Integration of the interest rate in the Integration of the interest rate in the banking book measurement system into day-to-day risk management

Integration of the interest rate in the banking book measurement system into day-to-day risk management

1. An ADI’s IRRBB measurement system must be closely integrated into the ADI’s risk management processes. This requires that the inputs and outputs of the ADI’s measurement system, as relevant, play an integral role in the ADI’s decision-making, corporate governance, risk management and internal capital allocation processes.
2. IRRBB exposure limits must be related to the ADI’s internal model in a manner that is consistent over time and well understood by senior management.