Treatment of two-leg derivatives with respect to rate type and currency

Representation of the IR derivatives in J 05.00, J 06.00 and J 07.00   Notional amount  (Columns 0010 (Fixed) / and column 0260 (Floating)): Columns 0010 and 0260 in paragraph 2 of Part IV of ANNEX II of Commission Implementing Regulation (EU) 2024/855 states that Institutions shall report the outstanding principal amount of instruments and that in the case of derivatives, the outstanding principal amount of the asset (receiver) leg shall be reported (i.e. no netted amounts of receiver/payer legs). That means that the Notional columns 0010 (fixed rate) and 0260 (floating rate) should be filled only with values of the receiver leg, while the payer leg should not have any notional reflected. Repricing schedule for all notional repricing cash flows (columns 0070-0250 for Fixed and columns 0320-0390 for Floating): Columns 0070 to 0250 and 0320 to 0390 in paragraph 2 of Part IV of ANNEX II of Commission Implementing Regulation (EU) 2024/855 states that derivatives which are not automatic interest rate options shall be converted into positions in the relevant underlying and split into paying and receiving positions (short and long positions) in the relevant underlying. Paragraph 1.4 of Part IV of ANNEX II of Commission Implementing Regulation (EU) 2024/855 states that for derivatives hedging assets, the long leg (receiver/asset) of the derivative shall be considered with a positive sign, while the short leg (payer/liability) shall be considered with a negative sign when computing the net amounts per time bucket. The opposite applies to derivatives hedging liabilities, for which the long leg receiver/asset) shall be considered with a negative sign, while the short leg (payer/liability) shall be considered with a positive sign when computing the net repricing cash flows. Yield (columns 0050 for the fixed leg and column 0300 for the floating leg):  Commission Implementing Regulation (EU) 2024/855 is not prescriptive on the representation of the yield for derivatives. However, according to the requested split representation of the receiver/payer legs of the repricing cash flows is also understood for the yield, which shall be represented split for the receiver/payer leg of the interest rate derivative.    Representation of the IR derivatives in J 02.00, J 03.00 and J 04.00 Paragraph 5.1 of Part 1 of ANNEX II of Commission Implementing Regulation (EU) 2024/855 states that in the case of derivatives, the netted values of the derivative legs need to be reported. This reference should be understood applicable for interest rate derivatives on which both legs are denominated in the same currency. In particular, for these interest rate derivatives, both legs of the IR derivative shall be considered for the calculation of:  Duration (column 0010);  Their contribution to the EVE and delta-EVE (columns 0030 to 0090); Their contribution to the NII level and delta NII (columns 0100 to 0120); and  Their contribution to MV changes (columns 0130 t 0150), in case of IR derivatives hedging assets/liabilities with impact registered at market value.  For other interest rate derivatives on which the two legs are denominated in different currencies, separate representation of each leg shall be reported in the correspondent J 02.00/ J 03.00/ J 04.00 of the different currencies. The examples below are included to ease the reporting of such items:  Example1  Fixed IR asset changed to floating with an IRS – IRS floating receiver and fixed payer:  Representation in J 05.00, J 06.00 and J 07.00       Notional:  Positive values shall be reported in column 0260, for rows 0140 to 0170. In addition, if the IR derivative is hedging an asset registered at Fair value, the information shall be also reflected in row 0590 of J5.00       Repricing Cash Flows : Receiver floating cash flows shall be reported in positive in columns 0320 to 0390, for rows 0140 to 0170, and Payer fixed cash flows shall be reported in negative in columns 0070 to 0250, rows 0140 to 0170. In addition, if the IR derivative is hedging an asset registered at Fair value, the information of the repricing cash flows shall be also reflected in row 0590 of J 05.00/ J 06.00/ J 07.00.       Yield : The Yield of the receiver floating leg shall be reported in positive in column 0300, for row 0140, while the Yield of the payer fixed leg shall be reported in negative in column 0050, for row 0140. Representation in J 02.00, J 03.00 and J 04.00        Duration: It shall be reported in column 0020, for rows 0140, 0160 and 0170, where a negative duration is expected.         For row 0150 (of which: fixed rate), the Duration of both legs – fixed and floating – of IR hedges hedging fixed rate assets shall be reported.       Contribution to EVE/ NII : The contribution of both legs of the IRS shall be reported in rows 0140, 0160 and 0170.         For row 0150 (of which: fixed rate), the contribution of both legs – fixed and floating – of IR hedges hedging fixed rate assets shall be reported.        In addition, if the IR derivative is hedging an asset registered at Fair value, the information shall be also reflected for row 0590 of J2.00 / J 03.00 / J 04.00 in columns 0130 to 0150.   Example 2  Floating IR liability changed to fixed with an IRS – IRS floating receiver and fixed payer: Representation in J 05.00, J 06.00 and J 07.00       Notional:  Positive values shall be reported in column 0260, for rows 0470 to 0500. In addition, if the IR derivative is hedging a liability registered at Fair value, the information shall be also reflected in row 0630 of J 05.00/ J 06.00 / J 07.00.       Repricing Cash Flows : Receiver floating cash flows shall be reported in negative in columns 0320 to 0390, for rows 0470 to 0500, and the Payer fixed cash flows shall be reported in positive in rows 0470 to 0500 under columns 0070 to 0250. In addition, if the IR derivative is hedging a liability registered at Fair value, the information of the repricing cash flows shall be also reflected in row 0630 of J 05.00/ J 06.00 / J 07.00.       Yield : The Yield of the receiver floating leg shall be reported in negative in column 0300, for row 0470, while the Yield of the payer fixed leg shall be reported in positive in column 0050, for row 0470. Representation in J 02.00, J 03.00 and J 04.00        Duration: It shall be reported in column 0020 for rows 0470, 0490 and 0500, where a positive sign expected.          Contribution to EVE/ NII : The contribution of both legs of the IRS shall be reported in rows 0470, 0490 and 0500.                                             In addition, if the IR derivative is hedging a liability registered at Fair value, the information shall be also reflected for row 0630 of J 02.00/ J 03.00/ J 04.00 in columns 0130 to 0150.   Example 3 Other Interest rate derivatives not designed as accounting hedges – IRS floating receiver and fixed payer: Representation in J 05.00, J 06.00 and J 07.00        Notional: Positive values shall be reported in column 0260, for row 0530.        Repricing Cash Flows : Receiver floating cash flows shall be reported in positive in columns 0320 to 0390, for row 0530, and the Payer fixed cash flows reported in negative in columns 0070 to 0250, for row 0530.        Yield: The Yield of the receiver floating leg shall be reported in positive in column 0300 under row 0530 and the Yield of the payer fixed leg will be reported in negative in column 0050 under row 0530.    Representation in J 02.00, J 03.00 and J 04.00        Duration: It shall be reported in column 0020 for row 0530, with a negative sign expected.        Contribution to EVE/ NII : The contribution of both legs of the IRS shall be reported under row 0530.         Example 4 Fixed USD asset changed to fixed EUR with a CCS USD fixed payer / against fixed EUR receiver:   Representation in J 05.00, J 06.00 and J 07.00         Notional:  Positive values shall be reported (only for the receiver leg in EUR) in column 0010, for rows 0140 to 0170 in J 05.00 reported in EUR (any notional shall also reflected in J 05.00 USD)       Repricing Cash Flows : Receiver fixed EUR shall be reported in positive in columns 0070 to 0250, for rows 0140 to 0170, of J 05.00 EUR, while the Payer fixed USD shall be reported in negative in columns 0070 to 0250, for rows 0140 to 0170, of J 05.00 USD.       Yield : The Yield of the receiver fixed EUR leg shall  be reported in positive in column 0050 for row 0140 of J 05.00 EUR, and the Yield of the payer fixed USD leg shall be reported in negative in column 0050 for row 0140 of J 05.00 EUR.   Representation in J 02.00, J 03.00 and J 04.00         Duration :  In J 02.00 EUR , the duration shall be reported for rows 0140, 0160 and 0170, for only the fixed receiver leg in EUR, with a positive sign expected. In J 02.00 EUR for row 0150 (of which: fixed rate), it shall be reported the duration of fixed receiver EUR leg of the CCS hedging fixed rate assets in USD. In J 02.00 USD , the duration shall be reported under rows 0140, 0160 and 0170, for only the fixed payer leg in USD, with a negative sign expected. For row 0150 (of which: fixed rate), it shall be reported the duration of the fixed payer USD leg of the CCS hedging fixed rate assets in USD.        Contribution to EVE/ NII :  In J 02.00 EUR, the contribution of the receiver fixed leg in EUR for rows 0140, 0160 and 0170 shall be reported. For row 0150 (of which: fixed rate), it shall be reported the contribution of the fixed receiver EUR leg of the CCS hedging fixed rate assets in USD. In J 02.00 USD, the contribution of the payer fixed leg in USD for rows 0140, 0160 and 0170 shall be reported. For row 0150 (of which: fixed rate), it shall be reported the contribution of the fixed payer USD leg of the CCS hedging fixed rate assets in USD.