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

Official Journal EN of the European Union L series 2024/855 24.4.2024 COMMISSION IMPLEMENTING REGULATION (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book (Text with EEA relevance) THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012(1) and in particular Article 430(7), fifth subparagraph, thereof, Whereas: (1) Commission Implementing Regulation (EU) 2021/451(2)specifies the uniform reporting formats and templates, the instructions and methodology on how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting referred to in Article 430(1) to (4) of Regulation (EU) No 575/2013. Regulation (EU) No 575/2013 has been amended by Regulation (EU) 2019/876 of the European Parliament and of the Council(3). In addition, Directive (EU) 2019/878 of the European Parliament and of the Council(4)introduced certain new prudential requirements into Directive 2013/36/EU of the European Parliament and of the Council(5). Those amendments should be reflected into Implementing Regulation (EU) 2021/451. (2) For that reason, it is necessary to lay down the reporting templates that should be used to provide supervisors with the data they need to monitor Interest Rate Risks in the Banking Book (IRRBB), and the impact on institutions caused by changes in policy rates, including the interaction of the IRRBB with the management of interest rate risks by institutions, and the identification of outliers within both the Supervisory Outlier Test (SOT) on economic value of equity, and the SOT on net interest income. (3) Pursuant to Article 430(8), point (e), of Regulation (EU) No 575/2013 the European Banking Authority (EBA) is to make recommendations on how to reduce reporting requirements for at least small and non-complex institutions, so that these are reflected in the reporting framework. The EBA published in 2021 the Study of the cost of compliance with supervisory reporting requirements(6) setting out recommendations for further improving proportionality in supervisory reporting. Taking into account those recommendations and to limit the reporting burden, small and non-complex institutions should report a set of reduced templates. (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). ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 1/47EN OJ L, 24.4.2024 (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. (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). 2/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 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 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 3/47ANNEX I ‘ANNEX XXVIII REPORTING ON INTEREST RATE RISK IN THE BANKING BOOK IRRBB TEMPLATES Template Template Adressees Name of the template /group of templates number code 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) QUALITATIVE INFORMATION “CURRENCY BY CURRENCY” (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITU­ 11,2 J 11.02 “Other” institutions and SNCIs TIONS) 4/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj EN OJ L, 24.4.2024J 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 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 5/47 OJ L, 24.4.2024 ENAmount 0010 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 6/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj EN OJ L, 24.4.2024J 02.00 – BREAKDOWN OF SENSITIVITY ESTIMATES Currency: Bank estimate of IRRBB sensivitities including behavioural, conditional and automatic optionality Economic value of equity Net interest income Market value Carrying amount Duration Level of EVE – Δ EVE – ΔEVE – ΔEVE – ΔEVE – ΔEVE – Short ΔEVE – Short Level of NII – ΔNII – Parallel ΔNII – Parallel Level of MV – ΔMV – Parallel ΔMV – Parallel Baseline Parallel shock Parallel shock Steepener Flattener rates shock Baseline Baseline rates shock up shock up shock down shock up shock down scenario up down shock shock down scenario scenario 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 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 7/47 OJ L, 24.4.2024 ENBank estimate of IRRBB sensivitities including behavioural, conditional and automatic optionality Economic value of equity Net interest income Market value Carrying amount Duration Level of EVE – Δ EVE – ΔEVE – ΔEVE – ΔEVE – ΔEVE – Short ΔEVE – Short Level of NII – ΔNII – Parallel ΔNII – Parallel Level of MV – ΔMV – Parallel ΔMV – Parallel Baseline Parallel shock Parallel shock Steepener Flattener rates shock Baseline Baseline rates shock up shock up shock down shock up shock down scenario up down shock shock down scenario scenario 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 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 8/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj EN OJ L, 24.4.2024J 03.00 – BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR “OTHER” INSTITUTIONS) Currency: Bank estimate of IRRBB sensivitities including behavioural, conditional and automatic optionality Economic value of equity Net interest income Market value Carrying amount Duration Level of EVE – Δ EVE – ΔEVE – Parallel ΔEVE – ΔEVE – ΔEVE – Short ΔEVE – Short Level of NII – ΔNII – Parallel ΔNII – Parallel Level of MV - ΔMV – Parallel ΔMV – Parallel Baseline Parallel shock Steepener rates shock Baseline Baseline shock down Flattener shockrates shock up shock up shock down shock up shock down scenario up shock down scenario scenario 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 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 9/47 OJ L, 24.4.2024 ENJ 04.00 – BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR SNCIS) Currency: Bank estimate of IRRBB sensivitities including behavioural, conditional and automatic optionality Economic value of equity Net interest income Market value Carrying amount Duration Level of EVE – Δ EVE – ΔEVE – ΔEVE – ΔEVE – ΔEVE – Short ΔEVE – Short Level of NII – ΔNII – Parallel ΔNII – Parallel Level of MV – ΔMV – Parallel ΔMV – Parallel Baseline Parallel shock Parallel shock Steepener Flattener rates shock Baseline Baseline rates shock up shock up shock down shock up shock down scenario up down shock shock down scenario scenario 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 10/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj EN OJ L, 24.4.2024J 05.00 – REPRICING CASH FLOWS Currency: Modelling: Fixed rate Floating rate Repricing schedule for all notional repricing cash flows Repricing schedule for all notional repricing cash flows N amot oio un na tl % Bo W uo o gai r hput h tte t io x oe mp nm l ai acb lt ii ie Stt c yd y o d lded S mvbu i lo oe ib t% nh uo dj ge a r eac - l-t l aW v yt ee ie eri dg a ldh g e- (m caW ov a tt e une te uri atdg a rr lh ag ) it ce- y - O niv ge hr t- nG mio gt tr h o ov he a a e nt 1 n rt tue - h r p u mG mth pr ooa e ntna n o tt t h e 1 h 3r s m u mG th pr o oa e n ntna ot tt h h e 3 6r s s m u mG th pr o oa e n ntna ot tt h h e 6 9r s s um mG t phr o o ae tn nona t t t h h1e 9r s s2 t mG h u yr a o 1p ee n n a, a 5 t rtt 1 oh s e 2 r s t yG h e ya tar o ene r as a r2 t 1 sue ,r p5 yG t eh ytar o eae r an s a r3 t sue 2 r p yG t eh ytar o eae r an s a r4 t sue 3 r p yG t eh ytar o eae r an s a r5 t sue 4 r p yG t eh ytar o eae r an s a r6 t sue 5 r p yG t eh ytar o eae r an s a r7 t sue 6 r p yG t eh ytar o eae r an s a r8 t sue 7 r p yG t eh ytar o eae r an s a r9 t sue 8 r p yG t e th ya or eae r an sa 1 r t 0 sue 9 r p ytG h e t ya or a ee rn asa 1 r t 1 5 sue 0 r p ytG h e t ya or a ee rn asa 2 r t 1 0 sue 5 r p tG h yr a ee n aa rt 2 se 0r N amot oio un na tl % Bo W uo o gai r hput h tte t io x oe mp nm l ai acb lt ii ie Stt c yd y o d lded S mvbu i lo oe ib t% nh uo dj ge a r eac - l-t l aW v yt ee ie eri dg a ldh g e- (m caW ov a tt e une te uri atdg a rr lh ag ) it ce- y - O niv ge hr t- nG mio gt tr h o ov he a a e nt 1 n rt tue - h r p muG mth pr ooa e ntna n o tt t h e 1 h 3r s m u mG th pr o oa e n ntna ot tt h h e 3 6r s s m u mG th pr o oa e n ntna ot tt h h e 6 9r s s u mmG t phr oo ae t nn ona tt t hh 1e 9r ss 2 t mG h u yr a o 1p ee n n a, a 5 t rtt 1 oh s e 2 r s tot yG h e a 2ar ne r sa y 1t eue a,r p5 r s 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 ro ef a w l eh si tc ah t: e secured by residential 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 O gef nf- tb aa sl sa en tc se sheet assets: contin­ 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 co af pwhich: exempted from the 5Y 0300 NMDs: Retail non-transactional 0310 of which: core component 0330 co af pwhich: exempted from the 5Y 0340 N ciM alDs: Wholesale non-finan­ 0350 of which: core component 0370 co af pwhich: exempted from the 5Y 0380 NMDs: Wholesale financial 0390 of which: operational deposits 0410 Term deposits 0420 Retail 0440 Wholesale non-financial 0450 Wholesale financial 0460 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 11/47 OJ L, 24.4.2024 ENFixed rate Floating rate Repricing schedule for all notional repricing cash flows Repricing schedule for all notional repricing cash flows N amot oio un na tl % Bo W uo o gai r hput h tte t io x oe mp nm l ai acb lt ii ie Stt c yd y o d lded S mvbu i lo oe ib t% nh uo dj ge a r eac - l-t l aW v yt ee ie eri dg a ldh g e- (m caW ov a tt e une te uri atdg a rr lh ag ) it ce- y - O niv ge hr t- nG mio gt tr h o ov he a a e nt 1 n rt tue - h r p u mG mth pr ooa e ntna n o tt t h e 1 h 3r s m u mG th pr o oa e n ntna ot tt h h e 3 6r s s m u mG th pr o oa e n ntna ot tt h h e 6 9r s s um mG t phr o o ae tn nona t t t h h1e 9r s s2 t mG h u yr a o 1p ee n n a, a 5 t rtt 1 oh s e 2 r s t yG h e ya tar o ene r as a r2 t 1 sue ,r p5 yG t eh ytar o eae r an s a r3 t sue 2 r p yG t eh ytar o eae r an s a r4 t sue 3 r p yG t eh ytar o eae r an s a r5 t sue 4 r p yG t eh ytar o eae r an s a r6 t sue 5 r p yG t eh ytar o eae r an s a r7 t sue 6 r p yG t eh ytar o eae r an s a r8 t sue 7 r p yG t eh ytar o eae r an s a r9 t sue 8 r p yG t e th ya or eae r an sa 1 r t 0 sue 9 r p ytG h e t ya or a ee rn asa 1 r t 1 5 sue 0 r p ytG h e t ya or a ee rn asa 2 r t 1 0 sue 5 r p tG h yr a ee n aa rt 2 se 0r N amot oio un na tl % Bo W uo o gai r hput h tte t io x oe mp nm l ai acb lt ii ie Stt c yd y o d lded S mvbu i lo oe ib t% nh uo dj ge a r eac - l-t l aW v yt ee ie eri dg a ldh g e- (m caW ov a tt e une te uri atdg a rr lh ag ) it ce- y - O niv ge hr t- nG mio gt tr h o ov he a a e nt 1 n rt tue - h r p u mG mth pr ooa e ntna n o tt t h e 1 h 3r s mm uG th pr ooa e nn tna o ttt hh e 3 6r ss m u mG th pr o oa e n ntna ot tt h h e 6 9r s s um mG t phr o o ae tn nona t t t h h1e 9r s s2 t mG h u yr a o 1p ee n n a, a 5 t rtt 1 oh s e 2 r s tot yG h e a 2ar ne r sa y 1t eue a,r p5 r s 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 Derivatives hedging liabilities 0470 Hedging debt securities 0490 Hedging other liabilities 0500 Other 0510 tO inff g- eb na tla ln iac be i ls ih tie ee st liabilities: con­ 0520 O bit lih te yr ) derivatives (Net asset/lia­ 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 12/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj EN OJ L, 24.4.2024J 06.00 – REPRICING CASH FLOWS (SIMPLIFIED FOR “OTHER” INSTITUTIONS) Currency: Modelling: Fixed rate Floating rate Repricing schedule for all notional repricing cash flows Repricing schedule for all notional repricing cash flows N amot oio un na tl % e B xW op uli oi gt ch hpi t tte y im o a nb u ae t lod i Stmd y oe lad dt io cr % mv bS i lo oeu it nh uo db ga r ej ae - l-lc t W ave yei ig erh a ldgte ed W (m ca ove a te ui ntg ur ath a rr lag )t ite ce yd - O niv ge hr t- o uG v mpetr h or e n taa non it tg e h 1hr t u mG mth pr ooa e ntna n o tt t h e 1 h 3r s m u mG th pr o oa e n ntna ot tt h h e 3 6r s s m u mG th pr o oa e n ntna ot tt h h e 6 9r s s um mG t phr o oae tn nona t t t h he 19r s s2 ut mG ph y r a o ete n on aa rtt 1 1h se 2 ,r s 5 tt y oG h e a 2ar ne r ysa et 1 ue a,r p5 r s ty oG t e h 3ar ae r yn sa et ue a2r p r s ty oG t e h 4ar ae r yn sa et ue a3r p r s ty oG t e h 5ar ae r yn sa et ue a4r p r s ty oG t e h 6ar ae r yn sa et ue a5r p r s ty oG t e h 7ar ae r yn sa et ue a6r p r s ty oG t e h 8ar ae r yn sa et ue a7r p r s ty oG t e h 9ar ae r yn sa et ue a8r p r s yG t e th ya or eae r an sa 1 r t 0 sue 9 r p ytG h e t ya or a ee rn asa 1 r t 1 5 sue 0 r p ytG h e t ya or a ee rn asa 2 r t 1 0 sue 5 r p tG h yr a ee n aa rt 2 se 0r N amot oio un na tl % e B xW op uli oi gt ch hpi t tte y im o a nb u ae t lod i Stmd y oe lad dt io cr % mv bS i lo oeu it nh uo db ga r ej ae - l-lc t W ave yei ig erh a ldgte ed W (m ca ove a te ui ntg ur ath a rr lag )t ite ce yd - O niv ge hr t- o uG v mpetr h or e n taa non it tg e h 1hr t u mG mth pr ooa e ntna n o tt t h e 1 h 3r s mm uG th pr ooa e nn tna o ttt hh e 3 6r ss m u mG th pr o oa e n ntna ot tt h h e 6 9r s s u mmG t phr ooae t nn ona tt t hhe 19r ss 2 ut mG ph y r a o ete n on aa rtt 1 1h se 2 ,r s 5 yt eG 2h a a rr ysne e a u at 1 pe r, sr 5 t o 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 O gef nf- tb aa sl sa en tc se sheet assets: contin­ 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 co af pwhich: exempted from the 5Y 0300 NMDs: Retail non-transactional0310 of which: core component 0330 co af pwhich: exempted from the 5Y 0340 NMDs: Wholesale non-financial0350 of which: core component 0370 co af pwhich: exempted from the 5Y 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 tO inff g- eb na tla ln iac be i ls ih tie ee st liabilities: con­ 0520 O litt yh )er derivatives (Net asset/liabi­0530 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 13/47 OJ L, 24.4.2024 ENFixed rate Floating rate Repricing schedule for all notional repricing cash flows Repricing schedule for all notional repricing cash flows N amot oio un na tl % e B xW op uli oi gt ch hpi t tte y im o a nb u ae t lod i Stmd y oe lad dt io cr % mv bS i lo oeu it nh uo db ga r ej ae - l-lc t W ave yei ig erh a ldgte ed W (m ca ove a te ui ntg ur ath a rr lag )t ite ce yd - O niv ge hr t- o uG v mpetr h or e n taa non it tg e h 1hr t u mG mth pr ooa e ntna n o tt t h e 1 h 3r s m u mG th pr o oa e n ntna ot tt h h e 3 6r s s m u mG th pr o oa e n ntna ot tt h h e 6 9r s s um mG t phr o oae tn nona t t t h he 19r s s2 ut mG ph y r a o ete n on aa rtt 1 1h se 2 ,r s 5 tt y oG h e a 2ar ne r ysa et 1 ue a,r p5 r s ty oG t e h 3ar ae r yn sa et ue a2r p r s ty oG t e h 4ar ae r yn sa et ue a3r p r s ty oG t e h 5ar ae r yn sa et ue a4r p r s ty oG t e h 6ar ae r yn sa et ue a5r p r s ty oG t e h 7ar ae r yn sa et ue a6r p r s ty oG t e h 8ar ae r yn sa et ue a7r p r s ty oG t e h 9ar ae r yn sa et ue a8r p r s yG t e th ya or eae r an sa 1 r t 0 sue 9 r p ytG h e t ya or a ee rn asa 1 r t 1 5 sue 0 r p ytG h e t ya or a ee rn asa 2 r t 1 0 sue 5 r p tG h yr a ee n aa rt 2 se 0r N amot oio un na tl % e B xW op uli oi gt ch hpi t tte y im o a nb u ae t lod i Stmd y oe lad dt io cr % mv bS i lo oeu it nh uo db ga r ej ae - l-lc t W ave yei ig erh a ldgte ed W (m ca ove a te ui ntg ur ath a rr lag )t ite ce yd - O niv ge hr t- o uG v mpetr h or e n taa non it tg e h 1hr t u mG mth pr ooa e ntna n o tt t h e 1 h 3r s mm uG th pr ooa e nn tna o ttt hh e 3 6r ss m u mG th pr o oa e n ntna ot tt h h e 6 9r s s u mmG t phr ooae t nn ona tt t hhe 19r ss 2 ut mG ph y r a o ete n on aa rtt 1 1h se 2 ,r s 5 yt eG 2h a a rr ysne e a u at 1 pe r, sr 5 t o 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 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 Repricing schedule for all notional repricing cash flows Repricing schedule for all notional repricing cash flows N amot oio un na tl % e B xW op uli oi gt ch hpi t tte y im o a nb u ae t lod i Stmd y oe lad dt io cr % mv bS i lo oeu it nh uo db ga r ej ae - l-lc t W ave yei ig erh a ldgte ed W (m ca ove a te ui ntg ur ath a rr lag )t ite ce yd - O niv ge hr t- o uG v mpetr h or e n taa non it tg e h 1hr t u mG mth pr ooa e ntna n o tt t h e 1 h 3r s m u mG th pr o oa e n ntna ot tt h h e 3 6r s s m u mG th pr o oa e n ntna ot tt h h e 6 9r s s um mG t phr o oae tn nona t t t h he 19r s s2 ut mG ph y r a o ete n on aa rtt 1 1h se 2 ,r s 5 tt y oG h e a 2ar ne r ysa et 1 ue a,r p5 r s ty oG t e h 3ar ae r yn sa et ue a2r p r s ty oG t e h 4ar ae r yn sa et ue a3r p r s ty oG t e h 5ar ae r yn sa et ue a4r p r s ty oG t e h 6ar ae r yn sa et ue a5r p r s ty oG t e h 7ar ae r yn sa et ue a6r p r s ty oG t e h 8ar ae r yn sa et ue a7r p r s ty oG t e h 9ar ae r yn sa et ue a8r p r s yG t e th ya or eae r an sa 1 r t 0 sue 9 r p ytG h e t ya or a ee rn asa 1 r t 1 5 sue 0 r p ytG h e t ya or a ee rn asa 2 r t 1 0 sue 5 r p tG h yr a ee n aa rt 2 se 0r N amot oio un na tl % e B xW op uli oi gt ch hpi t tte y im o a nb u ae t lod i Stmd y oe lad dt io cr % mv bS i lo oeu it nh uo db ga r ej ae - l-lc t W ave yei ig erh a ldgte ed W (m ca ove a te ui ntg ur ath a rr lag )t ite ce yd - O niv ge hr t- o uG v mpetr h or e n taa non it tg e h 1hr t u mG mth pr ooa e ntna n o tt t h e 1 h 3r s mm uG th pr ooa e nn tna o ttt hh e 3 6r ss m u mG th pr o oa e n ntna ot tt h h e 6 9r s s u mmG t phr ooae t nn ona tt t hhe 19r ss 2 ut mG ph y r a o ete n on aa rtt 1 1h se 2 ,r s 5 yt eG 2h a a rr ysne e a u at 1 pe r, sr 5 t o 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 O gef nf- tb aa sl sa en tc se sheet assets: contin­ 0190. TOTAL LIABILITIES 0200 Central bank 0220 Interbank 0230 Debt securities issued 0240 NMD: Retail transactional 0270 of which: core component 0290 co af pwhich: exempted from the 5Y 0300 NMDs: Retail non-transactional0310 of which: core component 0330 co af pwhich: exempted from the 5Y 0340 NMDs: Wholesale non-financial0350 of which: core component 0370 co af pwhich: exempted from the 5Y 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 tO inff g- eb na tla ln iac be i ls ih tie ee st liabilities: con­ 0520 O litt yh )er derivatives (Net asset/liabi­0530 MEMORANDUM ITEMS 14/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj EN OJ L, 24.4.2024Fixed rate Floating rate Repricing schedule for all notional repricing cash flows Repricing schedule for all notional repricing cash flows N amot oio un na tl % e B xW op uli oi gt ch hpi t tte y im o a nb u ae t lod i Stmd y oe lad dt io cr % mv bS i lo oeu it nh uo db ga r ej ae - l-lc t W ave yei ig erh a ldgte ed W (m ca ove a te ui ntg ur ath a rr lag )t ite ce yd - O niv ge hr t- o uG v mpetr h or e n taa non it tg e h 1hr t u mG mth pr ooa e ntna n o tt t h e 1 h 3r s m u mG th pr o oa e n ntna ot tt h h e 3 6r s s m u mG th pr o oa e n ntna ot tt h h e 6 9r s s um mG t phr o oae tn nona t t t h he 19r s s2 ut mG ph y r a o ete n on aa rtt 1 1h se 2 ,r s 5 tt y oG h e a 2ar ne r ysa et 1 ue a,r p5 r s ty oG t e h 3ar ae r yn sa et ue a2r p r s ty oG t e h 4ar ae r yn sa et ue a3r p r s ty oG t e h 5ar ae r yn sa et ue a4r p r s ty oG t e h 6ar ae r yn sa et ue a5r p r s ty oG t e h 7ar ae r yn sa et ue a6r p r s ty oG t e h 8ar ae r yn sa et ue a7r p r s ty oG t e h 9ar ae r yn sa et ue a8r p r s yG t e th ya or eae r an sa 1 r t 0 sue 9 r p ytG h e t ya or a ee rn asa 1 r t 1 5 sue 0 r p ytG h e t ya or a ee rn asa 2 r t 1 0 sue 5 r p tG h yr a ee n aa rt 2 se 0r N amot oio un na tl % e B xW op uli oi gt ch hpi t tte y im o a nb u ae t lod i Stmd y oe lad dt io cr % mv bS i lo oeu it nh uo db ga r ej ae - l-lc t W ave yei ig erh a ldgte ed W (m ca ove a te ui ntg ur ath a rr lag )t ite ce yd - O niv ge hr t- o uG v mpetr h or e n taa non it tg e h 1hr t u mG mth pr ooa e ntna n o tt t h e 1 h 3r s mm uG th pr ooa e nn tna o ttt hh e 3 6r ss m u mG th pr o oa e n ntna ot tt h h e 6 9r s s u mmG t phr ooae t nn ona tt t hhe 19r ss 2 ut mG ph y r a o ete n on aa rtt 1 1h se 2 ,r s 5 yt eG 2h a a rr ysne e a u at 1 pe r, sr 5 t o 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 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: Baseline Baseline Notional Subject to scenario scenario Parallel Parallel Steepener Flattener Short rates Short rates amount behavioural (contrac- (beha- shock up shock shock shock shock up shock down modelling tual) vioural) 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 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 15/47 OJ L, 24.4.2024 ENBaseline Baseline Notional Subject to scenario scenario Parallel Parallel Steepener Flattener Short rates Short rates amount behavioural (contrac- (beha- shock up shock shock shock shock up shock down modelling tual) vioural) down (%) 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 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 0190 estate 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 0260 estate 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) 16/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj EN OJ L, 24.4.2024Baseline Baseline Notional Subject to scenario scenario Parallel Parallel Steepener Flattener Short rates Short rates amount behavioural (contrac- (beha- shock up shock shock shock shock up shock down modelling tual) vioural) down (%) 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 Term deposits 0340 Retail 0350 Wholesale non-financial 0360 Wholesale financial 0370 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 17/47 OJ L, 24.4.2024 ENJ 09.00 – RELEVANT PARAMETERS (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITUTIONS) Currency: Baseline Baseline Parallel Notional Subject to scenario scenario Parallel Steepener Flattener Short rates Short rates shock amount behavioural (contrac- (beha- shock up shock shock shock up shock down down modelling tual) vioural) (%) 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 18/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj EN OJ L, 24.4.2024Baseline Baseline Parallel Notional Subject to scenario scenario Parallel Steepener Flattener Short rates Short rates shock amount behavioural (contrac- (beha- shock up shock shock shock up shock down down modelling tual) vioural) (%) 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 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) ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 19/47 OJ L, 24.4.2024 ENPenalty 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 20/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj EN OJ L, 24.4.2024Change 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 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 21/47 OJ L, 24.4.2024 ENGeneral 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’ 22/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj EN OJ L, 24.4.2024EN OJ L, 24.4.2024 ANNEX II ‘ANNEX XXIX REPORTING INSTRUCTIONS FOR THE PURPOSE OF INTEREST RATE RISK IN THE BANKING BOOK Table of Contents Page PART I......................................................................................................................24 GENERAL INSTRUCTIONS .........................................................................................24 1. Structure..............................................................................................24 2. Scope of reporting ....................................................................................24 3. Treatment of fixed/floating rate instruments..........................................................24 4. Treatment of options..................................................................................25 5. Sign convention.......................................................................................25 6. Abbreviations.........................................................................................25 7. Other conventions ....................................................................................26 PART II .....................................................................................................................26 EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES (J 01.00)........................................26 1. General remarks ......................................................................................26 2. Instructions concerning specific positions............................................................26 PART III ....................................................................................................................29 BREAKDOWN OF SENSITIVITY ESTIMATES (J 02.00, J 03.00 and J 04.00) .......................................29 1. General remarks ......................................................................................29 2. Instructions concerning specific positions............................................................29 PART IV ....................................................................................................................36 REPRICING CASH FLOWS (J 05.00, J 06.00 and J 07.00) ..........................................................36 1. General remarks ......................................................................................36 2. Instructions concerning specific positions: ...........................................................37 PART V.....................................................................................................................39 RELEVANT PARAMETERS (J 08.00 and J 09.00)....................................................................39 1. General remarks ......................................................................................39 2. Instructions concerning specific positions............................................................39 PART VI ....................................................................................................................41 QUALITATIVE INFORMATION (J 10.00 and J 11.00) ..............................................................41 1. General remarks ......................................................................................41 2. Instructions concerning specific positions............................................................42 ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 23/47EN OJ L, 24.4.2024 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; (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). 24/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 (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”. ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 25/47EN OJ L, 24.4.2024 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 Reg­ ulation (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 sce­ narios 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. 26/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 Row Legal references and instructions 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 Arti­ cle 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 Arti­ cle 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 Arti­ cle 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 Dele­ gated 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. ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 27/47EN OJ L, 24.4.2024 Row Legal references and instructions 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 Arti­ cle 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 Arti­ cle 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 Arti­ cle 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 Regula­ tion (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 Regula­ tion (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. 28/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 Row Legal references and instructions 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, ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 29/47EN OJ L, 24.4.2024 Row Legal references and instructions — 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 counter­ party. 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, of which: fixed rate 0150, 0250, Institutions shall report figures related to fixed rate instruments, according to the convention specified in 0280, 0320, Part I, Section 3, of this Annex. 0360, 0400, 0430, 0480 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/col­ lateral ratio (“loan-to-value”) and the legal form of the collateral. 30/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 Row Legal references and instructions 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 Par­ liament 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 com­ mitment and a short position when the loan is supposed to be drawn. Institutions shall report long posi­ tions 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 irrespec­ tive of their accounting treatment. This row shall include: — liabilities vis-à-vis Central Banks, — interbank liabilities, — debt securities issued, (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). ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 31/47EN OJ L, 24.4.2024 Row Legal references and instructions — 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 Arti­ cle 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 Dele­ gated 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, of which: core component 0370 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 environ­ ment, or other deposits whose limited elasticity to interest rate changes shall be modelled by institutions 0300, 0340, of which: exempted from 5Y cap 0380 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. 32/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 Row Legal references and instructions 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 Reg­ ulation. 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. (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). ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 33/47EN OJ L, 24.4.2024 Row Legal references and instructions 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 deri­ vatives 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 account­ ing 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. (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). 34/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 Row Legal references and instructions 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 liabil­ ities under a hedge accounting regime shall also be reported in this section except for the effective com­ ponent 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}. ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 35/47EN OJ L, 24.4.2024 Columns Legal references and instructions 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. 36/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 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 speci­ fied 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 % With embedded or explicit automatic optionality – bought and 0270 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. ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 37/47EN OJ L, 24.4.2024 Columns Legal references and instructions 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 swap­ tion 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 % With embedded or explicit automatic optionality – sold and 0280 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 obliga­ tion 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 % Subject to behavioural modelling and 0290 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 Weighted average yield and 0300 Average yield on an annual basis weighted by the notional amount. 0060 Weighted average maturity (contractual) and 0310 Average contractual maturity measured in years weighted by the notional amount. 0070-0250 Repricing schedule for all notional repricing cash flows and­ Institutions shall report all future notional repricing cash flows arising from the interest rate-sensitive 0320-0390 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 “repri­ epricing 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 con­ tracts and ignored at the notional repricing cash flow slotting. 38/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 Columns Legal references and instructions 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 underly­ ing. 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 break­ down 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 sav­ ings referred to in Article 428f(2), point (a), of Regulation (EU) No 575/2013 – not limited to the centra­ lised 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 Dele­ gated 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 cate­ gory/breakdown (definition of “notional repricing cash flows” and “repricing date” as laid down in Arti­ cle 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 speci­ fied in Delegated Regulation (EU) 2024/856. ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 39/47EN OJ L, 24.4.2024 Row Legal references and instructions 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 pre­ payment risk. Institutions shall consider as positions subject to prepayment risk only those positions for which the cus­ tomer 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 aver­ age of the “repricing dates” and the assigned weight based on the “notional repricing cash flows” of posi­ tions 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 cate­ gory/breakdown (definition of “notional repricing cash flows” and “repricing date” as laid down in Arti­ cle 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 speci­ fied 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 outstand­ ing 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. 40/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 Columns Legal references and instructions 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. ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 41/47EN OJ L, 24.4.2024 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 consid­ ered 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, 42/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 Row Legal references and instructions — 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. ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 43/47EN OJ L, 24.4.2024 Row Legal references and instructions 0160 Risk of prepayment Institutions shall indicate whether the risk of retail prepayment has been included in the EVE/NII SOT cal­ culations: — 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. 44/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 Row Legal references and instructions 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 stra­ tegies in any of the scenarios foreseen in Delegated Regulation (EU) 2024/856 for NII: — parallel shock up, — parallel shock down. ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 45/47EN OJ L, 24.4.2024 Row Legal references and instructions 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. 46/47 ELI: http://data.europa.eu/eli/reg_impl/2024/855/ojEN OJ L, 24.4.2024 Row Legal references and instructions 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.’ ELI: http://data.europa.eu/eli/reg_impl/2024/855/oj 47/47