46. The management body should, based on its overall IRRBB strategy, adopt robust risk policies …

The management body should, based on its overall IRRBB strategy, adopt robust risk policies, processes and systems which should ensure that:

(a) procedures for updating scenarios for the measurement and assessment of IRRBB are set up;
(b) the measurement approach and the corresponding assumptions for measuring and assessing IRRBB, including the allocation of internal capital to IRRBB risks, are appropriate and proportional;
(c) the assumptions of the models used are regularly reviewed and, if necessary, amended;
(d) standards for the evaluation of positions and the measuring of performance are defined;
(e) appropriate documentation and control over permissible hedging strategies and hedging instruments exist; and
(f) the lines of authority and responsibility for managing IRRBB exposures are defined.

1. Overview

Summary	Regulation

Requirements
Source	Requirement

Standards
Source	Requirement

EBA -
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