34. The overall IRRBB strategy should also include the decision about the extent to which the …

The overall IRRBB strategy should also include the decision about the extent to which the business model relies on generating net interest income by ‘riding the yield curve’ – i.e., funding assets with a comparatively long repricing period with liabilities with a comparatively short repricing period. Where the business model relies heavily on this source of net interest income, the management body should explain its IRRBB strategy and how it plans to survive periods of flat or inverse yield curves.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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