- Question ID
-
2024_7073
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Interest Rate Risk for Banking Book (IRRBB)
- Article
-
488
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
- Article/Paragraph
-
ANNEX XXIX - PART I - 3.Treatment of fixed/floating rate instruments
- Type of submitter
-
Consultancy firm
- Subject matter
-
Treatment of two-leg derivatives with respect to rate type and currency
- Question
-
What is the expected representation for two-legs derivatives in the templates "BREAKDOWN OF SENSITIVITY ESTIMATES (J 02.00, J 03.00 and J 04.00)" and REPRICING CASH FLOWS (J 05.00, J 06.00 and J 07.00)?
- Background on the question
-
Part I, Paragraph 3 of ANNEX XXIX requests the reporting of separate information for floating and fixed instruments. As a general prescription we understand that for two-leg derivatives the information have to be treated on a leg-by-leg approach both in terms of rate type and currency.
- Submission date
- Status
-
Question under review
- Answer prepared by
-
Answer prepared by the EBA.