EBA · 2025_7306 Rejected question
Validation Rule EBA_v22095 (tab J0200) : Duration
- Regulation
- Regulation (EU) No 575/2013 (CRR)
- Article
- 488
- Topic
- Interest Rate Risk for Banking Book (IRRBB)
- Submitted by
- Credit institution
- Submitted
- 2025-01-16
Question
Could you please deactivate the validation rule EBA_v22095 for IRRBB reporting ? This validation rule checks that the sum of the modified durations for the sub-categories Retail, Wholesale Non-Financial, Wholesale Financial equals the modified duration of the Loans and Advances category. However, modified duration is not an additive measure.
Background
We observe a duration of 4 for the Loans and Advances category. However, we note a duration of 3 for Wholesale Financial, as financial assets tend to have shorter maturities, and a duration of 5 for Retail Loans and Advances, since retail assets typically have longer maturities. Therefore, 4 does not equal 3 plus 5.
No answer published yet.
Original source: European Banking Authority, Q&A ID 2025_7306
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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