14. For the purposes of these Guidelines, the net interest income upon which to calculate the …

For the purposes of these Guidelines, the net interest income upon which to calculate the impact of interest rate or credit spread movements should be determined by the interest income and expenses. For these purposes institutions should also consider market value changes of instruments — depending on accounting treatment (fair value/nGAAP) — either shown in the profit and loss account or directly in equity (e.g., via other comprehensive income). Institutions should take into account the increase or reduction in the amount of profit and losses and capital over short- and medium-term horizons resulting from interest rate or credit spread movements.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/