EBA · 2024_7243 Rejected question

v16332_s (IRRBB) - non-negative rule not applicable to some rows

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430, para. 7
Topic
Interest Rate Risk for Banking Book (IRRBB)
Submitted by
Credit institution
Submitted
2024-11-06
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Question

Could you pls remove r0030 and r0150 from the scope of validation rule v16332_s?

Background

v16332_s is a non-negative rule for some rows in sheet J 01.00. r0030 is the 'Level of EVE under baseline scenario' and r0150 is 'Level of market value under baseline scenario'. These amounts can be negative, especially in the significant currency sheets. As a comparison, r0120 was already removed, because NII can be negative. Net EVE and market value can also be negative.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7243

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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