Question
Could you please deactivate the validation rule EBA_v22095 for IRRBB reporting ? This validation rule checks that the sum of the modified durations for the sub-categories Retail, Wholesale Non-Financial, Wholesale Financial equals the modified duration of the Loans and Advances category. However, modified duration is not an additive measure.
Background on the question
We observe a duration of 4 for the Loans and Advances category. However, we note a duration of 3 for Wholesale Financial, as financial assets tend to have shorter maturities, and a duration of 5 for Retail Loans and Advances, since retail assets typically have longer maturities. Therefore, 4 does not equal 3 plus 5.
Answer
This question has been rejected because the matter it refers to has already been identified and will be considered for a forthcoming version of the releases of the respective validation rules.