94. IRRBB stress testing should be considered in the ICAAP, where institutions should undertake …

IRRBB stress testing should be considered in the ICAAP, where institutions should undertake rigorous, forward-looking stress testing that identifies the potential adverse consequences of severe changes in market conditions on their capital or net interest income measures plus market value changes. For the purpose of IRRBB stress testing institutions should include changes in the behaviour of their customer base. Stress testing for IRRBB should be integrated into institutions’ overall stress -testing framework, including reverse stress testing, and should be commensurate with their nature, size and complexity, as well as their business activities and overall risk profile.

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