| Name: | InterestRateRiskMethodDimension |
|---|---|
| Label: | Interest Rate Risk Method |
| TREF ID: | DM435 |
| Type: | Predefined |
| Description: |
This dimension categorises information reported based on the method used to calculate the interest rate risk of a position for capital adequacy purposes, as determined in accordance with relevant prudential standards. |
| Usage: |
Dimension Members
| Name | Label | TREF ID | Description |
| DurationMethod | Duration Method | DV4476 |
The information reported has been determined using the duration method of measuring interest rate risk, in accordance with relevant prudential standards.The duration method involves calculating the price sensitivity of a position to changes in interest rates, being the maturity for which a change in rates has most effect on the value of the instrument. |
| MaturityMethod | Maturity Method | DV5164 |
The information reported has been determined using the maturity method of measuring interest rate risk, in accordance with relevant prudential standards. |
| PreProcessingMethod | Pre Processing Method | DV5163 |
The information reported has been determined using the pre-processing method of measuring interest rate risk, in accordance with relevant prudential standards. |