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Recital 11

Recital 11

(11)The outcomes of the standardised methodology on net interest income provide the highest informational value where the net interest income time horizon is set at 1 year. However, the calculation of the interest sensitivity of net interest income over a longer time horizon can often provide additional useful information for institutions with significant concentrations of maturities around or beyond the 1-year time horizon. Against that background, and to complement the economic value of equity metric, the 1-year time horizon for the net interest income calculation should be a minimum.

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