41. The management body should, in particular, be responsible for the following: (a) Understanding …

The management body should, in particular, be responsible for the following:

• (a) Understanding the nature and the level of the IRRBB exposure. The management body should ensure that there is clear guidance regarding the risk appetite for IRRBB in respect of the institution’s business strategies.
• (b) Establishing that the appropriate actions are taken to identify, measure, monitor and control IRRBB, consistent with the approved strategies and policies. In this regard, the management body or its delegates are responsible for setting:
• i. appropriate limits on IRRBB, including the definition of specific procedures and approvals necessary for exceptions, and ensuring compliance with those limits;
• ii. systems and standards for measuring IRRBB, valuing positions and assessing performance, including procedures for updating interest rate shock and stress scenarios and key underlying assumptions driving the institution’s IRRBB analysis;
• iii. a comprehensive IRRBB reporting and review process; and
• iv. effective internal controls and management information systems (MISs).
• (c) Approving major hedging or risk-taking initiatives in advance of implementation. Positions related to internal risk transfers between the non-trading book and the trading book should be properly documented.
• (d) Carrying out the oversight of the approval, implementation and review of IRRBB management policies, procedures and limits. The level of and changes in the institution’s IRRBB exposure should be provided regularly to the management body (at least quarterly).
• (e) Ensuring that the validation of IRRBB measurement methods and assessment of corresponding model risk are included in a formal policy process that should be reviewed and approved by the management body or its delegates.
• (f) Understanding and assessing the functioning of its delegates in monitoring and controlling IRRBB, consistent with policies approved by the management body, on the basis of regular reviews of timely and sufficiently detailed information.
• (g) Understanding the implications of the institution’s IRRBB strategies and their potential linkages with market, liquidity, credit and operational risk but without requiring all the management body members to be experts in the area. Some of the members should have sufficient technical knowledge to question and challenge the reports made to the management body. The institution should establish that management body members are responsible for ensuring that senior management has the competence to understand IRRBB and that IRRBB management is provided with adequate resources.

1. Forbhreathnú

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

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