23. Institutions should demonstrate that their internal capital is commensurate with the level of …

Institutions should demonstrate that their internal capital is commensurate with the level of IRRBB, taking into account the impact on internal capital of potential changes in the institution’s economic value and future net interest income measures plus market value changes resulting from changes in interest rates. Institutions should evaluate IRRBB risk measures in their internal capital determination particularly noting that the IRRBB measures capture the risk in a complementary manner (e.g., considering IRRBB from a different time horizon). Institutions are not expected to double-count their internal capital for EV and net interest income measures plus market value changes, nonetheless the internal capital allocation methodology should consider both IRRBB risk measures and explicitly assess their potential impact on internal capital.

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/