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IRRBB Application of the sudden parallel

How should banks apply the sudden parallel +-200 basis points shift of the yield curve in their forecast yield curve?

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2015/08 - Guidelines on the management of interest rate risk arising from non-trading activities

ID: 2019_4448| Topic: Other topics| Date of submission: 04/01/2019

Application of the 0% floor in the calculation of the supervisory standard shock (particularly downward scenario).

In times of already negative interest rates, how should banks apply the 0% floor? 

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2015/08 - Guidelines on the management of interest rate risk arising from non-trading activities

ID: 2017_3121| Topic: Supervisory review and evaluation (SREP) and Pillar 2| Date of submission: 23/01/2017

Discount rates in Economic Value of Equity calculations

Is the usage of different yield curves related to the calculation of value risk measures (e.g. Economic Value of Equity) or is it related to the calculation of earnings measures (e.g. Earnings-at-Risk) or both? If an institution prefers to base the Economic Value of Equity on the risk-free swapcurve (also for its internal IRRBB management), is the institution still required to use different yield curves (including a yield curve with a credit spread curve) other than the swapcurve for Economic Value of Equity? If it is mandatory to use different yield curves for the Economic Value of Equity calculations, is the following sufficient in order to meet the paragraphs 42c and 42d: (a) to base the Economic Value of Equity (and its related risk measures such as duration of equity) on the risk-free swapcurve, and (b) to base the Earnings-at-Risk measures and the Market Value of Equity on different yield curves (including instrument/credit-specific curves)?

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2015/08 - Guidelines on the management of interest rate risk arising from non-trading activities

ID: 2016_2697| Topic: Supervisory review and evaluation (SREP) and Pillar 2| Date of submission: 04/04/2016