The exposure of net interest income to different scenarios of interest rate changes is analysed monthly using dynamic simulation measures. With a more long-term outlook, the Bank also analyses the sensitivity of its economic value to movements in interest rates.
The interest rate risk exposure of net interest income of parallel changes of +/- 100 basis points in market interest rates is +9.9/-11.4%, for a 12-month horizon.
The sensitivity of the economic value to parallel increases of 100 basis points was +2.1% of its own funds at year-end 2018. Given the current level of interest rates, the limit for parallel downward shifts was set at 25 basis points and the change in the economic value would be around -0,5% of own funds.
The Bank's working assumption is used to calculate both measures, which considers negative interest rates, except for those items with a Euribor floor.
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