Le Norme

652. assumptions made by institutions regarding the effective behavioural

aspects.

Behavioural assumptions for customer accounts on the basis of

specific repricing dates

the contractual maturity structure and the interest rate repricing date may
not be representative of the actual outcomes expected in the event of
changes to market rates (655)
It is important to identify the underlying assumptions both for economic
value and earnings at risk (687)

embedded options (prepayment, extend duration)

these create uncertainty about the timing of the cash flows associated with
the products and necessitates further modelling effort by the institutions
(654)
optionalities may create migrations between product types (687), another
reason assess whether the appropriate pricing and risk strategies are in
place

the results of the Stress testing exercise should be assessed

specifica behavioural assumptions for customer accounts without specific

repricing dates, particularly those with very low interest rates attached

Challenging the assumptions

assumptions regarding factors as effective behaviour of demand and time

deposits, early redemptions and early repayment (697)

non-embedded options performing a sensitivity analysis of the main

assumptions taken