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 (Text with EEA relevance)

10.1   General qualitative information

10.2   Qualitative information ‘currency by currency’

11.1   General qualitative information (Simplified)

11.2   Qualitative information ‘currency by currency’ (Simplified)

ANNEX XXIX

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

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 ([^E0034]).

• 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 ([^E0035]). 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

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