EBA · 2023_6916 Rejected question

Derivates splitting

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
EBA/ITS/2023/03
Topic
Supervisory reporting - IRRBB
Submitted by
Consultancy firm
Submitted
2023-10-18
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Question

In Part 5, No. 24 of the Annex 29 (REPORTING INSTRUCTIONS FOR THE PURPOSE OF INTEREST RATING RISK IN THE BANKING BOOK) is mentioned 'In the case of derivatives, institutions shall report the net amounts of repricing cashflows (i.e., not broken down by receiver/payer legs).' At the same time regarding the repricing cashflows, there is a link to the RTS SA which says in Article 10  'Derivative instruments not subject to optionality shall be separated into a paying and a receiving leg.' Can you please clarify if the Derivates should be shown as net position in J 05.00 or should they be split into their legs?

Background

Implementation of the IRRBB Reporting Standards
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6916

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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