Question
Could the EBA please clarify the expected method to aggregate and report the Duration value (column 0020) in template J 02.00 for derivatives?
Background on the question
As clarified in Q&A 2024_7073 within rows 0530, 0470 and 0140 banks should report both payer and receiver swaps. Therefore the same row can contain trades with both positive and negative expected duration, but unlike EVE or NII measure, duration is not additive. Therefore, it is currently unclear how the aggregated metric should be calculated and reported?
Answer
This question has been rejected because the issue it deals with is already explained or addressed in Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions, ANNEX XXIX and inQ&A 7073.The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts.For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.