- Question ID
-
2023_6819
- Legal act
- Directive 2013/36/EU (CRD)
- Topic
- Accounting and auditing
- Article
-
98
- Paragraph
-
5a
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
.
- Type of submitter
-
Credit institution
- Subject matter
-
Aggregation of P&L for Net Interest Income
- Question
-
In Article 22 of draft EBA/RTS/2022/10, it stated to apply 50% to profit when aggregating P&L at currency to get total NII. If the stress NII at currency level are all profits (as seen in our calculation under +shocks scenario), do I apply 50% to each profit, or profit in one currency should be allowed 100% (if so, should it be the reporting currency, or any chozen currency)?
- Background on the question
-
I think the rationale of 50% is to offset profit with loss, assuming the correlation between ccy pairs is not 100%. In a simple world, if the whole portfolio has one currency only, then there is no need to apply 50%. So if we apply 50% to each profit, that’s underestimate P&L. This is not covered in the guideline.
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because the issue it deals with is already explained or addressed in Article 22 of EBA/RTS/2022/09, Article 4(l) of EBA/RTS/2022/10 and the feedback table at page 58 of the final EBA report on the draft EBA/RTS/2022/10. For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.
- Status
-
Rejected question