EBA · 2025_7329 Rejected question

Level of EVE, NII and MV under Baseline scenarios reported positive for individual currencies (material or immaterial) in J1 report

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
448
Topic
Interest Rate Risk for Banking Book (IRRBB)
Submitted by
Consultancy firm
Submitted
2025-02-06

Question

Why is expected to always have the Level of EVE, NII and MV under Baseline scenarios reported positive for individual currencies (material or immaterial) in J1 report? Currently for the the rows of J1 report which reffer to Level of EVE, NII and MV under Baseline scenarios there is a validation rule ( v16332_s ) which throws a warning if the amount is negative regardless if the report is aggregated or for individual currencies. We believe this rule should be applied only for aggregated currencies and not for individual currencies as there could be a situation where the bank has a liability exposure in a specific currency which will end as a negative level of EVE/ NII or MV but when the aggregated report is obtained the final values are positive. Also, if the current rule is maintained, the results from J3 report will not be consistent with the ones from J1 as the negative amounts have to be reported positive.

Background

Paragraph 5: Sign convention, Part I of the Annex XXVIII it is requests: Generally, values shall be reported positively across the templates. Figures expressed in monetary units referring to the level of EVE, level of NII and MV level shall in general be reported as a positive figure, irrespective of whether it refers to an asset or a liability, although exceptions shall be observed : it is the case when the NII level is negative if the interest expenses are bigger than the interest incomes in the baseline scenario, or the case of derivatives where net-ted values of the derivative legs need to be reported.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2025_7329

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