Breakdown of currencies to be reported

Paragraph 1.2 of Part II of Commission Implementing Regulation (EU) 2024/855  states that template J 01.00 shall be reported separately for each currency included in the calculation of the SOT in accordance with Article 1(3) and (4) of Delegated Regulation (EU) 2024/856, as well for the aggregated of all currencies for which Article 1(4) of that Delegated Regulation applies. When calculating the aggregate changes (for all currencies) for each interest rate scenario, Article 3(8) of delegated Regulation (EU) 2024/856 shall apply.  In accordance with Article 1(4) of Delegated Regulation (EU) 2024/856 a currency is set out as “material” if the institution has positions where the accounting value of financial assets or liabilities denominated in that currency amounts to 5 % or more of the total banking book financial assets or liabilities, or less than 5 % if the sum of financial assets or liabilities included in the calculation is lower than 90 % of total banking book financial assets (excluding tangible assets) or liabilities. All material currencies have to be included in the SOT. Paragraph 1.2 of (Part III in relation to [ J 02.00, J.03.00 J 04.00 ], Part IV  in relation to [ J 05.00, J.06.00 J 07.00 ] , and Part V in relation to [ J 08.00, J.09.00 ]) of Commission Implementing Regulation (EU) 2024/855 states that  institutions shall report these templates for each currency separately for which the institution has positions where the accounting value of financial assets or liabilities denominated in a currency amounts to 5 % or more of the total banking book financial assets or liabilities, or less than 5 % if the sum of financial assets or liabilities included in the calculation is lower than 90 % of total banking book financial assets (excluding tangible assets) or liabilities. Lastly, Paragraph 1.2 of Part VI in relation to Qualitative Information (J 10.00 and J 11.00) states that the information of those templates requested by currencies (rows 0320 to 0360),  applies for each currency separately for which the institution has positions where the accounting value of financial assets or liabilities denominated in a currency amounts to 5 % or more of the total banking book financial assets or liabilities, or less than 5 % if the sum of financial assets or liabilities included in the calculation is lower than 90 % of total banking book financial assets (excluding tangible assets) or liabilities.      The interpretation of the above paragraphs is that: For the computation of the SOT (template J 01.00 “all currencies”) the bank must include all “material currencies” as minimum , as defined in Article 1(4) of the Delegated Regulation (EU) 2024/856 [each currency separately for which the institution has positions where the accounting value of financial assets or liabilities denominated in a currency amounts to 5 % or more of the total banking book financial assets or liabilities, or less than 5 % if the sum of financial assets or liabilities included in the calculation is lower than 90 % of total banking book financial assets (excluding tangible assets) or liabilities], but the bank may also include other currencies in addition to the “material currencies”, if it also does so in its internal management systems and consistent through time . All the currencies included in the SOT calculation (and included for the computation of the impact of the aggregate changes -for all currencies- as reported in the template J 01.00 “all currencies”) must be reported in the breakdown by currencies of the template J 01.00 , irrespective of “material currencies” .  It is also expected that the figures reported in the template J 01.00 “all currencies” for the aggregate EVE/NII changes for each interest rate scenario should be consistent with the outcome of the application of the currency aggregation criteria (as provided in Article 3(8) of the Delegated Regulation (EU) 2024/856) applied over the EVE/NII changes reported for each interest rate scenario in the breakdown by currencies of the templates J 01.00.  At the same time, the breakdown by currencies requested in all templates other than J 01.00 is mandatory only for “material currencies” , although the bank may provide that information on a voluntary basis.  For example: a bank on which on a consolidated level three currencies (EUR, USD, GBP) are identified as “material currencies”, but the bank includes, on a voluntary basis, other currencies (e.g. MXN and BRL) for the calculation of the SOT:  The five currencies (EUR; USD; GBP, MXN and BRL) should be included in the SOT for the calculation of the aggregated currencies (template J 01.00 “all currencies”) if reflects the bank’s internal management systems (the consideration of other additional currencies apart to the inclusion of the “material currencies”).   The template J 01.00 should in that case be reported separately for each of these five currencies.  The breakdown by currencies for the other templates different from J 01.00 is mandatory only for the “material currencies” (EUR, USD and GBP), although the bank may provide that information as well on a voluntary basis for the other “non material currencies” (MXN and BRL).