Classification of spread components of floating-rate instruments for contractual repricing reports

How should institutions classify the fixed spread component of a floating-rate instrument when reporting IRRBB repricing cash flows? Article 7 of Commission Implementing Regulation (EU) 2024/857 requires institutions to allocate the spread components of floating-rate instruments "up to the final contractual maturity, irrespective of any repricing of the non-amortised principal". However, Annex V, Section 3, states that the distinction between fixed-rate and floating-rate instruments is to be applied at instrument level. Under this definition, an instrument whose interest payments are contractually linked to an external benchmark is classified as a floating-rate instrument. In practice, two alternative interpretations have emerged: Cash-flow level interpretation: the fixed spread component of a floating-rate instrument is treated as a fixed-rate cash flow extending until contractual maturity and therefore reported within the fixed-rate section of the repricing templates. Instrument level interpretation: the spread component remains associated with the floating-rate instrument and is therefore reported within the floating-rate section, even though Article 7(c) requires the spread cash flows to be allocated up to final maturity. Should institutions report the spread components of floating-rate instruments in the fixed-rate section because they are allocated until final contractual maturity under Article 7(c), or should they remain in the floating-rate section because the fixed/floating classification applies at instrument level according to Annex V?

Article 7(c) of Commission Implementing Regulation (EU) 2024/857 requires institutions to allocate the spread components of floating-rate instruments up to the final contractual maturity, irrespective of any repricing of the non-amortised principal. At the same time, Annex V, Section 3 defines fixed-rate and floating-rate instruments at instrument level. This creates uncertainty as to whether the spread component of a floating-rate instrument should be reported in the fixed-rate section due to its contractual treatment until maturity, or remain in the floating-rate section because the underlying instrument is classified as a floating-rate instrument. This clarification is necessary to ensure consistent reporting across institutions.