+113. Institutions should regularly, at least quarterly, calculate the impact on their EVE of a …
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113. Institutions should regularly, at least quarterly, calculate the impact on their EVE of a …
Institutions should regularly, at least quarterly, calculate the impact on their EVE of a sudden parallel +/-200 basis points shift of the yield curve. Institutions should report regularly, at least annually, to the competent authority the change in EVE that results from the calculation. Where the decline in EVE is greater than 20% of the institution’s own funds, the institution should inform the competent authority immediately.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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