BANK 8.1.1 Introduction
(1) This Chapter sets out the requirements for a banking business firm's policies to identify, measure, evaluate, manage and control or mitigate interest rate risk in the banking book.
(2) This Chapter also deals with stress-testing the firm's exposure to IRRBB and the relationship between IRRBB and the internal capital adequacy assessment process. IRRBB is a major source of risk for firms that conduct banking activities; this is particularly so if the firm's banking book assets is 15% or more of its total assets.
(3) Interest rate risk in this Chapter refers to interest rate risk in the banking book. Interest rate risk in the trading book is part of market risk in Chapter 6.
|Amended by QFCRA RM/2015-3 (as from 1st January 2016).|