EBA · 2024_7035 Rejected question

Modelling the risk of migration from NMDs to term deposits in the context of the constant balance sheet assumption in the NII SOT.

Regulation
Directive 2013/36/EU (CRD)
Article
98, para. 5
Topic
Interest Rate Risk for Banking Book (IRRBB)
Submitted by
Competent authority
Submitted
2024-03-07
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Question

Is it modelling the risk of migration from NMDs to term deposits consistent with the constant balance sheet assumption in the NII SOT?

Background

By reading the RTS on SOT, it is not clear how the risk of migration from NMDs to term deposits shall be taken into account in the context of the constant balance sheet assumption in the NII supervisory outlier test.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7035

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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