EBA · 2024_7238 Rejected question

Aggregated method for duration of derivatives

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
448, para. 1
Topic
Interest Rate Risk for Banking Book (IRRBB)
Submitted by
Credit institution
Submitted
2024-10-31
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Question

Could the EBA please clarify the expected method to aggregate and report the Duration value (column 0020) in template J 02.00 for derivatives?

Background

As clarified in Q&A 2024_7073 within rows 0530, 0470 and 0140 banks should report both payer and receiver swaps. Therefore the same row can contain trades with both positive and negative expected duration, but unlike EVE or NII measure, duration is not additive. Therefore, it is currently unclear how the aggregated metric should be calculated and reported?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7238

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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