Question ID
2025_7610
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Interest Rate Risk for Banking Book (IRRBB)
Article
430
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
20/a
Type of submitter
Competent authority
Subject matter
Reporting of debt securities issued but not yet paid up
Question

What is the expected representation for a debt security issued but not yet paid up in the templates REPRICING CASH FLOWS (J05, J06 and J07)? Is the expected monetary inflow supposed to be reported and if so in which row?

Background on the question

Delegated Regulation EU 2024/855 does not provide explicit instructions with respect to the treatment of debt securities issued for which the inflow of money is expected in the future, and it has not occurred yet as per cut-off of the reporting template (i.e. the contract has been signed, and the security has been subscribed but not yet paid up). On the other hand, validation rule v22276 de facto does not allow negative values to be reported in the different buckets of the maturity ladder for row 0240. The closest example to such instrument is loan commitments which receive explicit treatment in the instructions as off-balance sheet assets and liabilities.

Submission date
Final publishing date
Final answer

In accordance with Article 3(2) of the Commission Delegated Regulation (EU) 2024/856, “Institutions shall include the following in their calculations of the economic value of equity: (a) all non-trading book positions from interest rate sensitive instruments; […]”.

In addition, paragraph 2 of Part I (General Instructions) laid down in Annex II of the Commission Implementing Regulation (EU) 2024/855 (ITS on IRRBB Reporting) provides that “Institutions shall project their IRRBB estimates and provide information on their interest rate exposures arising from the interest rate-sensitive positions in the banking book in scope […] In particular, institutions shall consider all instruments in accordance with Article 3(2), points (a) to (f), […] of Delegated Regulation (EU) 2024/856.”

As such, debt securities issued but not yet fully paid up are in scope and the reporting representation should reflect both long and short positions as the same product, i.e. representing both the liability and the asset in the same row (the interest payment and the final reimbursement of the principal as a liability with positive sign under the row 0240 and the future monetary inflow as a negative value in the same row). In other words, they should be reported entirely in row 0240 of template J05, J06 and J07.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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