Question ID
2026_7886
Legal act
Directive 2013/36/EU (CRD)
Topic
Interest Rate Risk for Banking Book (IRRBB)
Article
Commission Delegated Regulation (EU) 2024/856 (RTS on Supervisory Outlier Tests)
Paragraph
Article 4(l)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
Commission Delegated Regulation (EU) 2024/856 (RTS on Supervisory Outlier Tests) - Supplier Outlier Tests (SOT) - Article 4(l)
Type of submitter
Credit institution
Subject matter
Application and interpretation of the 50% / 80% weighting of positive changes under IRRBB SOT
Question

How should Article 4(l) of the RTS on Supervisory Outlier Tests be interpreted in relation to the weighting of positive changes, in particular regarding:

  1. Whether the 80% weighting factor and associated cap should apply to EUR, given that EUR is not an ERM II currency.
  2. Whether the reference to “absolute value of negative changes in EUR or ERM II currencies” when calculating the cap should be interpreted as a sum of negative changes across all currencies or as a minimum reference between EUR and ERM II currency buckets.
  3. Whether the weighting of positive changes should be applied at the individual risk level or at an aggregated level?
Background on the question

Taxonomy 4.2.1.3 introduces validation rule EGDQ_0931 applied to ITS on IRRBB reporting framework. The rule applies to template J.01 and implements the weighting of positive changes using a formula aggregating across scenario and currency groupings, including EUR and certain ERM II currencies. 

EGDQ_0931: {c0010,x1} = sum[{c0010,(sNNN excluding x1)} if negative] + 0.5 * sum[{c0010,(sNNN excluding x1,EUR,BGN,DKK)} if positive] + min(0.8 * sum[{c0010,(EUR,BGN,DKK)} if positive], max(abs(sum[{c0010,(EUR,BGN,DKK)} if negative]), 0.5 * sum[{c0010,(EUR,BGN,DKK)} if positive]))

 

Article 4(l) of the RTS provides that positive changes shall be weighted by 50%, or by 80% in the case of ERM II currencies with a narrow fluctuation band, with gains subject to a cap linked to negative changes. 

 

Differences in wording between the RTS and the implementation formula raise uncertainty regarding:

  • Inclusion of EUR in the 80% treatment.
  • Calculation of cap using the sum of negative changes across all currencies or as a minimum reference between EUR and ERM II currency buckets.
  • Level of application (per risk measure or aggregated).

Clarification is requested to ensure consistent implementation of the RTS in ITS reporting.

Submission date
Status
Question under review
Answer prepared by
Answer prepared by the European Commission because it is a matter of interpretation of Union law.