Response to consultation on draft RTS on IRRBB standardised approach
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It’s unclear if the specifications for the NII simulation horizon are mandatory (1 year sufficient or could one also go to the year-end t+1, for example)?
What is the precise definition of "large decline" in net interest income (> -2.5%)?
Question 6: Do respondents find that the required slotting of repricing cash flows in accordance with the second dimension of original maturity/reference term as described in Article 13 is operationally implementable?
In particular, the stripping of options from the underlying transaction and the separate presentation of swap legs to determine fair value changes is currently not technically implemented, currently net cash flows are processed.Question 10: Do respondents find that all the necessary aspects are covered and the steps and assumptions for the evaluation of EVE and NII as laid out in the standardised approach and simplified standardised approach clear enough and operationally implementable?
A full implementation of the requirements in 2022 is seen critically, as a longer lead time is required (at least one year from publication) due to the necessary adjustments to the IT systems and their release cycles. Please see also Question 6.It’s unclear if the specifications for the NII simulation horizon are mandatory (1 year sufficient or could one also go to the year-end t+1, for example)?
What is the precise definition of "large decline" in net interest income (> -2.5%)?