+Component Method Focus

Component Method Focus

Gap analysisThe volume of mismatches in different time bands.

Gap risk

Basis riskPartial duration for yield curve risk Inventory of instrument groups based on different interest rates Inventory of all instrumentsThe dispersion and concentration of mismatches in different time bands. Use of derivatives and other hedging instruments in terms of different bases, convexity and timing difference neglected by gap analysis. Behavioural options: The volume of mortgages, current accounts, savings and deposits where the customer has the option to deviate from the contractual maturity; the volume of commitments with
Option risk (automatic and behavioural options)with embedded or explicit optionsinterest rate sensitive customer drawings. Automatic interest rate options: Caps and floors embedded in assets and liabilities; swaptions or prepayment options embedded in wholesale assets

1. Overview

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Summary Regulation

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source Requirement

3. Related Standards

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.