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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

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)

Legal status of the document In force

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

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Official Journal
of the European Union

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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	% 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		Bought	Sold	% 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
		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	% 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		Bought	Sold	% 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
		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	% 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		Bought	Sold	% 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
		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	0190.
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
		Notional amount	Subject to behavioural modelling (%)	Baseline scenario (contractual)	Baseline scenario (behavioural)	Parallel shock up	Parallel shock down	Steepener shock	Flattener shock	Short rates shock up	Short rates shock down
		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
		Notional amount	Subject to behavioural modelling (%)	Baseline scenario (contractual)	Baseline scenario (behavioural)	Parallel shock up	Parallel shock down	Steepener shock	Flattener shock	Short rates shock up	Short rates shock down
		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

GENERAL INSTRUCTIONS

Structure

Scope of reporting

Treatment of fixed/floating rate instruments

Treatment of options

Sign convention

Abbreviations

Other conventions

PART II

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

General remarks

Instructions concerning specific positions

PART III

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

General remarks

Instructions concerning specific positions

PART IV

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

General remarks

Instructions concerning specific positions:

PART V

RELEVANT PARAMETERS (J 08.00 and J 09.00)

General remarks

Instructions concerning specific positions

PART VI

QUALITATIVE INFORMATION (J 10.00 and J 11.00)

General remarks

Instructions concerning specific positions

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 (ΔMV) 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 ΔMV 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 (ΔR) 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 ΔEVE’s and ΔNII’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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