67. 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 inclu de, taking into account paragraphs 65 and 66, 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 and parameters, 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 made on the IRRBB measures including changes in assumptions under various interest rate scenarios.
• (e) Details of the impact of interest rate derivatives on the IRRBB measures.
• (f) Details of the impact of fair value instruments, including Level 3 assets and liabilities, on the IRRBB measures.
• (g) Results of stress tests as referred to in section 4.3.4, the shocks as referred to in section 4.3.3, the supervisory outlier tests as referred to in paragraph 5 of Article 98 of Directive 2013/36/EU, 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

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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