+68. While the types of reports prepared for the management body or its delegates will vary based on …

68. While the types of reports prepared for the management body or its delegates will vary based on …

While the types of reports prepared for the management body or its delegates will vary based on the institution’s portfolio composition, they should include, taking into account paragraph 65, the following:

  • (a) Summaries of the institution’s aggregate IRRBB exposures, including information on exposures to gap, basis and option risk. Assets, liabilities, cash flows, and strategies that are driving the level and direction of IRRBB should be identified and explained.
  • (b) Reports demonstrating the institution’s compliance with policies and limits.
  • (c) Key modelling assumptions, such as characteristics of non-maturity deposits (NMDs), prepayments on fixed rate loans, early withdrawals of fixed term deposits, drawing of commitments, currency aggregation and treatment of commercial margins.
  • (d) Details of the impact of key modelling assumptions on the measurement of IRRBB in terms of both economic value measures and earnings measures, including changes in assumptions under various interest rate scenarios.
  • (e) Details of the impact of interest rate derivatives on the measurement of IRRBB, in terms of both economic value measures and earnings measures.
  • (f) Details of the impact of fair value instruments, including Level 3 assets and liabilities, on the measurement of IRRBB in terms of both economic value measures and earnings measures.
  • (g) Results of stress tests as referred to in section 4.4.4, the shocks as referred to in section 4.4.3, the supervisory outlier test as referred to in section 4.5, and assessments of sensitivity to key assumptions and parameters; and
  • (h) Summaries of the reviews of IRRBB policies, procedures and adequacy of the measurement systems, including any findings of internal and external auditors or other equivalent external parties (such as consultants).

1. Overview

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • EBA - Published by the European Banking Authority at https://www.eba.europa.eu/