Reporting of debt securities issued but not yet paid up

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.