29. Frequency of calculation

Calculation of the IRC should be at least weekly. However, institutions can choose to compute the measure more frequently. If, for example, an institution decides on a weekly IRC computation, for the daily calculation of capital requirements based on internal models the following should apply:

• i. The same IRC number should be used for five subsequent business days following the running of the IRC model;
• ii. With respect to the calculation of the average IRC numbers on the preceding 12 weeks, institutions should use the previous twelve IRC weekly numbers to compute that average.

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The institution should be able to prove that, on the day of the week chosen for the IRC calculation, its portfolio is representative of the portfolio held during the week and that the chosen portfolio does not lead to a systematic underestimation of the IRC numbers when computed weekly.

Title III - Final Provisions and Implementation