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

Type Implementing Regulation

Publication 2024-04-24

State In force

Text As published

Department European Commission, FISMA

Source EUR-Lex

articles 2

This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.

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Image omitted; see official source	Official Journal of the European Union	EN L series

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	2024/855	24.4.2024

THE EUROPEAN COMMISSION,

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

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

Whereas:

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

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

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

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

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

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

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

HAS ADOPTED THIS REGULATION:

Article 1

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

(1) the following Article 20a is inserted:

‘Article 20a

Reporting of interest rate risk in the banking book

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

(a) template 1 with a quarterly frequency by all institutions;

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

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

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

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

(f) template 10 with an annual frequency by large institutions;

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

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

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

Article 2

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

It shall apply from 1 September 2024.

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

Done at Brussels, 15 March 2024.

For the Commission

The President

Ursula VON DER LEYEN

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

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).

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).

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).

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).

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

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

ANNEX I

‘ANNEX XXVIII

REPORTING ON INTEREST RATE RISK IN THE BANKING BOOK


IRRBB TEMPLATES	IRRBB TEMPLATES	IRRBB TEMPLATES	IRRBB TEMPLATES
Template number	Template code	Adressees	Name of the template /group of templates
EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES [QUARTERLY]	EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES [QUARTERLY]	EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES [QUARTERLY]	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]	BREAKDOWN OF SENSITIVITY ESTIMATES [QUARTERLY]	BREAKDOWN OF SENSITIVITY ESTIMATES [QUARTERLY]	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]	REPRICING CASH FLOWS [QUARTERLY]	REPRICING CASH FLOWS [QUARTERLY]	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]	RELEVANT PARAMETERS [QUARTERLY]	RELEVANT PARAMETERS [QUARTERLY]	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]	QUALITATIVE INFORMATION [ANNUALLY]	QUALITATIVE INFORMATION [ANNUALLY]	QUALITATIVE INFORMATION [ANNUALLY]
10,1	J 10.01	Large institutions	GENERAL QUALITATIVE INFORMATION
10,2	J 10.02	Large institutions	QUALITATIVE INFORMATION “CURRENCY BY CURRENCY”
11,1	J 11.01	“Other” institutions and SNCIs	GENERAL QUALITATIVE INFORMATION (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITUTIONS)
11,2	J 11.02	“Other” institutions and SNCIs	QUALITATIVE INFORMATION “CURRENCY BY CURRENCY” (SIMPLIFIED FOR SNCIS AND “OTHER” INSTITUTIONS)


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


Currency:	Image omitted; see official source

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Economic value of equity	Economic value of equity
Δ EVE under worst scenario	0010
Δ EVE ratio under worst scenario	0020
EVE under baseline and supervisory shock scenarios	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	Net interest income
Δ NII under worst scenario	0100
Δ NII ratio under worst scenario	0110
NII under baseline and supervisory shock scenarios	NII under baseline and supervisory shock scenarios
Level of NII under baseline scenario	0120
Δ NII under parallel shock up	0130
Δ NII under parallel shock down	0140
IMS Market value changes	IMS Market value changes
MV under baseline and supervisory shock scenarios	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	Other currencies: Size of interest rate shocks
Parallel shock	0180
Short rate shock	0190
Long rate shock	0200


J 02.00 – BREAKDOWN OF SENSITIVITY ESTIMATES


Currency:	Image omitted; see official source

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TOTAL ASSETS	0010
of which: due to automatic optionality	0020
Central bank	0030
Interbank	0040
Loans and advances	0050
of which: fixed rate	0060
of which: non-performing	0070
Retail	0080
of which: secured by residential real estate	0090
Wholesale non-financial	0100
Wholesale financial	0110
Debt securities	0120
of which: fixed rate	0130
Derivatives hedging assets	0140
of which: fixed rate	0150
Hedging debt securities	0160
Hedging other assets	0170
Other	0180
Off-balance sheet assets: contingent assets	0190
TOTAL LIABILITIES	0200
of which: due to automatic optionality	0210
Central bank	0220
Interbank	0230
Debt securities issued	0240
of which: fixed rate	0250
of which: AT1 or T2	0260
NMDs: Retail transactional	0270
of which: fixed rate	0280
of which: core component	0290
of which: exempted from the 5Y cap	0300
NMDs: Retail non-transactional	0310
of which: fixed rate	0320
of which: core component	0330
of which: exempted from the 5Y cap	0340
NMDs: Wholesale non-financial	0350
of which: fixed rate	0360
of which: core component	0370
of which: exempted from the 5Y cap	0380
NMDs: Wholesale financial	0390
of which: fixed rate	0400
of which: operational deposits	0410
Term deposits	0420
of which: fixed rate	0430
Retail	0440
Wholesale non-financial	0450
Wholesale financial	0460
Derivatives hedging liabilities	0470
of which: fixed rate	0480
Hedging debt securities	0490
Hedging other liabilities	0500
Other	0510
Off-balance sheet liabilities: Contingent liabilities	0520
Other derivatives (Net asset/liability)	0530
MEMORANDUM ITEMS	MEMORANDUM ITEMS
Net derivatives	0540
Net interest rate position without derivatives	0550
Net interest rate position with derivatives	0560
Total Assets with MV impact	0570
Debt securities	0580
Derivatives	0590
Other	0600
Total Liabilities with MV impact	0610
Debt securities issued	0620
Derivatives	0630
Other	0640


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


Currency:	Image omitted; see official source

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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	MEMORANDUM ITEMS
Net derivatives	0540
Net interest rate position without derivatives	0550
Net interest rate position with derivatives	0560
Total Assets with MV impact	0570
Debt securities	0580
Derivatives	0590
Other	0600
Total Liabilities with MV impact	0610
Debt securities issued	0620
Derivatives	0630
Other	0640


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


Currency:	Image omitted; see official source

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TOTAL ASSETS	0010
Off-balance sheet assets: contingent assets	0190
TOTAL LIABILITIES	0200
Off-balance sheet liabilities: contingent liabilities	0520
MEMORANDUM ITEMS	MEMORANDUM ITEMS
Total Assets with MV impact	0570
Debt securities	0580
Derivatives	0590
Other	0600
Total Liabilities with MV impact	0610
Debt securities issued	0620
Derivatives	0630
Other	0640


J 05.00 – REPRICING CASH FLOWS


Currency:	Image omitted; see official source
Modelling:	Image omitted; see official source

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TOTAL ASSETS	0010
Central bank	0030
Interbank	0040
Loans and advances	0050
of which: non-performing	0070
Retail	0080
of which: secured by residential real estate	0090
Wholesale non-financial	0100
Wholesale financial	0110
Debt securities	0120
Derivatives hedging assets	0140
Hedging debt securities	0160
Hedging other assets	0170
Other	0180
Off-balance sheet assets: contingent assets	0190
TOTAL LIABILITIES	0200
Central bank	0220
Interbank	0230
Debt securities issued	0240
of which: AT1 or T2	0260
NMD: Retail transactional	0270
of which: core component	0290
of which: exempted from the 5Y cap	0300
NMDs: Retail non-transactional	0310
of which: core component	0330
of which: exempted from the 5Y cap	0340
NMDs: Wholesale non-financial	0350
of which: core component	0370
of which: exempted from the 5Y cap	0380
NMDs: Wholesale financial	0390
of which: operational deposits	0410
Term deposits	0420
Retail	0440
Wholesale non-financial	0450
Wholesale financial	0460
Derivatives hedging liabilities	0470
Hedging debt securities	0490
Hedging other liabilities	0500
Other	0510
Off-balance sheet liabilities: contingent liabilities	0520
Other derivatives (Net asset/liability)	0530
MEMORANDUM ITEMS	MEMORANDUM ITEMS
Total Assets with MV impact	0570
Debt securities	0580
Derivatives	0590
Other	0600
Total Liabilities with MV impact	0610
Debt securities issued	0620
Derivatives	0630
Other	0640


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


Currency:	Image omitted; see official source
Modelling:	Image omitted; see official source

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TOTAL ASSETS	0010
Central bank	0030
Interbank	0040
Loans and advances	0050
Debt securities	0120
Derivatives hedging assets	0140
Hedging debt securities	0160
Hedging other assets	0170
Other	0180
Off-balance sheet assets: contingent assets	0190
TOTAL LIABILITIES	0200
Central bank	0220
Interbank	0230
Debt securities issued	0240
of which: AT1 or T2	0260
NMD: Retail transactional	0270
of which: core component	0290
of which: exempted from the 5Y cap	0300
NMDs: Retail non-transactional	0310
of which: core component	0330
of which: exempted from the 5Y cap	0340
NMDs: Wholesale non-financial	0350
of which: core component	0370
of which: exempted from the 5Y cap	0380
NMDs: Wholesale financial	0390
of which: operational deposits	0410
Term deposits	0420
Retail	0440
Wholesale non-financial	0450
Wholesale financial	0460
Derivatives hedging liabilities	0470
Hedging debt securities	0490
Hedging other liabilities	0500
Other	0510
Off-balance sheet liabilities: contingent liabilities	0520
Other derivatives (Net asset/liability)	0530
MEMORANDUM ITEMS	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)

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