Interest rate risk in the banking book rInterest rate risk in the banking book risk management function

Interest rate risk in the banking book risk management function

1. An ADI must have an independent specialist IRRBB management function (function) that complies with the requirements set out in this Attachment. This function must:

2. have reporting lines and responsibilities that are independent of the activities that contribute to the ADI’s IRRBB profile;

3. have all roles and responsibilities of people and functions involved in the management of IRRBB clearly defined and documented;

4. have responsibility for the design and maintenance of an ADI’s IRRBB management framework, and for ensuring its implementation; and

5. continuously monitor the ADI’s compliance with the framework and produce and analyse regular reports on the output of the internal model.