EBU Single Rulebook Q&A 30 April 2024 2024_7073 Treatment of two-leg derivatives with respect to rate type and currency

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European Union · · · 27-09-2024

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)? Part I, Paragraph 3 of ANNEX XXIX requests the reporting of separate information for floating and fixed instruments.

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