Question ID
2024_7244
Legal act
Directive 2013/36/EU (CRD)
Topic
Interest Rate Risk for Banking Book (IRRBB)
Article
Article 1
Paragraph
1
Subparagraph
(1)(c)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
Article 1
Name of institution / submitter
ALM Partners Oy
Country of incorporation / residence
Finland
Type of submitter
Consultancy firm
Subject matter
Should repricing coupons be included in J06 sheets?
Question

Should repricing coupons be included in J06 sheets in IRRBB reporting? EBA’s validation formula says that repricing coupons should not be included (validation rules v22320_m and v_22321_m). Otherwise the regulation (Final Draft RTS on Standardised Methodologies on IRRBB, Article 1, “’Notional repricing cash flow’ means: (c) Any interest payment on a part of the principal that has not yet been repaid or repriced) says that repricing coupons should be included. 

And if those repricing coupons are included (as the regulation says) it will cause validation rules v22320_m and v22321_m to be active because repricing notionals are always greater than the notional only.

Background on the question

EBA’s validation formula says that repricing coupons should not be included (validation rules v22320_m and v_22321_m). Otherwise the regulation (Final Draft RTS on Standardised Methodologies on IRRBB, Article 1, “’Notional repricing cash flow’ means: (c) Any interest payment on a part of the principal that has not yet been repaid or repriced) says that repricing coupons should be included. 

And if those repricing coupons are included (as the regulation says) it will cause validation rules v22320_m and v22321_m to be active because repricing notionals are always greater than the notional only.

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 Article 1 of Commission Delegated Regulation (EU) 2024/857.

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.

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