Internal reporting

Institutions’ internal risk -reporting systems should provide timely, accurate and comprehensive information about their exposures to CSRBB. The frequency of internal reports should be at least quarterly.

The internal reports should be provided to the management body or its delegates with information at relevant levels of aggregation (by consolidation level) and reviewed regularly. The reports should contain a level of information adapted to the particular management level (e.g., management body, senior management) and to the specific situation of the institution and the economic environment.

The CSRBB reports should provide aggregate information as well as sufficient supporting detail to enable the management body or its delegates to assess the sensitivity of the institution to changes in market conditions and other important risk factors. The content of the reports should reflect changes in the risk profile of the institution and in the economic environment and compare current exposure with policy limits.

The CSRBB reports should, on a regular basis, include the results of the model reviews and audits as well as comparisons of past forecasts or risk estimates with actual results to inform potential modelling shortcomings. Portfolios that may be subject to significant mark-to-market movements should be clearly identified and the impact should be monitored within the institution’s MIS and subject to oversight in line with any other portfolios exposed to market risk.

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 paragraphs 146 and 147, the following:

• (a) Summaries of the institution’s aggregate CSRBB exposures in terms of the different CSRBB measures. Assets, liabilities and off-balance-sheet exposures and strategies that are driving the level and direction of CSRBB should be identified and explained; and
• (b) Key modelling assumptions.

Based on these reports, the management body or its delegates should be able to assess the sensitivity of the institution to changes in market conditions and other important risk factors, with particular reference to portfolios that may potentially be subject to significant mark-to-market movements.

The internal measurement system should generate reports in a format that allows the different levels of the institution’s management to understand the reports easily and to make appropriate decisions in a timely manner. The reports should constitute the basis for regular monitoring of whether or not the institution operates in line with its strategy.