330. To achieve a comprehensive understanding of the institution's interest rate risk profile in the non-trading book, competent authorities should review the governance and framework underlying its interest rate exposures.
331. Competent authorities should assess the following elements:
a. IRRBB strategy and appetite (as distinct elements or as part of the broader market risk strategy and appetite);
b. organisational framework and responsibilities;
c. policies and procedures;
d. risk identification, measurement including internal models, monitoring and reporting; and
e. internal control framework.
IRRBB strategy and appetite
332. Competent authorities should assess whether the institution has a sound, clearly formulated and documented IRRBB strategy, approved by the management body. For this assessment, competent authorities should take into account:
a. whether the management body clearly expresses the IRRBB strategy and appetite and the process for the review thereof (e.g. in the eve
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