24. In their ICAAP analysis of the amount of internal capital required for IRRBB, institutions …

In their ICAAP analysis of the amount of internal capital required for IRRBB, institutions should consider:

• (a) internal capital held for risks to economic value that could arise from adverse movements in interest rates; and
• (b) internal capital needs arising from the impact of rate changes on future net interest income plus market value changes capacity, and the resultant implications for internal capital buffer levels.

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/