91. Institutions should assess exposures in each currency in which they have positions. For the …

Institutions should assess exposures in each currency in which they have positions. For the material currency exposures, the interest rate shock scenarios should be currency-specific and consistent with the underlying economic characteristics. Under the IRRBB internal measurement system (IMS), currency-specific interest rate shock scenarios, should be considered, at least, for each currency where the accounting value of financial assets or liabilities denominated in a currency amounts to 5% or more of the total non-trading book financial assets or liabilities, or less than 5% if the sum of financial assets or liabilities included in the calculation is lower than 90% of total non-trading book financial assets (excluding tangible assets) or liabilities. Institutions should include in their internal measurement systems methods to aggregate their IRRBB across different currencies. Where institutions make use of assumptions about dependencies between interest rates in different currencies, they should have the necessary level of skills and sophistication to do so. Institutions should take into account the impact of assumptions regarding dependencies between interest rates across different currencies.

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/