IRRBB reporting: EBA templates and validation rules

What IRRBB reporting covers

Interest rate risk in the banking book is the risk that rate moves cut the value of a bank’s loans, deposits and other positions outside its trading book, or squeeze the interest it earns. Supervisors test it with standard shocks: six for economic value of equity (EVE) and two for net interest income (NII).

The templates carry the results of those tests and the detail behind them, scaled to the size of the institution.

01J 01.00: the headline testEVE and NII under each standard shock, the worst case, and the supervisory outlier tests. Every institution files it.

02J 02.00 to J 04.00: where the sensitivity comes fromThe change in value broken down by assets, liabilities and derivatives. Large institutions file the full version; others file a simplified one.

03J 05.00 to J 07.00: repricing cash flowsWhen each part of the balance sheet reprices, by time band. Again in a full, a simplified and a small-bank version.

04J 08.00 to J 11.02: parameters and methodsThe key parameters behind the numbers, such as the assumptions for deposits with no fixed maturity, and qualitative information on how the bank measures the risk.

4,092checks in EBA’s 4.2 IRRBB rules (206 rules), and not one of them blocks a filingLine4 count of the EBA 4.2 package →

30 Sep 2024the first reference date for the IRRBB templatesEUR-Lex, Implementing Regulation (EU) 2024/855 →

Quarterlyfor the core template, J 01.00, filed by every institutionEUR-Lex, Implementing Regulation (EU) 2024/3117 →

Who files IRRBB returns, and when

Institutions report IRRBB under Articles 84 and 98 of the Capital Requirements Directive, on an individual and a consolidated basis. Which templates they file depends on their size (Implementing Regulation (EU) 2024/3117, Article 21).

Quarterly returns are due on 12 May, 11 August, 11 November and 11 February (Implementing Regulation (EU) 2024/3117, Article 3). The templates first applied to the reference date of 30 September 2024 (Implementing Regulation (EU) 2024/855). In EBA reporting framework 4.2 they form the IRRBB module, expected from the March 2026 reference date, from which EBA collects returns in xBRL-CSV only.

01All institutionsJ 01.00, every quarter.

02Large institutionsJ 02.00, J 05.00 and J 08.00 every quarter, and the qualitative templates J 10.01 and J 10.02 once a year.

03Other institutionsThe simplified J 03.00 and J 06.00 every quarter, with the parameters in J 09.00, and J 11.01 and J 11.02 once a year.

04Small and non-complex institutionsJ 04.00 and J 07.00 every quarter, with J 09.00, and J 11.01 and J 11.02 once a year.

What goes wrong in validation

EBA’s 4.2 package has 206 IRRBB validation rules. Written out once per scenario, row and column, they make 4,092 checks. By Line4’s count, every one of them is a warning: a failure does not stop the filing, but the supervisor can ask the bank to explain it.

Three kinds of failure come up in EBA’s own question and answer tool.

01SignsAssets and liabilities are both reported as positive amounts. EBA corrected rule v22161_m, the net interest rate position with derivatives, to follow that convention (Q&A 2024_7077). Liabilities entered as negative amounts break the sums.

02Totals that are not simple sumsSome figures do not add up across rows. Modified duration is not additive, and a total of absolute values can differ from its parts when they carry mixed signs. Banks raised both with EBA, which said it will consider them for a future release of the rules (Q&As 2025_7306 and 2026_7884).

03The worst caseJ 01.00 reports EVE and NII under the worst scenario, which must equal the smallest result across the shocks in the same template. If one shock is re-run and the worst case is not updated, the check fails.

The worst case has to be the worst. A machine can check that in milliseconds.

An example: the worst case has to be the worst

Rule v22155_m in EBA’s 4.2 package checks the worst case in J 01.00. Here it is with simple numbers.

EVE in J 01.00, column 0010

Parallel shock up (row 0040): 940
Parallel shock down (row 0050): 1,060
Steepener (row 0060): 1,010
Flattener (row 0070): 975
Short rates up (row 0080): 955
Short rates down (row 0090): 1,040
Worst scenario, as reported (row 0010): 955

How the rulebook writes it

{J_01.00,r0010,c0010,} = min({J_01.00,r0040,c0010,},{J_01.00,r0050,c0010,},{J_01.00,r0060,c0010,},{J_01.00,r0070,c0010,},{J_01.00,r0080,c0010,},{J_01.00,r0090,c0010,})

The same check, in plain words

EVE under the worst scenario must be the smallest EVE across the six shocks. Here that is 940, after the parallel shock up. The bank reported 955, the short rates up result, so the check fails.

Rule v22155_m is a warning in EBA’s 4.2 package: it would not stop the filing, but it is the kind of exception a supervisor asks about. Rule v22156_m makes the same test for NII. The numbers are illustrative.

Check an IRRBB return before you submit it

Line4 Check runs all 4,092 of EBA's active IRRBB checks in your browser, on an xBRL-CSV package or an XBRL-XML instance. Try it on EBA’s own IRRBB sample, or drop in your own file. Your file never leaves your computer. It is a free check to catch problems early, not a substitute for your authority’s own validation.

Free tool · Line4 CheckCheck an IRRBB return against EBA's rules, in your browser

Line4 Check runs all 4,092 of EBA's active checks, on an xBRL-CSV package or an XBRL-XML instance. Your file never leaves your computer. It is a free check, not a substitute for your authority's own validation.

Interest rate risk in the banking book IRRBB4,092 of 4,092 checks · 100%

Try EBA's IRRBB sample Check your own file

Why checking at submission matters

Most of these checks are warnings, so a return can be accepted with exceptions that nobody looks at until later. Run at the point of submission, the same rules give the firm an answer in seconds, while there is still time to fix the file, and give the supervisor data it can rely on from day one.

That is the first step to real-time supervision: validated data, sent straight from the firm’s systems, seen as it changes. On top of it, AI can read the movements that matter, such as a jump in the worst-case EVE from one quarter to the next, and draft the question for a supervisor, citing the cells behind it. Rules decide whether the data is right. Supervisors decide what it means.

Put it to workBefore you submit an IRRBB return

1Confirm which templates you file: as a large institution, a small and non-complex one, or neither.
2Report assets and liabilities as positive amounts, as the sign convention in the instructions requires.
3Recompute the worst-case EVE and NII after the last scenario run.
4Before you explain a failed check, look in EBA’s Q&A for rules already under review.
5Run the file against EBA’s 4.2 rules well before the remittance date.

Where Line4 fits

Line4 is SupTech software for financial regulators. It collects returns in XBRL, Excel and CSV by portal, API or MCP, validates them against your taxonomies and rules at the point of submission, and puts AI to work reading them, with supervisors making every decision. If you work with a standard we have not yet run in production, we will say so plainly and show you how we would approach it.

You can try validation at the gate now on an EBA filing: our free EBA validator checks filings for 41 EBA modules, in xBRL-CSV or XBRL-XML, against EBA's own rules, in your browser, without uploading anything. Guides to the returns it checks: NSFR reporting, Resolution and MREL reporting, ALMM reporting, Asset encumbrance reporting, PSD2 fraud reporting, Funding plans reporting and Supervisory benchmarking.

Questions

What is IRRBB reporting?

IRRBB reporting is the supervisory reporting of interest rate risk in the banking book: how standard interest rate shocks would change a bank’s economic value of equity and its net interest income, with the detail behind the results. In the EU it uses the EBA templates J 01.00 to J 11.02.

Which IRRBB templates does my bank have to report?

Every institution reports J 01.00 quarterly. Large institutions add J 02.00, J 05.00 and J 08.00 quarterly and J 10.01 and J 10.02 yearly. Other institutions file the simplified J 03.00 and J 06.00, and small and non-complex institutions J 04.00 and J 07.00, both with J 09.00 quarterly and J 11.01 and J 11.02 yearly (Implementing Regulation (EU) 2024/3117, Article 21).

How often is IRRBB reported, and when is it due?

Quarterly, with the qualitative templates once a year. Quarterly returns are due on 12 May, 11 August, 11 November and 11 February, and annual ones on 11 February.

Are the EBA IRRBB validation rules blocking?

By Line4’s count of EBA’s 4.2 package, none of the 206 IRRBB rules blocks a filing: all are warnings. A failed warning does not stop the submission, but the supervisor can ask the bank to explain it.

Where can I find the EBA validation rules for IRRBB?

The EBA publishes its validation rules with each reporting framework release; for 4.2 they are on the reporting framework 4.2 page, with the severity package that says which rules are switched off. EBA’s Q&A tool records the rules it has corrected or will review.

Can I validate an IRRBB return for free?

Yes. Line4 Check runs all 4,092 of EBA's active IRRBB checks in your browser, on xBRL-CSV or XBRL-XML, without uploading the file. It is not a substitute for your authority’s own validation.

Sources

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IRRBB reporting: EBA templates, deadlines and validation rules