310. Competent authorities should assess interest rate risk arising from interest rate sensitive positions from non-trading on- and off-balance-sheet activities (commonly referred to as interest rate risk in the non-trading book, or IRRBB), including hedges for these positions, irrespective of their recognition and measurement, and irrespective of the recognition and measurement of losses and gains, for accounting purposes (note that credit spread risk arising from some non-trading book positions is covered in the section on market risk).
311. Competent authorities should consider the following sub-categories when assessing IRRBB:
a. Gap risk - risk resulting from the term structure of interest rate sensitive instruments that arises from differences in the timing of their rate changes, covering changes to the term structure of interest rates occurring consistently across the yield curve (parallel risk) or differentially by period (non-parallel risk) .
b. Basis risk - risk arising from
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