Question ID
2024_7094
Legal act
Directive 2013/36/EU (CRD)
Topic
Supervisory reporting - IRRBB
Article
84
Paragraph
6
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
EBA/GL/2022/14 - Guidelines on interest rate risk arising from non-trading book activities
Article/Paragraph
4.2.2
Name of institution / submitter
FIS Global
Country of incorporation / residence
Switzerland
Type of submitter
Consultancy firm
Subject matter
Definition of weighted average maturity (WAM) and weighted average yield (WAY)
Question

Can you please confirm that the WAM is based on the residual time to maturity according to the contractual conditions? Furthermore which notional amount shall be used for averaging: the notional amount at reporting date or future notional amount including any amortization payment?

If we base the calculation of the  WAM on the residual maturity, wouldn’t we – for consistency reason also the yield to maturity to be reported under WAY?

Background on the question

According to annex XXIX Part IV, Paragraph 13, institutions shall report the weighted average maturity (contractual) in the template J 05.00, J 06.00 and J 07.00 columns 0050 and 0300. It is defined as follows: Average contractual maturity measured in years weighted by the notional amount.

Assume, for example, that a $100,000 loan with start date 30.06.2017 and end date 30.06.2027, which amortizes 10% each year. Reporting date is 30.06.2024.

  • original maturity is 10 years (end date minus start date)
  • residual maturity is 3 years (end date minus reporting date)
  • residual maturity considering amortization payments is as follows: (30,000 X 3 years) + (20,000 X 2 years) + (10,000 X 1 years) = 2.3 years.
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 Annex 29 of Commission Implementing Regulation (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 (see instructions for “Weighted average maturity (contractual)”). 

For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”

Status
Rejected question