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Annex 28 (IRRBB)

1) The document outlines reporting templates for interest rate risk in the banking book (IRRBB), including templates for evaluating economic value of equity (EVE) and net interest income (NII) sensitivity to interest rate shock scenarios on a quarterly basis. 2) It also includes templates for providing a breakdown of sensitivity estimates that classify assets and liabilities by interest rate risk characteristics like fixed vs. floating rate on a quarterly basis. 3) Additionally, there are templates for repricing cash flows and relevant parameters to assess repricing mismatches between assets and liabilities.

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298 views48 pages

Annex 28 (IRRBB)

1) The document outlines reporting templates for interest rate risk in the banking book (IRRBB), including templates for evaluating economic value of equity (EVE) and net interest income (NII) sensitivity to interest rate shock scenarios on a quarterly basis. 2) It also includes templates for providing a breakdown of sensitivity estimates that classify assets and liabilities by interest rate risk characteristics like fixed vs. floating rate on a quarterly basis. 3) Additionally, there are templates for repricing cash flows and relevant parameters to assess repricing mismatches between assets and liabilities.

Uploaded by

kazeemsheriff8
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
You are on page 1/ 48

EN

EBA Regular Use #_x000D_

ANNEX I

Annex XXVIII - REPORTING ON INTEREST RATE RISK IN THE BANKING BOOK


IRRBB TEMPLATES
Template Template
Name of the template /group of templates
number code
QUARTERLY FREQUENCY [ALL INSTITUTIONS]
1 J 01.00 EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES
QUARTERLY FREQUENCY [ALL INSTITUTIONS EXCEPT SNCIS]
2 J 02.00 BREAKDOWN OF SENSITIVITY ESTIMATES
3 J 03.00 REPRICING CASH FLOWS
4 J 04.00 RELEVANT PARAMETERS
QUARTERLY FREQUENCY [SNCIS]
5 J 05.00 BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED)
6 J 06.00 REPRICING CASH FLOWS (SIMPLIFIED)
7 J 07.00 RELEVANT PARAMETERS (SIMPLIFIED)
ANNUAL FREQUENCY [ALL INSTITUTIONS]
8.1 J 08.01 GENERAL QUALITATIVE INFORMATION
8.2 J 08.02 QUALITATIVE INFORMATION "CURRENCY BY CURRENCY"

1
EBA Regular Use #_x000D_

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

Currency:

Amount

0010
Economic value of equity
∆ EVE under worst scenario 0010
∆ EVE ratio under worst scenario 0020
EVE under baseline and supervisory shock scenarios
Level of EVE under baseline scenario 0030
∆ EVE under parallel shock up 0040
∆ EVE under parallel shock down 0050
∆ EVE under steepener shock 0060
∆ EVE under flattener shock 0070
∆ EVE under short rates shock up 0080
∆ EVE under short rates shock down 0090
Net interest income
∆ NII under worst scenario 0100
∆ NII ratio under worst scenario 0110
NII under baseline and supervisory shock scenarios
Level of NII under baseline scenario 0120
∆ NII under parallel shock up 0130
∆ NII under parallel shock down 0140
IMS Market value changes
MV under baseline and supervisory shock scenarios
Level of market value under baseline scenario 0150
∆ MV under parallel shock up 0160
∆ MV under parallel shock down 0170
Other currencies: Size of interest rate shocks
Parallel shock 0180
Short rate shock 0190
Long rate shock 0200
EBA Regular Use #_x000D_

CHANGES

Contractual amount

0020
EBA Regular Use #_x000D_

J 02.00 - BREAKDOWN OF SENSITIVITY ESTIMATES

Currency:

TOTAL ASSETS 0010


Central bank 0020
Loans and advances 0030
of which: fixed rate 0040
of which: non-performing 0050
Retail 0060
of which: secured by immovable property 0070
of which: consumer loans 0080
Wholesale non-financial 0090
Wholesale financial 0100
Debt securities 0110
of which: fixed rate 0120
Derivatives 0130
of which: fixed rate 0140
of which: interest rate derivatives 0150
of which: foreign exchange derivatives 0160
breakdown of derivatives by counterparty
Internal counterparties 0170
Third parties collateralised 0180
Third parties non-collateralised 0190
breakdown of derivatives by payment linearity
Linear derivatives 0200
Non-linear derivatives 0210
Other 0220
Off-balance sheet assets: contingent assets 0230
TOTAL LIABILITIES 0240
Central bank 0250
Debt securities issued 0260
of which: fixed rate 0270
of which: AT1 or T2 0280
NMDs: Retail transactional 0290
of which: fixed rate 0300
of which: core 0310
of which: exempted from the 5Y cap 0320
EBA Regular Use #_x000D_

NMDs: Retail non-transactional 0330


of which: fixed rate 0340
of which: core 0350
of which: exempted from the 5Y cap 0360
NMDs: Wholesale non-financial 0370
of which: fixed rate 0380
of which: core 0390
of which: exempted from the 5Y cap 0400
NMDs: Wholesale financial 0410
of which: fixed rate 0420
of which: operational deposits 0430
Term deposits 0440
of which: fixed rate 0450
Retail 0460
Wholesale non-financial 0470
Wholesale financial 0480
Derivatives 0490
of which: fixed rate 0500
of which: interest rate derivatives 0510
of which: foreign exchange derivatives 0520
breakdown of derivatives by counterparty
Internal counterparties 0530
Third parties collateralised 0540
Third parties non-collateralised 0550
breakdown of derivatives by payment linearity
Linear derivatives 0560
Non-linear derivatives 0570
Other 0580
Off-balance sheet liabilities: Contingent liabilities 0590
MEMORANDUM ITEMS
Total Assets with impact on MV 0600
Debt securities 0610
Derivatives 0620
Other 0630
Total Liabilities with impact on MV 0640
Debt securities issued 0650
Derivatives 0660
Other 0670
EBA Regular Use #_x000D_

Bank estimate of IRRBB sensivitities including behavioural, conditional a

Economic value of equity

Level of
∆ EVE - ∆EVE - ∆EVE - ∆EVE - ∆EVE - Short ∆EVE - Short
EVE -
Parallel Parallel shock Steepener Flattener rates shock rates shock
Baseline
shock up down shock shock up down
scenario
0010 0020 0030 0040 0050 0060 0070
EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

ehavioural, conditional and automatic optionality

Net interest income Market value

Level of ∆MV -
∆NII - ∆EVE - Level of MV ∆MV -
NII - Parallel
Parallel Parallel shock - Baseline Parallel
Baseline shock
shock up down scenario shock up
scenario down
0080 0090 0100 0110 0120 0130
EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

J 03.00 - REPRICING CASH FLOWS

Currency:
Modelling:
Type of instruments:

TOTAL ASSETS 0010


Central bank 0020
Loans and advances 0030
of which: non-performing 0050
Retail 0060
of which: secured by immovable property 0070
of which: consumer Loans 0080
Wholesale non-financial 0090
Wholesale financial 0100
Debt securities 0110
Derivatives 0130
of which: interest rate derivatives 0150
of which: foreign exchange derivatives 0160
breakdown of derivatives by counterparty
Internal counterparties 0170
Third parties collateralised 0180
Third parties non-collateralised 0190
breakdown of derivatives by payment linearity
Linear derivatives 0200
Non-linear derivatives 0210
Other 0220
Off-balance sheet assets: contingent assets 0230
TOTAL LIABILITIES 0240
Central bank 0250
Debt securities issued 0260
of which: AT1 or T2 0280
NMD: Retail transactional 0290
of which: core 0310
of which: exempted from the 5Y cap 0320
NMDs: Retail non-transactional 0330
of which: core 0350
of which: exempted from the 5Y cap 0360
NMDs: Wholesale non-financial 0370
EBA Regular Use #_x000D_

of which: core 0390


of which: exempted from the 5Y cap 0400
NMDs: Wholesale financial 0410
of which: operational deposits 0430
Term deposits 0440
Retail 0460
Wholesale non-financial 0470
Wholesale financial 0480
Derivatives 0490
of which: interest rate derivatives 0510
of which: foreign exchange derivatives 0520
breakdown of derivatives by counterparty
Internal counterparties 0530
Third parties collateralised 0540
Third parties non-collateralised 0550
breakdown of derivatives by payment linearity
Linear derivatives 0560
Non-linear derivatives 0570
Other 0580
Off-balance sheet liabilities: contingent liabilities 0590
MEMORANDUM ITEMS
Total Assets with impact on MV 0600
Debt securities 0610
Derivatives 0620
Other 0630
Total Liabilities with impact on MV 0640
Debt securities issued 0650
Derivatives 0660
Other 0670
EBA Regular Use #_x000D_

% With embedded or
explicity automatic Weighted
optionality Weighted
Carrying Exposure % Subject to average
average
amount value behavioural maturity
yield
modelling (contractual)
Bought Sold

0010 0020 0030 0040 0050 0060 0070


EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

Repricing schedule fo

PVO1 Greater Greater Greater Greater Greater Greater


(without than than 1 than 3 than 6 than 9 than 12
automatic Overnight overnight month up months up months up months up months up
optionality) up to 1 to 3 to 6 to 9 to 12 to 1.5
month months months months months years

0080 0090 0100 0110 0120 0130 0140 0150


EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

Repricing schedule for all notional repricing cash flows

Greater Greater Greater Greater Greater Greater Greater Greater


than 1.5 than 2 than 3 than 4 than 5 than 6 than 7 than 8
years up years up years up years up years up years up years up years up
to 2 years to 3 years to 4 years to 5 years to 6 years to 7 years to 8 years to 9 years

0160 0170 0180 0190 0200 0210 0220 0230


EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

Greater Greater Greater


than 9 than 10 than 15 Greater
years up years up years up than 20
to 10 to 15 to 20 years
years years years

0240 0250 0260 0270


EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

J 04.00 - RELEVANT PARAMETERS

Currency:

NMDs - Behavioural modelling


Average repricing dates before and after modelling
NMDs: Retail transactional 0010
of which: core 0020
of which: exempted from 5Y cap 0030
NMDs: Retail non-transactional 0040
of which: core 0050
of which: exempted from 5Y cap 0060
NMDs: Wholesale non-financial 0070
of which: core 0080
of which: exempted from 5Y cap 0090
NMDs: Wholesale financial 0100
of which: operational deposits 0110
PTR over 1 year horizon
NMDs: Retail transactional 0120
NMDs: Retail non-transactional 0130
NMDs: Wholesale non-financial 0140
NMDs: Wholesale financial 0150
Fixed Rate - Prepayment risk
Average repricing dates before and after modelling
Loans and advances 0160
of which: non-performing 0220
Retail 0170
of which: secured by immovable property 0180
of which: consumer Loans 0190
Wholesale non-financial 0200
Wholesale financial 0210
Debt securities 0230
Conditional prepayment rates (annualised average)
Loans and advances 0240
of which: non-performing 0250
Retail 0260
of which: secured by immovable property 0270
of which: consumer Loans 0280
Wholesale non-financial 0290
Wholesale financial 0300
Debt securities 0310
Fixed Rate - early redemption
Average repricing dates before and after modelling
Term deposits 0320
Retail 0330
EBA Regular Use #_x000D_

Wholesale non-financial 0340


Wholesale financial 0350
Early redemtpion rates (cumulative average)
Term deposits 0360
Retail 0370
Wholesale non-financial 0380
Wholesale financial 0390
EBA Regular Use #_x000D_

Subject to Baseline scenario Baseline scenario


Exposure value
behavioural (contractual) (behavioural)
modelling (%)

0010 0020 0030 0040


EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

Parallel Parallel Steepener Flattener Short rates


shock up shock down shock shock shock up
(conditional) (conditional) (conditional) (conditional) (conditional)

0050 0060 0070 0080 0090


EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

Short rates
shock down
(conditional)

0100
EBA Regular Use #_x000D_
EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

J 05.00 - BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED)

Currency:

TOTAL ASSETS 0010


Off-balance sheet assets: contingent assets 0230
TOTAL LIABILITIES 0240
Off-balance sheet liabilities: contingent liabilities 0590
MEMORANDUM ITEMS
Total Assets with impact on MV 0600
Debt securities 0610
Derivatives 0620
Other 0630
Total Liabilities with impact on MV 0640
Debt securities issued 0650
Derivatives 0660
Other 0670
EBA Regular Use #_x000D_

Bank estimate of IRRBB sensivitities including behavioural, conditiona

Economic value of equity

Level of
∆ EVE - ∆EVE - ∆EVE - ∆EVE - ∆EVE - Short ∆EVE - Short
EVE -
Parallel Parallel shock Steepener Flattener rates shock rates shock
Baseline
shock up down shock shock up down
scenario
0010 0020 0030 0040 0050 0060 0070
EBA Regular Use #_x000D_

behavioural, conditional and automatic optionality

Net interest income Market value

Level of NII ∆NII - ∆EVE - Level of MV ∆MV - ∆MV -


- Baseline Parallel Parallel - Baseline Parallel Parallel
scenario shock up shock down scenario shock up shock down

0080 0090 0100 0110 0120 0130


EBA Regular Use #_x000D_

J 06.00 - REPRICING CASH FLOWS (SIMPLIFIED)

Currency:
Modelling:
Type of instruments:

TOTAL ASSETS 0010


Central bank 0020
Loans and advances 0030
of which: non-performing 0050
Debt securities 0110
Derivatives 0130
of which: interest rate derivatives 0150
of which: foreign exchange derivatives 0160
Other 0220
Off-balance sheet assets: contingent assets 0230
TOTAL LIABILITIES 0240
Central bank 0250
Debt securities issued 0260
of which: AT1 or T2 0280
NMDs: Retail transactional 0290
of which: core 0310
of which: exempted from the 5Y cap 0320
NMDs: Retail non-transactional 0330
of which: core 0350
of which: exempted from the 5Y cap 0360
NMDs: Wholesale non-financial 0370
of which: core 0390
of which: exempted from the 5Y cap 0400
NMDs: Wholesale financial 0410
of which: operational deposits 0430
Term deposits 0440
Retail 0460
Wholesale non-financial 0470
Wholesale financial 0480
Derivatives 0490
of which: interest rate derivatives 0510
of which: foreign exchange derivatives 0520
Other 0580
Off-balance sheet liabilities: contingent liabilities 0590
EBA Regular Use #_x000D_

MEMORANDUM ITEMS
Total Assets with impact on MV 0600
Debt securities 0610
Derivatives 0620
Other 0630
Total Liabilities with impact on MV 0640
Debt securities issued 0650
Derivatives 0660
Other 0670
EBA Regular Use #_x000D_

% With embedded or
explicity automatic Weighted
optionality % Subject Weighted
Carrying Exposure average
to average
amount value maturity
behavioural yield
Bought Sold (contractual)
modelling

0010 0020 0030 0040 0050 0060 0070


EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

Repricing schedule fo

PVO1 Greater Greater Greater Greater Greater Greater


(without than than 1 than 3 than 6 than 9 than 12
automatic Overnight overnight month up months up months up months up months up
optionality) up to 1 to 3 to 6 to 9 to 12 to 1.5
month months months months months years

0080 0090 0100 0110 0120 0130 0140 0150


EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

Repricing schedule for all notional repricing cash flows

Greater Greater Greater Greater Greater Greater Greater Greater


than 1.5 than 2 than 3 than 4 than 5 than 6 than 7 than 8
years up years up years up years up years up years up years up years up
to 2 years to 3 years to 4 years to 5 years to 6 years to 7 years to 8 years to 9 years

0160 0170 0180 0190 0200 0210 0220 0230


EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

Greater Greater Greater


than 9 than 10 than 15 Greater
years up years up years up than 20
to 10 to 15 to 20 years
years years years

0240 0250 0260 0270


EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

J 07.00 - RELEVANT PARAMETERS (SIMPLIFIED)

Currency:

NMDs - Behavioural modelling


Average repricing dates before and after modelling
NMDs: Retail transactional 0010
of which: core 0020
of which: exempted from 5Y cap 0030
NMDs: Retail non-transactional 0040
of which: core 0050
of which: exempted from 5Y cap 0060
NMDs: Wholesale non-financial 0070
of which: core 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 0230
Conditional Prepayment Rates (average)
Loans and advances 0240
Debt securities 0310
Fixed Rate - Early Redemption
Average repricing dates before and after modelling
Term deposits 0320
Early redemtpion rates (average)
Term deposits 0360
EBA Regular Use #_x000D_

Subject to Baseline scenario Baseline scenario


Exposure value
behavioural (contractual) (behavioural)
modelling (%)
0010 0020 0030 0040
EBA Regular Use #_x000D_

Parallel Parallel Steepener Flattener Short rates


shock up shock down shock shock shock up
(conditional) (conditional) (conditional) (conditional) (conditional)
0050 0060 0070 0080 0090
EBA Regular Use #_x000D_

Short rates
shock down
(conditional)
0100
EBA Regular Use #_x000D_
EBA Regular Use #_x000D_

J 08.00 - QUALITATIVE INFORMATION

8.1 General qualitative information

Approach NII and EVE SOT estimates


Approach used for the purpose of the SOT (NII/EVE)
Requirement from the Competent Authority (NII/EVE)
NII methodology
Methodology (NII)
Conditional Cash Flows (NII)
Option Risk (NII)
Basis Risk (NII)
EVE methodology
Methodology (EVE)
Conditional Cash Flows (EVE)
Option Risk (EVE)
Basis Risk (EVE)
Commercial margins/other spread components (EVE)
Scope/Materiality Thresholds (NII/EVE)
Penalty fees from loan prepayments
Pension obligations/pension plan assets
Non-performing exposures
Fixed rate loan committments
Risk of prepayment
Risk of early redemption
Additional qualitative information
General approach for NMD modelling
Identification of core NMD balances
Relevant drivers for NMD balances
NMD core balances (slotting of core balances)
5-year NMD repricing cap on IRRBB risk management
Exemptions to the 5-year NMD repricing cap
Modelling of operational NMDs from financial customers
Changes in balance sheet structure due to interest rates
IRRBB mitigation and hedging strategies (EVE)
IRRBB mitigation and hedging strategies (NII)
SOT on NII risk measure under the IMS Approach - PTR of Retail Term deposits
SOT on NII risk measure under the IMS Approach - PTR of Fixed Retail Loans
Basis risk
CSRBB

8.2 Qualitative information "currency by currency"

Currency:

Risk-free yield curve (discounting in EVE SOT)


Risk-free yield curve (internal risk measures of EVE)
Change of material assumptions (EVE)
Change of material assumptions (NII)
Post-shock interest rate floor (NII/EVE)
EBA Regular Use #_x000D_

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

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