Question ID
2025_7343
Legal act
Directive 2013/36/EU (CRD)
Topic
Interest Rate Risk for Banking Book (IRRBB)
Article
98
Paragraph
5
Subparagraph
a
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 530/2014 - RTS on materiality of thresholds for internal approaches to specific risk in the trading book
Article/Paragraph
Chapter 2 point 4
Type of submitter
Credit institution
Subject matter
Treatment of Net Interest Income Stress Outlier Test (NII SOT) in scenarios where breaches occur due to one-off effects (EBA/RTS/2022/10)
Question

Could you please provide guidance on how banks should approach the reporting of such NII SOT breaches arising from such short-term, non-structural events and in addition how is it foreseen that the regulator should govern such cases? Specifically, are there any provisions or considerations that can be applied to account for these temporary effects without misrepresenting the bank's overall NII sensitivity? 

Background on the question

We are seeking clarification on the treatment of Net Interest Income Stress Outlier Test (NII SOT) in scenarios where breaches occur due to one-off effects which are not of structural nature, typically observed at the end of the financial year. Specifically, we are interested in understanding how such situations should be considered in the reporting stream and governed by the respective regulator.

Some examples of such one-off effects include:

  • Yearly P&L Increase: This often occurs where dividend payments are scheduled for Q1 of the following year, resulting in a temporary increase in the P&L at year-end.

  • Customer Deposit Movements: Year end extraordinary Inflows and movements of customer deposits to current accounts with a zero external rate, which are generally short-term in nature.

    Question is addressed in connection with point 4 of EBA/RTS/2022/10 - chapter 2 - Background and rationale.

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in Article 4 and Article 5 of Commission Delegated Regulation (EU) 2024/856 of 1 December 2023 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards specifying the supervisory shock scenarios, the common modelling and parametric assumptions and what constitutes a large decline. Further guidance has been provided also in the IRRBB heatmap implementation EBA/REP/2025/04.

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Status
Rejected question