Internal reporting of interest rate riskInternal reporting of interest rate risk in the banking book exposures

Internal reporting of interest rate risk in the banking book exposures

1. An ADI must implement a process to regularly monitor its IRRBB profile. To support the proactive management of this risk, there must be regular reporting of relevant information to the Board, or Board committee, and senior management.
2. In developing an appropriate reporting framework, an ADI must consider the nature of its IRRBB exposure and the strategy adopted for managing and measuring it. Management reports must be produced and reviewed regularly and include information on the output of the ADI’s internal model, limit utilisation and the performance of risk management strategies. The reviews must be conducted by a level of management with sufficient seniority and authority to enforce, where necessary, mitigation of the ADI’s exposure to IRRBB.
3. An ADI must have in place a process for ensuring that the ADI’s Board, or Board committee, and senior management are able to respond appropriately to the information contained in IRRBB management reports. This process must include escalation procedures for key IRRBB issues to facilitate appropriate action between formal reporting cycles.