EBA · 2023_6862 Rejected question
materiality of Basis Risk
- Regulation
- Directive 2013/36/EU (CRD)
- Article
- Article 21 of EBA/RTS/2022/09 20 Oct 2022, para. 1
- Topic
- Market risk
- Submitted by
- Credit institution
- Submitted
- 2023-08-08
Question
"Where the sum of floating rate instruments": Does the Sum refer to the 1)Net of reprining notional of Asset/Liability of floating rate instruments; or 2) Asset only ( as the denominator is 5% of assets), or 3)absolute value of Asset plus absolute value of Liability?
Background
There is no definition of the Sum, apart from Paragraph 3 which says "Incoming notional repricing cash flows shall be allocated with a positive sign and outgoing notional repricing cash flows shall be allocated with a negative sign." If the answer to my above question is 1) and if the result is negative, e.g. -12%, do we take the absolute value of the 12% when measured against 5%?
No answer published yet.
Original source: European Banking Authority, Q&A ID 2023_6862
This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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