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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)

Type Implementing Regulation

Publication 2021-03-19

Last updated 2024-09-01

State In force

Department European Commission, FISMA

Source EUR-Lex

articles 24

Reform history JSON API

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 ¹¹. 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 ¹².
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 ¹³, 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.

(¹)

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).

(²)

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).

(³)

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).

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.

Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54).

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).

Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).

Seventh Council Directive 83/349/EEC of 13 June 1983 based on the Article 54 (3) (g) of the Treaty on consolidated accounts (OJ L 193, 18.7.1983, p. 1).

Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates (OJ L 309, 30.10.2014, p. 5).

‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.

Commission Delegated Regulation (EU) No 525/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market (OJ L 148, 20.5.2014, p. 15).

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).

Regulation (EU) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).

Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).

Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).

Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).

Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (C(2003)1422) (OJ L 124, 20.5.2003, p. 36).

Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) (OJ C 31, 31.1.2017, p. 1).

Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14), OJ C 31, 31.1.2017, p. 1.

Directive (EU) 2015/2366 of the European Parliament and of the Council of 25 November 2015 on payment services in the internal market, amending Directives 2002/65/EC, 2009/110/EC and 2013/36/EU and Regulation (EU) No 1093/2010, and repealing Directive 2007/64/EC (OJ L 337, 23.12.2015, p. 35).

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, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338).

Commission Delegated Regulation (EU) No 1222/2014 of 8 October 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards for the specification of the methodology for the identification of global systemically important institutions and for the definition of subcategories of global systemically important institutions (OJ L 330, 15.11.2014, p. 27).

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).

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).

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