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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.
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