EBA · 2024_7239 Rejected question

Reporting Requirements on exposures subject to behavioural modelling

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
448
Topic
Interest Rate Risk for Banking Book (IRRBB)
Submitted by
Consultancy firm
Submitted
2024-10-31
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Question

What is expected to be reported on the template J08.00b in terms of the perimeter of exposures included in the reporting of relevant parameters? Only those exposures actually subject to behavioural modelling by the institution (thus excluding exposures exposed to Prepayment, NMD behavioural modelling and Early Redemption Risks but non modelled by the institution) or all the exposures exposed to such risks, including those on which models are not applied?

Background

ANNEX XXIX - PART V, within the template J08.00b, aims to monitor the modelling of the IRRBB and specifically the change of relevant parameters under contractual and behavioural assumptions and under baseline and shock scenarios in order to obtain a comparison of these parameters.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7239

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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