EBA · 2024_7244 Rejected question

Should repricing coupons be included in J06 sheets?

Regulation
Directive 2013/36/EU (CRD)
Article
Article 1, para. 1
Topic
Interest Rate Risk for Banking Book (IRRBB)
Submitted by
Consultancy firm
Submitted
2024-11-08

Question

Should repricing coupons be included in J06 sheets in IRRBB reporting? EBA’s validation formula says that repricing coupons should not be included (validation rules v22320_m and v_22321_m). Otherwise the regulation ( Final Draft RTS on Standardised Methodologies on IRRBB , Article 1, “’Notional repricing cash flow’ means: (c) Any interest payment on a part of the principal that has not yet been repaid or repriced) says that repricing coupons should be included.  And if those repricing coupons are included (as the regulation says) it will cause validation rules v22320_m and v22321_m to be active because repricing notionals are always greater than the notional only.

Background

EBA’s validation formula says that repricing coupons should not be included (validation rules v22320_m and v_22321_m). Otherwise the regulation ( Final Draft RTS on Standardised Methodologies on IRRBB , Article 1, “’Notional repricing cash flow’ means: (c) Any interest payment on a part of the principal that has not yet been repaid or repriced) says that repricing coupons should be included.  And if those repricing coupons are included (as the regulation says) it will cause validation rules v22320_m and v22321_m to be active because repricing notionals are always greater than the notional only.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7244

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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