| Risk Supervisory score view | For | Considerations in relation to Considerations in relation to inherent risk adequate management and controls IRRBB: For IRRBB and CSRBB: |
| There is a low risk of significant prudential impact on the 1 institution considering the level of inherent risk and the management and controls. | • • • For | The sensitivity of the economic • There is consistency between the value to changes in interest rates institutions risk policy and is not material/very low. strategy for interest rate- and The sensitivity of earnings to credit spread risk and its overall changes in interest rates is not strategy and risk appetite. material/very low. • The organisational framework for The sensitivity of the economic interest rate and credit spread value and earnings to changes in risk is robust with clear the underlying assumptions (e.g. responsibilities and a clear in the case of products with separation of tasks between risk-embedded customer optionality) takers and management and are not material/very low. control functions. IRRBB: • Interest rate and credit spread |
| There is a medium-low risk of significant prudential | • • | The sensitivity of the economic risk measurement, monitoring value to changes in interest rates and reporting systems are is low to medium. appropriate. The sensitivity of earnings to • There are clearly defined internal |
| impact on the 2 institution considering the level of inherent risk and the management and controls. | • | changes in interest rates is low to policy limits together with their medium. associated risk mitigation The sensitivity of the economic measures, and the control value and earnings to changes in framework for interest rate and the underlying assumptions (e.g. credit spread risk (if material) that in the case of products with are sound and are in line with the embedded customer optionality) institution’s risk strategy a nd risk is low to medium. . appetite. |
| There is a 3 medium-high risk of | For • | IRRBB: The sensitivity of the economic • There the institution is inconsistency ’ s risk policy between and |
| significant prudential | | value to changes in interest rates strategy for interest rate- and is medium to high. |
| Risk Supervisory score view impact on the institution considering the level of inherent risk and the management and controls. | • • For | Considerations in relation to Considerations in relation to inherent risk adequate management and controls The sensitivity of earnings to credit spread risk and its overall changes in interest rates is strategy and risk appetite. medium to high. • The organisational framework for The sensitivity of the economic interest rate and credit spread value and earnings to changes in risk does not sufficiently separate the underlying assumptions (e.g. responsibilities and tasks in the case of products with between risk-takers and embedded customer optionality) management and control is medium to high. functions. IRRBB: • Interest rate and credit spread |
| There risk significant prudential is a high of | • | The value is high. sensitivity to changes of in the interest economic rates risk and undertaken accuracy reporting measurement, and frequency. with systems monitoring sufficient are not |
| impact on the 4 institution considering the level of inherent risk and the management and controls. | • • | The sensitivity of earnings to • Internal policy limits, risk changes in interest rates is high. mitigation measures and/or the The sensitivity of the economic control framework for interest value and earnings to changes in rate and credit spread risk (if the underlying assumptions (e.g. material) are not aligned among in the case of products with themselves or not in line with the embedded customer optionality institution’s risk strategy and risk is high.) appetite. |