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

time series model (Basel/EBA Stable/non-stable/PTR approach),

replication portfolio,

economic models (modelling financial wealth allocation to NMDs or alternative investments according to different market scenarios/economic factors),

expert judgement,

other.

0190

Identification of core component NMD balances

Institutions shall indicate whether they face challenges in identifying NMD core balances unconditional to the IR scenario:

yes,

no,

not applicable.

0200

Relevant drivers for NMD balances

Institutions shall list the name/s of the relevant driver/s used to identify core balances.

0210

NMD core component balances (slotting of core component balances)

Institutions shall indicate how they allocate NMD core balances:

all core balances allocated in only one repricing tenor,

core balances allocated in different repricing tenors.

0220

5-year NMD repricing cap on IRRBB risk management

Institutions shall indicate whether any unintended impact is observed in terms of IRRBB risk management and hedging strategies, due to the 5-year repricing cap in the IRRBB IMS:

yes,

no,

not applicable.

0230

Exemptions to the 5-year NMD repricing cap

Institutions shall indicate whether they use the exemptions to the 5-year repricing cap for any of their IRRBB products:

yes,

no,

not applicable.

0240

Modelling of operational NMDs from financial customers

Institutions shall indicate whether NMDs from financial customers classified as operational deposits, for which Article 27(1), point (a), of Delegated Regulation (EU) 2015/61 applies, are subject to behavioural modelling:

yes,

no,

not applicable.

0250

Changes in balance sheet structure due to interest rates

Institutions shall indicate the changes performed in their balance sheet structure since the last reporting on IRRBB:

reduction of the duration gap between asset/liabilities by reducing the duration of the asset,

reduction of the duration gap between asset/liabilities by increasing the duration of liabilities,

reduction of the duration gap between asset/liabilities by reducing the duration of the asset and increasing the duration of liabilities,

increase of the duration gap by increasing the duration of assets,

increase of the duration gap by reducing the duration of liabilities,

increase of the duration gap by increasing the duration of assets and reducing the duration of liabilities.

0260

IRRBB mitigation and hedging strategies (EVE)

Institutions shall indicate whether they expect to develop changes in their IRR mitigation and hedging strategies in any of the scenarios foreseen in Delegated Regulation (EU) 2024/856 for EVE:

parallel shock up,

parallel shock down,

steepener shock,

flattener shock,

short rates shock up,

short rates shock down.

0270

IRRBB mitigation and hedging strategies (NII)

Institutions shall indicate whether they expect to develop changes in their IRR mitigation and hedging strategies in any of the scenarios foreseen in Delegated Regulation (EU) 2024/856 for NII:

parallel shock up,

parallel shock down.

0280

SOT on NII risk measure under the IMS Approach – PTR of Retail Term deposits

Institutions shall indicate whether they pass through 100 % of market interest rates changes to the retail term deposits repricing after their maturity under the parallel +200 IR scenario:

yes,

no,

not applicable.

0290

SOT on NII risk measure under the IMS Approach – PTR of Fixed Retail Loans

Institutions shall indicate whether they pass through 100 % of market interest rate changes to the retail fixed loans repricing after their maturity under the parallel +200 IR scenario:

yes,

no,

not applicable.

0300

Basis risk

Institutions shall indicate whether they consider basis risk to be material:

yes,

no,

not applicable.

0310

Credit Spread Risk in the Banking Book (CSRBB)

Institutions shall indicate whether they considered a different perimeter of instruments subject to the CSRBB, as referred in Article 84(2) of Directive 2013/36/EU, for the NII and EVE metrics:

yes,

no,

not applicable.

0320

Risk-free yield curve (discounting in EVE SOT)

Institutions shall report the risk-free yield curve that have been used for discounting in accordance with Article 3(10) of Delegated Regulation (EU) 2024/856:

interbank secured,

interbank unsecured overnight,

interbank unsecured term,

sovereign curve,

product specific curve,

entity specific curve,

other.

0330

Risk-free yield curve (internal risk measures of EVE)

Institutions shall report the risk-free yield curve that have been used for internal purposes for discounting the internal risk measure of EVE:

interbank secured,

interbank unsecured overnight,

interbank unsecured term,

sovereign curve,

product specific curve,

entity specific curve,

other.

0340

Change of material assumptions (EVE)

Institutions shall indicate whether any material assumptions underlying the calculation of the supervisory standard shock in EVE SOT metrics have changed since the last reporting:

yes,

no,

not applicable.

0350

Change of material assumptions (NII)

Institutions shall indicate whether any material assumptions underlying the calculation of the supervisory standard shock in NII SOT metrics have changed since the last reporting:

yes,

no,

not applicable.

0360

Post-shock interest rate floor (NII/EVE)

In accordance with Article 3(7) of Delegated Regulation (EU) 2024/856, institutions shall indicate whether the maturity-dependent post-shock interest rate floor is binding for any of the specific currencies reported:

yes,

no,

not applicable.