26. Capital adequacy assessments for IRRBB should take into account the following: (a) the size and …

Capital adequacy assessments for IRRBB should take into account the following:

(a) the size and tenor of internal limits on IRRBB exposures, and whether or not these limits are reached at the point of capital calculation;
(b) the expected cost of hedging open positions that are intended to take advantage of internal expectations of the future level of interest rates;
(c) the sensitivity of the internal measures of IRRBB to key or imperfect modelling assumptions;
(d) the impact of shock and stress scenarios on positions priced with different interest rate indices (basis risk);
(e) the impact on economic value and net interest income plus market value changes of mismatched positions in different currencies;
(f) the impact of embedded losses and embedded gains;
(g) the distribution of capital relative to risks across legal entities included in the group’s prudential perimeter of consolidation, in addition to the adequacy of overall capital on a consolidated basis;
(h) the drivers of the underlying risk; and
(i) the circumstances under which the risk may materialise.

1. Overview

Summary	Regulation

Requirements
Source	Requirement

Standards
Source	Requirement

EBA -
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.

DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.