- Question ID
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2023_6862
- Legal act
- Directive 2013/36/EU (CRD)
- Topic
- Market risk
- Article
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Article 21 of EBA/RTS/2022/09 20 Oct 2022
- Paragraph
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1
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
Article 21, Net Interest Income add-on for Basis Risk, Paragraph 1
- Type of submitter
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Credit institution
- Subject matter
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materiality of Basis Risk
- Question
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"Where the sum of floating rate instruments": Does the Sum refer to the 1)Net of reprining notional of Asset/Liability of floating rate instruments; or 2) Asset only ( as the denominator is 5% of assets), or 3)absolute value of Asset plus absolute value of Liability?
- Background on the question
-
There is no definition of the Sum, apart from Paragraph 3 which says "Incoming notional repricing cash flows shall be allocated with a positive sign and outgoing notional repricing cash flows shall be allocated with a negative sign." If the answer to my above question is 1) and if the result is negative, e.g. -12%, do we take the absolute value of the 12% when measured against 5%?
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because it does not fulfil the formal criteria for submission. 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
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Rejected question