Commission Implementing Regulation (EU) 2022/631 of 13 April 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/637 as regards the disclosure of exposures to interest rate risk on positions not held in the trading bookText with EEA relevance.

Article 448(1), point (b), of Regulation (EU) No 575/2013.

Institutions shall report the changes in the net interest income under the two supervisory interest rate shock scenarios envisaged in the template for the current and previous period, in accordance with the requirements under Articles 84 and 98(5) of Directive 2013/36/EU.

Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, institutions shall describe the definition and key characteristics (scenarios, assumptions and net interest income horizons) of net interest income they are using in point (i) of table EU IRRBBA or, if they leave those columns blank, they shall explain the reasons in point (i) of table EU IRRBBA.

RowExplanation1

Parallel up

Institutions are to disclose the changes of the economic value of equity and the changes of the net interest income under a constant parallel upward shock in the yield curve.

Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.

2

Parallel down

Institutions are to disclose the changes of the economic value of equity and the changes of the net interest income under a constant parallel downward shock in the yield curve.

Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.

3

Steepener

Institutions are to disclose the changes of the economic value of equity under a scenario of short rates down and long rates up of the yield curve.

Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.

4

Flattener

Institutions are to disclose the changes of the economic value of equity under a scenario of short rates up and long rates down of the yield curve.

Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.

5

Short rates up

Institutions are to disclose the changes of the economic value of equity under a scenario of short rates up of the yield curve.

Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.

6

Short rates down

Institutions are to disclose the changes of the economic value of equity under a scenario of short rates down of the yield curve.

Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.