EBU Single Rulebook Q&A 7 August 2020 2020_5419 Weighting of EVE gains of domestic currency by a factor of 50% when calculating the aggregate EVE change for each interest rate shock scenario
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European Union · · · 11-02-2022
When calculating the aggregate EVE change for each interest rate shock scenario, should EVE gains of the domestic currency (i.e. EUR in most cases) be weighted by a factor of 50% or should such gains be weighted by a factor of 100%? Institutions have to aggregate the EVE change for each interest rate shock scenario and translate it into domestic currency.
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