EBA/ITS/2023/03

31/07/2023

Final Report

Draft Implementing Standards

on IRRBB reporting under Commission Implementing Regulation
(EU) 2021/451
FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Table of Contents

1.Executive Summary 3
2.Background and rationale 5
2.1 New IRRBB policy package 6
2.2 Proposed templates 8
2.3 Proposed proportionality 10
3.Draft implementing standards 12
4.Accompanying documents 15
4.1 Draft cost-benefit analysis / impact assessment 15
4.2 Overview of questions for consultation 19
4.3 Feedback on the public consultation 21

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

1. Executive Summary
This Final Report proposes amendments to the implementing technical standards (ITS) on
supervisory reporting with regard to interest rate risk in the banking book (IRRBB) reporting
requirements. This new, harmonised reporting aims to bring the data quality required for assessing
IRRBB risks on an appropriate scale of institutions, including large institutions, small and non-
complex institutions (SNCIs) and institutions other than large institutions and SNCIs (‘other
institutions’), which cannot be left outside the scrutiny of IRRBB risks. It is strictly related to the
completion of the policy work on:

i. The regulatory technical standards (RTS) on supervisory outlier test (SOT), which specify
the common modelling assumption and supervisory shock scenarios that institutions
shall apply to evaluate the decline in economic value of equity (EVE) and net interest
income (NII) in the context of the supervisory review and evaluation process (SREP).
The RTS also define and calibrate the ‘large decline’ and its compliance threshold for
the supervisory outlier test on NII.

ii. The RTS on the standardised methodologies, which specifies the details for the evalua-
tion of changes in the NII and EVE under the standardised and simplified standardised
approaches.

iii. The Guidelines on IRRBB and credit spread risk arising from non-trading book activities
(CSRBB), which provide criteria to identify, monitor and manage IRRBB and its evalua-
tion in the internal measurement systems.
The implementation of the IRRBB package shall be monitored closely through these draft amending
reporting ITS, which provide supervisors with the appropriate data to monitor the IRRBB risks, such
as changes in policy rates and the identification of outliers within both: i) the SOT on EVE; and ii)
the SOT on NII.
Proportionality measures have been considered for evidence drawn from the Cost of Compliance
study1. The proposal for the IRRBB templates is for SNCIs and ‘other institutions’ to report simplified
templates. Once adopted, these ITS will replace the existing national reporting requirements for
IRRBB.

Next steps
The draft ITS will be submitted to the Commission for endorsement before being published in the
Official Journal of the European Union. The first reference date for the application of these technical
standards is envisaged to be in September 2024. The expected implementation period for the
proposed changes is approximately 1 year.

1
See https://www.eba.europa.eu/regulation-and-policy/supervisory-reporting/cost-compliance-supervisory-reporting

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

The EBA will also develop the data-point model (DPM), XBRL taxonomy and validation rules based
on the final draft amending ITS.

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

2. Background and rationale

1. The EBA reporting framework (as reflected in the Commission Implementing Regulation (EU)
2021/4512 – ITS on Supervisory Reporting) is uniformly and directly applicable to reporting institu-
tions, ensuring a level playing field in the area of reporting and facilitating data comparability. The
EBA reporting framework has evolved over the years, ever since the first reporting framework was
published in 2013. The EBA has periodically reviewed the content of the reporting requirements to
ensure its continued relevance and alignment with the underlying regulation. In addition, the EBA
has developed and maintained the technical package and the version management system to facil-
itate implementation and supporting of the reporting processes.

2. The Single Rulebook aims to provide a single set of harmonised prudential rules for financial insti-
tutions throughout the EU, helping to create a level playing field for all regulated institutions and
providing high protection to depositors, investors and consumers. These draft ITS reflect the Single
Rulebook provisions at the reporting level and are an integral part of it for financial institutions in
Europe. These standards become directly applicable in all Member States once adopted by the Eu-
ropean Commission and published in the Official Journal of the EU.

3. Regulation (EU) No 575/2013 (the CRR)3 mandates the EBA, in Article 430(7), to develop draft ITS
to specify uniform reporting requirements. These requirements cover information on institutions’
compliance with prudential requirements as put forward by the CRR, Directive 2013/36/EU (the
CRD)4 and related technical standards as well as additional financial information required by super-
visors to perform their supervisory tasks. Following the mandate under Article 430(7), the EBA has
developed the draft ITS on supervisory reporting, which has been adopted by the European Com-
mission as Implementing Regulation (EU) No 680/2014, and further repealed by Implementing Reg-
ulation (EU) 2021/451. The ITS on supervisory reporting needs to be amended to reflect the appli-
cable underlying legal requirements or when it is necessary to improve the supervisors’ ability to
monitor and assess institutions.

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.
3
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.
4
https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:02013L0036-20220101&from=EN.

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

2.1 New IRRBB policy package

2.1.1 Final draft RTS on IRRBB supervisory outlier tests

4. In June 2019 Directive (EU) 2019/8785 amended the CRD, and under the new provisions of Article
98(5), and in the context of the SREP6 , the SOTs‘in order to improve competent authorities’ identi-
fication of those institutions which might be subject to excessive losses in their non-trading book
activities as a result of potential changes in interest rates’7.

5. As part of the evaluation of an institution’s exposure to the IRRBB in the SREP, the SOTs aim to
assess the impact of supervisory shock scenarios on an institution’s EVE (SOT on EVE) or on its NII
(SOT on NII) beyond specific thresholds.

6. Points (a) and (b) of Article 98(5) of the CRD refer to thresholds as 15% of its Tier 1 capital, in the
case of the SOT on EVE, and a ‘large decline’ in the NII, in the case of the SOT on NII. This ‘large
decline’ has been set out as 2.5% of Tier 1 capital by Article 6(1) of the RTS specifying supervisory
shock scenarios, common modelling and parametric assumptions and what constitutes a large de-
cline for the calculation of the EVE and the NII in accordance with the mandate to the EBA contained
in Article 98(5a) of the CRD (EBA/RTS/2022/108 – the RTS on SOT. On 26 April 2023, the EBA Opinion
responding to the Commission’s letter from March 2023, fixed the level of the ‘large decline’ as 5%
of the Tier 1 capital.9

7. If an institution reaches any of these thresholds, the relevant competent authority shall exercise its
supervisory powers10 unless it considers, in the context of the SREP, that the institution's manage-
ment of IRRBB is adequate and that the institution is not excessively exposed to IRRBB11. In June
2021, the EBA launched a public consultation on its revised Guidelines on common procedures and
methodologies for the SREP and supervisory stress testing (EBA/GL/2022/03) 12. Title 6 of these
Guidelines refers explicitly to the SOTs as minimum information that competent authorities should

5
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.
6
Section III (on ‘Supervisory review and evaluation process’) of Chapter 2 (on ‘Review Processes’) in Title VII (on ‘Prudential
Supervision’) of the Directive 2013/36/EU.
7
Recital 19 of the Directive (EU) 2019/878.
8
Draft Regulatory Technical Standards specifying supervisory shock scenarios, common modelling and parametric
assumptions and what constitutes a large decline for the calculation of the economic value of equity and of the net interest
income in accordance with Article 98(5a) of Directive 2013/36/EU (EBA/RTS/2022/10).
9
On 26 April 2023, the EBA published its Opinion on the RTS on SOTs, where a relaxation of the definition of large decline for
the SOT on NII – to 5% of Tier 1 capital, was proposed in order to reflect the consequences of the evolution of the interest
rates.
10
Supervisory powers that may include the requirements envisaged in Article 104(1) of the Directive 2013/36/EU (e.g. capital
requirements, restrictions of some business activities with excessive risks to the soundness of the institution) or the need to
specify other modelling and parametric assumptions for its IRRBB management.
11
Article 98(5) of the Directive 2013/36/EU.
12
Guidelines process on common procedures and methodologies for (SREP) and supervisory stress testing the supervisory
review and evaluation under Directive 2013/36/EU (EBA/GL/2022/03).

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

consider in their assessment of institutions’ exposure to IRRBB, as stipulated in Article 98(5) of CRD
and further specified by the delegated regulation to be adopted in accordance with Article 98(5a)
of that Directive.

8. The SOTs are supervisory tools the objective of which is to inform supervisors about the exposure
of institutions to IRRBB by obtaining comparable information for all institutions. The SOTs are im-
portant tools for competent authorities to monitor this risk and perform reviews.

2.1.2 The Guidelines on IRRBB and credit spread risk arising from non-trading book
activities

9. The standards that set out the SOT framework fulfil the implementation of the 2016 Basel standards
on IRRBB into the EU framework, which started with the issuance of EBA Guidelines on the man-
agement of interest rate risk arising from non-trading book activities (EBA/GL/2018/02)13 published
in July 2018 and applicable since June 2019. Following the mandate in Article 84(6) of the CRD, EBA
developed new Guidelines specifying aspects of the identification, evaluation, management and
mitigation of the risks arising from potential changes in interest rates and of the assessment and
monitoring of credit spread risk, of institutions’ non-trading book activities (EBA/GL/2022/14 – ‘the
Guidelines’)14 which will replace the EBA Guidelines on the management of interest rate risk arising
from non-trading book activities.

10.These new Guidelines provide the legal framework for institutions’ IRRBB internal systems and for
the SOT calculations if not specified in the RTS on SOT. The Guidelines will also be applicable as
regards the identification, management and mitigation of IRRBB, if the internal systems are re-
placed by the use of the IRRBB standardised methodology (SA) or the Simplified SA (s-SA), in which
case the RTS specifying standardised and simplified standardised methodologies to evaluate the
risks arising from potential changes in interest rates that affect both the EVE and the NII of an insti-
tution’s non-trading book activities (EBA/RTS/2022/0915 – ‘the RTS on SA’) provide the necessary
specifications for IRRBB evaluation aspects as well as for the purposes of SOT calculations if not
specified in the relevant RTS on SOT. The Guidelines also provide the legal framework for assessing
and monitoring CSRBB.

2.1.3 The Final draft RTS on the IRRBB standardised approach

11.The Directive (EU) 2019/878 also introduced, under Article 84, in the context of the SREP, the re-
quirement that competent authorities ‘ensure that institutions implement internal systems, use the

13
Guidelines on the management of interest rate risk arising from non-trading book activities (EBA/GL/2018/02).
14
Guidelines specifying aspects of the identification, evaluation, management and mitigation of the risks arising from
potential changes in interest rates and of the assessment and monitoring of credit spread risk, of institutions’ non-trading
book activities (EBA/GL/2022/14).
15
Draft Regulatory Technical Standards specifying standardised and simplified standardised methodologies 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 in accordance with 84(5) of Directive 2013/36/EU (EBA/RTS/2022/09).

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

standardised methodology or the simplified standardised methodology to identify, evaluate, man-

age and mitigate the risks arising from potential changes in interest rates that affect both the EVE
and the NII of an institution’s non-trading book activities’.

12.Following the mandate in Article 84(5) of the CRD, the RTS on SA set out the standardised and
simplified standardised methodologies as envisaged in Article 84(1) of the CRD, which serve the
purpose of the evaluation of the risks arising from potential changes in interest rates that affect
both the EVE and the NII of an institution’s non-trading book activities.

13.The bank’s use of internal systems, the SA, or the s-SA, will affect the results of the SOTs.

14.When measuring the impact of IRRBB under internal systems, interest income, interest expenses
and market value changes should be considered. This ensures a comprehensive assessment of the
impact of all interest rate sensitive items.

15.Furthermore, in this context, a 5-year cap on weighted average repricing maturity is introduced
now for retail and non-financial wholesale deposits without specified repricing dates (non-maturity
deposits)16. This behavioural assumption seeks to ensure a minimum level playing field and prudent
treatment of these deposits which prove to be a material item when calculating the impact of in-
terest rate changes.

16.In determining non-satisfactory IRRBB internal systems implemented by institutions, the Guidelines
seek to provide the minimum specific criteria to be assessed by the relevant competent authority.
This approach seeks to ensure that the minimum harmonised criteria are used for these purposes,
while ensuring that competent authorities ‘may’ require an institution to apply the SA as envisaged
in Article 84(3) CRD, avoiding any automatism.

17.The IRRBB package was published in an environment of high inflation combined with recessionary
risks contrasting with a long period characterised by very low inflation and interest rates. In partic-
ular, the impact on institutions from changes in policy rates, including its interaction with the man-
agement of the interest rate risk from a prudential perspective shall be closely monitored. In this
context, the implementation of the IRRBB package shall be monitored closely with these draft
amending ITS.

18.To equip supervisors with the appropriate data to monitor the IRRBB risks, these draft amending
ITS provide data to supervisors ensuring appropriate data quality and appropriate coverage in terms
of number of reporting institutions taking into careful consideration the concept of proportionality
in reporting requirements. These draft amending ITS also aim to monitor the implementation of
the RTS on SOT, the RTS on SA and the Guidelines to assess the effects of interest rate changes on
IRRBB management.

2.2 Proposed templates

16
The 5-year cap repricing maturity exempts regulated savings referred to in Article 428f(2)(a) of the CRR, but not limited to
the centralised part, and those with material economic or fiscal constraints in case of withdrawal.

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2.2.1 J 01.00: Evaluation of the IRRBB: EVE/NII SOT and market value (MV) changes

19. This template is proposed to be reported by all institutions, regardless of their classification, on a
quarterly basis. It gathers information on:

(a) The supervisory shock size as established in the EBA RTS on SOT.

(b) The SOT EVE and SOT NII. The sensitivities for the baseline and each of the supervisory shock
scenarios are to be reported as the variation of the absolute amount.

(c) Market value changes for baseline and parallel up and down shock scenarios.

20.This template is to be reported separately by each currency that has been considered by the re-
porting institution for the SOTs, as envisaged in the EBA RTS on SOT, both in a required or voluntary
manner. Moreover, the template is proposed to be reported for the aggregation of currencies as
per the aggregation approach in the EBA RTS on SOT.

2.2.2 J 02.00, J 03.00 and J 04.00: Breakdown of sensitivity estimates

21. This template is to be reported separately by large institutions (J 02.00), ‘other institutions’ (J
03.00) and SNCIs (J 04.00) on a quarterly basis. It gathers information on the SOT NII and SOT EVE,
specifically the contribution by each asset and liability item, including derivatives granularity, for
every scenario reported in J 01.00. Moreover, it includes information on the carrying amount and
duration.

22. These templates are to be reported for each currency separately for which the institution has po-
sitions where the accounting value of financial assets or liabilities denominated in a currency
amount to 5% or more of the total non-trading 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 non-
trading book financial assets (excluding tangible assets) or liabilities. However, these templates are
not to be reported for aggregate currencies.

2.2.3 J 05.00, J 06.00 and J 07.00: Repricing cash flows

23. This template is to be reported separately by large institutions (J 05.00), ‘other institutions’ (J
06.00) and SNCIs (J 07.00) on a quarterly basis. It gathers information on the same balance-sheet
items as reported in J 02.00 (large institutions) and some extra granularity compared to J 03.00
(‘other institutions’) and J 04.00 (SNCIs). These balance-sheet items are to be reported for:

(a) Information on weighted average yield and weighted average contractual residual maturity.

(b) Information on the notional amount indicating how much (materiality) is behaviourally modelled
and with automatic optionality.

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

(c) Information on 19 time buckets for the repricing schedule for all notional repricing cash flows in
the case of fixed rate instruments and 8 buckets for floating rate instruments.

24. The cash-flows are proposed to follow modelling assumptions in the SOT from an EVE perspective,
except automatic optionality.

25. These templates are to be reported separately by each currency as in J 02.00 and J 03.00 and J
04.00.

26.These templates shall be reported separately according to contractual and behavioural conditions
(modelling: contractual or behavioural).

2.2.4 J 08.00 and J 09.00: Relevant parameters

27. This template is to be reported separately by large institutions (J 08.00) and institutions other than
large institutions (J 09.00) on a quarterly basis. It gathers information on the average repricing date
of non-maturity deposits (NMDs), fixed rate loans subject to prepayment and term deposits subject
to early withdrawal, from an EVE perspective. This information is provided separately, on the one
hand, considering their contractual features only and, on the other, considering their behavioural
modelling for the various scenarios.

28. The information reported here should build on templates J 02.00 to J 07.00.

29. These templates are to be reported separately by currency as in J 02.00 and J 03.00 and J 04.00.

2.2.5 J 10.00 and J 11.00: Qualitative information

30. This template is proposed to be reported by large institutions (J 10.00) and institutions other than
large institutions (J 11.00), on an annual basis. It gathers information on a set of questions with
predefined possible answers for institutions to report.

31. The purpose of the template is to gather further information which justifies the information re-
ported in the previous templates, such as assumptions, yield curves and approaches used in the
reporting of the other templates.

32.The sub-templates J 10.02 and J 11.02 are to be reported separately by currency as in J 02.00 and
J 03.00 and J 04.00.

2.3 Proposed proportionality

33. The EBA is mandated in accordance with Article 430(8) of the CRR to measure the costs that insti-
tutions incur when complying with the supervisory reporting requirements and, in particular, with
those set out in the EBA’s ITS on Supervisory Reporting. The EBA is also tasked with assessing
whether these reporting costs are proportionate to the benefits delivered for prudential supervi-
sion and making recommendations on how to reduce the reporting cost, at least for SNCIs. The

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

findings from this analysis17 point to a ‘core plus supplement approach’ for this type of risk report-
ing, where the core plus supplement comprises more comprehensive and detailed information than
just the core set of information.

34. The proportionality measures proposed in this package are, therefore, two-fold:

(a) Embedded in the policy package:

i. Institutions only need to calculate the SOT for the currencies included in Article 1(3) of
the EBA RTS on SOT. Therefore, the currencies which do not meet the criteria from Article
1(3) of the EBA RTS on SOT do not need to be reported.

ii. Institutions need to adjust key behavioural modelling assumptions of interest-sensitive

instruments to the features of different interest-rate scenarios, taking into account the
proportionality and materiality thresholds set out in Articles 7(12), 8(2), 9(4), 11(3) and
21(1) of the EBA RTS on SA, as mentioned in in Article 4(d) of the EBA RTS on SOT.

(b) Explicit in the reporting package:

i. SNCIs and ‘other institutions’ are requested to report more simplified templates, which
are a subset of the templates for large institutions.

35. Following this principle, these templates were the outcome of an effort to draw the line between
the data points that are needed from each and every credit institution to understand the basic
picture, and the information needed for further supervisory investigation for IRRBB. This resulted
in a reduction of the reporting of half of the data points for most SNCIs and ‘other’ institutions,
which should be translated into substantial savings in reporting compliance costs.

Table 1 - Summary of reporting requirements per type of institution

Quarterly frequency Annual

frequency
Evaluation of the Breakdown Repricing Relevant Qualitative
IRRBB: EVE/NII SOT of sensitivity cash flows parameters information
and MV changes estimates
Large
J 01.00 J 02.00 J 05.00 J 08.00 J 10.00
institutions
‘Other’
J 01.00 J 03.00 J 06.00 J 09.00 J 11.00
institutions
SNCIs
J 01.00 J 04.00 J 07.00 J 09.00 J 11.00

17

https://www.eba.europa.eu/sites/default/documents/files/document_library/Publications/Reports/2021/1013948/Study%
20of%20the%20cost%20of%20compliance%20with%20supervisory%20reporting%20requirement.pdf.

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

3. Draft implementing standards

COMMISSION IMPLEMENTING REGULATION (EU) …/...

of XXX

amending Commission Implementing Regulation (EU) 2021/451 laying down

implementing technical standards for the application of Regulation (EU) No 575/2013
of the European Parliament and of the Council with regard to supervisory reporting
of institutions and repealing Implementing Regulation (EU) No 680/2014

(Text with EEA relevance)

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 648/201218 and in particular the last subparagraph of Article 470(7)
thereof,

Whereas:
(1) Without prejudice to the competent authorities’ powers under Article 104(1)(j) of
Directive 2013/36/EU19 and with a view to increasing efficiency and reducing the
administrative burden, a coherent reporting framework should be established on the
basis of a harmonised set of standards. Commission Implementing Regulation (EU)
No 2021/451 20 specifies, on the basis of Article 430 of Regulation (EU) No
575/2013, the modalities according to which institutions are required to report infor-
mation relevant to their compliance with Regulation (EU) No 575/2013. That Regu-
lation should be amended to reflect prudential elements introduced in Regulation

18
OJ L 176, 27.6.2013, p. 1.
19
Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit
institutions and the prudential supervision of credit institutions, amending Directive 2002/87/EC and repealing Directives
2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).
20
Commission Implementing Regulation (EU) No 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.
1–1955).

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

(EU) No 575/2013 as amended by Regulation (EU) No 2019/87621 and Directive

2013/36/EU as amended by Directive (EU) 2019/878.
(2) This Regulation should specify the reporting templates that allow to equip supervi-
sors with the appropriate data to monitor Interest Rate Risk in the Banking Book
(IRRBB) risks such as the impact on institutions driven from changes in policy rates,
including its interaction with the management by institutions of the interest rate risks,
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) Regulation (EU) No 2019/876, amending Regulation (EU) No 575/2013, mandated
the EBA, according to Article 430(8)(e), to make recommendations on how to reduce
reporting requirements at least for small and non-complex institutions, which should
be included in the reporting framework.
(4) This Regulation is based on the draft implementing technical standards submitted by
the European Banking Authority (EBA) to the Commission.
(5) 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 opinion of the Banking Stakeholder Group established in
accordance with Article 37 of Regulation (EU) No 1093/201022 in relation to those.
(6) Implementing Regulation (EU) 2021/451 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1
Implementing Regulation (EU) 2021/451 is amended as follows:
(1) The following Article 20a is inserted:
‘In order to report information on interest rate risk in the banking book in accord-
ance with Articles 84(5), 84(6) and 98(5a) of Directive 2013/36/EU on an individ-
ual and a consolidated basis, institutions shall submit the information specified in
Annex XXVIII in accordance with the instructions in Annex XXIX as follows:
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;

21
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. 1–225).
22
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, 15.12.2020, p. 12).

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

d) templates 4 and 7 with a quarterly frequency by small and non-complex in-

stitutions;
e) template 9 with quarterly frequency by institutions that are neither large in-
stitutions nor small and non-complex institutions and by small and non-com-
plex institutions;
f) template 10 with an annual frequency by large institutions;
g) template 11 with annual frequency by institutions that are neither large insti-
tutions nor small and non-complex institutions and by small and non-complex
institutions.’

(2) An Annex XXVIII is inserted in accordance with the Annex I to this Regulation.
(3) An Annex XXIX is inserted in accordance with the Annex II to this Regulation.

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 September 2024.
This Regulation shall be binding in its entirety and directly applicable in all Member
States.
Done at Brussels,

For the
Commission

The President

On behalf of
the President
[Position]

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

4. Accompanying documents

4.1 Draft cost-benefit analysis / impact assessment

As per Article 15 of Regulation (EU) No 1093/2010 (EBA Regulation), any implementing technical
standards developed by the EBA shall be accompanied by an impact assessment (IA), which
analyses ‘the potential related costs and benefits’.

This analysis presents the IA of the main policy options involved in this Final Report on the Draft
Implementing Technical Standards amending the ITS regarding supervisory reporting of institutions
according to Regulation (EU) No 575/2013 in relation to IRRBB reporting. Given the nature of the
ITS, this IA is a high-level qualitative assessment and refers to the anticipated cost that the involved
national competent authorities (NCAs) and the reporting banks will incur. With regard to
proportionality assessment specifically, the scope of application of the ITS does not justify data
collection to conduct a quantitative impact assessment on reporting compliance costs, mainly
because the affected banks either report this information for other items of reporting requirements
or they do it regardless for internal purposes. To this end, the EBA deems it appropriate to conduct
a qualitative impact assessment, derived from policy making expert views, to evaluate whether the
IRRBB reporting implies an appropriate, and proportionate, additional cost of reporting.

A. Problem identification and background

When considering the development of revised common reporting (COREP) templates on IRRBB,
first, the EBA had to address proportionality considerations. When doing so, the EBA considered
the embedded provisions, as reflected in Articles 1(3) and 4(d) of the EBA RTS on SOT. Although the
EBA RTS on SOT address the issues touching on the reporting on material currencies, and on the
approaches for scenarios consultation, the current RTS still needs to address the scope and
reporting requirements for different types of institutions. More specifically, the EBA identified the
absence of explicit reporting requirements for credit institutions not belonging to the ‘Large
institutions’ or ‘Small and non-complex institutions’ categories, according to the respective
definitions set out in points (146) an (145) of Article 4(1) of CRR2.

Besides the abovementioned problem of identification, the current ITS addressed several other
issues of a technical nature in relation to (a) the sign convention for reporting of liabilities for IRRBB;
(b) the information-retrieval method for fixed and floating instruments (templates J 05.00, J 06.00
and J 07.00); and (c) whether large institutions should be subject to additional conditional scenarios
in the z-axis.

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

B. Policy objectives

The strategic objective of the ITS is to ensure that supervisors receive all the relevant information
to fulfil their mandates for monitoring of the IRRBB, without adding any disproportionate burden
on specific types of institutions. The operational objective is to address technical issues in a way
that would streamline the reporting requirements without leaving room for free interpretations for
the reporting institutions, and thus room for inconsistent reporting.

C. Options considered, assessment of the options and preferred options

After consultation with the national competent authorities, the EBA has come up with five different
templates for enhanced reporting of the IRRBB in the content of COREP reporting. These templates
are summarised as follows:
▪ Template J 01.00: Evaluation of the IRRBB: EVE/NII SOT and MV changes
▪ Template J 02.00 : Breakdown of sensitivity estimates (Simplified versions: J 03.00 for
‘Other’ institutions and J 04.00 for SNCIs)
▪ Template J 05.00: Repricing cash flows (Simplified versions: J 06.00 for ‘Other’ institutions
and J 07.00 for SNCIs)
▪ Template J 08.00: Relevant parameters (A simplified version J 09.00 for SNCIs and ‘Other’
institutions)
▪ Template J 10.00 : Qualitative information (A simplified version J 11.00 for SNCIs and
‘Other’ institutions)

The content of the abovementioned templates will bring the data quality required for assessing
IRRBB risks to an appropriate scale of institutions and will harmonise the data collected on IRRBB
at the EU level. The EBA considers that the above set of templates strikes a balance between
requesting the necessary information for all institutions and not adding a significant burden to
reporting institutions. The ITS tries to explicitly address issues that are of particular importance for
consistent and proportionate reporting among reporting institutions.

To this end, Section C. presents the main policy options discussed and the decisions made while
setting up and fine-tuning the templates and instructions in question. Advantages and
disadvantages, as well as potential costs and benefits of the policy options and the preferred
options resulting from this analysis are assessed below.

Changes made for clarification purposes were not included here as they do not incur any costs or
advantages.

1. Reporting requirements for institutions not belonging to ‘large institutions’ or to ‘SNCIs’

While a part of the suggested reporting templates is intended for all institutions (J 01.00), another
part is only for ‘large institutions’ (J 02.00, J 05.00, J 08.00 and J 10.00). Template J 06.00 only refers
to ‘other institutions’, i.e. those not belonging to ‘large institutions’ or to ‘SNCIs’. Template J 07.00
only refers to SNCIs. The rest of the templates (J 03.00, J 04.00, J 09.00 and J 11.00) refer both to
SNCIs and ‘other institutions’.

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Currently, for the institutions belonging to the category ‘other institutions’, there are no explicit
reporting requirements. In this context, the EBA considered the following options for the reporting
requirements of ‘Other institutions’, which include them being subject to:

(a) the same reporting requirements as for ‘large institutions’;

(b) the same reporting requirements as for ‘SNCIs’;

(c) a different package of reporting requirements.

Preferred: Option 1c

The EBA considers that creating a different package for ‘other institutions’ would be the most
appropriate and thus the preferred option. The rationale behind the decisions is twofold. First,
although the implementation effort in absolute numbers (e.g. FTEs) should be approximately the
same for ‘large institutions’ and ‘other institutions’, it is proportionately more burdensome for
‘other institutions’ to implement the same reporting requirements due to their relatively smaller
size and economies of scale. Second, ‘other institutions’ do not bear the same systemic risks as
‘large institutions’ and, therefore, should not be obliged to fulfil the same detailed reporting
requirements as large institutions.

2. Setting the sign convention for the reporting of liabilities

In general, in reporting, any amount that increases the value of on-/off-balance sheet items shall
be reported as a positive figure.

IRRBB is a symmetric risk which heavily depends on the interest rate sensitivities of on-/off-balance
sheet positions of institutions. This means that a change in the interest rate environment may have
a different impact on different banks, depending on the composition of their positions.

Cash flows on principal or prepayment/early redemption on assets or liabilities do not increase the
value of the exposures. Cash flows on principal, prepayment and early redemptions always reduce
the amount of exposure.

Increases in the value of exposures only happen in some cases for instruments at fair value.

Option 2a: positive sign.

Option 2b: negative sign.

Preferred: option 2a

Option 2a was deemed the most adequate one to be consistent with existing reporting
requirements (and therefore having less implementation costs), considering that negative amounts
could also be reported in particular cases, which are further clarified in Annex XXIX.

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

3. The approach for distinguishing fixed and floating interest rate instruments

To monitor IRRBB, there is a need to distinguish between fixed and floating interest rate
instruments in templates J 05.00, J 06.00 and J 07.00. There are two ways of approaching this:

Option 3a: to have the breakdown of fixed and floating rate instruments under the relevant
rows/columns where the specific types of instruments are reported.

Option 3b: to have the breakdown in different templates assigned to fixed or floating separately,
i.e. the whole template would refer to either fixed or floating.

Preferred: option 3a.

Option 3a would provide the supervisors with a handy and prompt comparison of the amounts for
fixed and floating instruments for every given type of exposure. On the other hand, option 3b would
introduce additional costs for developing and maintaining an additional number of templates.

After taking into account proportionality considerations, option 3a is the preferred one whereas in
template J 02.00 there is a breakdown by rows and in templates J 05.00 to J 07.00 there is a
breakdown by columns.

4. Requesting additional conditional scenarios in the z-axis for large institutions

Templates J 05.00, J 06.00 and J 07.00 will be reported by contractual and behavioural scenarios.
However, it would be important, from the supervisory point of view, to collect data regarding the
conditional scenarios. This would mean collecting six more dimensions for Parallel Shock Up,
Parallel Shock Down, Steepener, Flattener, Short Rates Shock Up and Short Rates Shock Down, if
the institution calculates it.

Since there is already some proportionality embedded in this point, it might be worth requesting
large institutions to provide this breakdown. To this end, the EBA examined the following
alternatives:

Option 4a: requesting additional conditional scenarios for large institutions.

Option 4b: not requesting additional conditional scenarios for large institutions.

Option 4c: only parallel shocks (Up and Down).

Preferred: option 4b.

Option 4a would provide supervisors with additional valuable information to assess institutions’
modelling. Option 4c would be a compromise solution to request only the more relevant shock
scenarios. Nevertheless, due to proportionality reasons and to avoid increasing the reporting
burden, option 4b was deemed the more balanced one.

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4.2 Overview of questions for consultation

4.2.1 General questions

Question 1: Are the instructions and templates clear to the respondents? More specifically, do
respondents consider that all definitions are unambiguous and accurate (e.g. linear and non-linear
derivatives, contingent assets and liabilities, total assets/liabilities with impact on MV, etc.)?

Question 2: Do the respondents identify any discrepancies between these templates and
instructions and the calculation of the requirements set out in the underlying regulation?

Question 3: Do the respondents agree that the amended ITS fits the purpose of the underlying
regulation?

Question 4: How many full-time equivalent (FTE) employees does your institution expect to involve
in the implementation and for how many months in order to meet reporting compliance? Please
provide instructions for specific templates and options relevant for your institution. Please also
indicate whether the same implementation will be used by many reporting institutions such that
costs are shared among them.

Question 5: What technical and procedural dependencies does the implementation of the ITS imply
for your institution? How do they affect the time schedule of the implementation?

4.2.2 Proportionality

Question 6: Do respondents agree that the decision to simplify reporting templates is the best
approach in implementing proportionality? If you do not agree, what other proposal would be more
efficient to reduce costs?

Question 7: Do respondents perceive that the reporting requirements are proportionate for small
and non-complex institutions? How could proportionality be further improved for these
institutions? Particularly, does template J 08.00 on qualitative information add substantial
reporting costs to these institutions? Is there some quantitative information contained in templates
J 05.00, J 06.00 and J 07.00 that is overly burdensome? Is the expected frequency for templates J
05.00, J 06.00, J 07.00 and J 08.00 feasible and proportionate?

Question 8: Do respondents perceive that the reporting requirements are proportionate for
institutions other than large institutions and small and non-complex institutions (‘other’
institutions)? Is there some quantitative information contained in templates J 02.00, J 03.00 and J
04.00 that is overly burdensome? Is the expected frequency for templates J 02.00, J 03.00, J 04.00
and J 08.00 feasible and proportionate? How could proportionality be further improved for these
institutions?

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Question 9: Do respondents agree that the number of currencies requested in this reporting
package is proportionate? Particularly for templates J 02.00 to J 08.00, do these amended ITS
request the right amount of information for currencies that have a limited/marginal contribution
to the IRRBB?

Question 10: Do respondents currently compute their IRRBB figures, such as those in panels 03.00
and J 06.00, broken down by fixed/floating, for internal monitoring and/or supervisory reporting?
If not, do respondents perceive that the reporting of templates J 03.00 and J 06.00 by fixed and
floating rate instruments as a different dimension (i.e. in the Z axis) add substantial reporting costs
for a different kind of solution? Would respondents propose a different approach to reduce the
reporting costs (e.g. breakdown in rows by fixed/floating rate instrument, or instead of having it in
a different dimension duplicate the columns of the panel to fit fixed and floating in different
columns)? Please elaborate.

4.2.3 J 01.00 template – IRRBB sensitivity estimates: EVE/ NII SOT and MV changes

Question 11: Do respondents currently compute the figures in column 0020 for internal monitoring
and/or supervisory reporting? If not, do respondents perceive that column 0020 adds considerable
reporting costs in order to calculate these figures (please consider that it would only be reported
for the aggregate of all currencies)? Would respondents propose a different approach to reduce
the reporting costs? Please elaborate.

4.2.4 J 03.00 / J06.00 template: Repricing cash flows

Question 12: Does the inclusion of carrying amount and credit risk exposure amount cause
implementation challenges? If yes, please describe the challenges.

4.2.5 J 08.00 template: Qualitative information

Question 13: What other types of methodologies for NII could be reported in row 0030?

Question 14: What other types of methodologies for EVE could be reported in row 0070?

Question 15: What other risk-free yield curves used for discounting could be reported in rows 0320
and 0330?

Question 16: Since it is necessary to collect qualitative information to complement the quantitative
to get a full overview of the IRRBB risks from a supervisory perspective, do respondents see other
IRRBB-related aspects that might be necessary to cover?

Question 17: Do respondents see any issue about reporting the qualitative information in J 08.00?
How do respondents consider this information in terms of usefulness and practicability?

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4.3 Feedback on the public consultation

The EBA publicly consulted on the draft proposal contained in this paper.
The consultation period lasted for 3 months and ended on 2 May 2023. Twelve responses were
received, of which nine were received on a non-confidential basis and published on the EBA
website.
This paper presents a summary of the key points and other comments arising from the consultation,
the analysis and discussion triggered by these comments and the actions taken to address them if
deemed necessary.
In many cases several industry bodies made similar comments, or the same body repeated its
comments in its response to different questions. In such cases, the comments and the EBA’s
analysis are included in the section of this paper where the EBA considers them most appropriate.
Changes to the draft ITS have been incorporated as a result of the responses received during the
public consultation.

Summary of key issues and the EBA’s response

Overall, the respondents recognise that the implementation of the IRRBB package shall be closely
monitored with these ITS. Instructions have been deemed sufficiently clear, with further
clarifications provided in those areas where the industry raised some concern.
Some respondents requested to simplify these ITS to ease the burden for institutions (especially
SNCIs). Following this consultation, the content of these ITS has been streamlined and simplified to
fit the purpose of the underlying regulation.
The EBA reiterates that these ITS aim to provide supervisors with an appropriate set of data to
monitor and assess IRRBB exposures. This implies that these ITS shall allow supervisors to replicate
the results of the SOT on EVE and the SOT on NII, but also to identify the exposures where IRRBB
lies.
Furthermore, some technical issues were raised in response to the questions in the Consultation
Paper.
Finally, some respondents proposed to narrow the scope of the advanced ad-hoc data collection
and delay its reference date. The EBA reiterates that given the current environment of high inflation
combined with growing interest rates, the impact of interest rates’ changes on institutions’
management of the interest rate risk shall be closely monitored. Moreover, having the QIS on IRRBB
already in place allows institutions to easily adapt their reporting to these ITS.

EBA response
The EBA welcomes the support for these draft ITS and agrees that it is important to ensure the
availability to supervisors of an appropriate set of data to monitor and assess IRRBB exposures. This
should consider proportionality and a limited burden on institutions reporting these ITS.
These draft ITS need to be submitted to the Commission for adoption.
The EBA believes this timeframe provides institutions with sufficient time to implement the draft
ITS. A more detailed presentation of the comments received and of the EBA response is included in
the table set out below.

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Summary of responses to the consultation and the EBA’s analysis

Comments Summary of responses received EBA analysis Amendments to the proposals

General comments
Many respondents provided very homogeneous feedback to different questions, sometimes not directly answering the questions raised in the CP. Therefore,
the EBA staff has aggregated certain comments by topic, including details on the main points covered in the summary section of the feedback statement,
above.
Following the amendments to these ITS, the numbering of the templates has changes as follows:

As consulted After consultation

J 01.00 - EVALUATION OF THE IRRBB: EVE/NII SOT AND MV CHANGES No changes

J 02.00 - BREAKDOWN OF SENSITIVITY ESTIMATES No changes

J 03.00 - REPRICING CASH FLOWS J 05.00 - REPRICING CASH FLOWS

J 04.00 - RELEVANT PARAMETERS J 08.00 - RELEVANT PARAMETERS

J 05.00 - BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED) J 04.00 - BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR SNCIS)

J 06.00 - REPRICING CASH FLOWS (SIMPLIFIED) J 07.00 - REPRICING CASH FLOWS (SIMPLIFIED FOR SNCIS)

J 07.00 - RELEVANT PARAMETERS (SIMPLIFIED) J 09.00 - RELEVANT PARAMETERS (SIMPLIFIED FOR SNCIS AND 'OTHER'
INSTITUTIONS)

J 08.00 - QUALITATIVE INFORMATION J 10.00 - QUALITATIVE INFORMATION

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

New templates

J 03.00 - BREAKDOWN OF SENSITIVITY ESTIMATES (SIMPLIFIED FOR 'OTHER' INSTITUTIONS)

J 06.00 - REPRICING CASH FLOWS (SIMPLIFIED FOR 'OTHER' INSTITUTIONS)

J 11.00 - QUALITATIVE INFORMATION (SIMPLIFIED FOR SNCIS AND 'OTHER' INSTITUTIONS)

The EBA notes that for the purposes of the

SOT on EVE and SOT on NII, institutions shall
include in the evaluation of their interest risk
positions at least for each currency where
they have a position that is material in
accordance with Article 1(3) of the RTS on
SOTs. This implies that material currencies
Four respondents argue that reporting the
shall be monitored and assess under the
amounts for the baseline scenario (to be
baseline scenario as well as the shock ones –
reported in J 01.00, J 02.00, and J 05.00)
Baseline scenario […] currency separately for which the No amendments.
disaggregated by currency is not currently
institution has positions where the accounting
available in their internal systems and would
value of financial assets or liabilities
entail some challenges.
denominated in a currency amounts to 5% or
more of the total non-trading 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 non-
trading book financial assets (excluding
tangible assets) or liabilities.

Reporting currency One respondent asks for clarification on how The EBA clarifies that institutions shall report No amendments.
the aggregate template shall be reported as J 01.00 in the total currency - i.e. by

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

well as on how the other relevant currencies aggregating currencies as per Article 4(l) of the
shall be reported. RTS on SOT. In particular:
When calculating the aggregate change for
each interest rate shock scenario, institutions
shall add together any negative and positive
changes occurring in each currency.
Currencies other than the reporting currency
shall be converted to the reporting currency at
the ECB spot FX rate on the reference date.
Positive changes shall be weighted by a factor
of 50% or a factor of 80% in the case of
Exchange Rate Mechanism - ERM II currencies
with a formally agreed fluctuation band
narrower than the standard band of +/- 15%.
Weighted gains shall be recognised up to the
greater of (i) the absolute value of negative
changes in EUR or ERMII currencies and (ii) the
result of applying a factor of 50% to the
positive changes of ERMII currencies or EUR,
respectively.
Moreover, the reporting currency and the
other relevant currency shall be also reported
separately for this template.
The other templates included in these ITS
have to be reported for the reporting currency
and the other relevant currency.

Behavioural vs. Three respondents ask for further The EBA notes that the definition of
No amendments.
contractual clarification on the distinction between the contractual repricing terms is given in Article

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

terms behavioural and contractual. These 1(1)(18) of the EBA RTS on SA. Furthermore,
respondents mention that these definitions behavioural cash flows shall be based on
can be ambiguous when cash flows are contractual cash flows and modified for
defined by contracts subject to behaviour of behavioural aspects, and also when subject to
a third party. behaviour of a third party.

The EBA notes that templates have been

streamlined by removing the breakdown of
derivatives in: i) short and long positions; ii) by
counterparty; and iii) by non-linearity and
Two respondents mention that their current
linearity, which was proposed in the version of
systems do not allow the separation into
the ITS that has been consulted. It has The breakdown into assets and
short and long positions for the PV of
changed and is now differentiated between: liabilities of J 02.00, J 03.00 and
derivatives.
1. Derivatives used to hedge assets and J 06.00 has been changed
Furthermore, nine respondents argue that
liabilities, with the breakdown into following the inputs of the
the breakdown of derivatives by
‘debt securities’ and other. These industry for this consultation.
counterparty do not provide any added value
Breakdown of derivatives amounts shall be available by each It now allows for differentiation
for operative IRRBB risk management and
for J 02.00, J 03.00 and J institution. between derivatives used for
create some reporting burden for
06.00
institutions. 2. Other derivatives have been added to hedging the assets and those
cover the remaining instruments not used for hedging liabilities.
Five respondents note that the information
covered in the new proposed Moreover, this breakdown has
on linear derivatives does not necessarily
breakdown for derivatives in been streamlined by only
coincide with market practice. Thus, including derivatives classified
assets/liabilities.
introducing the breakdown between linear as ‘debt securities’ and others.
and non-linear derivatives might create some 3. Moreover, in the ‘Memorandum
reporting burden for institutions. items’, the net positions of derivatives
and the balance sheet value with and
without them has been added. All
these three figures have been
considered available following the

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

comments received by the industry in
this consultation.

As regards the request for further

One respondent asks for further clarifications clarifications on how to report multi-phase
on how to report multi-phase instruments instruments, the EBA clarify that instruments
(e.g. fixed-to-float or float-to-fixed loans) with a specific contractual maturity, where the
since it is not clear how these positions shall contractual repricing is above 1 year shall be
Fixed vs floating rate be represented. reported as fixed rate instruments, when No amendments.
instruments reported in the repricing cash flows template.
One respondent suggests reducing the
breakdown of the balance sheet items while The EBA notes that the balance sheet items in
keeping the differentiation between fixed the scope of these ITS have been significantly
and floating rate instruments. reduced, also having more streamlined
reporting for ‘other’ and SNCIs.

Four respondents request clearer The EBA reiterates that:

information regarding the following i. Basis risk is defined in Article 21 of the
questions in template J 08.00: RTS on SA.
i. (0060) it should be clarified if the ii. Institutions should regularly, at least
question refers to the basis risk add- quarterly and more frequently in
Further clarifications on J on described in Article 21 of the RTS times of increased interest rate No amendments.
08.00 on SA. volatility or increased IRRBB levels,
ii. (0100) the expectation should be measure their exposure to IRRBB in
clarified since scenarios are defined the context of the different IRRBB
for each currency and not by curves. measures under various interest rate
shock scenarios for potential changes
iii. (0150, 0160 and 0170) it should be in the level and shape of the interest
possible to differentiate between rate yield curves, and to changes in

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

SOT on EVE and SOT on NII since the the relationship between different
latter has not been enforced yet. interest rates (i.e. basis risk).
iv. (0260, 0270) it is not clear how iii. Since the expected first reference
institutions shall indicate changes in date for these ITS is Q3 2024, no
their IRR mitigation and hedging differentiation between SOT on EVE
strategies in any of the scenarios and SOT on NII shall be provided at
envisaged in the EBA RTS on SOT for the moment.
EVE:
iv. Institutions are expected to indicate
v. (0360) it should be clarified if the whether they expect to develop
question refers to the reporting changes in their IRR mitigation and
reference date. hedging strategies in the worst-case
scenario for both SOT on EVE and SOT
vi. Overall, qualitative responses could
on NII.
also be drawn out by the data in
templates J 01.00 to J 07.00. Thus, v. It shall be assessed whether at the
questions are considered redundant. reporting reference date the post-
shock interest rate floor applies to any
currency.
vi. Even though some of the qualitative
responses might be drawn out by the
quantitative data in templates J 01.00
to J 07.00, it has to be underlined that
these questions aim to ease the
interpretation of supervisory analyses
on IRRBB.

Following the industry concerns, the

Two respondents argue that the breakdown
Loans by collateralisation proposed breakdown for loans has been In J 03.00 to J 07.00, for ‘Loans
proposed for retail loans do not provide any
streamlined by removing ‘of which: fixed rate’ and advances’:
added value for operative IRRBB risk
and ‘of which: consumer loans’. Furthermore,

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

management and might create reporting the ‘of which: secured by immovable i. ‘of which: consumer
burden for institutions. property’ has been replaced with the part of Loans’ is no longer
loans used for real estate purposes, which requested; and
shall be easily identified by each institution.
ii. ‘of which: secured by
immovable property’
has been changed in ‘of
which: secured by
residential real estate’.

Five respondents request additional

As regards the request for additional
clarification for the definition of market value
clarifications around the different possibilities
calculations. They mention that there might
for reporting derivatives under the market
be different possibilities to include amortised
value calculations, the proposed breakdown
cost issuances hedged with derivatives at fair
for derivatives now enables differentiation
value, e.g.:
between those that are used for hedging
i. the legs of the derivative could be assets and those used for hedging liabilities.
split into asset and liability; or
The EBA reiterates that the ITS cover a wider
ii. both legs could be included together scope, not only limited to the RTS on SOTs.
MV Calculations as net positions within the Thus, since institutions should mitigate risks No amendments.
derivatives line; or that affect both their economic value and NII
measures plus market value changes, this
iii. include both legs together with the
information for NII is deemed to be required.
covered issuance (ΔMV net of the
effect of hedges). Finally, the EBA notes that institutions shall
report measures after the market value
One respondent requests further
changes of instruments have been accounted
clarification on which positions shall be
for/taken into account depending on
expected to be reported under MV
accounting treatment either through fair
instruments in J 01.00 when the institution is
value measures or nGAAP.
not using IFRS Standards, but nGAAP instead.

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

Three respondents requested formal

confirmation regarding the new IRRBB The EBA clarifies that, once adopted, these ITS
National reporting reporting requirements completely replacing would partially replace the existing reporting
No amendments.
requirements the previous IRRBB reporting requirements requirements of NCAs and the ECB-STE in
of the NCAs and the ECB Short term exercise order to avoid duplicated information.
(STE).

As regards the breakdown of NMDs into

One respondent mentions that requiring
operational deposits and fixed rate deposits in
breakdown of modelled NMDs between
J 02.00, the EBA remarked that for ‘others’, the
operational deposits and fixed rate deposits
proposed breakdown for NMDs has been now
do not support the internal management of
deleted. This implies that only totals for each The breakdowns of NMDs in J
IRRBB.
NMDs balance sheet positions have to be reported 02.00 has been removed for
Additionally, another respondent considers therein. ‘others’.
that in order to show the changes in the
Furthermore, in order to avoid creating
stability of the demand deposits under
additional burden for institutions, it is
internal models, it would be helpful to also
proposed to not add the volume of NMDs to
include the changes in their volume.
the other information collected.

Five respondents request some clarifications Following the comments received ‘PVO1
on whether any transaction with automatic (without automatic optionality)’, it has been
optionality shall be included in the decided to replace this field with the In J 02.00 and J 05.00, the field
calculations regardless of whether the option ‘Duration’, which shall be reported estimated ‘Duration’ has been added. In
is activated. with optionality, now included in J 02.00 and J contrast, the field ‘PVO1
PVO1
(without automatic
Four respondents consider that this measure 05.00, which can give more meaningful
optionality)’ has been removed
provides limited additional information information about IRRBB exposures.
from J 03.00 and J 06.00.
about the IRRBB exposure, without Institutions shall report the duration as in the
improving the quality of IRRBB internal formula below:
management (especially for small entities). It

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

is suggested to replace this measure with −𝑃𝑉𝑂1
𝐷𝑚𝑜𝑑 =
alternative ones such as ‘duration’, which can 𝐸𝑐𝑜𝑛𝑜𝑚𝑖𝑐 𝑉𝑎𝑙𝑢𝑒 ∗ 0.0001
improve IRRBB reporting. Where both PV01 and Economic Value
measures in the formula are expected to be
calculated with automatic/behavioural
optionality.
Furthermore, ‘of which: embedded automatic
optionality’ in J 02.00 to J 04.00 on an
aggregated basis for assets and for liabilities
has been also added to allow supervisors to
assess whether institutions are meeting the
regulatory requirements (in line with Article 4
of the draft RTS on SOT and Articles 12, 14 and
15 of the RTS on SA.) and consider if further
investigation on this matter is necessary.

Three respondents argue that these ITS The EBA notes that the repricing schedules are
require institutions to provide non-existentperfectly aligned with those included in the
notional repricing schedules, entailing someexisting templates of the EBC-STE (short-term
Repricing cash flows challenges for internal systems. exercise). Thus, institutions should already No amendments.
In contrast, one respondent requested to have reporting requirements in their IT system
align the repricing schedules with those and internal tools, which are expected to be
currently existing in the ECB STE template. easily adapted to these ITS.

One respondent asks for clarification on the The EBA reiterates that since IRRBB regulatory
scope of consolidation. In particular, it is requirements need to be met at both solo and
Scope of consolidation mentioned that it is not clear whether these consolidated levels, these ITS require No amendments.
ITS would require institutions to report them institutions to report at both solo at
at solo and/or consolidated levels. consolidated levels.

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Comments Summary of responses received EBA analysis Amendments to the proposals

Furthermore, five respondents request
reporting at the consolidated level only,
arguing that providing information for each
legal entity in a group would dramatically
increase the overall implementation and
ongoing cost.

In the EBA’s view, clarifications given under

‘sign convention’ allow institutions to
Two respondents request further correctly report the templates included in
clarification regarding the sign convention these ITS. For the sake of clarity, it is worth
and the number of digits/decimal places reminding that:
expected for monetary units and for
1. The changes (Δ) of EVE, NII and MV
Sign convention percentages. One of these respondents No amendments.
shall be reported with positive or
mentions that since the sign can be reported
negative values, depending on the
as negative already proves the argument that
variation.
the adopted sign convention can give rise to
confusion. 2. Values need to be reported in a
harmonised monetary unit across all
templates.

Four respondents mention that requesting The EBA reiterates that these ITS aim to
weighted average maturities goes beyond provide supervisors with an appropriate set of
the underlying regulation. data to monitor and assess IRRBB exposures.
Weighted average maturity and yield are both
Five respondents mention that requesting
Other issues information that allow supervisors to assess No amendments.
the weighted average yield goes beyond the
IRRBB risks. Thus, both figures are deemed
underlying regulation and could create some
necessary. Furthermore, it is the EBA’s
reporting burden for institutions.
understanding that they are both available in
Furthermore, another respondent considers institutions’ internal systems (e.g. these two
that reporting the percentage values of figures are both already included in the QIS on

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

exposures with embedded or explicit IRRBB, entailing a marginal effort for
automatic optionality might go beyond the institutions to provide them).
underlying regulation.
Following this consultation, the field ‘PVO1’
has been removed from templates J 04.00 and
J 06.00.

Responses to questions in Consultation Paper EBA/CP/20xx/xx

Question 1.
Are the instructions and
templates clear to the The EBA welcomes the comments
respondents? More Seven respondents recognise that the
acknowledging that the instructions are
specifically, do respondents instructions are sufficiently clear. In contrast,
deemed sufficiently clear. That said, the EBA
consider that all definitions two respondents consider the instructions
notes further clarifications have been
are unambiguous and are unclear in certain parts and need further No amendments.
provided in those areas of the instructions
accurate (e.g. linear and clarification. Furthermore, one respondent
where the industry has asked for them.
non-linear derivatives, asks whether instructions could be
Furthermore, they have also been
contingent assets and simplified.
streamlined and simplified where possible.
liabilities, total
assets/liabilities with
impact on MV, etc.)?

Eight respondents argue that the content of The EBA reiterates that these ITS aim to
Question 2.
the ITS exceeds the calculation requirements provide supervisors with an appropriate set of
Do the respondents contained in the underlying regulatory data to monitor and assess IRRBB exposures.
identify any discrepancies regime for IRRBB. These respondents This implies that these ITS shall allow No amendments.
between these templates highlight that there might be discrepancies supervisors to replicate the results of the SOT
and instructions and the between these ITS and the calculations of the on EVE and the SOT on NII, but also to identify
calculation of the requirements set out in the underlying the exposures where IRRBB lies.

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

requirements set out in the regulation. In contrast, three respondents did
underlying regulation? not find any discrepancies.

Four respondents remark that the

Question 3. breakdowns proposed in templates J 02.00, J In the EBA’s view, after amending these ITS,
Do the respondents agree 03.00 and J 04.00 deviate from the ECB STE following this consultation, their content fit
that the amended ITS fits templates, exceeding the requirements of the purpose of the underlying regulation, and No amendments.
the purpose of the the IRRBB regulatory package. In contrast, also allow supervisors to monitor and assess
underlying regulation? one respondent fully agrees that these ITS fit IRRBB exposures in a harmonised manner.
the purpose of the underlying regulation.

Question 4. Three respondents provide specific figures

regarding the number of FTEs employees
How many full-time
required. One of these respondents argue
equivalent (FTE) employees
that this implementation would require 4
does your institution
FTEs employees for 12 months. Another The EBA takes note of the resources needed
expect to involve in the
respondent believes that between 2 to 4 FTEs for the specific cases mentioned in this
implementation for how
employees would be required for a period consultation. To address some of the concerns
many months in order to
between 2 and 6 months. Finally, the third regarding the implementation time of these
meet reporting
respondent deems that 6 FTEs employees ITS, it has to be reminded that the first
compliance? Please No amendments.
would be required for a period of 8 months. expected application date is as of Q3 2024.
provide instructions for
specific templates and In contrast, five respondents note that it is This implies that these ITS are expected to be
options relevant for your difficult to measure how many FTEs submitted to the European Commission and
institution. Please also employees an institution expects to involve to be published in the Official Journal more
indicate whether the same in the implementation and for how many than 1 year ahead of its application.
implementation will be months.
used by many reporting
Additionally, four respondents highlight that
institutions such that costs
some institutions do not have an integrated
are shared among them.
system. Thus, an adequate IT infrastructure

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

needs to be developed, entailing relevant
changes in internal tools.
In terms of the time schedule envisaged for
Question 5. the implementation of these ITS, 6
The EBA reiterates that the implementation of
What technical and respondents consider it an ambitious
these ITS will follow the normal process. The
procedural dependencies timeline and envisage difficulty in timely
first reference date is expected to be in Q3
does the implementation compliance with it. Overall, respondents
2024, which should give enough time to allow No amendments.
of the ITS imply for your argue that the development of internal tools
institutions to develop internal tools and IT
institution? How do they and IT systems to get the new metrics, the
systems to implement the new IRRBB
affect the time schedule of breakdowns and information included in
reporting requirements.
the implementation? these ITS the mapping of the would require
time to be implemented.
Ten respondents agree that the decision to
simplify reporting templates is the best Following this consultation, templates have
approach in implementing proportionality. been streamlined and simplified for large,
Question 6. Seven of these respondents remark that the medium and small non-complex institutions.
proposed templates for large institutions This to reduce the complexity and the burden
Do respondents agree that seem to be disproportionate since it does not these institutions might face to comply with
the decision to simplify take into consideration the complexity these these ITS.
reporting templates is the institutions could face to comply with these
best approach in The EBA reiterates that expected first
ITS. No amendments.
implementing reference date for these ITS is Q3 2024. Thus,
proportionality? If you do In order to ease the compliance with these institutions should have the appropriate time
not agree, what other ITS, three respondents propose a phased-in to comply with these ITS.
proposal would be more approach for all templates, even if the data
Following the request of removing column
efficient to reduce costs? points required would be reduced after
0020 (Contractual amount) in J 01.00, this has
consultation. Furthermore, one respondent
been removed to ease the reporting of these
remark that, considering the costs that
ITS (see also Question 11).
institutions afforded in terms of IRRBB IT
systems used for the EBA NII stress test, these

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

ITS should leverage on a similar portfolio
granularity, with minimal changes, for
templates 2 and 3. Additionally, one
respondent argue that an efficient way to
reduce costs would be to maintain the basic
SOT on EVE, without requesting an additional
figures/measures including only contractual
features – i.e. deleting col 0020 in J 01.00.

Question 7.
In J 06.00 the following fields
Do respondents perceive Three respondents consider that the have been deleted:
that the reporting Although receiving the same amount of
reporting requirements are proportionate for 1. For Loans and
requirements are comments in favour of (or against) the
SNCIs. advances:
proportionate for small and proportionality for SNCIs, a streamlined and
non-complex institutions In contrast, three respondents suggest that simplified version of templates J 06.00 and J a. of which: non-
(SNCIs)? How could SNCIs should report only templates J 01.00, J 08.00 is now included in these ITS. In performing.
proportionality be further 05.00, and J 08.00. If the EBA decides to keep particular, the breakdowns for i) ‘Loans and
also J 06.00 and J 07.00, the requested advances’, ii) ‘Derivatives’, iii) ‘Debt securities 2. For Derivatives:
improved for these
institutions? Particularly, information shall be reduced for both rows issued’, have been removed in J 06.00. In J a. of which:
does template J 08.00 on and columns to reduce the burden. 08.00, rows 0250, 0340 and 0350 have been interest rate
qualitative information add also removed. derivatives;
As regards the qualitative questions in J
substantial reporting costs 08.00, two respondents remark that this The EBA welcomes the comment b. of which:
to these institutions? Is information is usually available without any acknowledging that: i) the qualitative foreign
there some quantitative special burden. information required by these templates are exchange
information contained in available without any special burden; and ii)
Lastly, one respondent recognises that the derivatives;
Templates J 05.00, J 06.00 the expected frequency for these templates is
and J 07.00 that is overly expected frequency for these templates is c. breakdown of
appropriate.
burdensome? Is the feasible. derivatives by
expected frequency for counterparty;
templates J 05.00, J 06.00, J

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

07.00 and J 08.00 feasible d. Internal
and proportionate? counterparties.
3. For Debt securities
issued:
a. of which: AT1
or T2.
In J 08.00, rows 0250, 0340 and
0350 have been also removed.

Question 8. Six respondents suggest the following The EBA note that the data points of these ITS
Do respondents perceive amendments: has been significantly reduced following this Column 0020 (Contractual
that the reporting consultation. In particular, templates for large amount) has been removed in J
i. One respondent suggests limiting 01.00.
requirements are the scope for large institutions to institutions have been simplified and
proportionate for that envisaged for smaller ones, streamlined to reduce the burden for these The proposed breakdown for
institutions other than since it is believed that the data institutions, but also providing supervisors ‘loans and advances’ (in J 02.00,
large institutions and small collected from small institutions with a meaningful and appropriate set of data J 03.00 and J 04.00) does not
and non-complex would also be sufficient for the large to be used in their assessment of IRRBB risks. (now) include the following
institutions (‘other’ ones to get a good picture of the A dedicated template for repricing cash flows, cells:
institutions)? Is there some interest rate risks. to reported by other institutions, has been
1. Of which: consumer
quantitative information also introduced, with its information aligned
ii. Regarding SNCIs, five respondents loans.
contained in Templates J with SNCIs rather than large ones to limit the
02.00, J 03.00 and J 04.00 indicate treating these institutions reporting burden. In particular, the The proposed breakdown for
that is overly burdensome? differently because of: a) the ‘contractual amount’ has been removed in J ‘derivatives’ (in J 02.00 and J
Is the expected frequency different effort in absolute numbers, 01.00. The proposed breakdown for ‘loans 03.00) does not (now) include
for templates J 02.00, J which is disproportionately and advances’ and for ‘derivatives’ has been the following cells:
03.00, J 04.00 and J 08.00 burdensome for other institutions; reduced in J 02.00 and J 03.00. The part of
b) their different systemic nature. For 1. of which: interest rate
feasible and ‘loans and advances’ referring to ‘consumer
these reasons, some detailed derivatives;
proportionate? How could loans’ has been removed in J 04.00.
proportionality be further information, such as the breakdown

36
FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

improved for these of loans both retail and wholesale is As regards the request to simplify the 2. of which: foreign
institutions? considered overly burdensome. reporting requirements for SNCIs, the EBA exchange derivatives;
remarks that, as detailed and disclosed in
breakdown of derivatives
Question 7, the reporting requirement for
by counterparty:
these types of institutions has been
significantly reduced by simplifying templates 3. Internal
J 05.00, J 06.00 and J 08.00. counterparties;
4. Third parties
collateralised;
5. Third parties non-
collateralised;
breakdown of derivatives
by payment linearity:
6. Linear derivatives;
7. Non-linear derivatives.
For the amendments to
templates to be reported by
SNCIs, please refer to Question
7.

Question 9. Three respondents agree that the number of The EBA welcomes the comments
currencies requested in this package is acknowledging that the number of currencies
Do respondents agree that
proportionate. requested in this package is proportionate.
the number of currencies
No amendments.
requested in this reporting Four respondents consider that, including As regards the comment suggesting
package is proportionate? foreign-currency risk is not in within the disregarding foreign currency, the EBA notes
Particularly for templates J scope of IRRBB. These ITS should provide for that for the purposes of the SOT on EVE and
02.00 to J 08.00, do these an institution that fully and effectively SOT on NII, institutions shall include in the

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

amended ITS request right hedges its exposure to foreign currencies, evaluation of their interest risk positions at
amount of information for limiting institutions’ submission to their least for each currency where they have a
currencies that have a reporting currency. position that is material in accordance with
limited/marginal Article 1(3) of the RTS on SOTs. This implies
Finally, one respondent suggests that the
contribution to the IRRBB? that material currencies shall be monitored
number of reported currencies shall be
and assessed under the baseline scenario as
capped to the four main currencies as it is for
well as the shock.
the ECB STE exercise. Furthermore, it is
proposed to add one template with figures in
aggregated/total currencies.

Question 10. Seven respondents recognised that this new

dimension would be a substantial cost,
Do respondents currently The EBA notes that a third dimension
mainly for smaller institutions. To ease the
compute their IRRBB represented by the additional Z axis
reporting of J 03.00, it is proposed to follow a
figures, such as those in represents a substantial cost for institutions.
similar approach to that envisaged in
panels 03.00 and J 06.00, Thus, following the industry’s proposal, J In J 03.00, to avoid a duplication
template J 02.00, where the part of
broken down by 03.00 has been restructured by adding two of templates caused by a third
instruments fixed/floating can be identified
fixed/floating, for internal parallel panels for fixed IR and floating IR, dimension (i.e. z-axis) two
in rows (i.e. without adding the additional Z
monitoring and/or respectively. Furthermore, to reduce the parallel panels for fixed IR and
axis). Alternatively, a format in which such
supervisory reporting? If burden for institutions, repricing schedules up floating IR have been added.
information is separated into columns within
not, do respondents to 2 years only have been added for floating
the same reporting panel would also be Column for ‘carrying amount’,
perceive that the reporting IR.
welcomed, since the definition of a single ‘exposure amount’ and ‘PVO1’
of templates J 03.00 and J template is both cheaper than the definition As regards removing ‘exposure value’, this have been removed, with a
06.00 by fixed and floating of multiple templates; adding columns field has been replaced with the ‘notional column for the ‘notional
rate instrument as a enables determining total exposures that can amount’, which shall be easily available for amount’ added.
different dimension (i.e. in be reconciled with the combined exposure; any exposure in the balance sheet.
the Z axis) add substantial having the information available in columns Furthermore, ‘PVO1’ has been removed to
reporting costs with rather than separate templates allows for reduce the burden for institutions.
respect to a different kind better insight into the total position; adding
of solution? Would lines results in duplication that makes it more

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Comments Summary of responses received EBA analysis Amendments to the proposals

respondents propose a difficult to recognise total and specified
different approach to IRRBB exposures.
reduce the reporting costs
Furthermore, three of these respondents
(e.g. breakdown in rows by
suggest removing the ‘exposure value’ field
fixed/floating rate
since it is not related to IRRBB. The remaining
instrument, or instead of
respondents recognise that reporting the
having it in a different
PV01 and EVE metrics, which are managed
dimension duplicate the
on risk factors such as indexation, maturity,
columns of the panel to fit
repricing and optionality would require
fixed and floating in
developing a new engine within 1 year.
different columns)? Please
elaborate.

Question 11. Ten respondents remark that the figures in

column 0020 are not identified for internal The EBA notes that column 0020 (Contractual
Do respondents currently amount) in J 01.00 is not identified for internal
monitoring and/or supervisory reporting.
compute the figures in monitoring and/or supervisory reporting.
This would create additional material effort
column 0020 for internal Since reporting such a field would imply an
by IT infrastructure. Therefore, calculating
monitoring and/or additional material effort for the IT systems of
these figures would add considerable
supervisory reporting? If institutions increasing their reporting costs
reporting costs.
not, do respondents and considering that supervisors could access Column 0020 (Contractual
perceive that column 0020 Furthermore, one respondent argues that this information during their bilateral
amount) has been removed in J
adds considerable the ‘contractual amount’ column should be exchange with institutions, this column has
01.00.
reporting costs in order to deleted as its purpose is not clear. In contrast, been deleted in J 01.00.
calculate these figures two respondents propose reporting
(please consider that it contractual figures only yearly. The EBA remarks that if contractual cash flows
would only be reported for are adjusted for behavioural assumptions, and
Two respondents specify that institutions’ if they are based on behaviour that depends
the aggregate of all
exposures to ‘behavioural options’ result on a third counterparty, these cash flows have
currencies)? Would
from the contractual obligation of the to be reported as behavioural.
respondents propose a
counterparty to pass through cash flows from
different approach to

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

reduce the reporting costs? third parties that are subject to behavioural As regards the duplication of information in J
Please elaborate. options. Legally, these ‘behavioural cash 02.00 and J 03.00, in the EBA’s view, the type
flows’ are considered contractual cash flows. of information included in these two
templates is significantly different, since J
Finally, one respondent argues that template
02.00 refers to the sensitivity estimates for
J 02.00 is not necessary as the information
EVE and NII, while J 03.00 refers to the
can also be derived from the J 03.00
repricing cash flows. That said, the breakdown
template.
between these two templates has been
aligned to reduce the reporting burden for
institutions.

Twelve respondents argue that the inclusion

of both carrying amount and credit risk The EBA recognises that the inclusion of both
exposure amount can cause some ‘carrying amount’ and ‘exposure value’ might
implementation challenges. Two of these cause some implementation challenges for
respondents also consider that the need to institutions. Thus, both fields have been
compute three different types of values (the removed from J 03.00 and J 06.00, where the
Question 12. carrying amount, the exposure value and the ‘notional amount’ shall now be reported. In
Does the inclusion of accounting value) is redundant. Since the EBA’s view, the ‘notional amount’ shall be
Column 0010 (Carrying
carrying amount and credit institutions may not integrate their risk easily available for any exposure in the
amount) has been deleted in J
risk exposure amount management and accounting applications, balance sheet for each type of institution.
03.00 and J 06.00 and has been
cause implementation and that both carrying amount and exposure
Given the concerns about the carrying inserted in J 02.00 and J 05.00.
challenges? If yes, please value are generated through different
amounts, the EBA remarks that reporting
describe the challenges. processes and these are not automatically
carrying amounts allows supervisors to
aligned, requiring institutions to provide
identify unrealised losses in their IRRBB
accounting data does not contribute to the
assessment. Thus, to have a suitable approach
stated aim of these ITS.
for this assessment, column 0010 (Carrying
Additionally, two respondents remark that amount) has been deleted in J 03.00 and J
IRRBB arises from changes in market interest 06.00, but has been inserted in J 02.00 and J
rates and, thus, neither a regulatory

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

‘exposure value’ nor the counterparty are 05.00, where it can be directly compared to
relevant for measuring IRRBB. the EVE baseline.
Two respondents also argue that as the Furthermore, the EBA notes that while the
components of the carrying amount depend ‘carrying amount’ is also available as a FINREP
on the accounting practice adopted by the figure, the breakdown provided by these ITS is
institutions, nothing can be inferred from not. Thus, it is deemed appropriate and
such an amount. Thus, this item shall not be prudentially safe to keep this field in the scope
included in these ITS. Moreover, one of J 02.00 and J 05.00, which provide a more
respondent highlight that the carrying detailed breakdown of total assets and total
amount of total assets is already reported via liabilities.
financial reporting (FINREP) and thus, this
would mean an overlap in the requested
information, which should be avoided.
Finally, if the EBA would deem it fit to
maintain both carrying amount and exposure
value, four respondents ask for further
clarifications on the definitions of both items.

Question 13. Four respondents argue that there are no The EBA welcome the comments
What other types of other types of methodologies for NII that acknowledging that no other types of
methodologies for NII could be reported in row 0030. Moreover, methodologies for NII could be reported in No amendments.
could be reported in row one respondent considers the list to be row 0030. Thus, the list provided for in this
0030? exhaustive. field is to be considered exhaustive.

Four respondents highlight that there are no The EBA welcomes the comments
Question 14. other types of methodologies for EVE that acknowledging that no other types of
could be reported in row 0070. Moreover, methodologies for EVE could be reported in No amendments.
What other types of
one respondent considers the list to be row 0070. Thus, the list provided for this field
methodologies for EVE
exhaustive. is to be considered exhaustive.

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

could be reported in row
0070?

One respondent considers that no other risk-

free yield curves used for discounting could
be reported in rows 0320 and 0330, whereas
seven respondents argued for the inclusion
of other curves. In particular, of these
respondents:
i. One respondent suggests
considering as an option a granular
set of discounting curves for complex
Question 15. institutions (i.e. ON, 3M, etc.). The EBA notes that additional curves might be
The curves listed in points i. to
What other risk-free yield ii. Two respondents suggest that the reported in rows 0320 and 0330. Thus, the v. of this question have been
curves used for discounting sovereign curve for euros could curves suggested have been added as added as possible responses for
could be reported in rows relate either to the institution’s responses to be possibly reported for these questions 0320 and 0330.
0320 and 0330? country, a basket of sovereign issues two questions.
or the sovereign curve with the
lowest yield.
iii. Two respondents argue that
additional curves could be the
standard discounting curves of
overnight index swap (OIS) (e.g. the
euro short-term rate (€STR) swaps)
and interest rate swap (IRS) (e.g. 3M
Euribor swaps).

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

iv. Three respondents mention the plain
vanilla swaps (against 3M EURIBOR
and ESTR).
v. One respondent mentions the swap
curve (vs Euribor).

Question 16.
Since it is necessary to
collect qualitative
information to
complement the
quantitative information to Six respondents acknowledge that there are The EBA welcomes the comments
obtain a full overview of no other IRRBB related aspects that might be acknowledging that no other IRRBB-related No amendments.
the IRRBB risks from a necessary to be covered. aspects might be necessary to be covered.
supervisory perspective, do
respondents see other
IRRBB-related aspects that
might be necessary to
cover?

Three respondents state that there are no

Question 17. Questions 0250, 0340 and 0350
issues in reporting the qualitative The EBA welcomes the comments
have been removed for SNCIs
Do respondents see any information on an annual basis and consider acknowledging that there are no issues in
and ‘other’ institutions.
issue about reporting the it useful and appropriate to include them in reporting the qualitative information on an
qualitative information in J these ITS. annual basis and that these questions are Furthermore, in questions
08.00? How do deemed useful and appropriate for inclusion 0190, 0220, 0230, 0240, 0280,
Twelve respondents highlight that questions
respondents consider this in these ITS. 0290, 0300, 0310, 0340, 0350,
0250, 0340 and 0350 might be burdensome
information in terms of 0360 the option “not
for SNCIs. Thus, it is requested to simplify J

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FINAL REPORT ON DRAFT ITS ON SUPERVISORY REPORTING

Comments Summary of responses received EBA analysis Amendments to the proposals

usefulness and 08.00 for SNCIs, by removingthese To streamline and simplify the reporting applicable” has been added, for
practicability? questions. requirements for SNCIs, questions 0250, 0340 all types of institutions.
and 0350 have been removed for SNCIs.
Regarding the possible answers that can be
provided for questions 0190, 0220, 0230, Furthermore, in questions 0190, 0220, 0230,
0240, 0280, 0290, 0300, 0310, 0340, 0350, 0240, 0280, 0290, 0300, 0310, 0340, 0350,
0360 in J 08.00, two respondents suggest 0360 in J 08.00 the option ‘not applicable’ has
adding a ‘“not applicable’ option to prevent been added for all types of institutions in
misunderstandings. Furthermore, one order to avoid misunderstandings.
respondent finds it convenient to enable
As regards the request to have open
slots to include open comments for each line
comments for each line in J 08.00, these ITS
of the questionnaire to specify or qualify the
shall provide an appropriate set of data that
answer to the multiple-choice options.
allow supervisors to systematically assess
IRRBB risks, thus, allowing supervisors to also
develop their automatised tools and IT system
to analyse the data collected through these
ITS.

44