106. Institutions should, in relation to the different IRRBB measures, where applicable, take into …

Institutions should, in relation to the different IRRBB measures, where applicable, take into account assumptions made for the purpose of risk quantification in relation to at least the following areas:

• a) The exercise of interest rate options (automatic or behavioural) by both the institution and its customer under specific interest shock and stress scenarios;
• b) The treatment of balances and interest flows arising from NMDs;
• c) The treatment of fixed term deposits with risk of early redemption;
• d) The treatment of fixed rate loans and fixed rate loan commitments;
• e) The treatment of own equity in internal economic value measures;
• f) The implications of accounting practices for the measurement of IRRBB, and in particular hedge-accounting effectiveness; and
• g) Validation of diversification assumptions.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• 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.