Question ID
2025_7306
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Interest Rate Risk for Banking Book (IRRBB)
Article
488
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Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)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 3 - 11. Instructions concerning specific positions
Type of submitter
Credit institution
Subject matter
Validation Rule EBA_v22095 (tab J0200) : Duration
Question

Could you please deactivate the validation rule EBA_v22095 for IRRBB reporting ? This validation rule checks that the sum of the modified durations for the sub-categories Retail, Wholesale Non-Financial, Wholesale Financial equals the modified duration of the Loans and Advances category. However, modified duration is not an additive measure.

Background on the question

We observe a duration of 4 for the Loans and Advances category. However, we note a duration of 3 for Wholesale Financial, as financial assets tend to have shorter maturities, and a duration of 5 for Retail Loans and Advances, since retail assets typically have longer maturities. Therefore, 4 does not equal 3 plus 5.

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the matter it refers to has already been identified and will be considered for a forthcoming version of the releases of the respective validation rules.

Status
Rejected question