- Question ID
-
2025_7334
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Market risk
- Article
-
325l
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
not applicable
- Type of submitter
-
Competent authority
- Subject matter
-
Definition of Delta GIRR risk-free interest rate curves
- Question
-
Which risk-free interest rate curves per currency should be considered as different curves?
- Background on the question
-
Art. 325l(1) CRR specifies that delta GIRR factors applicable to interest rate sensitive instruments shall be the relevant risk-free rates per currency. Art 325af specifies the correlation for the aggregation of different GIRR curves within the same bucket.
MAR21.8(1)(c) requires considering certain types of curves as different curves for purposes of the Delta GIRR calculation. More specifically, it is required to consider OIS curve and BOR curve as different curves. Two BOR curves at different maturities (e.g. three-month Euribor and six-month Euribor) must be considered as two different curves. An onshore and an offshore currency curve (e.g. onshore Indian rupee and offshore Indian rupee) must be considered as two different curves. The FAQ6 of MAR21.8 also explains that a relevant repo curve should be considered by currency.
- Submission date
- Status
-
Question under review
- Answer prepared by
-
Answer prepared by the EBA.