Question
In Part 5, No. 24 of the Annex 29 (REPORTING INSTRUCTIONS FOR THE PURPOSE OF INTEREST RATING RISK IN THE BANKING BOOK) is mentioned 'In the case of derivatives, institutions shall report the net amounts of repricing cashflows (i.e., not broken down by receiver/payer legs).' At the same time regarding the repricing cashflows, there is a link to the RTS SA which says in Article 10 'Derivative instruments not subject to optionality shall be separated into a paying and a receiving leg.' Can you please clarify if the Derivates should be shown as net position in J 05.00 or should they be split into their legs?
Background on the question
Implementation of the IRRBB Reporting Standards
Answer
This question has been rejected because the issue it deals with is already explained in paragraph 24 of Annex II (29) of the Final report on ITS on supervisory reporting regarding IRRBB, as“[…] institutions shall report the net amounts […] (i.e., not broken down by receiver/payer legs). For derivatives hedging assets, the long leg (receiver/asset) of the derivative shall be considered with a positive sign while the short leg (payer/liability) shall be considered with a negative sign when computing the net amounts per time bucket. […]”.For further information on the purpose of this tool and on how to submit questions, please see'Additional background and guidance for asking questions'.