- Question ID
-
2024_7239
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Interest Rate Risk for Banking Book (IRRBB)
- Article
-
448
- 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- Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)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 V
- Type of submitter
-
Consultancy firm
- Subject matter
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Reporting Requirements on exposures subject to behavioural modelling
- Question
-
What is expected to be reported on the template J08.00b in terms of the perimeter of exposures included in the reporting of relevant parameters? Only those exposures actually subject to behavioural modelling by the institution (thus excluding exposures exposed to Prepayment, NMD behavioural modelling and Early Redemption Risks but non modelled by the institution) or all the exposures exposed to such risks, including those on which models are not applied?
- Background on the question
-
ANNEX XXIX - PART V, within the template J08.00b, aims to monitor the modelling of the IRRBB and specifically the change of relevant parameters under contractual and behavioural assumptions and under baseline and shock scenarios in order to obtain a comparison of these parameters.
- 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.
The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts.
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- Status
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Rejected question
