251. To determine the scope of the IRRBB assessment, competent authorities should first identify …

To determine the scope of the IRRBB assessment, competent authorities should first identify the sources of IRRBB to which the institution is or might be exposed and if there have been any significant changes. To do so, competent authorities should leverage the knowledge gained from ICAAP and ILAAP information collected for SREP purposes, from reporting established on IRRBB, from the assessment of other SREP elements, from the comparison of the institution’s position with those of its peers and from any other supervisory activities. As part of this, competent authorities should consider the institution’s governance of interest rate risk, including its main IRRBB strategy and its risk appetite in relation to IRRBB, and the level of internal capital the institution has allocated to IRRBB.

Nature and composition of the institution’s interest rate risk profile

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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