation and hedging strategies (NII)

0270

SOT on NII risk measure under the IMS Approach – PTR of Retail Term deposits

0280

SOT on NII risk measure under the IMS Approach – PTR of Fixed Retail Loans

0290

Basis risk

0300

CSRBB

0310

11.2 Qualitative information “currency by currency” (Simplified)

Currency:

Risk-free yield curve (discounting in EVE SOT)

0320

Risk-free yield curve (internal risk measures of EVE)

0330

Post-shock interest rate floor (NII/EVE)

0360

’

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

Structure

24

Scope of reporting

24

Treatment of fixed/floating rate instruments

24

Treatment of options

25

Sign convention

25

Abbreviations

25

Other conventions

26

PART II

26

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

26

General remarks

26

Instructions concerning specific positions

26

PART III

29

BREAKDOWN OF SENSITIVITY ESTIMATES (J 02.00, J 03.00 and J 04.00)

29

General remarks

29

Instructions concerning specific positions

29

PART IV

36

REPRICING CASH FLOWS (J 05.00, J 06.00 and J 07.00)

36

General remarks

36

Instructions concerning specific positions:

37

PART V

39

RELEVANT PARAMETERS (J 08.00 and J 09.00)

39

General remarks

39

Instructions concerning specific positions

39

PART VI

41

QUALITATIVE INFORMATION (J 10.00 and J 11.00)

41

General remarks

41

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 ).

ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj

ISSN 1977-0677 (electronic edition)

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