BANK 8.1.4 Role of governing body — interest rate risk in the banking book
(1) A banking business firm’s governing body must ensure that the firm’s IRRBB management policy enables the firm to obtain a comprehensive firm-wide view of its IBBRR, taking into account the nature, scale and complexity of its banking book activities.
(2) The governing body must monitor:
(a) the nature and level of IRRBB assumed by the firm;
(b) the firm’s overall IRRBB profile; and
(c) any changes in market conditions that may affect the firm’s current or prospective risk profile.
(3) The governing body must ensure that the firm’s senior management establishes and implements an IRRBB management policy that adequately identifies, measures, monitors, reports and controls or mitigates IRRBB.
|Derived from QFCRA RM/2014-2 (as from 1st January 2015).|