PET - Plain English Taxonomy

Attribute: CS14880
Concept:
Label: IRRBB Capital Requirement - Internal Model - Diversification Benefit Amount (between currencies) - Basis Risk
Concept Guidance:
This is the value, as at the relevant date, of assumed diversification benefits between currencies for the estimated basis risk. This amount will reduce the reporting party's total IRRBB capital requirement, 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.Basis risk represents the risk of loss in earnings or economic value arising from differences between the actual and expected interest margins on banking book items, where 'margin' means the difference between the interest rate on the items and the implied cost of funds for those 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.