Template J 01.00, rows 0150-0170, requests the level of market value under the baseline scenario and delta MV under the parallel shock up and the parallel shock down. The change is the change in the carrying amount over a one-year horizon, recognised in profit or loss or directly in equity, for example through other comprehensive income. Institutions report delta MV net of hedge accounting, and disregard the effective component of cash-flow hedge accounting derivatives that hedge amortised-cost items, as referred to in Article 33(1), point (a), of Regulation (EU) No 575/2013.

The instructions for these rows tell institutions to use the delta MV forecasts of their IRRBB internal measurement system or, where applicable, Article 22 of Commission Delegated Regulation (EU) 2024/857, for the parallel shock scenarios in Article 1(2) of Commission Delegated Regulation (EU) 2024/856. They then state:

"The total size and composition of the amount of which the value is sensitive to delta MV shall be maintained by replacing maturing instruments with new instruments that have comparable features (including currency and nominal amount of the instruments)."

That wording was laid down for J 01.00, rows 0150-0170, by Commission Implementing Regulation (EU) 2024/855 (Annex XXIX to Commission Implementing Regulation (EU) 2021/451, Part II). The same template is now submitted under Article 21 of Commission Implementing Regulation (EU) 2024/3117, Annex I, Section 12. The general description of the template also refers to market value changes computed on a one-year horizon under a constant balance sheet assumption. The market value columns of the breakdown templates follow the same instructions.

Article 22 of Commission Delegated Regulation (EU) 2024/857 prescribes a narrower boundary for the standardised calculation. Its title limits the measure to instruments held at fair value maturing beyond the net interest income time horizon. Paragraph 2, point (a), excludes instruments not held at fair value. Paragraph 2, point (b), requires institutions to exclude notional cash flows repricing inside that horizon by setting them to zero. The interest-rate effect inside the horizon, on a constant balance sheet, is calculated separately as net interest income, including reinvestment and refinancing under Articles 19 to 21 of the same Regulation. Article 18 sets the net interest income time horizon at a minimum of one year.

Applying both sentences literally produces different reported amounts. A fair-value instrument maturing in six months contributes nothing to delta MV under Article 22, because its cash flow reprices inside the horizon and is set to zero. The replacement sentence would replace that instrument at maturity with a new instrument of the same currency and nominal amount, and would include the market value change of the new instrument in rows 0160 and 0170. A fair-value instrument maturing in five years is included under both readings for the cash flows beyond one year. Including the within-horizon population in delta MV as well as in delta NII would count the same interest-rate sensitivity twice.

This clarification is necessary so that institutions applying the standardised methodology report rows 0150-0170 on the same perimeter, including for instruments maturing within one year.