81. Institutions should measure their exposure to IRRBB in terms of potential changes to both the …

Institutions should measure their exposure to IRRBB in terms of potential changes to both the economic value (EV) and earnings. Institutions should use complementary features of both approaches to capture the complex nature of IRRBB over the short-term and long-term time horizons. In particular, institutions should measure and monitor (i) the overall impact of key modelling assumptions on the measurement of IRRBB in terms of both economic value measures and earnings measures, and (ii) the IRRBB of their banking book interest rate derivatives where relevant for the business model.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

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