104. Institutions should, in relation to both economic value and earnings-based measures of IRRBB …

Institutions should, in relation to both economic value and earnings-based measures of IRRBB, 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.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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