BANK 8.1.3 Requirement — interest rate risk in the banking book

A banking business firm must hold sufficient capital to effectively control or mitigate its IRRBB. The Regulatory Authority may impose a capital requirement based on the firm’s ICAAP if the authority is of the view that the firm’s capital requirement is insufficient to cover its exposure to IRRBB.

Derived from QFCRA RM/2014-2 (as from 1st January 2015).