Question ID
2024_7238
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Interest Rate Risk for Banking Book (IRRBB)
Article
448
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
ANNEX XXIX, Part III, 2 Instructions concerning specific positions
Type of submitter
Credit institution
Subject matter
Aggregated method for duration of derivatives
Question

Could the EBA please clarify the expected method to aggregate and report the Duration value (column 0020) in template J 02.00 for derivatives?

Background on the question

As clarified in Q&A 2024_7073 within rows 0530, 0470 and 0140 banks should report both payer and receiver swaps. Therefore the same row can contain trades with both positive and negative expected duration, but unlike EVE or NII measure, duration is not additive. Therefore, it is currently unclear how the aggregated metric should be calculated and reported?

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 Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions, ANNEX XXIX and in Q&A 7073.

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Status
Rejected question