EBA IRRBB Templates
The reporting generation regenerates the flows of the situation, calculates the indicators of chapter 3 and then fills in, per currency, the blank EBA workbooks. The framework is Commission Implementing Regulation (EU) 2024/855, Annex XXIX.
This chapter gives the principles; the calculation of each row and column is in the J template cell details.
5.1 Contractual view, behavioural view
The indicators are calculated twice, once per flow origin (CONTRACTUAL, BEHAVIOURAL): each transaction is projected both under its contractual terms and under its behavioural terms, and adding the two would count each transaction twice.
| Templates | View used |
|---|---|
| J 01.00 | behavioural |
| J 02.00, J 03.00, J 04.00 | behavioural |
| J 05.00, J 06.00, J 07.00 | both: sheet .a = contractual terms, sheet .b = behavioural terms |
| J 08.00, J 09.00 | declared data + accounting outstanding |
| J 10.01 to J 11.02 | declared qualitative answers |
5.2 Template contents
J 01.00 — Supervisory outlier test and key metrics
| Row | Content | Formula |
|---|---|---|
| 0010 | Worst ΔEVE | \(\min (EVE_\sigma - EVE_{BASELINE})\) over the six supervisory shocks (empty without a baseline or any of these shocks) |
| 0020 | Worst ΔEVE / Tier 1 | row 0010 / capitalAmount (empty without capitalAmount or without row 0010) |
| 0030 | Baseline EVE | \(EVE_{BASELINE}\) |
| 0040 – 0090 | ΔEVE parallel up, parallel down, steepener, flattener, short up, short down | \(EVE_\sigma - EVE_{BASELINE}\) |
| 0100 | Worst ΔNII | \(\min (NII^{12m}_\sigma - NII^{12m}_{BASELINE})\) over the two parallel shocks (empty without a baseline or either shock) |
| 0110 | Worst ΔNII / Tier 1 | row 0100 / capitalAmount (empty without capitalAmount or without row 0100) |
| 0120 | Baseline NII | \(NII^{12m}_{BASELINE}\) |
| 0130 – 0140 | ΔNII parallel up, parallel down | \(NII^{12m}_\sigma - NII^{12m}_{BASELINE}\) |
| 0150 | Baseline MV | \(MV_{BASELINE}\) |
| 0160 – 0170 | ΔMV parallel up, parallel down | \(MV_\sigma - MV_{BASELINE}\) |
| 0180 – 0200 | Size of the parallel, short and long shocks | table in §1.2 |
J 02.00 / J 03.00 / J 04.00 — Breakdown of sensitivities
One row per FINREP classification of assets, liabilities and off-balance-sheet items; J 03.00 and J 04.00 are the simplified variants (same columns, fewer rows).
| Column | Content |
|---|---|
| 0010 | Accounting outstanding \(CA_c\) (§3.5) |
| 0020 | Modified duration \(D^{mod}_c = -EV01 / (EVE \times 0.0001)\) (§3.5) |
| 0030 | Baseline EVE |
| 0040 – 0090 | ΔEVE of the six scenarios |
| 0100 | Baseline 12-month NII |
| 0110 – 0120 | ΔNII parallel up / down |
| 0130 | Baseline MV |
| 0140 – 0150 | ΔMV parallel up / down |
- Parent rows: an aggregated row reports its own classification and all those that depend on it (sum of the child rows).
- “of which: fixed rate” rows (J 02.00): same duration, EVE and NII columns, calculated on the cash flows of fixed rate instruments as Annex XXIX, Part I, §3 defines them only: a floating rate instrument whose contractual repricing is more than one year away counts as fixed rate there, as in J 05.00 to J 07.00 (§3.6); no outstanding or MV.
- Net position memorandum rows (0540 net derivatives, 0550 net position excluding derivatives, 0560 net position including derivatives): signed sum of the relevant classifications, EVE and NII columns.
J 05.00 / J 06.00 / J 07.00 — Repricing cash flows
Two blocks per sheet: fixed rate (columns 0010 – 0250) and floating rate (0260 – 0390), on the BASELINE notional repricing cash flows of the sheet’s view: the principal and the coupons already fixed, not the floating coupons projected after the next refixing. A floating-rate instrument whose contractual repricing is more than one year away is in the fixed block (Annex XXIX, Part I, §3). On the contractual sheet, a non-maturity deposit is an overnight position. Details in §3.6.
| Columns (fixed / floating) | Content |
|---|---|
| 0010 / 0260 | Notional: outstanding principal, positive; receiver leg for a derivative (behavioural sheet only) |
| 0020 – 0040 / 0270 – 0290 | Shares with optionality or behavioural modelling: not calculated, left blank |
| 0050 / 0300 | Average annual yield (rate of the running period, margin included) weighted by principal \(\bar y_c\) |
| 0060 / 0310 | Average contractual maturity weighted by principal \(\bar M_c\) |
| 0070 – 0250 / 0320 – 0390 | Repricing schedule by time band (19 bands for fixed rate, 8 bands — up to 2 years — for floating rate) |
The average maturity (0060 / 0310) only counts the cash flows whose contractual maturity is known: an amortising loan enters at its final maturity, a non-maturity deposit at one day; a cash flow without a known maturity is left out, with one warning per report.
As for J 02.00, a parent row (and the total row) sums its child rows. Formulas in §3.6.
J 08.00 / J 09.00 — Relevant parameters (non-maturity deposits)
The notional of each category of non-maturity deposits (retail transactional, retail non-transactional, non-financial wholesale, financial wholesale) is the accounting outstanding of the corresponding FINREP classification. The “of which” rows equal this notional multiplied by the shares declared in the situation (stable share, exempt or operational share); the share subject to behavioural modelling and the pass-through rates are taken as declared. The average repricing dates and the prepayment and early withdrawal rates are not calculated: their cells are left empty.
J 10.01 to J 11.02 — Qualitative information
Each cell is an answer declared on the situation (additional data, by row code). Nothing is calculated; an unanswered question remains blank.
Uncomputed cells
A cell the engine does not compute is left empty, never written as 0: in a filing a 0 is a reported fact (“no optionality”, “repricing date of 0 years”), an empty cell a value not reported. One UnmappedDatapoint warning per sheet lists the rows and columns concerned. Left empty are:
- J 01.00 rows 0020 and 0110 when the situation declares no
capitalAmount; - J 02.00 rows 0020 and 0210 (of which: automatic optionality) and 0260 (of which: AT1/T2), which nothing models;
- J 02.00 – J 04.00 column 0020 of a row without a computable duration;
- J 05.00 – J 07.00 columns 0020 – 0040 and 0270 – 0290 (shares with automatic optionality or behavioural modelling), row 0260 (of which: AT1/T2), and the average yield and maturity (0050 – 0060, 0300 – 0310) of a row without any position: an average over nothing is not 0;
- J 08.00 / J 09.00: the average repricing dates, the prepayment and early redemption rows and the parameters not declared;
- J 10.01 – J 11.02: unanswered questions.
A computed 0 stays a 0: a row the portfolio holds no position in (zero outstanding, EVE, NII, notional and repricing buckets), a bucket without any flow, a net position without derivatives, a category of non-maturity deposits absent from the balance sheet.
5.3 Sign conventions
The engine is signed (liabilities negative) in all its calculations: totals, cumulative sums, net positions, worst change. The ITS convention — levels reported as positive whether the row is an asset or a liability — is applied as the last step, on the completed sheet:
- the liability rows of J 02.00 to J 04.00 (0200 to 0520) are negated on the EVE and NII columns (levels and Δ, 0030 to 0120); liability memorandum rows are also negated on the MV columns;
- the liability rows of J 05.00 to J 07.00 (0200 to 0520, and memorandum rows 0610 to 0640) are negated on the schedule columns (0070 to 0250 and 0320 to 0390), on both sheets: a liability is reported positive there (Part I, §5.1). For derivatives this is the rule of Part IV, §1.4: hedging assets (0140 – 0170), receiver leg positive and payer leg negative, as in the engine; hedging liabilities (0470 – 0500), the opposite, which the negation gives. The notional (already positive), yield, maturity and share columns are not modified;
- a liability is therefore reported as positive in the normal case, and as negative in the exceptions provided for by the Annex (interest received on a negative-rate deposit, liability hedging derivative in favour of the bank);
- the following are not modified: asset rows, net rows (0530 to 0560), outstanding and duration columns (already positive), and J 01.00, whose levels are balance sheet nets (assets minus liabilities).
With this choice, the EBA validation rules (v22158_m, v22159_m, v22161_m and their J 03.00 equivalents) are satisfied on all columns 0030 to 0120.