PET - Plain English Taxonomy

Attribute: CS14876
Concept:
Label: IRRBB Capital Requirement - Internal Model - Breakdown of IRRBB Capital Requirement - Repricing And Yield Curve Risks
Concept Guidance:
This is the value, as at the relevant date, of the maximum potential change in the economic value of banking book items in the relevant currency or composite of currencies, as a consequence of changes in interest rates, for a 99 per cent confidence level and over a one year holding period, assuming that all banking book items reprice in accordance with the repricing assumptions. This represents the interest rate risk in the banking book (IRRBB) capital requirement for repricing and yield curve risks for the relevant currency or composite of currencies, as determined in accordance with relevant prudential standards,IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with prudential standards.Repricing risk represents the risk of loss in earnings or economic value caused by a change in the overall level of interest rates (that is, a 'parallel shift' in the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.Yield curve risk represents the risk of loss in earnings or economic value caused by a change in the relative levels of interest rates for different tenors (that is, a change in the slope or shape of the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items. 
Dimensions
Dimension Member Description
(InternalModelMethod)
This dimension categorises information reported based on the market risk method used to calculate capital charge for capital adequacy purposes, as determined in accordance with relevant prudential standards.
The information reported has been determined using the internal model method of calculating market risks, in accordance with relevant prudential standards.
Information categorised according to the currency transactions were originally denominated in.