106. Institutions should, in relation to the different IRRBB measures, where applicable, take into …

Institutions should, in relation to the different IRRBB measures, where applicable, take into account assumptions made for the purpose of risk quantification in relation to at least the following areas:

• a) The exercise of interest rate options (automatic or behavioural) by both the institution and its customer under specific interest shock and stress scenarios;
• b) The treatment of balances and interest flows arising from NMDs;
• c) The treatment of fixed term deposits with risk of early redemption;
• d) The treatment of fixed rate loans and fixed rate loan commitments;
• e) The treatment of own equity in internal economic value measures;
• f) The implications of accounting practices for the measurement of IRRBB, and in particular hedge-accounting effectiveness; and
• g) Validation of diversification assumptions.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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